| Publication | Date of Publication | Type |
|---|
| A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model | 2023-10-02 | Paper |
| Valuation of barrier and lookback options under hybrid CEV and stochastic volatility | 2023-06-28 | Paper |
| A stochastic-local volatility model with Lévy jumps for pricing derivatives | 2023-06-26 | Paper |
| Forecasting the elasticity of variance with LSTM recurrent neural networks | 2023-06-20 | Paper |
| A closed-form approximation formula for pricing European options under a three-factor model | 2022-11-22 | Paper |
| Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance | 2022-08-25 | Paper |
| Variance swaps under multiscale stochastic volatility of volatility | 2022-06-03 | Paper |
| ELS pricing and hedging in a fractional Brownian motion environment | 2022-04-21 | Paper |
| Fractional stochastic volatility correction to CEV implied volatility | 2021-12-01 | Paper |
| Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach | 2021-11-22 | Paper |
| Pricing generalized variance swaps under the Heston model with stochastic interest rates | 2021-03-06 | Paper |
| Stochastic elasticity of vol-of-vol and pricing of variance swaps | 2021-03-06 | Paper |
| Pricing of defaultable options with multiscale generalized Heston's stochastic volatility | 2021-03-01 | Paper |
| Pricing variance swaps under hybrid CEV and stochastic volatility | 2021-02-03 | Paper |
| Analytic solutions for variance swaps with double-mean-reverting volatility | 2019-06-28 | Paper |
| A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility | 2019-03-06 | Paper |
| Turbo warrants under hybrid stochastic and local volatility | 2019-02-14 | Paper |
| The Heston model with stochastic elasticity of variance | 2019-02-08 | Paper |
| Pricing arithmetic Asian options under hybrid stochastic and local volatility | 2019-02-01 | Paper |
| A scaled version of the double-mean-reverting model for VIX derivatives | 2018-09-05 | Paper |
| Equity-linked annuities with multiscale hybrid stochastic and local volatility | 2018-07-11 | Paper |
| A multiscale extension of the Margrabe formula under stochastic volatility | 2018-02-01 | Paper |
| REFRACTION AND DIFFUSION OF ACOUSTIC WAVES IN A RANDOM FLUID MEDIUM | 2017-05-09 | Paper |
| A delayed stochastic volatility correction to the constant elasticity of variance model | 2017-03-23 | Paper |
| A closed form solution for vulnerable options with Heston's stochastic volatility | 2017-02-10 | Paper |
| Joint survival probability via truncated invariant copula | 2017-02-09 | Paper |
| Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model | 2017-01-10 | Paper |
| Investment timing under hybrid stochastic and local volatility | 2016-11-14 | Paper |
| Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models | 2016-02-18 | Paper |
| OPTIMAL PORTFOLIO SELECTION UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES | 2016-01-26 | Paper |
| Stochastic elasticity of variance with stochastic interest rates | 2015-11-12 | Paper |
| Pricing vulnerable options under a stochastic volatility model | 2015-06-22 | Paper |
| Oscillation of a time fractional partial differential equation | 2015-05-22 | Paper |
| Portfolio optimization for pension plans under hybrid stochastic and local volatility. | 2015-05-06 | Paper |
| A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options | 2015-03-31 | Paper |
| Multiscale analysis of a perpetual American option with the stochastic elasticity of variance | 2015-03-30 | Paper |
| A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion | 2014-11-03 | Paper |
| The pricing of vulnerable options with double Mellin transforms | 2014-10-31 | Paper |
| Portfolio optimization under the stochastic elasticity of variance | 2014-07-18 | Paper |
| A semi-analytic pricing formula for lookback options under a general stochastic volatility model | 2014-03-05 | Paper |
| Option pricing under hybrid stochastic and local volatility | 2014-02-20 | Paper |
| Default risk in interest rate derivatives with stochastic volatility | 2013-12-13 | Paper |
| Multiscale analysis on the pricing of intensity-based defaultable bonds | 2013-06-14 | Paper |
| Homotopy analysis method for option pricing under stochastic volatility | 2011-07-11 | Paper |
| Asymptotic option pricing under the CEV diffusion | 2011-01-07 | Paper |
| An optimal portfolio model with stochastic volatility and stochastic interest rate | 2011-01-07 | Paper |
| Pricing the credit default swap rate for jump diffusion default intensity processes | 2010-12-15 | Paper |
| Controllability of a Reaction-Diffusion System Describing Predator–Prey Model | 2010-11-19 | Paper |
| Sample controllability of nonlinear stochastic integrodifferential systems | 2010-10-11 | Paper |
| Stability of diffusion coefficients in an inverse problem for the Lotka-Volterra competition system | 2010-07-24 | Paper |
| Erratum to: Stability of diffusion coefficients in an inverse problem for the Lotka-Volterra competition system | 2010-07-24 | Paper |
| Matching asymptotics in path-dependent option pricing | 2010-05-10 | Paper |
| Existence of solutions of nonlinear stochastic Volterra Fredholm integral equations of mixed type | 2010-04-20 | Paper |
| Reconstruction of two time independent coefficients in an inverse problem for a phase field system | 2010-02-12 | Paper |
| Exact null controllability of a semilinear parabolic equation arising in finance | 2009-11-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3639850 | 2009-10-26 | Paper |
| Inverse problems for the phase field system with one observation | 2009-07-27 | Paper |
| On controllability of second order nonlinear impulsive differential systems | 2009-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5505208 | 2009-01-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3527106 | 2008-09-25 | Paper |
| Controllability of neutral functional evolution integrodifferential systems with infinite delay | 2008-07-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3504937 | 2008-06-18 | Paper |
| Nonlocal Cauchy problem for second order integrodifferential evolution equations in Banach spaces | 2008-04-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5446383 | 2008-03-06 | Paper |
| Approximate controllability of nonlinear impulsive differential systems | 2008-02-25 | Paper |
| On controllability of nonlinear stochastic systems | 2007-10-19 | Paper |
| On solutions of general nonlinear stochastic integral equations | 2007-09-10 | Paper |
| Remarks on the paper ``Controllability of second order differential inclusion in Banach spaces by J. R. Kang, Y. C. Kwun, J. Y. Park. | 2006-12-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374226 | 2006-03-09 | Paper |
| Existence and controllability result for semilinear evolution integrodifferential systems | 2006-02-06 | Paper |
| A NOTE ON SCATTERING OPERATOR SYMBOLS FOR ELLIPTIC WAVE PROPAGATION | 2005-12-12 | Paper |
| Asymptotic theory of noncentered mixing stochastic differential equations | 2005-08-05 | Paper |
| Existence of solutions of nonlinear abstract neutral integrodifferential equations | 2005-06-01 | Paper |
| Existence of mild solutions of second-order neutral functional differential inclusions with nonlocal conditions in Banach spaces | 2005-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4454952 | 2004-03-08 | Paper |
| An Asymptotic Diffusion Limit for Electromagnetic Wave Reflection from a Random Medium | 2000-10-18 | Paper |
| Reflected pulses from a refractive random medium at grazing incidence | 1999-09-12 | Paper |
| An asymptotic limit law with a singularly perturbed drift and a random noise | 1998-03-02 | Paper |
| Stochastic Turning Point Problem in a One-Dimensional Refractive Random Multilayer | 1997-06-08 | Paper |
| A uniform diffusion limit for random wave propagation with turning point | 1997-05-21 | Paper |
