| Publication | Date of Publication | Type |
|---|
A Mellin transform approach to pricing barrier options under stochastic elasticity of variance
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Foreign exchange rate volatility smiles and smirks
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
A multiscale correction to the Black-Scholes formula
Applied Stochastic Models in Business and Industry | 2024-07-12 | Paper |
A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
Computational and Applied Mathematics | 2023-10-02 | Paper |
Valuation of barrier and lookback options under hybrid CEV and stochastic volatility
Mathematics and Computers in Simulation | 2023-06-28 | Paper |
A stochastic-local volatility model with Lévy jumps for pricing derivatives
Applied Mathematics and Computation | 2023-06-26 | Paper |
Forecasting the elasticity of variance with LSTM recurrent neural networks
International Journal of Computer Mathematics | 2023-06-20 | Paper |
A closed-form approximation formula for pricing European options under a three-factor model
Probability in the Engineering and Informational Sciences | 2022-11-22 | Paper |
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance
Computational and Applied Mathematics | 2022-08-25 | Paper |
Variance swaps under multiscale stochastic volatility of volatility
Methodology and Computing in Applied Probability | 2022-06-03 | Paper |
ELS pricing and hedging in a fractional Brownian motion environment
Chaos, Solitons and Fractals | 2022-04-21 | Paper |
Fractional stochastic volatility correction to CEV implied volatility
Quantitative Finance | 2021-12-01 | Paper |
Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach
Mathematics and Computers in Simulation | 2021-11-22 | Paper |
Pricing generalized variance swaps under the Heston model with stochastic interest rates
Mathematics and Computers in Simulation | 2021-03-06 | Paper |
Stochastic elasticity of vol-of-vol and pricing of variance swaps
Mathematics and Computers in Simulation | 2021-03-06 | Paper |
Pricing of defaultable options with multiscale generalized Heston's stochastic volatility
Mathematics and Computers in Simulation | 2021-03-01 | Paper |
Pricing variance swaps under hybrid CEV and stochastic volatility
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
Analytic solutions for variance swaps with double-mean-reverting volatility
Chaos, Solitons and Fractals | 2019-06-28 | Paper |
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Quantitative Finance | 2019-03-06 | Paper |
Turbo warrants under hybrid stochastic and local volatility
Abstract and Applied Analysis | 2019-02-14 | Paper |
The Heston model with stochastic elasticity of variance
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Pricing arithmetic Asian options under hybrid stochastic and local volatility
Journal of Applied Mathematics | 2019-02-01 | Paper |
A scaled version of the double-mean-reverting model for VIX derivatives
Mathematics and Financial Economics | 2018-09-05 | Paper |
Equity-linked annuities with multiscale hybrid stochastic and local volatility
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
A multiscale extension of the Margrabe formula under stochastic volatility
Chaos, Solitons and Fractals | 2018-02-01 | Paper |
Refraction and diffusion of acoustic waves in a random fluid medium
Journal of Computational Acoustics | 2017-05-09 | Paper |
A delayed stochastic volatility correction to the constant elasticity of variance model
Acta Mathematicae Applicatae Sinica. English Series | 2017-03-23 | Paper |
A closed form solution for vulnerable options with Heston's stochastic volatility
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
Joint survival probability via truncated invariant copula
Chaos, Solitons and Fractals | 2017-02-09 | Paper |
Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model
Stochastics and Dynamics | 2017-01-10 | Paper |
Investment timing under hybrid stochastic and local volatility
Chaos, Solitons and Fractals | 2016-11-14 | Paper |
Singularity of scattering and Dirichlet-to-Neumann operator symbols in elliptic wave propagation models
IMA Journal of Applied Mathematics | 2016-02-18 | Paper |
Optimal portfolio selection under stochastic volatility and stochastic interest rates
Journal of the Korea Society for Industrial and Applied Mathematics | 2016-01-26 | Paper |
Stochastic elasticity of variance with stochastic interest rates
Journal of the Korean Statistical Society | 2015-11-12 | Paper |
Pricing vulnerable options under a stochastic volatility model
Applied Mathematics Letters | 2015-06-22 | Paper |
Oscillation of a time fractional partial differential equation
Electronic Journal of Qualitative Theory of Differential Equations | 2015-05-22 | Paper |
Portfolio optimization for pension plans under hybrid stochastic and local volatility.
