| Publication | Date of Publication | Type |
|---|
A hybrid approach for the implementation of the Heston model
IMA Journal of Management Mathematics | 2022-11-09 | Paper |
Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
European Journal of Operational Research | 2022-07-22 | Paper |
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Decisions in Economics and Finance | 2021-08-10 | Paper |
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Quantitative Finance | 2021-06-02 | Paper |
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Computational Management Science | 2021-02-02 | Paper |
Numerical stability of a hybrid method for pricing options
International Journal of Theoretical and Applied Finance | 2020-01-02 | Paper |
A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
North American Actuarial Journal | 2019-05-15 | Paper |
Monte Carlo methods for pricing and hedging American options in high dimension
Risk and Decision Analysis | 2019-03-12 | Paper |
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Computational Management Science | 2019-02-18 | Paper |
Fast binomial procedures for pricing Parisian/ParAsian options
Computational Management Science | 2018-10-10 | Paper |
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Insurance Mathematics & Economics | 2016-12-13 | Paper |
The binomial interpolated lattice method for step double barrier options
International Journal of Theoretical and Applied Finance | 2014-11-12 | Paper |
The singular points binomial method for pricing American path-dependent options
The Journal of Computational Finance | 2014-04-23 | Paper |
Efficient pricing of swing options in Lévy-driven models
Quantitative Finance | 2014-02-20 | Paper |
Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Pricing cliquet options by tree methods
Computational Management Science | 2011-06-22 | Paper |
Pricing American barrier options with discrete dividends by binomial trees
Decisions in Economics and Finance | 2009-11-16 | Paper |
A moments and strike matching binomial algorithm for pricing American put options
Decisions in Economics and Finance | 2008-09-04 | Paper |
New insights on testing the efficiency of methods of pricing and hedging American options
European Journal of Operational Research | 2007-10-18 | Paper |
A mixed PDE-Monte Carlo approach for pricing credit default index swaptions
Decisions in Economics and Finance | 2007-05-24 | Paper |
Parabolic ADI Methods for Pricing American Options on Two Stocks
Mathematics of Operations Research | 2005-11-11 | Paper |
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
Monte Carlo Methods and Applications | 2005-09-12 | Paper |
ADAPTIVE FINITE ELEMENT METHODS FOR LOCAL VOLATILITY EUROPEAN OPTION PRICING
International Journal of Theoretical and Applied Finance | 2005-03-07 | Paper |
