| Publication | Date of Publication | Type |
|---|
| When to efficiently rebalance a portfolio | 2025-01-06 | Paper |
| Short-time asymptotic behavior of the Brox diffusion | 2024-10-29 | Paper |
| A partial rough path space for rough volatility | 2024-04-10 | Paper |
| Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions | 2024-03-26 | Paper |
| Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel | 2024-01-19 | Paper |
| Backward stochastic difference equations on lattices with application to market equilibrium analysis | 2023-12-17 | Paper |
| Wiener Spiral for Volatility Modeling | 2023-11-14 | Paper |
| Super‐replication with transaction costs under model uncertainty for continuous processes | 2023-09-28 | Paper |
| Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics | 2023-09-28 | Paper |
| The asymptotic expansion of the regular discretization error of Itô integrals | 2023-09-27 | Paper |
| Weighted variance swaps hedge against impermanent loss | 2023-08-02 | Paper |
| On asymptotically arbitrage-free approximations of the implied volatility | 2023-06-26 | Paper |
| A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two | 2023-05-04 | Paper |
| A rough SABR formula | 2022-08-30 | Paper |
| Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models | 2022-07-22 | Paper |
| Efficient discretisation of stochastic differential equations | 2022-07-05 | Paper |
| Realized cumulants for martingales | 2022-01-06 | Paper |
| A new discretization scheme for one dimensional stochastic differential equations using time change method | 2022-01-06 | Paper |
| Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes | 2021-12-01 | Paper |
| Volatility has to be rough | 2021-12-01 | Paper |
| ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL | 2021-10-26 | Paper |
| DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS | 2021-10-20 | Paper |
| EM algorithm for stochastic hybrid systems | 2021-07-15 | Paper |
| Short-Term At-the-Money Asymptotics under Stochastic Volatility Models | 2019-07-10 | Paper |
| Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations | 2019-06-14 | Paper |
| Short-time at-the-money skew and rough fractional volatility | 2018-11-19 | Paper |
| Local asymptotic normality property for fractional Gaussian noise under high-frequency observations | 2018-10-24 | Paper |
| Equilibrium returns with transaction costs | 2018-07-16 | Paper |
| Perfect hedging under endogenous permanent market impacts | 2018-04-06 | Paper |
| The microstructural foundations of leverage effect and rough volatility | 2018-04-06 | Paper |
| Asymptotic replication with modified volatility under small transaction costs | 2016-05-23 | Paper |
| Optimal discretization of hedging strategies with directional views | 2016-03-31 | Paper |
| Asymptotic analysis for stochastic volatility: martingale expansion | 2014-12-18 | Paper |
| Efficient discretization of stochastic integrals | 2014-11-14 | Paper |
| Efficient price dynamics in a limit order market: an utility indifference approach | 2014-10-29 | Paper |
| Convex risk measures for good deal bounds | 2014-08-11 | Paper |
| Limit theorems for random walks under irregular conductance | 2014-05-02 | Paper |
| VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE | 2014-04-25 | Paper |
| THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE | 2013-05-14 | Paper |
| Central limit theorems for realized volatility under hitting times of an irregular grid | 2012-10-26 | Paper |
| Asymptotically Efficient Discrete Hedging | 2012-09-07 | Paper |
| Discretization error of stochastic integrals | 2011-10-12 | Paper |
| Asymptotic analysis for stochastic volatility: Edgeworth expansion | 2011-09-09 | Paper |
| Central limit theorem for the realized volatility based on tick time sampling | 2011-04-06 | Paper |
| Conservative delta hedging under transaction costs | 2011-03-10 | Paper |
| Normalization for Implied Volatility | 2010-08-30 | Paper |
| Realized volatility with stochastic sampling | 2010-07-08 | Paper |
| Edgeworth expansion for ergodic diffusions | 2008-10-16 | Paper |