Applications of Mathematics | 2015-05-06 | Paper |
A closed-form analytic correction to the Black-Scholes-Merton price for perpetual American options
Applied Mathematics Letters | 2015-03-31 | Paper |
Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
Applied Mathematics Letters | 2015-03-30 | Paper |
A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion
Statistics & Probability Letters | 2014-11-03 | Paper |
The pricing of vulnerable options with double Mellin transforms
Journal of Mathematical Analysis and Applications | 2014-10-31 | Paper |
Portfolio optimization under the stochastic elasticity of variance
Stochastics and Dynamics | 2014-07-18 | Paper |
A semi-analytic pricing formula for lookback options under a general stochastic volatility model
Statistics & Probability Letters | 2014-03-05 | Paper |
Option pricing under hybrid stochastic and local volatility
Quantitative Finance | 2014-02-20 | Paper |
Default risk in interest rate derivatives with stochastic volatility
Quantitative Finance | 2013-12-13 | Paper |
Multiscale analysis on the pricing of intensity-based defaultable bonds
Journal of Applied Mathematics | 2013-06-14 | Paper |
Semi-active damping control of suspension systems for specified operational response mode
Journal of Sound and Vibration | 2012-05-03 | Paper |
Homotopy analysis method for option pricing under stochastic volatility
Applied Mathematics Letters | 2011-07-11 | Paper |
An optimal portfolio model with stochastic volatility and stochastic interest rate
Journal of Mathematical Analysis and Applications | 2011-01-07 | Paper |
Asymptotic option pricing under the CEV diffusion
Journal of Mathematical Analysis and Applications | 2011-01-07 | Paper |
Pricing the credit default swap rate for jump diffusion default intensity processes
Quantitative Finance | 2010-12-15 | Paper |
Controllability of a reaction-diffusion system describing predator-prey model
Numerical Functional Analysis and Optimization | 2010-11-19 | Paper |
Sample controllability of nonlinear stochastic integrodifferential systems
Nonlinear Analysis. Hybrid Systems | 2010-10-11 | Paper |
Stability of diffusion coefficients in an inverse problem for the Lotka-Volterra competition system
Acta Applicandae Mathematicae | 2010-07-24 | Paper |
Erratum to: Stability of diffusion coefficients in an inverse problem for the Lotka-Volterra competition system
Acta Applicandae Mathematicae | 2010-07-24 | Paper |
Matching asymptotics in path-dependent option pricing
Journal of Mathematical Analysis and Applications | 2010-05-10 | Paper |
Existence of solutions of nonlinear stochastic Volterra Fredholm integral equations of mixed type
International Journal of Mathematics and Mathematical Sciences | 2010-04-20 | Paper |
Reconstruction of two time independent coefficients in an inverse problem for a phase field system
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2010-02-12 | Paper |
Exact null controllability of a semilinear parabolic equation arising in finance
Nonlinear Analysis. Hybrid Systems | 2009-11-13 | Paper |
| scientific article; zbMATH DE number 5620944 (Why is no real title available?) | 2009-10-26 | Paper |
| scientific article; zbMATH DE number 5620944 (Why is no real title available?) | 2009-10-26 | Paper |
Inverse problems for the phase field system with one observation
Applicable Analysis | 2009-07-27 | Paper |
On controllability of second order nonlinear impulsive differential systems
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2009-06-09 | Paper |
| Existence results for nonlinear abstract neutral differential equations with time varying delays | 2009-01-26 | Paper |
| Existence results for nonlinear abstract neutral differential equations with time varying delays | 2009-01-26 | Paper |
| Complete controllability of stochastic integrodifferential systems | 2008-09-25 | Paper |
Controllability of neutral functional evolution integrodifferential systems with infinite delay
IMA Journal of Mathematical Control and Information | 2008-07-25 | Paper |
| On controllability of nonlinear impulsive integrodifferential systems | 2008-06-18 | Paper |
Nonlocal Cauchy problem for second order integrodifferential evolution equations in Banach spaces
Taiwanese Journal of Mathematics | 2008-04-03 | Paper |
| Controllability of semilinear stochastic integrodifferential systems | 2008-03-06 | Paper |
| Controllability of semilinear stochastic integrodifferential systems | 2008-03-06 | Paper |
Approximate controllability of nonlinear impulsive differential systems
Reports on Mathematical Physics | 2008-02-25 | Paper |
On controllability of nonlinear stochastic systems
Reports on Mathematical Physics | 2007-10-19 | Paper |
On solutions of general nonlinear stochastic integral equations
Journal of Applied Mathematics and Stochastic Analysis | 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.
Journal of Mathematical Analysis and Applications | 2006-12-07 | Paper |
| Existence of solutions of fuzzy neutral differential equations in Banach spaces | 2006-03-09 | Paper |
Existence and controllability result for semilinear evolution integrodifferential systems
Mathematical and Computer Modelling | 2006-02-06 | Paper |
A NOTE ON SCATTERING OPERATOR SYMBOLS FOR ELLIPTIC WAVE PROPAGATION
Communications of the Korean Mathematical Society | 2005-12-12 | Paper |
Asymptotic theory of noncentered mixing stochastic differential equations
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Existence of solutions of nonlinear abstract neutral integrodifferential equations
Computers & Mathematics with Applications | 2005-06-01 | Paper |
Existence of mild solutions of second-order neutral functional differential inclusions with nonlocal conditions in Banach spaces
International Journal of Mathematics and Mathematical Sciences | 2005-05-18 | Paper |
| scientific article; zbMATH DE number 2053397 (Why is no real title available?) | 2004-03-08 | Paper |
An Asymptotic Diffusion Limit for Electromagnetic Wave Reflection from a Random Medium
SIAM Journal on Applied Mathematics | 2000-10-18 | Paper |
Reflected pulses from a refractive random medium at grazing incidence
IMA Journal of Applied Mathematics | 1999-09-12 | Paper |
An asymptotic limit law with a singularly perturbed drift and a random noise
Journal of Mathematical Physics | 1998-03-02 | Paper |
Stochastic Turning Point Problem in a One-Dimensional Refractive Random Multilayer
SIAM Journal on Applied Mathematics | 1997-06-08 | Paper |
A uniform diffusion limit for random wave propagation with turning point
Journal of Mathematical Physics | 1997-05-21 | Paper |
