| Publication | Date of Publication | Type |
|---|
STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL
International Journal of Theoretical and Applied Finance | 2024-01-23 | Paper |
Strain-minimizing hyperbolic network embeddings with landmarks
Journal of Complex Networks | 2023-03-10 | Paper |
| W-shaped implied volatility curves in a variance-gamma mixture model | 2022-09-29 | Paper |
| Bartlett's Delta revisited: Variance-optimal hedging in the lognormal SABR and in the rough Bergomi model | 2022-07-27 | Paper |
The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
Hydra: a method for strain-minimizing hyperbolic embedding of network- and distance-based data
Journal of Complex Networks | 2021-09-15 | Paper |
Forward invariance and Wong-Zakai approximation for stochastic moving boundary problems
Journal of Evolution Equations | 2020-09-07 | Paper |
Semistatic and sparse variance-optimal hedging
Mathematical Finance | 2020-05-14 | Paper |
Distance multivariance: new dependence measures for random vectors
The Annals of Statistics | 2019-10-09 | Paper |
Distance multivariance: new dependence measures for random vectors
The Annals of Statistics | 2019-10-09 | Paper |
Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
Journal of Applied Probability | 2019-10-07 | Paper |
Affine forward variance models
Finance and Stochastics | 2019-06-27 | Paper |
Detecting independence of random vectors: generalized distance covariance and Gaussian covariance
Modern Stochastics. Theory and Applications | 2019-05-17 | Paper |
Hydra: a method for strain-minimizing hyperbolic embedding of network- and distance-based data
Journal of Complex Networks | 2019-03-21 | Paper |
| Affine Rough Models | 2018-12-20 | Paper |
A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Geometric Asian option pricing in general affine stochastic volatility models with jumps
Quantitative Finance | 2018-11-19 | Paper |
Implied volatility in strict local martingale models
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Finance and Stochastics | 2018-04-06 | Paper |
A Stefan-type stochastic moving boundary problem
Stochastic and Partial Differential Equations. Analysis and Computations | 2018-02-02 | Paper |
Semi-Static and Sparse Variance-Optimal Hedging
(available as arXiv preprint) | 2017-09-16 | Paper |
Affine processes on symmetric cones
Journal of Theoretical Probability | 2016-06-27 | Paper |
Simple examples of pure-jump strict local martingales
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Exponential moments of affine processes
The Annals of Applied Probability | 2015-04-27 | Paper |
Exponential moments of affine processes
The Annals of Applied Probability | 2015-04-27 | Paper |
Convex order of discrete, continuous, and predictable quadratic variation and applications to options on variance
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Stochastics | 2014-04-25 | Paper |
Regularity of affine processes on general state spaces
Electronic Journal of Probability | 2014-01-17 | Paper |
The affine LIBOR models
Mathematical Finance | 2013-10-11 | Paper |
Asymptotic and exact pricing of options on variance
Finance and Stochastics | 2013-02-07 | Paper |
Polynomial processes and their applications to mathematical finance
Finance and Stochastics | 2012-12-07 | Paper |
Polynomial processes and their applications to mathematical finance
Finance and Stochastics | 2012-12-07 | Paper |
On the limit distributions of continuous-state branching processes with immigration
Stochastic Processes and their Applications | 2012-06-19 | Paper |
Affine processes are regular
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Affine processes are regular
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
Moment explosions and long-term behavior of affine stochastic volatility models
Mathematical Finance | 2011-02-02 | Paper |
On convexity of solutions of ordinary differential equations
Journal of Mathematical Analysis and Applications | 2010-05-19 | Paper |
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Finance and Stochastics | 2008-06-18 | Paper |
