| Publication | Date of Publication | Type |
|---|
On the impact of feeding cost risk in aquaculture valuation and decision making
Quantitative Finance | 2025-01-06 | Paper |
On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
Journal of Economic Dynamics and Control | 2024-07-16 | Paper |
Derivatives on nonstorable renewable resources: fish futures and options, not so fishy after all
Natural Resource Modeling | 2024-06-07 | Paper |
Hedging longevity risk in defined contribution pension schemes
Computational Management Science | 2023-12-14 | Paper |
Pricing Asian options with stochastic convenience yield and jumps
Quantitative Finance | 2023-06-20 | Paper |
Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
Annals of Operations Research | 2022-06-30 | Paper |
Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump?
European Journal of Operational Research | 2021-11-05 | Paper |
A lattice method for option evaluation with regime-switching asset correlation structure
Journal of Industrial and Management Optimization | 2021-09-10 | Paper |
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter
Annals of Operations Research | 2020-01-20 | Paper |
Optimal contracts for central bankers: calls on inflation
Applied Mathematics and Computation | 2019-03-25 | Paper |
The market for salmon futures: an empirical analysis of the fish pool using the Schwartz multi-factor model
Quantitative Finance | 2018-11-13 | Paper |
Asian and Australian options: a common perspective
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Asymptotic solutions for Australian options with low volatility
Applied Mathematical Finance | 2018-09-12 | Paper |
On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
Mathematical Finance | 2018-05-25 | Paper |
On the effects of changing mortality patterns on investment, labour and consumption under uncertainty
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Markets for inflation-indexed bonds as mechanisms for efficient monetary policy
Mathematical Finance | 2015-10-20 | Paper |
On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model
Quantitative Finance | 2014-02-20 | Paper |
On the investment-uncertainty relationship in a real option model with stochastic volatility
Mathematical Social Sciences | 2014-02-11 | Paper |
| Malliavin differentiability of a class of Feller-diffusions with relevance in finance | 2013-06-12 | Paper |
Privatization of businesses and flexible investment: a real option approach
Decisions in Economics and Finance | 2013-02-25 | Paper |
A numerical method for solving stochastic optimal control problems with linear control
Computational Economics | 2012-06-19 | Paper |
Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
Mathematical Methods of Operations Research | 2011-09-20 | Paper |
Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide
Mathematical Social Sciences | 2011-06-22 | Paper |
Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model
Advances in Applied Probability | 2011-05-03 | Paper |
A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
Journal of Probability and Statistics | 2010-12-01 | Paper |
Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
Decisions in Economics and Finance | 2010-11-12 | Paper |
| A general approach for solving differential public good games and a comparison to the static case | 2010-09-02 | Paper |
SUSTAINABLE YIELDS IN FISHERIES: UNCERTAINTY, RISK-AVERSION, AND MEAN-VARIANCE ANALYSIS
Natural Resource Modeling | 2010-09-02 | Paper |
Irreversible investment with Cox-Ingersoll-Ross type mean reversion
Mathematical Social Sciences | 2010-06-11 | Paper |
Optimal investment for a pension fund under inflation risk
Mathematical Methods of Operations Research | 2010-04-23 | Paper |
A stochastic differential Fishery game for a two species fish population with ecological interaction
Journal of Economic Dynamics and Control | 2010-04-22 | Paper |
On the non-equilibrium density of geometric mean reversion
Statistics & Probability Letters | 2010-04-01 | Paper |
| Stochastic reaction strategies and a zero inflation in a Barro-Gordon model | 2010-02-05 | Paper |
Risk minimization in stochastic volatility models: model risk and empirical performance
Quantitative Finance | 2009-10-16 | Paper |
IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
International Journal of Theoretical and Applied Finance | 2009-08-03 | Paper |
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Mathematical Methods of Operations Research | 2009-03-25 | Paper |
| Numerical simulation of a diffusion type evolutionary stock market model | 2009-02-03 | Paper |
| The Malliavin calculus and stochastic differential games with information asymmetry | 2008-08-12 | Paper |
| scientific article; zbMATH DE number 5309885 (Why is no real title available?) | 2008-08-12 | Paper |
Malliavin differentiability of the Heston volatility and applications to option pricing
Advances in Applied Probability | 2008-05-15 | Paper |
A note on the Malliavin derivative operator under change of variable
Statistics & Probability Letters | 2008-03-12 | Paper |
Optimal management and inflation protection for defined contribution pension plans
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2008-01-11 | Paper |
Parental care as a differential game: a dynamic extension of the Houston-Davies game
Applied Mathematics and Computation | 2007-09-19 | Paper |
Local volatility in the Heston model: a Malliavin calculus approach
Journal of Applied Mathematics and Stochastic Analysis | 2006-08-28 | Paper |
A new technique for calibrating stochastic volatility models: the Malliavin gradient method
Quantitative Finance | 2006-08-21 | Paper |
The Malliavin gradient method for the calibration of stochastic dynamical models
Applied Mathematics and Computation | 2006-06-16 | Paper |
OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
International Journal of Theoretical and Applied Finance | 2005-07-06 | Paper |
A DE RHAM ISOMORPHISM IN SINGULAR COHOMOLOGY AND STOKES THEOREM FOR STRATIFOLDS
International Journal of Geometric Methods in Modern Physics | 2005-05-09 | Paper |
Hochschild- and cyclic-homology of LCNT-spaces
Communications in Mathematical Physics | 2005-04-18 | Paper |
| scientific article; zbMATH DE number 1833389 (Why is no real title available?) | 2002-11-21 | Paper |
