| Publication | Date of Publication | Type |
|---|
| How smooth can the convex hull of a Lévy path be? | 2024-04-10 | Paper |
| A Monte Carlo algorithm for the extrema of tempered stable processes | 2024-02-20 | Paper |
| Hölder continuity of the convex minorant of a Lévy process | 2024-01-17 | Paper |
| Reflecting Brownian motion in generalized parabolic domains: explosion and superdiffusivity | 2024-01-16 | Paper |
| Asymptotic shape of the concave majorant of a Lévy process | 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 | 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 | 2022-10-07 | Paper |
| Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation | 2022-09-26 | Paper |
| Convex minorants and the fluctuation theory of L\'evy processes | 2022-08-02 | Paper |
| Geometrically Convergent Simulation of the Extrema of Lévy Processes | 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 | 2022-02-22 | Paper |
| A Gaussian approximation theorem for Lévy processes | 2021-11-12 | Paper |
| Reflecting random walks in curvilinear wedges | 2021-09-15 | Paper |
| Monte Carlo estimation of the solution of fractional partial differential equations | 2021-04-23 | Paper |
| Nonasymptotic bounds for sampling algorithms without log-concavity | 2021-03-18 | Paper |
| \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders | 2020-09-29 | Paper |
| A note on the exact simulation of spherical Brownian motion | 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 | 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 | 2019-12-09 | Paper |
| Invariance principles for local times in regenerative settings | 2019-10-21 | Paper |
| Anomalous recurrence properties of many-dimensional zero-drift random walks | 2019-09-23 | Paper |
| On the weak limit law of the maximal uniform k-spacing | 2019-09-23 | Paper |
| Invariance principle for non-homogeneous random walks | 2019-06-20 | Paper |
| Procuring load curtailment from local customers under uncertainty | 2018-12-13 | Paper |
| Large deviations for the extended Heston model: the large-time case | 2018-12-03 | Paper |
| Projections of spherical Brownian motion | 2018-10-24 | Paper |
| A radial invariance principle for non-homogeneous random walks | 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 | 2018-06-05 | Paper |
| On the Poisson equation for Metropolis-Hastings chains | 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 | 2017-04-11 | Paper |
| Joint asymptotic distribution of certain path functionals of the reflected process | 2016-08-22 | Paper |
| Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications | 2016-03-11 | Paper |
| A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS | 2016-02-22 | Paper |
| On the loss of the semimartingale property at the hitting time of a level | 2015-12-07 | Paper |
| Markov chain approximations to scale functions of Lévy processes | 2015-08-21 | Paper |
| Coupling and tracking of regime-switching martingales | 2015-08-07 | Paper |
| An integral equation for Root's barrier and the generation of Brownian increments | 2015-07-27 | Paper |
| Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes | 2015-05-27 | Paper |
| Asymptotic independence of three statistics of maximal segmental scores | 2015-05-18 | Paper |
| A note on essential smoothness in the Heston model | 2014-12-18 | Paper |
| A note on delta hedging in markets with jumps | 2014-05-30 | Paper |
| Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models | 2014-04-25 | Paper |
| Markov chain approximations for transition densities of Lévy processes | 2014-02-14 | Paper |
| Mirror and synchronous couplings of geometric Brownian motions | 2014-02-07 | Paper |
| On additive time-changes of Feller processes | 2013-05-14 | Paper |
| CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES | 2013-02-28 | Paper |
| Correction note for ``The large-maturity smile for the Heston model | 2013-02-07 | Paper |
| Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models | 2012-11-15 | Paper |
| On the drawdown of completely asymmetric Lévy processes | 2012-10-10 | Paper |
| Martingale Property of Generalized Stochastic Exponentials | 2012-08-29 | Paper |
| On the limit distributions of continuous-state branching processes with immigration | 2012-06-19 | Paper |
| On the martingale property of certain local martingales | 2012-03-01 | Paper |
| VOLATILITY DERIVATIVES IN MARKET MODELS WITH JUMPS | 2011-12-28 | Paper |
| A Note on a Paper by Wong and Heyde | 2011-10-25 | Paper |
| Exotic Derivatives under Stochastic Volatility Models with Jumps | 2011-08-08 | Paper |
| Asymptotic formulae for implied volatility in the Heston model | 2011-05-06 | Paper |
| Local time and the pricing of path-dependent options | 2011-04-06 | Paper |
| APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING | 2010-05-19 | Paper |
| Globally optimal parameter estimates for nonlinear diffusions | 2010-02-19 | Paper |
| A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE | 2009-11-27 | Paper |
| Spectral methods for volatility derivatives | 2009-10-16 | Paper |
| Local time and the pricing of time-dependent barrier options | 2008-09-10 | Paper |
| Spectral properties of trinomial trees | 2008-02-08 | Paper |
| Triangulations of fibre-free Haken 3-manifolds | 2006-03-10 | Paper |
| Simplical structures of knot complements | 2006-01-24 | Paper |
| Triangulations of Seifert fibred manifolds | 2005-02-09 | Paper |
| Simplifying triangulations of \(S^3\). | 2004-09-16 | Paper |
