| Publication | Date of Publication | Type |
|---|
| Tail risk monotonicity in GARCH(1,1) models | 2024-11-27 | Paper |
| Bounding the generation time distribution uncertainty on R 0 estimation from exponential growth rates | 2024-11-26 | Paper |
| Asymptotics for short maturity Asian options in jump-diffusion models with local volatility | 2024-07-23 | Paper |
| SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS | 2024-02-20 | Paper |
| SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL | 2023-09-08 | Paper |
| Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion | 2023-07-03 | Paper |
| Total positivity and relative convexity of option prices | 2023-06-26 | Paper |
| W-shaped implied volatility curves and the Gaussian mixture model | 2023-06-20 | Paper |
| Growth rate of a stochastic growth process driven by an exponential Ornstein–Uhlenbeck process | 2023-03-24 | Paper |
| From chaos to cosmology: insights gained from 1D gravity | 2023-03-07 | Paper |
| SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL | 2022-12-08 | Paper |
| ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE | 2022-11-18 | Paper |
| Proof of non-convergence of the short-maturity expansion for the SABR model | 2022-09-30 | Paper |
| On the distribution of the time-integral of the geometric Brownian motion | 2022-09-19 | Paper |
| Stochastic exponential growth and lattice gases. Statistical mechanics of stochastic growth processes | 2022-08-02 | Paper |
| Small-\(t\) expansion for the Hartman-Watson distribution | 2022-01-07 | Paper |
| On the distribution of the time-integral of the geometric Brownian motion | 2021-10-28 | Paper |
| Growth rate of a stochastic growth process driven by an exponential Ornstein-Uhlenbeck process | 2021-06-22 | Paper |
| Short Maturity Forward Start Asian Options in Local Volatility Models | 2019-11-04 | Paper |
| Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options | 2019-09-16 | Paper |
| Small-noise limit of the quasi-Gaussian log-normal HJM model | 2019-02-21 | Paper |
| Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model | 2018-09-19 | Paper |
| Eurodollar futures pricing in log-normal interest rate models in discrete time | 2018-09-06 | Paper |
| Explosion in the quasi-Gaussian HJM model | 2018-07-16 | Paper |
| SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL | 2018-03-15 | Paper |
| Asymptotics for the Euler-discretized Hull-White stochastic volatility model | 2018-03-01 | Paper |
| Short Maturity Asian Options in Local Volatility Models | 2017-01-11 | Paper |
| Discrete sums of geometric Brownian motions, annuities and Asian options | 2016-12-13 | Paper |
| Explosive Behavior in the Black–Derman–Toy Model | 2016-01-11 | Paper |
| On the growth rate of a linear stochastic recursion with Markovian dependence | 2015-10-28 | Paper |
| Phase transition in a log-normal Markov functional model | 2015-06-22 | Paper |
| Thermodynamics of a lattice gas with linear attractive potential | 2015-02-11 | Paper |
| Long-run growth rate in a random multiplicative model | 2014-09-12 | Paper |
| Addendum to ``The logistic-normal integral and its generalizations | 2014-08-05 | Paper |
| Emergence of heavy-tailed distributions in a random multiplicative model driven by a Gaussian stochastic process | 2014-06-20 | Paper |
| Predictions for \(b\rightarrow ss\overline{d}\) and \(b\rightarrow dd\overline{s}\) decays in the SM and with new physics | 2013-08-27 | Paper |
| Explosive behavior in a log-normal interest rate model | 2013-08-15 | Paper |
| The logistic-normal integral and its generalizations | 2012-10-22 | Paper |
| Equivalence of interest rate models and lattice gases | 2012-04-04 | Paper |
| Subleading collinear operators and their matrix elements | 2004-02-24 | Paper |
| Reparameterization invariance for collinear operators | 2002-07-03 | Paper |
