| Publication | Date of Publication | Type |
|---|
The variance gamma++ process and applications to energy markets
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Exchange Option Pricing Under Variance Gamma-Like Models
Applied Mathematical Finance | 2023-10-09 | Paper |
Normal Tempered Stable Processes and the Pricing of Energy Derivatives
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
Statistics and Computing | 2022-12-09 | Paper |
Fast simulation of tempered stable Ornstein-Uhlenbeck processes
Computational Statistics | 2022-11-15 | Paper |
Exact simulation of normal tempered stable processes of OU type with applications
Statistics and Computing | 2022-10-07 | Paper |
A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets
Applied Mathematical Finance | 2022-03-21 | Paper |
Gamma-related Ornstein–Uhlenbeck processes and their simulation*
Journal of Statistical Computation and Simulation | 2022-03-18 | Paper |
Correlating Lévy processes with self-decomposability: applications to energy markets
Decisions in Economics and Finance | 2022-01-06 | Paper |
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
Applied Mathematical Finance | 2021-11-15 | Paper |
Pricing exchange options with correlated jump diffusion processes
Quantitative Finance | 2021-09-03 | Paper |
| The Variance Gamma++ Process and Applications to Energy Markets | 2021-06-29 | Paper |
Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives
Applied Mathematical Finance | 2021-02-08 | Paper |
Forward or backward simulation? A comparative study
Quantitative Finance | 2020-12-07 | Paper |
| Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes | 2020-11-18 | Paper |
Gamma Related Ornstein-Uhlenbeck Processes and their Simulation
(available as arXiv preprint) | 2020-03-15 | Paper |
Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
Quantitative Finance | 2018-09-19 | Paper |
Coupling Poisson processes by self-decomposability
Mediterranean Journal of Mathematics | 2017-07-12 | Paper |
| Cointegrating Jumps: an Application to Energy Facilities | 2015-09-03 | Paper |
Multidimensional quasi-Monte Carlo Malliavin Greeks
Decisions in Economics and Finance | 2013-11-07 | Paper |
Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
Methodology and Computing in Applied Probability | 2013-04-08 | Paper |
Convenient multiple directions of stratification
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
Implementing quasi-Monte Carlo simulations with linear transformations
Computational Management Science | 2011-06-22 | Paper |
Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
Decisions in Economics and Finance | 2009-06-22 | Paper |
| Monte Carlo Methods and Path-Generation techniques for Pricing Multi-asset Path-dependent Options | 2007-10-03 | Paper |
