| Publication | Date of Publication | Type |
|---|
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Quantitative Finance | 2024-07-23 | Paper |
SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
International Journal of Theoretical and Applied Finance | 2024-02-20 | Paper |
Explicit solution to the economic index of riskiness
Economics Letters | 2024-01-19 | Paper |
Wasserstein Convergence Guarantees for a General Class of Score-Based Generative Models
| 2023-11-18 | Paper |
Fluctuations and moderate deviations for the mean fields of Hawkes processes
| 2023-07-29 | Paper |
Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion
Operations Research Letters | 2023-07-03 | Paper |
Large deviations for the mean-field limit of Hawkes processes
| 2023-01-18 | Paper |
A delayed dual risk model
| 2023-01-16 | Paper |
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
Probability in the Engineering and Informational Sciences | 2022-12-08 | Paper |
scientific article; zbMATH DE number 7626754 (Why is no real title available?)
| 2022-12-06 | Paper |
Global convergence of stochastic gradient Hamiltonian Monte Carlo for nonconvex stochastic optimization: nonasymptotic performance bounds and momentum-based acceleration
Operations Research | 2022-12-01 | Paper |
Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
Probability in the Engineering and Informational Sciences | 2022-11-18 | Paper |
Asymptotic analysis for optimal dividends in a dual risk model
Stochastic Models | 2022-10-31 | Paper |
On the optimal design of the randomized unbiased Monte Carlo estimators
Operations Research Letters | 2021-12-13 | Paper |
Non-convex isotonic regression via the Myersonian approach
Statistics \& Probability Letters | 2021-11-12 | Paper |
Operational risk management: a stochastic control framework with preventive and corrective controls
Operations Research | 2021-01-19 | Paper |
Precise deviations for Hawkes processes
Bernoulli | 2020-12-07 | Paper |
Decentralized Stochastic Gradient Langevin Dynamics and Hamiltonian Monte Carlo
| 2020-07-01 | Paper |
Optimal unbiased estimation for expected cumulative discounted cost
European Journal of Operational Research | 2020-05-27 | Paper |
On the phase transition curve in a directed exponential random graph model
Advances in Applied Probability | 2020-02-05 | Paper |
Short maturity forward start Asian options in local volatility models
Applied Mathematical Finance | 2019-11-04 | Paper |
Asymptotic normality of extensible grid sampling
Statistics and Computing | 2019-10-18 | Paper |
Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
Advances in Applied Probability | 2019-09-16 | Paper |
Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues
Queueing Systems | 2019-07-31 | Paper |
Affine Point Processes: Refinements to Large-Time Asymptotics
| 2019-03-15 | Paper |
Small-noise limit of the quasi-Gaussian log-normal HJM model
Operations Research Letters | 2019-02-21 | Paper |
Some asymptotic results for nonlinear Hawkes processes
Stochastic Processes and their Applications | 2018-12-10 | Paper |
Reciprocity in directed networks
Physica A | 2018-11-13 | Paper |
Limit theorems for Markovian Hawkes processes with a large initial intensity
Stochastic Processes and their Applications | 2018-10-31 | Paper |
Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization: Non-Asymptotic Performance Bounds and Momentum-Based Acceleration
| 2018-09-12 | Paper |
Explosion in the quasi-Gaussian HJM model
Finance and Stochastics | 2018-07-16 | Paper |
Large deviations and applications for Markovian Hawkes processes with a large initial intensity
Bernoulli | 2018-03-27 | Paper |
Sensitivities of Asian options in the Black-Scholes model
International Journal of Theoretical and Applied Finance | 2018-03-15 | Paper |
Asymptotics for the Euler-discretized Hull-White stochastic volatility model
Methodology and Computing in Applied Probability | 2018-03-01 | Paper |
Asymptotic structure of constrained exponential random graph models
Journal of Statistical Physics | 2017-10-16 | Paper |
Limit theorems for empirical density of greatest common divisors
Mathematical Proceedings of the Cambridge Philosophical Society | 2017-09-28 | Paper |
Asymptotics for sparse exponential random graph models
Brazilian Journal of Probability and Statistics | 2017-06-16 | Paper |
A delayed dual risk model
Stochastic Models | 2017-04-13 | Paper |
Lattice gas models with long range interactions
Journal of Mathematical Physics | 2017-03-13 | Paper |
Short Maturity Asian Options in Local Volatility Models
SIAM Journal on Financial Mathematics | 2017-01-11 | Paper |
Discrete sums of geometric Brownian motions, annuities and Asian options
Insurance Mathematics \& Economics | 2016-12-13 | Paper |
Moderate and large deviations for the Erdős-Kac theorem
The Quarterly Journal of Mathematics | 2016-03-10 | Paper |
On the growth rate of a linear stochastic recursion with Markovian dependence
Journal of Statistical Physics | 2015-10-28 | Paper |
Limit theorems for marked Hawkes processes with application to a risk model
Stochastic Models | 2015-10-20 | Paper |
Asymptotic structure and singularities in constrained directed graphs
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Large deviations for one-dimensional random walks on discrete point processes
Statistics \& Probability Letters | 2015-05-06 | Paper |
Large deviations for Markovian nonlinear Hawkes processes
The Annals of Applied Probability | 2015-04-27 | Paper |
The speed of a biased walk on a Galton-Watson tree without leaves is monotonic with respect to progeny distributions for high values of bias
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2015-03-09 | Paper |
Asymptotics for a Class of Self-Exciting Point Processes
| 2014-12-11 | Paper |
Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps
Journal of Applied Probability | 2014-10-15 | Paper |
Optimal strategies for a long-term static investor
Stochastic Models | 2014-09-25 | Paper |
On the large deviations for Engel's, Sylvester's series and Cantor's products
Electronic Communications in Probability | 2014-09-22 | Paper |
Process-level large deviations for nonlinear Hawkes point processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2014-09-05 | Paper |
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
Insurance Mathematics \& Economics | 2014-06-23 | Paper |
Large deviations for product of sums of random variables
Statistics \& Probability Letters | 2014-06-11 | Paper |
On the Hawkes Process with Different Exciting Functions
| 2014-03-04 | Paper |
Central limit theorem for nonlinear Hawkes processes
Journal of Applied Probability | 2013-10-17 | Paper |
Moderate deviations for Hawkes processes
Statistics \& Probability Letters | 2013-05-13 | Paper |
Nonlinear Hawkes Processes
| 2013-04-28 | Paper |
Convergence Analysis for General Probability Flow ODEs of Diffusion Models in Wasserstein Distances
| N/A | Paper |
Euler-Maruyama schemes for stochastic differential equations driven by stable L\'{e}vy processes with i.i.d. stable components
| N/A | Paper |
