| Publication | Date of Publication | Type |
|---|
Mind the gap in the mining game
Quantitative Finance | 2026-03-16 | Paper |
Selection of the most probable best
Operations Research | 2026-02-18 | Paper |
Efficient simulation for expectations over the union of half-spaces
ACM Transactions on Modeling and Computer Simulation | 2024-08-06 | Paper |
Multivariate stress scenario selection in interbank networks
Journal of Economic Dynamics and Control | 2023-09-14 | Paper |
Balancing risk: generation expansion planning under climate mitigation scenarios
European Journal of Operational Research | 2021-11-09 | Paper |
Static replication of barrier-type options via integral equations
Quantitative Finance | 2021-06-02 | Paper |
Small-time smile for the multifactor volatility Heston model
Journal of Applied Probability | 2020-12-11 | Paper |
Robust quantile estimation under bivariate extreme value models
Extremes | 2020-02-28 | Paper |
Optimal intervention under stress scenarios: a case of the Korean financial system
Operations Research Letters | 2020-02-10 | Paper |
A recursive method for static replication of autocallable structured products
Quantitative Finance | 2019-09-26 | Paper |
Learning multi-market microstructure from order book data
Quantitative Finance | 2019-09-26 | Paper |
R\&D outsourcing in an innovation-driven supply chain
Operations Research Letters | 2018-09-28 | Paper |
A mathematical model for multi-name credit based on community flocking
Quantitative Finance | 2018-09-19 | Paper |
Saddlepoint methods for conditional expectations with applications to risk management
Bernoulli | 2017-05-11 | Paper |
Computing lower bounds on basket option prices by discretizing semi-infinite linear programming
Optimization Letters | 2017-03-28 | Paper |
Efficient VaR and CVaR measurement via stochastic kriging
INFORMS Journal on Computing | 2017-02-08 | Paper |
Simulation of Tempered Stable Lévy Bridges and Its Applications
Operations Research | 2016-07-25 | Paper |
Stochastic kriging with biased sample estimates
ACM Transactions on Modeling and Computer Simulation | 2015-03-05 | Paper |
Transferring and sharing exchange-rate risk in a risk-averse supply chain of a multinational firm
European Journal of Operational Research | 2015-02-04 | Paper |
Gamma expansion of the Heston stochastic volatility model
Finance and Stochastics | 2014-12-17 | Paper |
Denoising Monte Carlo sensitivity estimates
Operations Research Letters | 2012-08-17 | Paper |
Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions
Stochastic Processes and their Applications | 2012-07-20 | Paper |
Moment explosions and stationary distributions in affine diffusion models
Mathematical Finance | 2010-03-12 | Paper |
Sensitivity estimates for compound sums
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
Stability analysis of Riccati differential equations related to affine diffusion processes
Journal of Mathematical Analysis and Applications | 2010-02-12 | Paper |
Saddlepoint approximations for affine jump-diffusion models
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
