| Publication | Date of Publication | Type |
|---|
Optimal trading with a trailing stop
Applied Mathematics and Optimization | 2021-04-23 | Paper |
When to sell an asset amid anxiety about drawdowns
Mathematical Finance | 2021-03-23 | Paper |
On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
The Annals of Applied Probability | 2018-11-07 | Paper |
Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
The Annals of Applied Probability | 2018-11-07 | Paper |
A unified approach for drawdown (drawup) of time-homogeneous Markov processes
Journal of Applied Probability | 2018-09-26 | Paper |
One Shot Schemes for Decentralized Quickest Change Detection
IEEE Transactions on Information Theory | 2017-08-08 | 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 |
On magnitude, asymptotics and duration of drawdowns for Lévy models
Bernoulli | 2017-01-11 | Paper |
On magnitude, asymptotics and duration of drawdowns for Lévy models
Bernoulli | 2017-01-11 | 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 |
Game of Singular Stochastic Control and Strategic Exit
Mathematics of Operations Research | 2016-01-29 | Paper |
Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
The Annals of Applied Probability | 2015-11-24 | Paper |
Robustness of the \(N\)-CUSUM stopping rule in a Wiener disorder problem
The Annals of Applied Probability | 2015-11-24 | Paper |
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
SIAM Journal on Control and Optimization | 2015-08-20 | Paper |
On the frequency of drawdowns for Brownian motion processes
Journal of Applied Probability | 2015-05-29 | Paper |
On the frequency of drawdowns for Brownian motion processes
Journal of Applied Probability | 2015-05-29 | Paper |
Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
Advances in Applied Probability | 2015-04-17 | Paper |
Occupation times, drawdowns, and drawups for one-dimensional regular diffusions
Advances in Applied Probability | 2015-04-17 | Paper |
Large deviations for the boundary local time of doubly reflected Brownian motion
Statistics & Probability Letters | 2015-04-01 | Paper |
Quickest detection in coupled systems
SIAM Journal on Control and Optimization | 2014-09-26 | Paper |
Stochastic modeling and fair valuation of drawdown insurance
Insurance Mathematics & Economics | 2014-06-23 | 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 |
Drawdowns and the speed of market crash
Methodology and Computing in Applied Probability | 2013-01-11 | Paper |
Maximum drawdown insurance
International Journal of Theoretical and Applied Finance | 2012-03-13 | Paper |
Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
Methodology and Computing in Applied Probability | 2010-05-28 | Paper |
| Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups | 2009-11-08 | Paper |
