| Publication | Date of Publication | Type |
|---|
On Properties of the MixedTS Distribution and Its Multivariate Extension
International Statistical Review | 2023-11-10 | Paper |
Convergence of optimal expected utility for a sequence of binomial models
Mathematical Finance | 2023-09-28 | Paper |
On multivariate extensions of the mixed tempered stable distribution
| 2021-03-29 | Paper |
Asymptotics of some generalized Mathieu series
MATHEMATICA SCANDINAVICA | 2020-11-19 | Paper |
On binomial order avalanches
| 2020-07-15 | Paper |
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
| 2020-04-22 | Paper |
Geometric Asian option pricing in general affine stochastic volatility models with jumps
Quantitative Finance | 2018-11-19 | Paper |
Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach
Glasnik Matematički. Serija III | 2013-08-26 | Paper |
Old and new examples of scale functions for spectrally negative Lévy processes
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
A convergent series representation for the density of the supremum of a stable process
Electronic Communications in Probability | 2011-09-09 | Paper |
Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
Quantitative Finance | 2011-07-28 | Paper |
On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
Journal of Computational and Applied Mathematics | 2011-05-11 | Paper |
On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
Stochastic Processes and their Applications | 2009-07-15 | Paper |
Probability measures, Lévy measures and analyticity in time
Bernoulli | 2009-03-02 | Paper |
Optimal expected exponential utility of dividend payments in a Brownian risk model
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models
| 2008-07-22 | Paper |
QUADRATIC HEDGING FOR THE BATES MODEL
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
Variance-optimal hedging for processes with stationary independent increments
The Annals of Applied Probability | 2007-08-08 | Paper |
Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
Insurance Mathematics \& Economics | 2007-03-02 | Paper |
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
Quantitative Finance | 2006-08-21 | Paper |
A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
Mathematical Finance | 2003-08-13 | Paper |
A multivariate view of random bucket digital search trees
Journal of Algorithms | 2003-03-23 | Paper |
When does convergence of asset price processes imply convergence of option prices?
Mathematical Finance | 2001-03-29 | Paper |
On the variance of the internal path length of generalized digital trees -- the Mellin convolution approach
Theoretical Computer Science | 2000-08-21 | Paper |
