| Publication | Date of Publication | Type |
|---|
Old and new approaches to LIBOR modeling
Statistica Neerlandica | 2024-07-16 | Paper |
Stability of backward stochastic differential equations: the general Lipschitz case
Electronic Journal of Probability | 2023-07-04 | Paper |
Detection of arbitrage opportunities in multi-asset derivatives markets
Dependence Modeling | 2022-03-01 | Paper |
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
SIAM Journal on Control and Optimization | 2022-03-01 | Paper |
An equilibrium model for spot and forward prices of commodities
Mathematics of Operations Research | 2020-03-11 | Paper |
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Stability results for martingale representations: the general case
Transactions of the American Mathematical Society | 2019-10-24 | Paper |
Model-free bounds on value-at-risk using extreme value information and statistical distances
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Existence and uniqueness results for BSDE with jumps: the whole nine yards
Electronic Journal of Probability | 2019-02-14 | Paper |
Multivariate Shortfall Risk Allocation and Systemic Risk
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Expansion formulas for European quanto options in a local volatility FX-LIBOR model
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
The Annals of Applied Probability | 2018-03-08 | Paper |
A Unified View of LIBOR Models
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Affine LIBOR models with multiple curves: theory, examples and calibration
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
The affine LIBOR models
Mathematical Finance | 2013-10-11 | Paper |
A tractable LIBOR model with default risk
Mathematics and Financial Economics | 2013-07-25 | Paper |
A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents
| 2012-12-30 | Paper |
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
| 2011-06-04 | Paper |
Analysis of Fourier transform valuation formulas and applications
Applied Mathematical Finance | 2010-09-21 | Paper |
Picard approximation of stochastic differential equations and application to LIBOR models
| 2010-07-20 | Paper |
Esscher transform and the duality principle for multidimensional semimartingales
The Annals of Applied Probability | 2010-07-13 | Paper |
On the valuation of compositions in Lévy term structure models
Quantitative Finance | 2010-02-05 | Paper |
Old and new approaches to LIBOR modeling
| 2009-10-26 | Paper |
Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model
| 2009-06-30 | Paper |
On the duality principle in option pricing: semimartingale setting
Finance and Stochastics | 2008-06-18 | Paper |
An introduction to L\'{e}vy processes with applications in finance
| 2008-04-03 | Paper |
Computation of copulas by Fourier methods
| 2007-05-09 | Paper |
SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Equivalence of floating and fixed strike Asian and lookback options
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
| N/A | Paper |
