| Publication | Date of Publication | Type |
|---|
Optimal times to buy and sell a home
International Journal of Theoretical and Applied Finance | 2024-04-24 | Paper |
Short Communication: A Primer on Perpetuals
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
Options on bonds: implied volatilities from affine short-rate dynamics
Annals of Finance | 2022-06-13 | Paper |
Bond indifference prices
Quantitative Finance | 2021-12-01 | Paper |
Optimal bookmaking
European Journal of Operational Research | 2021-11-05 | Paper |
Optimal trading with differing trade signals
Applied Mathematical Finance | 2021-06-17 | Paper |
The implied Sharpe ratio
Quantitative Finance | 2020-12-07 | Paper |
The implied Sharpe ratio
Quantitative Finance | 2020-12-07 | Paper |
Pricing approximations and error estimates for local Lévy-type models with default
Computers & Mathematics with Applications | 2020-10-08 | Paper |
On Carr and Lee's correlation immunization strategy
Applied Mathematical Finance | 2019-06-18 | Paper |
A mathematical analysis of technical analysis
Applied Mathematical Finance | 2019-06-03 | Paper |
Optimal liquidation under stochastic price impact
International Journal of Theoretical and Applied Finance | 2019-04-18 | Paper |
Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Optimal static quadratic hedging
Quantitative Finance | 2018-11-14 | Paper |
Multiscale exponential Lévy-type models
Quantitative Finance | 2018-09-19 | Paper |
Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Indifference prices and implied volatilities
Mathematical Finance | 2018-04-13 | Paper |
Leveraged ETF implied volatilities from ETF dynamics
Mathematical Finance | 2017-10-24 | Paper |
Explicit implied volatilities for multifactor local-stochastic volatility models
Mathematical Finance | 2017-07-21 | Paper |
Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
SIAM Journal on Financial Mathematics | 2017-02-16 | Paper |
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Finance and Stochastics | 2016-09-07 | Paper |
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio
SIAM Journal on Financial Mathematics | 2016-08-17 | Paper |
Variance swaps on defaultable assets and market implied time-changes
SIAM Journal on Financial Mathematics | 2016-06-15 | Paper |
From characteristic functions to implied volatility expansions
Advances in Applied Probability | 2015-11-06 | Paper |
Analytical expansions for parabolic equations
SIAM Journal on Applied Mathematics | 2015-07-21 | Paper |
A family of density expansions for Lévy-type processes
The Annals of Applied Probability | 2015-02-26 | Paper |
A family of density expansions for Lévy-type processes
The Annals of Applied Probability | 2015-02-26 | Paper |
Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
Mathematical Finance | 2014-05-14 | Paper |
The exact smile of certain local volatility models
Quantitative Finance | 2014-02-20 | Paper |
The smile of certain Lévy-type models
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Time-changed fast mean-reverting stochastic volatility models
International Journal of Theoretical and Applied Finance | 2012-03-13 | Paper |
A fast mean-reverting correction to Heston's stochastic volatility model
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
