List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| Robust calibration and arbitrage-free interpolation of SSVI slices Decisions in Economics and Finance | 2020-01-31 | Paper |
| Change of numeraire in the two-marginals martingale transport problem Finance and Stochastics | 2017-04-13 | Paper |
| BSDEs, càdlàg martingale problems, and orthogonalization under basis risk SIAM Journal on Financial Mathematics | 2016-06-15 | Paper |
| Gas storage valuation and hedging. A quantification of the model risk | 2013-12-13 | Paper |
Research outcomes over time
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