| Publication | Date of Publication | Type |
|---|
Systemic perspective of term risk in bank funding markets
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
The financial impact of carbon emissions on power utilities under climate scenarios
International Journal of Theoretical and Applied Finance | 2024-08-14 | Paper |
Captive jump processes for bounded random systems with discontinuous dynamics
Communications in Nonlinear Science and Numerical Simulation | 2024-01-05 | Paper |
Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach
Frontiers of Mathematical Finance | 2023-09-27 | Paper |
Stochastic modelling with randomized Markov bridges
Stochastics | 2022-07-06 | Paper |
Beyond hazard rates: a new framework for credit-risk modelling
Financial Informatics | 2022-04-29 | Paper |
Randomised mixture models for pricing kernels
Financial Informatics | 2022-04-29 | Paper |
Stochastic modelling with randomized Markov bridges
Financial Informatics | 2022-04-29 | Paper |
Heat kernel models for asset pricing
Financial Informatics | 2022-04-29 | Paper |
Lévy random bridges and the modelling of financial information
Financial Informatics | 2022-04-29 | Paper |
Credit risk, market sentiment and randomly-timed default
Financial Informatics | 2022-04-29 | Paper |
Modulated information flows in financial markets
Financial Informatics | 2022-04-29 | Paper |
Information-based asset pricing
Financial Informatics | 2022-04-29 | Paper |
Dam rain and cumulative gain
Financial Informatics | 2022-04-29 | Paper |
Modelling information flows in financial markets
Financial Informatics | 2022-04-29 | Paper |
Heat kernel interest rate models with time-inhomogeneous Markov processes
Financial Informatics | 2022-04-29 | Paper |
Stochastic measure distortions induced by quantile processes for risk quantification and valuation
| 2021-12-10 | Paper |
Captive Jump Processes
| 2021-11-13 | Paper |
Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods
Stochastic Analysis and Applications | 2021-10-06 | Paper |
Rational multi-curve models with counterparty-risk valuation adjustments
Quantitative Finance | 2021-07-16 | Paper |
Rational models for inflation-linked derivatives
SIAM Journal on Financial Mathematics | 2021-01-15 | Paper |
Modulated information flows in financial markets
International Journal of Theoretical and Applied Finance | 2020-08-05 | Paper |
Quantile Diffusions for Risk Analysis
| 2019-12-23 | Paper |
Inventory management in customised liquidity pools
Cogent Mathematics | 2019-09-10 | Paper |
AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks
Algorithmic Finance | 2018-09-13 | Paper |
Pricing fixed-income securities in an information-based framework
Applied Mathematical Finance | 2017-10-05 | Paper |
Randomised mixture models for pricing kernels
Asia-Pacific Financial Markets | 2017-08-16 | Paper |
SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
International Journal of Theoretical and Applied Finance | 2017-01-04 | Paper |
Stable-\(1/2\) bridges and insurance
Banach Center Publications | 2015-04-08 | Paper |
Heat kernel models for asset pricing
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
Continuous equilibrium in affine and information-based capital asset pricing models
Annals of Finance | 2014-11-12 | Paper |
Discrete-time interest rate modelling
Progress in Analysis and Its Applications | 2013-05-14 | Paper |
CONDITIONAL DENSITY MODELS FOR ASSET PRICING
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Heat kernel interest rate models with time-inhomogeneous Markov processes
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Modelling information flows in financial markets
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Credit risk, market sentiment and randomly-timed default
Stochastic Analysis 2010 | 2011-07-13 | Paper |
Lévy random bridges and the modelling of financial information
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Beyond hazard rates: a new framework for credit-risk modelling
| 2009-01-28 | Paper |
Dam rain and cumulative gain
Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences | 2009-01-06 | Paper |
Information, Inflation, and Interest
| 2008-11-04 | Paper |
Information-based asset pricing
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications
| 2008-07-14 | Paper |
