| Publication | Date of Publication | Type |
|---|
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
IMA Journal of Applied Mathematics | 2026-04-29 | Paper |
Generative-discriminative machine learning models for high-frequency financial regime classification
Methodology and Computing in Applied Probability | 2025-04-28 | Paper |
| Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms | 2021-06-09 | Paper |
Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
Quantitative Finance | 2020-12-07 | Paper |
Bayesian regularized artificial neural networks for the estimation of the probability of default
Quantitative Finance | 2020-09-14 | Paper |
Hilbert transform, spectral filters and option pricing
Annals of Operations Research | 2020-01-20 | Paper |
Hilbert transform, spectral filters and option pricing
Annals of Operations Research | 2020-01-20 | Paper |
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
European Journal of Operational Research | 2018-07-25 | Paper |
Full and fast calibration of the Heston stochastic volatility model
European Journal of Operational Research | 2018-02-06 | Paper |
Full and fast calibration of the Heston stochastic volatility model
European Journal of Operational Research | 2018-02-06 | Paper |
Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
European Journal of Operational Research | 2016-10-07 | Paper |
| Large scale simulation of synthetic markets | 2015-12-16 | Paper |
Random numbers from the tails of probability distributions using the transformation method
Fractional Calculus \ Applied Analysis | 2015-05-27 | Paper |
Pricing credit derivatives in a Wiener-Hopf framework
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
| Velocity and energy distributions in microcanonical ensembles of hard spheres | 2012-07-15 | Paper |
Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case
Communications in Nonlinear Science and Numerical Simulation | 2011-09-23 | Paper |
Efficiency of linked cell algorithms
Computer Physics Communications | 2011-05-25 | Paper |
Agent-based models of economic interactions
Mathematical Modeling of Collective Behavior in Socio-Economic and Life Sciences | 2011-03-25 | Paper |
| First-passage and first-exit times of a Bessel-like stochastic process | 2010-07-26 | Paper |
Relaxation in statistical many-agent economy models
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
Spectral densities of Wishart-Lévy free stable random matrices
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-22 | Paper |
The direct correlation function in nematic liquid crystals from computer simulation
Computer Physics Communications | 2002-09-12 | Paper |
