| Publication | Date of Publication | Type |
|---|
| Modeling volatility risk in equity options market: a statistical approach | 2024-09-06 | Paper |
Principal eigenportfolios for U.S. equities
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Trading signals in VIX futures
Applied Mathematical Finance | 2022-05-10 | Paper |
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs
Applied Mathematical Finance | 2021-06-18 | Paper |
An E-ARCH model for the term structure of implied volatility of FX options
Applied Mathematical Finance | 2021-06-18 | Paper |
Statistics of VIX futures and applications to trading volatility exchange-traded products
International Journal of Theoretical and Applied Finance | 2019-03-15 | Paper |
A market-induced mechanism for stock pinning
Quantitative Finance | 2019-01-14 | Paper |
Pricing interest rate derivatives under monetary changes
International Journal of Theoretical and Applied Finance | 2018-10-10 | Paper |
Reducing variance in the numerical solution of BSDEs
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2013-06-24 | Paper |
Forecasting prices from level-I quotes in the presence of hidden liquidity
Algorithmic Finance | 2012-10-23 | Paper |
Mathematical models for stock pinning near option expiration dates
Communications on Pure and Applied Mathematics | 2012-06-25 | Paper |
Statistical arbitrage in the US equities market
Quantitative Finance | 2010-09-21 | Paper |
Path-dependence of leveraged ETF returns
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
High-frequency trading in a limit order book
Quantitative Finance | 2008-05-22 | Paper |
Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field
Journal of Statistical Physics | 2006-08-23 | Paper |
| scientific article; zbMATH DE number 2206062 (Why is no real title available?) | 2005-09-16 | Paper |
ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
| scientific article; zbMATH DE number 2145202 (Why is no real title available?) | 2005-03-14 | Paper |
On parabolic equations with gauge function term and applications to the multidimensional Leland equation
Applied Mathematical Finance | 2004-09-06 | Paper |
PDFs for velocity and velocity gradients in Burgers’ turbulence
Physics of Fluids | 2003-12-16 | Paper |
An introduction to option pricing and the mathematical theory of risk
Rendiconti del Seminario Matematico e Fisico di Milano | 2003-09-24 | Paper |
Application of large deviation methods to the pricing of index options in finance.
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2003-09-23 | Paper |
| scientific article; zbMATH DE number 1487968 (Why is no real title available?) | 2003-08-05 | Paper |
| scientific article; zbMATH DE number 1724291 (Why is no real title available?) | 2002-11-06 | Paper |
Calibrating volatility surfaces via relative-entropy minimization
Applied Mathematical Finance | 2002-09-04 | Paper |
Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
Applied Mathematical Finance | 2002-09-04 | Paper |
| scientific article; zbMATH DE number 1440968 (Why is no real title available?) | 2002-07-22 | Paper |
Minimum-relative-entropy calibration of asset-pricing models
International Journal of Theoretical and Applied Finance | 2002-02-25 | Paper |
| Weighted Monte Carlo: A new technique for calibrating asset-pricing models | 2002-01-13 | Paper |
| The minimum-entropy algorithm and related methods for calibrating asset-pricing models | 2001-10-21 | Paper |
| Quantitative analysis in financial markets. Collected papers of the New York Universiity Mathematical Finance Seminar | 2001-03-15 | Paper |
Frequency-Dependent Acoustics of Composites with Interfaces
SIAM Journal on Applied Mathematics | 2000-10-18 | Paper |
Scalar transport in compressible flow
Physica D | 2000-01-24 | Paper |
| Quantitative modeling of derivative securities. From theory and practice | 2000-01-01 | Paper |
| scientific article; zbMATH DE number 1344855 (Why is no real title available?) | 1999-09-28 | Paper |
The one-point statistics of viscous Burgers turbulence initialized with Gaussian data
Communications in Mathematical Physics | 1999-09-13 | Paper |
| A turbulent transport model: Streamline results for a class of random velocity fields in the plane | 1999-02-09 | Paper |
Superdiffusion in nearly stratified flows
Journal of Statistical Physics | 1999-02-04 | Paper |
A Risk-Neutral Stochastic Volatility Model
