| Publication | Date of Publication | Type |
|---|
Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability
The Annals of Probability | 2025-01-24 | Paper |
When is the convex hull of a Lévy path smooth?
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2025-01-15 | Paper |
Joint density of the stable process and its supremum: regularity and upper bounds
Bernoulli | 2024-11-12 | Paper |
Optimal Markovian coupling for finite activity Lévy processes
Bernoulli | 2024-08-20 | Paper |
How smooth can the convex hull of a Lévy path be?
Electronic Journal of Probability | 2024-04-10 | Paper |
A Monte Carlo algorithm for the extrema of tempered stable processes
Advances in Applied Probability | 2024-02-20 | Paper |
Hölder continuity of the convex minorant of a Lévy process
Electronic Communications in Probability | 2024-01-17 | Paper |
Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2024-01-16 | Paper |
Asymptotic shape of the concave majorant of a Lévy process
Annales Henri Lebesgue | 2023-06-20 | Paper |
| Fast exact simulation of the first-passage event of a subordinator | 2023-06-12 | Paper |
| Brownian motion with asymptotically normal reflection in unbounded domains: from transience to stability | 2023-03-13 | Paper |
An algorithm for simulating Brownian increments on a sphere
Journal of Physics A: Mathematical and Theoretical | 2023-02-03 | Paper |
| A weak MLMC scheme for L\'evy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives | 2022-11-04 | Paper |
| Optimal Markovian coupling for finite activity L\'evy processes | 2022-10-20 | Paper |
Limit theorems for local times and applications to SDEs with jumps
Stochastic Processes and their Applications | 2022-10-07 | Paper |
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
Finance and Stochastics | 2022-09-26 | Paper |
| Convex minorants and the fluctuation theory of Lévy processes | 2022-08-02 | Paper |
Convex minorants and the fluctuation theory of Lévy processes
(available as arXiv preprint) | 2022-08-02 | Paper |
Geometrically convergent simulation of the extrema of Lévy processes
Mathematics of Operations Research | 2022-06-27 | Paper |
| When is the convex hull of a L\'evy path smooth? | 2022-05-28 | Paper |
Lévy processes on smooth manifolds with a connection
Electronic Journal of Probability | 2022-02-22 | Paper |
A Gaussian approximation theorem for Lévy processes
Statistics & Probability Letters | 2021-11-12 | Paper |
Reflecting random walks in curvilinear wedges
(available as arXiv preprint) | 2021-09-15 | Paper |
Monte Carlo estimation of the solution of fractional partial differential equations
Fractional Calculus \ Applied Analysis | 2021-04-23 | Paper |
Nonasymptotic bounds for sampling algorithms without log-concavity
The Annals of Applied Probability | 2021-03-18 | Paper |
Nonasymptotic bounds for sampling algorithms without log-concavity
The Annals of Applied Probability | 2021-03-18 | Paper |
\(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
Electronic Journal of Probability | 2020-09-29 | Paper |
\(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
Electronic Journal of Probability | 2020-09-29 | Paper |
A note on the exact simulation of spherical Brownian motion
Statistics & Probability Letters | 2020-09-01 | Paper |
| Joint density of a stable process and its supremum: regularity and upper bounds | 2020-08-04 | Paper |
Stability of overshoots of zero mean random walks
Electronic Journal of Probability | 2020-07-29 | Paper |
Stability of overshoots of zero mean random walks
Electronic Journal of Probability | 2020-07-29 | Paper |
| Martingale approach to control for general jump processes | 2019-12-31 | Paper |
Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
Advances in Applied Probability | 2019-12-09 | Paper |
Asymptotic variance for random walk Metropolis chains in high dimensions: logarithmic growth via the Poisson equation
Advances in Applied Probability | 2019-12-09 | Paper |
| Invariance principles for local times in regenerative settings | 2019-10-21 | Paper |
On the weak limit law of the maximal uniform \(k\)-spacing
Advances in Applied Probability | 2019-09-23 | Paper |
Anomalous recurrence properties of many-dimensional zero-drift random walks
Advances in Applied Probability | 2019-09-23 | Paper |
Anomalous recurrence properties of many-dimensional zero-drift random walks
Advances in Applied Probability | 2019-09-23 | Paper |
Invariance principle for non-homogeneous random walks
Electronic Journal of Probability | 2019-06-20 | Paper |
Invariance principle for non-homogeneous random walks
Electronic Journal of Probability | 2019-06-20 | Paper |
Procuring load curtailment from local customers under uncertainty
Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2018-12-13 | Paper |
Large deviations for the extended Heston model: the large-time case
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
A radial invariance principle for non-homogeneous random walks
Electronic Communications in Probability | 2018-10-24 | Paper |
A radial invariance principle for non-homogeneous random walks
Electronic Communications in Probability | 2018-10-24 | Paper |
Projections of spherical Brownian motion
Electronic Communications in Probability | 2018-10-24 | Paper |
Projections of spherical Brownian motion
Electronic Communications in Probability | 2018-10-24 | Paper |
| Stationary entrance Markov chains, inducing, and level-crossings of random walks | 2018-08-15 | Paper |
Exact Simulation of the Extrema of Stable Processes
