| Publication | Date of Publication | Type |
|---|
A general framework for a joint calibration of VIX and VXX options
Annals of Operations Research | 2024-06-04 | Paper |
| Novel exact solutions for PDEs with mixed boundary conditions | 2023-11-20 | Paper |
| From elephant to goldfish (and back): memory in stochastic Volterra processes | 2023-06-05 | Paper |
A fully quantization-based scheme for FBSDEs
Applied Mathematics and Computation | 2022-12-07 | Paper |
Calibration to FX triangles of the 4/2 model under the benchmark approach
Decisions in Economics and Finance | 2022-06-17 | Paper |
Long versus short time scales: the rough dilemma and beyond
Decisions in Economics and Finance | 2022-06-17 | Paper |
General closed-form basket option pricing bounds
Quantitative Finance | 2021-07-16 | Paper |
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Mathematics of Operations Research | 2021-06-03 | Paper |
A Fully Quantization-based Scheme for FBSDEs
(available as arXiv preprint) | 2021-05-07 | Paper |
VIX versus VXX: a joint analytical framework
International Journal of Theoretical and Applied Finance | 2021-01-29 | Paper |
A consistent stochastic model of the term structure of interest rates for multiple tenors
Journal of Economic Dynamics and Control | 2020-06-25 | Paper |
Lie symmetry methods for local volatility models
Stochastic Processes and their Applications | 2020-04-29 | Paper |
Quantization meets Fourier: a new technology for pricing options
Annals of Operations Research | 2020-01-20 | Paper |
Explosion time for some Laplace transforms of the Wishart process
Stochastic Models | 2019-05-15 | Paper |
Pricing via recursive quantization in stochastic volatility models
Quantitative Finance | 2018-11-19 | Paper |
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Operations Research Letters | 2018-09-28 | Paper |
THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
Mathematical Finance | 2017-10-24 | Paper |
The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Insurance Mathematics & Economics | 2016-12-14 | Paper |
A flexible matrix Libor model with smiles
Journal of Economic Dynamics and Control | 2016-10-05 | Paper |
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
Studies in Nonlinear Dynamics & Econometrics | 2016-01-19 | Paper |
Pricing range notes within Wishart affine models
Insurance Mathematics & Economics | 2015-01-28 | Paper |
An affine multicurrency model with stochastic volatility and stochastic interest rates
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
An affine multicurrency model with stochastic volatility and stochastic interest rates
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
The explicit Laplace transform for the Wishart process
Journal of Applied Probability | 2014-10-15 | Paper |
The explicit Laplace transform for the Wishart process
Journal of Applied Probability | 2014-10-15 | Paper |
Riding on the smiles
Quantitative Finance | 2013-12-13 | Paper |
Fair demographic risk sharing in defined contribution pension systems
Journal of Economic Dynamics and Control | 2012-07-13 | Paper |
Hedging (co)variance risk with variance swaps
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
A multifactor volatility Heston model
Quantitative Finance | 2008-11-18 | Paper |
Optimal design of the guarantee for defined contribution funds
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
SOLVABLE AFFINE TERM STRUCTURE MODELS
Mathematical Finance | 2008-05-22 | Paper |
Option pricing when correlations are stochastic: an analytical framework
Review of Derivatives Research | 2008-05-06 | Paper |
Stochastic Jacobian and Riccati ODE in affine term structure models
Decisions in Economics and Finance | 2008-03-14 | Paper |
Sup-convolutions of HARA utilities in the affine term structure
Decisions in Economics and Finance | 2006-03-09 | Paper |
A stability result for the HARA class with stochastic interest rates.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
Optimal investment strategies in the presence of a minimum guarantee.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Optimal investment strategies in a CIR framework
Journal of Applied Probability | 2002-07-18 | Paper |
Conditional dominance criteria: Definition and application to risk-management
Insurance Mathematics & Economics | 2000-05-08 | Paper |
