| Publication | Date of Publication | Type |
|---|
Pricing vulnerable basket spread options with liquidity risk
Review of Derivatives Research | 2024-03-19 | Paper |
Pricing vulnerable fader options under stochastic volatility models
Journal of Industrial and Management Optimization | 2023-03-29 | Paper |
Pricing path-dependent options under the Hawkes jump diffusion process
Journal of Industrial and Management Optimization | 2022-11-14 | Paper |
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Review of Derivatives Research | 2022-08-19 | Paper |
Catastrophe option pricing with auto-correlated and catastrophe-dependent intensity
Physica A | 2022-08-02 | Paper |
Asymptotics of the solutions to stochastic wave equations driven by a non-Gaussian Lévy process
Acta Mathematica Scientia. Series B. (English Edition) | 2022-07-01 | Paper |
Pricing vulnerable options with stochastic volatility
Physica A | 2022-06-20 | Paper |
Pricing vulnerable options with jump risk and liquidity risk
Review of Derivatives Research | 2021-12-13 | Paper |
On the transition density and first hitting time distributions of the doubly skewed CIR process
Methodology and Computing in Applied Probability | 2021-11-09 | Paper |
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Review of Derivatives Research | 2021-06-30 | Paper |
Analytical valuation of vulnerable European and Asian options in intensity-based models
Journal of Computational and Applied Mathematics | 2021-04-23 | Paper |
A closed-form GARCH valuation model for power exchange options with counterparty risk
Probability in the Engineering and Informational Sciences | 2020-05-27 | Paper |
THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
Probability in the Engineering and Informational Sciences | 2019-11-07 | Paper |
Pricing vulnerable European options with stochastic correlation
Probability in the Engineering and Informational Sciences | 2019-03-13 | Paper |
Rare shock, two-factor stochastic volatility and currency option pricing
Applied Mathematical Finance | 2018-09-11 | Paper |
Long time behavior for stochastic Burgers equations with jump noises
Statistics & Probability Letters | 2018-07-27 | Paper |
Long time stability of nonlocal stochastic Kuramoto-Sivashinsky equations with jump noises
Statistics & Probability Letters | 2017-10-06 | Paper |
Analytical valuation of vulnerable options in a discrete-time framework
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Pricing vulnerable American put options under jump-diffusion processes
Probability in the Engineering and Informational Sciences | 2017-09-19 | Paper |
Catastrophe equity put options with target variance
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Long time behavior for nonlocal stochastic Kuramoto-Sivashinsky equations
Statistics & Probability Letters | 2014-06-05 | Paper |
Hedging strategies for discretely monitored Asian options under Lévy processes
Journal of Industrial and Management Optimization | 2014-03-11 | Paper |
Credit spreads, endogenous bankruptcy and liquidity risk
Computational Management Science | 2014-01-30 | Paper |
Variance-optimal hedging for target volatility options
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
On a stochastic heat equation with first order fractional noises and applications to finance
Journal of Mathematical Analysis and Applications | 2012-10-19 | Paper |
Stochastic wave equation of pure jumps: Existence, uniqueness and invariant measures
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2012-07-16 | Paper |