(available as arXiv preprint) | 2018-06-05 | Paper |
On the Poisson equation for Metropolis-Hastings chains
Bernoulli | 2018-02-15 | Paper |
On the Poisson equation for Metropolis-Hastings chains
Bernoulli | 2018-02-15 | Paper |
| Coupling and a generalised Policy Iteration Algorithm in continuous time | 2017-07-25 | Paper |
On the policy improvement algorithm in continuous time
Stochastics | 2017-04-11 | Paper |
Joint asymptotic distribution of certain path functionals of the reflected process
Electronic Communications in Probability | 2016-08-22 | Paper |
Joint asymptotic distribution of certain path functionals of the reflected process
Electronic Communications in Probability | 2016-08-22 | Paper |
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
Journal of Applied Probability | 2016-03-11 | Paper |
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
Journal of Applied Probability | 2016-03-11 | Paper |
A new look at short-term implied volatility in asset price models with jumps
Mathematical Finance | 2016-02-22 | Paper |
On the loss of the semimartingale property at the hitting time of a level
Journal of Theoretical Probability | 2015-12-07 | Paper |
Markov chain approximations to scale functions of Lévy processes
Stochastic Processes and their Applications | 2015-08-21 | Paper |
Markov chain approximations to scale functions of Lévy processes
Stochastic Processes and their Applications | 2015-08-21 | Paper |
Coupling and tracking of regime-switching martingales
Electronic Journal of Probability | 2015-08-07 | Paper |
An integral equation for Root's barrier and the generation of Brownian increments
The Annals of Applied Probability | 2015-07-27 | Paper |
An integral equation for Root's barrier and the generation of Brownian increments
The Annals of Applied Probability | 2015-07-27 | Paper |
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Asymptotic independence of three statistics of maximal segmental scores
Statistics & Probability Letters | 2015-05-18 | Paper |
A note on essential smoothness in the Heston model
Finance and Stochastics | 2014-12-18 | Paper |
A note on delta hedging in markets with jumps
IMA Journal of Applied Mathematics | 2014-05-30 | Paper |
Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models
Stochastics | 2014-04-25 | Paper |
Markov chain approximations for transition densities of Lévy processes
Electronic Journal of Probability | 2014-02-14 | Paper |
Mirror and synchronous couplings of geometric Brownian motions
Stochastic Processes and their Applications | 2014-02-07 | Paper |
On additive time-changes of Feller processes
Progress in Analysis and Its Applications | 2013-05-14 | Paper |
Continuously monitored barrier options under Markov processes
Mathematical Finance | 2013-02-28 | Paper |
Correction note for ``The large-maturity smile for the Heston model
Finance and Stochastics | 2013-02-07 | Paper |
Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
Finance and Stochastics | 2012-11-15 | Paper |
On the drawdown of completely asymmetric Lévy processes
Stochastic Processes and their Applications | 2012-10-10 | Paper |
Martingale property of generalized stochastic exponentials
Lecture Notes in Mathematics | 2012-08-29 | Paper |
On the limit distributions of continuous-state branching processes with immigration
Stochastic Processes and their Applications | 2012-06-19 | Paper |
On the martingale property of certain local martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-03-01 | Paper |
Volatility derivatives in market models with jumps
International Journal of Theoretical and Applied Finance | 2011-12-28 | Paper |
A note on a paper by Wong and Heyde
Journal of Applied Probability | 2011-10-25 | Paper |
Exotic derivatives under stochastic volatility models with jumps
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Asymptotic formulae for implied volatility in the Heston model
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2011-05-06 | Paper |
Local time and the pricing of path-dependent options
Finance and Stochastics | 2011-04-06 | Paper |
Approximating Lévy processes with a view to option pricing
International Journal of Theoretical and Applied Finance | 2010-05-19 | Paper |
Globally optimal parameter estimates for nonlinear diffusions
The Annals of Statistics | 2010-02-19 | Paper |
A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
International Journal of Theoretical and Applied Finance | 2009-11-27 | Paper |
Spectral methods for volatility derivatives
Quantitative Finance | 2009-10-16 | Paper |
| Local time and the pricing of time-dependent barrier options | 2008-09-10 | Paper |
Spectral properties of trinomial trees
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2008-02-08 | Paper |
Triangulations of fibre-free Haken 3-manifolds
Pacific Journal of Mathematics | 2006-03-10 | Paper |
Simplical structures of knot complements
Mathematical Research Letters | 2006-01-24 | Paper |
Triangulations of Seifert fibred manifolds
Mathematische Annalen | 2005-02-09 | Paper |
Simplifying triangulations of \(S^3\).
Pacific Journal of Mathematics | 2004-09-16 | Paper |
Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function
(available as arXiv preprint) | N/A | Paper |
Superdiffusive limits for Bessel-driven stochastic kinetics
(available as arXiv preprint) | N/A | Paper |
Stationary entrance chains and applications to random walks
(available as arXiv preprint) | N/A | Paper |
Subexponential lower bounds for $f$-ergodic Markov processes
(available as arXiv preprint) | N/A | Paper |
