| Publication | Date of Publication | Type |
|---|
Consistent asset modelling with random coefficients and switches between regimes
Mathematics and Computers in Simulation | 2025-01-09 | Paper |
Efficient wrong-way risk modeling for funding valuation adjustments
International Journal of Theoretical and Applied Finance | 2024-11-06 | Paper |
Accelerated computations of sensitivities for xVA*
International Journal of Computer Mathematics | 2024-10-28 | Paper |
Efficient pricing and calibration of high-dimensional basket options
International Journal of Computer Mathematics | 2024-10-28 | Paper |
On pricing of discrete Asian and Lookback options under the Heston model
International Journal of Computer Mathematics | 2024-10-28 | Paper |
Monte Carlo simulation of SDEs using GANs
Japan Journal of Industrial and Applied Mathematics | 2023-10-13 | Paper |
| GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations | 2023-02-10 | Paper |
SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION
International Journal of Theoretical and Applied Finance | 2022-11-16 | Paper |
Pricing and hedging prepayment risk in a mortgage portfolio
International Journal of Theoretical and Applied Finance | 2022-09-22 | Paper |
Sparse grid method for highly efficient computation of exposures for xVA
Applied Mathematics and Computation | 2022-08-26 | Paper |
Cheapest-to-deliver collateral: a common factor approach
Quantitative Finance | 2022-05-27 | Paper |
The collocating local volatility framework -- a fresh look at efficient pricing with smile
International Journal of Computer Mathematics | 2022-02-16 | Paper |
A neural network-based framework for financial model calibration
Journal of Mathematics in Industry | 2021-04-27 | Paper |
A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
Applied Mathematics and Computation | 2021-04-01 | Paper |
A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
Applied Mathematics and Computation | 2021-04-01 | Paper |
Collocating volatility: a competitive alternative to stochastic local volatility models
International Journal of Theoretical and Applied Finance | 2021-01-29 | Paper |
| The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations | 2020-09-07 | Paper |
| Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes | 2019-12-19 | Paper |
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
Quantitative Finance | 2019-09-26 | Paper |
Uncertainty quantification and Heston model
Journal of Mathematics in Industry | 2019-07-10 | Paper |
On a one time-step Monte Carlo simulation approach of the SABR model: application to European options
Applied Mathematics and Computation | 2019-03-27 | Paper |
A highly efficient numerical method for the SABR model
Novel Methods in Computational Finance | 2019-02-28 | Paper |
A novel Monte Carlo approach to hybrid local volatility models
Quantitative Finance | 2018-11-19 | Paper |
On an efficient multiple time step Monte Carlo simulation of the SABR model
Quantitative Finance | 2018-11-19 | Paper |
On cross-currency models with stochastic volatility and correlated interest rates
Applied Mathematical Finance | 2017-10-05 | Paper |
| The time-dependent FX-SABR model: efficient calibration based on effective parameters | 2015-10-20 | Paper |
The Heston stochastic-local volatility model: efficient Monte Carlo simulation
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation
Applied Numerical Mathematics | 2014-10-31 | Paper |
Pricing inflation products with stochastic volatility and stochastic interest rates
Insurance Mathematics & Economics | 2014-04-03 | Paper |
The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
Quantitative Finance | 2013-12-13 | Paper |
Extension of stochastic volatility equity models with the Hull-White interest rate process
Quantitative Finance | 2012-06-25 | Paper |
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Applied Numerical Mathematics | 2012-01-04 | Paper |
On the Heston model with stochastic interest rates
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
