| Publication | Date of Publication | Type |
|---|
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Operations Research Letters | 2024-06-17 | Paper |
Simulation schemes for the Heston model with Poisson conditioning
European Journal of Operational Research | 2024-04-16 | Paper |
Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
Insurance Mathematics & Economics | 2024-03-21 | Paper |
Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
Mathematical Finance | 2024-01-31 | Paper |
Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
Journal of Scientific Computing | 2024-01-25 | Paper |
Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications
Journal of Applied Statistics | 2022-03-01 | Paper |
Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
Quantitative Finance | 2021-07-16 | Paper |
Efficient risk measures calculations for generalized CreditRisk\(^+\) models
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
Real option signaling games of debt financing using equity guarantee swaps under asymmetric information
International Journal of Theoretical and Applied Finance | 2021-01-29 | Paper |
Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models
Quantitative Finance | 2019-10-11 | Paper |
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
Quantitative Finance | 2018-11-14 | Paper |
Enhanced equity-credit modelling for contingent convertibles
Quantitative Finance | 2018-11-13 | Paper |
Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Pricing options on discrete realized variance with partially exact and bounded approximations
Quantitative Finance | 2018-09-19 | Paper |
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
Applied Mathematical Finance | 2018-09-18 | Paper |
Game options analysis of the information role of call policies in convertible bonds
Applied Mathematical Finance | 2018-09-18 | Paper |
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Applied Mathematical Finance | 2018-09-11 | Paper |
Real options signaling game models for dynamic acquisition under information asymmetry
Decisions in Economics and Finance | 2018-06-13 | Paper |
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
Saddlepoint approximation methods in financial engineering
SpringerBriefs in Quantitative Finance | 2018-03-09 | Paper |
Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method
International Journal of Theoretical and Applied Finance | 2017-11-29 | Paper |
Real options game models of R\&D competition between asymmetric firms with spillovers
Decisions in Economics and Finance | 2017-04-27 | Paper |
Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
International Journal of Theoretical and Applied Finance | 2016-04-14 | Paper |
Fast Hilbert transform algorithms for pricing discrete timer options under stochastic volatility models
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
Stochastic control model for R\&D race in a mixed duopoly with spillovers and knowledge stocks
Decisions in Economics and Finance | 2015-11-27 | Paper |
Closed form pricing formulas for discretely sampled generalized variance swaps
Mathematical Finance | 2014-11-05 | Paper |
Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
SIAM Journal on Scientific Computing | 2014-09-05 | Paper |
Patent-investment games under asymmetric information
European Journal of Operational Research | 2014-07-27 | Paper |
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
Quantitative Finance | 2014-01-17 | Paper |
Effects of callable feature on early exercise policy
Review of Derivatives Research | 2013-10-29 | Paper |
Efficient options pricing using the fast Fourier transform
Handbook of Computational Finance | 2012-01-10 | Paper |
Guaranteed minimum withdrawal benefit in variable annuities
Mathematical Finance | 2011-06-09 | Paper |
Real options game analysis of sleeping patents
Decisions in Economics and Finance | 2011-05-25 | Paper |
Applied complex variables for scientists and engineers.
