| Publication | Date of Publication | Type |
|---|
| Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility | 2024-07-04 | Paper |
| Vasicek interest rate model under Lévy process and pricing bond option | 2024-05-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q6125562 | 2024-04-11 | Paper |
| Implied higher order moments in the Heston model: a case study of S\&P500 index | 2023-11-17 | Paper |
| Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market | 2023-11-13 | Paper |
| On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions | 2022-12-13 | Paper |
| Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region | 2022-11-22 | Paper |
| Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm | 2022-11-17 | Paper |
| Foreign exchange options on Heston-CIR model under L\'{e}vy process framework | 2022-08-08 | Paper |
| European option pricing under multifactor uncertain volatility model | 2022-07-12 | Paper |
| Pricing multi-asset American option under Heston-CIR diffusion model with jumps | 2022-06-21 | Paper |
| Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model | 2021-07-08 | Paper |
| Calibration of the double Heston model and an analytical formula in pricing American put option | 2021-04-23 | Paper |
| A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model | 2021-03-06 | Paper |
| CEV model equipped with the long-memory | 2021-02-11 | Paper |
| American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis | 2020-04-27 | Paper |
| A new hybrid Monte Carlo simulation for Asian options pricing | 2020-03-27 | Paper |
| Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps | 2020-03-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4612320 | 2019-01-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4612381 | 2019-01-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4612321 | 2019-01-31 | Paper |
| On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option | 2019-01-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4610979 | 2019-01-23 | Paper |
| Valuation of European option under uncertain volatility model | 2018-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4585693 | 2018-09-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4609296 | 2018-03-29 | Paper |
| Adjusted robust mean-value-at-risk model: less conservative robust portfolios | 2017-09-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5270049 | 2017-06-29 | Paper |
| On approximate-analytical solution of generalized Black-Scholes equation | 2016-10-05 | Paper |
| On analytical solution of the Black-Scholes equation by the first integral method | 2016-05-18 | Paper |
| Quasi Monte Carlo algorithm for computing smallest and largest generalised eigenvalues | 2016-02-01 | Paper |
| A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations | 2015-02-23 | Paper |
| CVaR robust mean-CVaR portfolio optimization | 2014-11-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5412972 | 2014-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5412230 | 2014-04-25 | Paper |
| A new efficient method for nonlinear Fisher-type equations | 2012-11-15 | Paper |
| New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue | 2011-11-29 | Paper |
| Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair | 2011-10-05 | Paper |
| Partitioning inverse Monte Carlo iterative algorithm for finding the three smallest eigenpairs of generalized eigenvalue problem | 2011-06-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3397465 | 2009-09-22 | Paper |
