| Publication | Date of Publication | Type |
|---|
On the Combination of Naive and Mean-Variance Portfolio Strategies
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Affine term structure models: A time‐change approach with perfect fit to market curves
Mathematical Finance | 2023-09-28 | Paper |
Portfolio selection: a target-distribution approach
European Journal of Operational Research | 2023-07-11 | Paper |
Asymmetric short-rate model without lower bound
Quantitative Finance | 2023-06-20 | Paper |
Optimal portfolio diversification via independent component analysis
Operations Research | 2022-02-18 | Paper |
Minimum Rényi entropy portfolios
Annals of Operations Research | 2021-11-08 | Paper |
SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
Stochastic Processes and their Applications | 2020-05-26 | Paper |
Piecewise constant martingales and lazy clocks
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
A subordinated CIR intensity model with application to wrong-way risk CVA
International Journal of Theoretical and Applied Finance | 2018-11-23 | Paper |
On the Risk of Using RÉnyi's Entropy for Blind Source Separation
IEEE Transactions on Signal Processing | 2018-06-27 | Paper |
Conic martingales from stochastic integrals
Mathematical Finance | 2018-05-25 | Paper |
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
European Journal of Operational Research | 2018-05-17 | Paper |
Closed form expression of the multivariate standard Normal distribution under a weighted sum constraint
| 2018-01-19 | Paper |
WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
International Journal of Theoretical and Applied Finance | 2017-11-29 | Paper |
An antithetic approach of multilevel Richardson-Romberg extrapolation estimator for multidimensional SDEs
Lecture Notes in Computer Science | 2017-07-07 | Paper |
Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes
Statistics \& Probability Letters | 2016-06-24 | Paper |
SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions
| 2016-06-05 | Paper |
Sibuya copulas
Journal of Multivariate Analysis | 2013-01-16 | Paper |
Is the General Form of Renyi’s Entropy a Contrast for Source Separation?
Independent Component Analysis and Signal Separation | 2009-03-05 | Paper |
Mixing and Non-Mixing Local Minima of the Entropy Contrast for Blind Source Separation
IEEE Transactions on Information Theory | 2008-12-21 | Paper |
On the entropy minimization of a linear mixture of variables for source separation
Signal Processing | 2008-11-25 | Paper |
Independent Component Analysis and Blind Signal Separation
Lecture Notes in Computer Science | 2007-02-12 | Paper |
Independent Component Analysis and Blind Signal Separation
Lecture Notes in Computer Science | 2007-02-12 | Paper |
Independent Component Analysis and Blind Signal Separation
Lecture Notes in Computer Science | 2007-02-12 | Paper |
