| Publication | Date of Publication | Type |
|---|
Pathwise superhedging for time-dependent barrier options on càdlàg paths -- finite or infinite tradeable European, one-touch, lookback or forward starting options
Stochastic Processes and their Applications | 2019-03-06 | Paper |
Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps
The Annals of Applied Probability | 2017-02-21 | Paper |
Asymptotics for Rough Stochastic Volatility Models
SIAM Journal on Financial Mathematics | 2017-02-16 | Paper |
Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
SIAM Journal on Financial Mathematics | 2017-02-16 | Paper |
Small-time asymptotics for basket options -- the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\)
SIAM Journal on Financial Mathematics | 2016-08-17 | Paper |
Large deviations for the boundary local time of doubly reflected Brownian motion
Statistics & Probability Letters | 2015-04-01 | Paper |
The large-maturity smile for the Heston model
Finance and Stochastics | 2014-12-18 | Paper |
A note on essential smoothness in the Heston model
Finance and Stochastics | 2014-12-18 | Paper |
The large-maturity smile for the Stein-Stein model
Statistics & Probability Letters | 2014-06-12 | Paper |
The large-maturity smile for the SABR and CEV-Heston models
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
On the Markovian projection in the Brunick-Shreve mimicking result
Statistics & Probability Letters | 2014-04-17 | Paper |
Hitting times, occupation times, trivariate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory
Advances in Applied Probability | 2013-10-23 | Paper |
Correction note for ``The large-maturity smile for the Heston model
Finance and Stochastics | 2013-02-07 | Paper |
The small-maturity smile for exponential Lévy models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
Applied Mathematical Finance | 2012-06-08 | Paper |
A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
Stochastic Processes and their Applications | 2011-11-10 | Paper |
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
International Journal of Theoretical and Applied Finance | 2011-08-10 | Paper |
Large-time asymptotics for an uncorrelated stochastic volatility model
Statistics & Probability Letters | 2011-07-26 | Paper |
Asymptotic formulae for implied volatility in the Heston model
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2011-05-06 | Paper |
Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
Applied Mathematical Finance | 2010-09-21 | Paper |
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
International Journal of Theoretical and Applied Finance | 2009-11-27 | Paper |
| The small-time behaviour of diffusion and time-changed diffusion processes on the line | 2006-09-05 | Paper |
| Tail asymptotics for diffusion processes, with applications to local volatility and CEV-Heston models | 2006-08-25 | Paper |
