| Publication | Date of Publication | Type |
|---|
Partially egalitarian portfolio selection
Operations Research Letters | 2024-06-17 | Paper |
Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
Stochastic Models | 2020-04-22 | Paper |
Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
Advances in Applied Probability | 2019-09-16 | Paper |
Long-Term Risk: A Martingale Approach
Econometrica | 2019-01-31 | Paper |
Long-term factorization in Heath-Jarrow-Morton models
Finance and Stochastics | 2018-07-16 | Paper |
Long-term factorization of affine pricing kernels
Mathematics and Financial Economics | 2017-12-29 | Paper |
Multivariate subordination of Markov processes with financial applications
Mathematical Finance | 2016-11-01 | Paper |
Evaluating callable and putable bonds: an eigenfunction expansion approach
Journal of Economic Dynamics and Control | 2016-10-06 | Paper |
Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
Operations Research | 2016-05-13 | Paper |
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
Finance and Stochastics | 2015-11-09 | Paper |
Pricing equity default swaps under the jump-to-default extended CEV model
Finance and Stochastics | 2014-12-17 | Paper |
Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Mathematical Finance | 2014-05-14 | Paper |
Time-changed CIR default intensities with two-sided mean-reverting jumps
The Annals of Applied Probability | 2014-05-05 | Paper |
Optimal stopping in infinite horizon: an eigenfunction expansion approach
Statistics \& Probability Letters | 2014-04-17 | Paper |
Optimal stopping and early exercise: an eigenfunction expansion approach
Operations Research | 2013-09-05 | Paper |
Pricing and Hedging Path-Dependent Options Under the CEV Process
Management Science | 2012-02-19 | Paper |
On the solution of complementarity problems arising in American options pricing
Optimization Methods \& Software | 2011-11-15 | Paper |
Time-changed Markov processes in unified credit-equity modeling
Mathematical Finance | 2010-10-15 | Paper |
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Finance and Stochastics | 2010-04-22 | Paper |
An Algorithm for Linear Complementarity and its Application in American Options Pricing
AIP Conference Proceedings | 2010-01-22 | Paper |
Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
Operations Research | 2009-08-13 | Paper |
Spectral Expansions for Asian (Average Price) Options
Operations Research | 2009-07-17 | Paper |
Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
Operations Research | 2009-07-05 | Paper |
PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
Mathematical Finance | 2008-08-21 | Paper |
INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL
Mathematical Finance | 2008-05-22 | Paper |
Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
Journal of Scientific Computing | 2008-01-04 | Paper |
A jump to default extended CEV model: an application of Bessel processes
Finance and Stochastics | 2006-12-08 | Paper |
PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
Mathematical Finance | 2006-09-25 | Paper |
On the transition densities for reflected diffusions
Advances in Applied Probability | 2005-09-29 | Paper |
Lookback options and diffusion hitting times: a spectral expansion approach
Finance and Stochastics | 2005-05-20 | Paper |
THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
International Journal of Theoretical and Applied Finance | 2005-02-28 | Paper |
The spectral representation of Bessel processes with constant drift: applications in queueing and finance
Journal of Applied Probability | 2004-09-24 | Paper |
Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
Mathematical Finance | 2004-05-27 | Paper |
Step options.
Mathematical Finance | 2001-11-26 | Paper |
The Valuation of Executive Stock Options in an Intensity-Based Framework *
European Finance Review | 2000-01-01 | Paper |
The path integral approach to financial modeling and options pricing
Computational Economics | 1998-05-26 | Paper |