International Journal of Theoretical and Applied Finance | 1998-12-28 | Paper |
The minimum-entropy algorithm and related methods for calibrating asset-pricing models
Documenta Mathematica | 1998-08-05 | Paper |
The minimum-entropy algorithm and related methods for calibrating asset-pricing models
Documenta Mathematica | 1998-08-05 | Paper |
Adaptive greedy approximations
Constructive Approximation | 1998-04-05 | Paper |
Statistical properties of shocks in Burgers turbulence. II: Tail probabilities for velocities, shock-strengths and rarefaction intervals
Communications in Mathematical Physics | 1997-03-09 | Paper |
Statistical properties of shocks in Burgers turbulence
Communications in Mathematical Physics | 1996-08-29 | Paper |
| scientific article; zbMATH DE number 837804 (Why is no real title available?) | 1996-04-10 | Paper |
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
Applied Mathematical Finance | 1996-01-01 | Paper |
| scientific article; zbMATH DE number 681732 (Why is no real title available?) | 1994-11-03 | Paper |
| scientific article; zbMATH DE number 510793 (Why is no real title available?) | 1994-08-29 | Paper |
Simple examples with features of renormalization for turbulent transport
Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences | 1994-07-10 | Paper |
| scientific article; zbMATH DE number 91072 (Why is no real title available?) | 1993-01-16 | Paper |
<i>L</i><sup><i>p</i></sup> bounds on singular integrals in homogenization
Communications on Pure and Applied Mathematics | 1992-09-27 | Paper |
Mathematical models with exact renormalization for turbulent transport. II: Fractal interfaces, non-Gaussian statistics and the sweeping effect
Communications in Mathematical Physics | 1992-09-27 | Paper |
Approximate and exact renormalization theories for a model for turbulent transport
Physics of Fluids A: Fluid Dynamics | 1992-06-28 | Paper |
Enhanced diffusivity and intercell transition layers in 2-D models of passive advection
Journal of Mathematical Physics | 1992-06-28 | Paper |
Finite difference approximations for partial differential equations with rapidly oscillating coefficients
ESAIM: Mathematical Modelling and Numerical Analysis | 1992-06-27 | Paper |
| scientific article; zbMATH DE number 17376 (Why is no real title available?) | 1992-06-26 | Paper |
| scientific article; zbMATH DE number 18473 (Why is no real title available?) | 1992-06-26 | Paper |
On Woltjer’s variational principle for force-free fields
Journal of Mathematical Physics | 1992-06-26 | Paper |
Darcy's law for slow viscous flow past a stationary array of bubbles
Proceedings of the Royal Society of Edinburgh: Section A Mathematics | 1992-06-25 | Paper |
An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows
Communications in Mathematical Physics | 1991-01-01 | Paper |
Mathematical models with exact renormalization for turbulent transport
Communications in Mathematical Physics | 1990-01-01 | Paper |
Effective conductivity and average polarizability of random polycrystals
Journal of Mathematical Physics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4130846 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4155969 (Why is no real title available?) | 1989-01-01 | Paper |
Compactness methods in the theory of homogenization II: Equations in non-divergence form
Communications on Pure and Applied Mathematics | 1989-01-01 | Paper |
Homogenization of Poisson's kernel and applications to boundary control
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 1989-01-01 | Paper |
Optimal Bounds on the Effective Bulk Modulus of Polycrystals
SIAM Journal on Applied Mathematics | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4056142 (Why is no real title available?) | 1987-01-01 | Paper |
Homogenization of elliptic problems with \(L^p\) boundary data
Applied Mathematics and Optimization | 1987-01-01 | Paper |
Compactness methods in the theory of homogenization
Communications on Pure and Applied Mathematics | 1987-01-01 | Paper |
Iterated homogenization, differential effective medium theory and applications
Communications on Pure and Applied Mathematics | 1987-01-01 | Paper |
Optimal Bounds and Microgeometries for Elastic Two-Phase Composites
SIAM Journal on Applied Mathematics | 1987-01-01 | Paper |
Counterexamples related to high-frequency oscillation of Poisson's kernel
Applied Mathematics and Optimization | 1987-01-01 | Paper |