| 2010-07-27 | Paper |
Optimal multiple stopping models of reload options and shout options
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity
Asia-Pacific Financial Markets | 2009-09-09 | Paper |
Intensity-based framework and penalty formulation of optimal stopping problems
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Options with combined reset rights on strike and maturity
Journal of Economic Dynamics and Control | 2008-11-25 | Paper |
Employee stock option valuation with repricing features
Quantitative Finance | 2008-11-18 | Paper |
ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Finite-time dividend-ruin models
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Mathematical models of financial derivatives
Springer Finance | 2008-05-29 | Paper |
Optimal policies of call with notice period requirement
Asia-Pacific Financial Markets | 2007-07-25 | Paper |
VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2007-06-20 | Paper |
Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
Quantitative Finance | 2007-05-18 | Paper |
Real options in strategic investment games between two asymmetric firms
European Journal of Operational Research | 2007-04-19 | Paper |
Reset and withdrawal rights in dynamic fund protection
Insurance Mathematics & Economics | 2007-03-02 | Paper |
PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
International Journal of Theoretical and Applied Finance | 2006-08-14 | Paper |
Optimal execution strategy of liquidation
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
Integral price formulas for lookback options
Journal of Applied Mathematics | 2006-06-30 | Paper |
CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
Mathematical Finance | 2006-06-12 | Paper |
American Options with Lookback Payoff
SIAM Journal on Applied Mathematics | 2005-10-28 | Paper |
Options with Multiple Reset Rights
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Jump Diffusion Models for Risky Debts: Quality Spread Differentials
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH
International Journal of Theoretical and Applied Finance | 2005-10-18 | Paper |
Valuing employee reload options under the time vesting requirement
Quantitative Finance | 2005-10-17 | Paper |
QUANTO LOOKBACK OPTIONS
Mathematical Finance | 2005-05-09 | Paper |
OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
Mathematical Finance | 2005-05-09 | Paper |
Multi‐asset barrier options and occupation time derivatives
Applied Mathematical Finance | 2004-09-06 | Paper |
Early exercise policies of American floating strike and fixed strike lookback options.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
Review of Derivatives Research | 2004-02-03 | Paper |
Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes
Computer Methods in Applied Mechanics and Engineering | 2003-01-08 | Paper |
Pricing algorithms of multivariate path dependent options
Journal of Complexity | 2002-11-06 | Paper |
Pricing multi-asset options with an external barrier
International Journal of Theoretical and Applied Finance | 2002-06-20 | Paper |
Applied complex variables for scientists and engineers
| 2002-03-04 | Paper |
scientific article; zbMATH DE number 1827978 (Why is no real title available?)
| 2002-01-01 | Paper |
Numerical quadrature formulas through the theory of analytic functions
International Journal of Mathematical Education in Science and Technology | 1997-10-20 | Paper |
Convergence analysis of a staggered pressure correction scheme for viscous incompressible flows
| 1997-09-17 | Paper |
scientific article; zbMATH DE number 1051049 (Why is no real title available?)
| 1997-08-24 | Paper |
Fourier analysis of iterative schemes for solving the biharmonic equation
International Journal of Computer Mathematics | 1997-03-16 | Paper |
Linear hydrodynamical stability of two-layer inclined flow with viscosity and density stratifications
IMA Journal of Applied Mathematics | 1996-08-04 | Paper |
Accuracy and stability analysis of numerical schemes for the shallow water model
| 1996-07-10 | Paper |
Fractional step algorithm for solving a multi‐dimensional diffusion‐migration equation
Numerical Methods for Partial Differential Equations | 1996-06-09 | Paper |
scientific article; zbMATH DE number 645864 (Why is no real title available?)
| 1994-10-03 | Paper |
Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations
Communications in Numerical Methods in Engineering | 1993-10-06 | Paper |
Modified quadrature formula for integrand with nearby poles
Applied Mathematics Letters | 1993-08-19 | Paper |
Linearized stability analysis of staggered‐grid difference schemes for multidimensional viscous incompressible flows
Numerical Methods for Partial Differential Equations | 1993-06-29 | Paper |
Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation
Computers & Mathematics with Applications | 1993-04-01 | Paper |
Application of MACSYMA to solutions of ordinary differential equations
International Journal of Mathematical Education in Science and Technology | 1992-09-27 | Paper |
Padé and upwinding finite difference schemes for the quantum mechanical equation of motion
Communications in Applied Numerical Methods | 1992-06-27 | Paper |
An algorithm for the numerical inversion of Laplace transforms
Inverse Problems | 1992-06-25 | Paper |
Location and structure of the nearest singularity of a perturbation series
Communications in Applied Numerical Methods | 1991-01-01 | Paper |
The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures
International Journal of Mathematical Education in Science and Technology | 1990-01-01 | Paper |
A Regular Perturbation Method for Subcritical Flow over a Two-Dimensional Airfoil
IMA Journal of Applied Mathematics | 1989-01-01 | Paper |
On Some Aspects of the Transonic Controversy
SIAM Journal on Applied Mathematics | 1987-01-01 | Paper |
