| Publication | Date of Publication | Type |
|---|
| Optimal asset allocation under search frictions and stochastic interest rate | 2023-08-02 | Paper |
| An integral equation approach for pricing American put options under regime-switching model | 2023-07-25 | Paper |
| On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures | 2023-02-08 | Paper |
| Continuous time mean–variance–utility portfolio problem and its equilibrium strategy | 2022-12-01 | Paper |
| A closed-form pricing formula for catastrophe equity options | 2022-11-22 | Paper |
| An exact and explicit formula for pricing lookback options with regime switching | 2022-10-10 | Paper |
| VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH | 2022-09-22 | Paper |
| AN EMPIRICAL ANALYSIS OF OPTION PRICING WITH SHORT SELL BANS | 2022-07-13 | Paper |
| Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility | 2021-11-16 | Paper |
| Optimal exercise of American puts with transaction costs under utility maximization | 2021-11-16 | Paper |
| Pricing resettable convertible bonds using an integral equation approach | 2021-07-13 | Paper |
| A new algorithm for calibrating local regime-switching models | 2021-07-13 | Paper |
| A revised option pricing formula with the underlying being banned from short selling | 2020-12-07 | Paper |
| Analytically pricing double barrier options based on a time-fractional Black-Scholes equation | 2020-10-12 | Paper |
| An alternative form used to calibrate the Heston option pricing model | 2020-10-12 | Paper |
| Stock loan valuation under a stochastic interest rate model | 2020-10-11 | Paper |
| An integral equation approach for the valuation of American-style down-and-out calls with rebates | 2020-10-11 | Paper |
| Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme | 2020-10-07 | Paper |
| A new simple tree approach for the Heston's stochastic volatility model | 2020-10-05 | Paper |
| A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate | 2020-10-01 | Paper |
| A numerical study of the utility-indifference approach for pricing American options | 2020-09-07 | Paper |
| A note on the calculation of default probabilities in ``Structural credit risk modeling with Hawkes jump-diffusion processes | 2020-08-28 | Paper |
| Pricing weather derivatives with the market price of risk extracted from the utility indifference valuation | 2020-08-17 | Paper |
| Robust portfolio optimization with multi-factor stochastic volatility | 2020-07-14 | Paper |
| Optimal portfolio execution problem with stochastic price impact | 2020-01-20 | Paper |
| Pricing European call options under a hard-to-borrow stock model | 2019-11-29 | Paper |
| Optimal investment and consumption under a continuous-time cointegration model with exponential utility | 2019-09-26 | Paper |
| An accurate approximation formula for pricing European options with discrete dividend payments | 2019-09-25 | Paper |
| An alternative form to calibrate the correlated Stein-Stein option pricing model | 2019-09-04 | Paper |
| Dynamic portfolio choice with return predictability and transaction costs | 2019-06-27 | Paper |
| Pricing puttable convertible bonds with integral equation approaches | 2019-06-27 | Paper |
| VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING | 2019-06-24 | Paper |
| An analytic formula for pricing American-style convertible bonds in a regime switching model | 2019-06-18 | Paper |
| Pricing American-style Parisian down-and-out call options | 2019-03-28 | Paper |
| Optimal execution with regime-switching market resilience | 2019-03-27 | Paper |
| A modified Black-Scholes pricing formula for European options with bounded underlying prices | 2019-03-25 | Paper |
| A new integral equation formulation for American put options | 2018-11-14 | Paper |
| An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching | 2018-08-10 | Paper |
| How should a local regime-switching model be calibrated? | 2018-08-09 | Paper |
| Equal risk pricing under convex trading constraints | 2018-08-09 | Paper |
| Pricing American-style Parisian up-and-out call options | 2018-07-13 | Paper |
| Pricing American call options under a hard-to-borrow stock model | 2018-07-13 | Paper |
| Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates | 2018-05-17 | Paper |
| A closed-form pricing formula for European options under the Heston model with stochastic interest rate | 2018-04-16 | Paper |
| PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES | 2018-03-29 | Paper |
| AN APPROPRIATE APPROACH TO PRICING EUROPEAN-STYLE OPTIONS WITH THE ADOMIAN DECOMPOSITION METHOD | 2018-03-14 | Paper |
| Pricing European options with stochastic volatility under the minimal entropy martingale measure | 2017-11-24 | Paper |
| AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS | 2017-10-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5354450 | 2017-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3180093 | 2017-01-06 | Paper |
| Pricing Parisian and Parasian options analytically | 2016-10-05 | Paper |
| An inverse finite element method for pricing American options | 2016-09-22 | Paper |
| Pricing forward-start variance swaps with stochastic volatility | 2016-01-04 | Paper |
| A predictor-corrector approach for pricing American options under the finite moment log-stable model | 2015-09-07 | Paper |
| Analytically pricing volatility swaps under stochastic volatility | 2015-06-22 | Paper |
| Pricing Parisian down-and-in options | 2015-05-15 | Paper |
| An explicit analytic formula for pricing barrier options with regime switching | 2015-03-24 | Paper |
| A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL | 2014-11-12 | Paper |
| Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative | 2014-09-19 | Paper |
| A simple approximation formula for calculating the optimal exercise boundary of American puts | 2014-07-15 | Paper |
| On the valuation of variance swaps with stochastic volatility | 2014-07-04 | Paper |
| A new exact solution for pricing European options in a two-state regime-switching economy | 2013-07-25 | Paper |
| Pricing VIX options with stochastic volatility and random jumps | 2013-07-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4923492 | 2013-05-24 | Paper |
| How should a convertible bond be decomposed? | 2013-02-25 | Paper |
| Pricing perpetual American puts under multi-scale stochastic volatility | 2012-12-03 | Paper |
| A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility | 2012-10-17 | Paper |
| SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? | 2012-03-13 | Paper |
| Diffraction of ocean waves around a hollow cylindrical shell structure | 2012-02-11 | Paper |
| A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility | 2011-12-18 | Paper |
| An explicit series approximation to the optimal exercise boundary of American put options | 2011-09-23 | Paper |
| Pricing perpetual American options under a stochastic-volatility model with fast mean reversion | 2011-07-11 | Paper |
| A spectral-collocation method for pricing perpetual American puts with stochastic volatility | 2011-06-27 | Paper |
| Combined diffraction and radiation of ocean waves around an OWC device | 2011-06-22 | Paper |
| A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY | 2011-03-25 | Paper |
| A new predictor-corrector scheme for valuing American puts | 2011-02-02 | Paper |
| OPTIMAL EXERCISE PRICE OF AMERICAN OPTIONS NEAR EXPIRY | 2010-11-24 | Paper |
| A numerical model for multiphase flow based on the GMPPS formulation. I: Kinematics | 2010-09-16 | Paper |
| A new analytical approximation for European puts with stochastic volatility | 2010-05-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3551798 | 2010-04-16 | Paper |
| An analytical solution for long wave refraction over a circular hump | 2009-10-23 | Paper |
| A perturbation DRBEM model for weakly nonlinear wave run-ups around islands | 2009-03-16 | Paper |
| CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA | 2008-05-28 | Paper |
| On the improvement of a numerical method for solving high‐order non‐linear ordinary differential equations | 2008-03-27 | Paper |
| A comparative study of the direct boundary element method and the dual reciprocity boundary element method in solving the Helmholtz equation | 2008-03-06 | Paper |
| On nonlinear transient free-surface flows over a bottom obstruction | 2007-08-15 | Paper |
| A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield | 2007-03-20 | Paper |
| A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS | 2007-02-08 | Paper |
| An exact and explicit solution for the valuation of American put options | 2006-08-21 | Paper |
| A flat ship theory on bow and stern flows | 2004-05-18 | Paper |
| A new numerical approach for solving high-order non-linear ordinary differential equations | 2003-08-28 | Paper |
| The dual reciprocity boundary element method for magnetohydrodynamic channel flows | 2003-08-28 | Paper |
| A third-order Boussinesq model applied to nonlinear evolution of shallow-water waves | 2002-09-11 | Paper |
| Modelling the confinement of spilled oil with floating booms | 2002-05-15 | Paper |
| A general DRBEM model for wave refraction and diffraction | 2002-03-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2738667 | 2002-03-10 | Paper |
| Solving transient diffusion problems: Time-dependent fundamental solution approaches versus LTDRM approaches | 2002-02-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4945298 | 2000-08-21 | Paper |
| A combination of LTDRM and ATPS in solving diffusion problems | 2000-08-09 | Paper |
| Scattering of long waves around a circular island mounted on a conical shoal | 1999-09-29 | Paper |
| On the application of multiquadric bases in conjunction with the LTDRM method to solve nonlinear diffusion equations | 1999-06-29 | Paper |
| Subcritical, transcritical and supercritical flows over a step | 1999-05-25 | Paper |
| Resonant transcritical flow over a wavy bed | 1999-04-26 | Paper |
| An application of the LTDRM to transient diffusion problems with nonlinear material properties and nonlinear boundary conditions | 1999-02-18 | Paper |
| A comparison study of nonlinear waves generated behind a semicircular trench | 1997-11-04 | Paper |
| Open channel flow past a bottom obstruction | 1997-08-21 | Paper |
| An efficient numerical calculation of wave loads on an array of vertical cylinders | 1997-01-27 | Paper |
| Computer-simulated current responses to cyclones on the North West Shelf of Australia | 1996-12-11 | Paper |
| An efficient computational method for modelling transient heat conduction with nonlinear source terms | 1996-11-25 | Paper |
| A DRBEM model for microwave heating problems | 1996-04-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868439 | 1996-04-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4316111 | 1995-09-17 | Paper |
| A three-dimensional numerical model of the response of the Australian North West Shelf to tropical cyclones | 1995-07-25 | Paper |
| New solutions for the propagation of long water waves over variable depth | 1995-05-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4316119 | 1994-12-14 | Paper |
| Improvement on dual reciprocity boundary element method for equations with convective terms | 1994-09-22 | Paper |
| Stationary Binnie waves near resonance | 1992-12-16 | Paper |
