| 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 | 2022-07-22 | Paper |
| Trading Signals in VIX Futures | 2022-05-10 | Paper |
| Dynamic hedging portfolios for derivative securities in the presence of large transaction costs | 2021-06-18 | Paper |
| An E-ARCH model for the term structure of implied volatility of FX options | 2021-06-18 | Paper |
| STATISTICS OF VIX FUTURES AND APPLICATIONS TO TRADING VOLATILITY EXCHANGE-TRADED PRODUCTS | 2019-03-15 | Paper |
| A market-induced mechanism for stock pinning | 2019-01-14 | Paper |
| PRICING INTEREST RATE DERIVATIVES UNDER MONETARY CHANGES | 2018-10-10 | Paper |
| Reducing variance in the numerical solution of BSDEs | 2013-06-24 | Paper |
| Forecasting prices from level-I quotes in the presence of hidden liquidity | 2012-10-23 | Paper |
| Mathematical models for stock pinning near option expiration dates | 2012-06-25 | Paper |
| Statistical arbitrage in the US equities market | 2010-09-21 | Paper |
| Path-Dependence of Leveraged ETF Returns | 2010-08-11 | Paper |
| PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD | 2008-09-03 | Paper |
| WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS | 2008-09-03 | Paper |
| CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS | 2008-09-03 | Paper |
| High-frequency trading in a limit order book | 2008-05-22 | Paper |
| Trapping, percolation, and anomalous diffusion of particles in a two-dimensional random field | 2006-08-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5317371 | 2005-09-16 | Paper |
| ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000 | 2005-06-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4657547 | 2005-03-14 | Paper |
| On parabolic equations with gauge function term and applications to the multidimensional Leland equation | 2004-09-06 | Paper |
| PDFs for velocity and velocity gradients in Burgers’ turbulence | 2003-12-16 | Paper |
| An introduction to option pricing and the mathematical theory of risk | 2003-09-24 | Paper |
| Application of large deviation methods to the pricing of index options in finance. | 2003-09-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4495097 | 2003-08-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782351 | 2002-11-06 | Paper |
| Calibrating volatility surfaces via relative-entropy minimization | 2002-09-04 | Paper |
| Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options | 2002-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4949414 | 2002-07-22 | Paper |
| Minimum-relative-entropy calibration of asset-pricing models | 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 | 2000-10-18 | Paper |
| Scalar transport in compressible flow | 2000-01-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3365324 | 2000-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4266143 | 1999-09-28 | Paper |
| The one-point statistics of viscous Burgers turbulence initialized with Gaussian data | 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 | 1999-02-04 | Paper |
| A Risk-Neutral Stochastic Volatility Model | 1998-12-28 | Paper |
| The minimum-entropy algorithm and related methods for calibrating asset-pricing models | 1998-08-05 | Paper |
| Adaptive greedy approximations | 1998-04-05 | Paper |
| Statistical properties of shocks in Burgers turbulence. II: Tail probabilities for velocities, shock-strengths and rarefaction intervals | 1997-03-09 | Paper |
| Statistical properties of shocks in Burgers turbulence | 1996-08-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4863713 | 1996-04-10 | Paper |
| Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model | 1996-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4311129 | 1994-11-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4281267 | 1994-08-29 | Paper |
| Simple examples with features of renormalization for turbulent transport | 1994-07-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4017215 | 1993-01-16 | Paper |
| Lp bounds on singular integrals in homogenization | 1992-09-27 | Paper |
| Mathematical models with exact renormalization for turbulent transport. II: Fractal interfaces, non-Gaussian statistics and the sweeping effect | 1992-09-27 | Paper |
| Approximate and exact renormalization theories for a model for turbulent transport | 1992-06-28 | Paper |
| Enhanced diffusivity and intercell transition layers in 2-D models of passive advection | 1992-06-28 | Paper |
| Finite difference approximations for partial differential equations with rapidly oscillating coefficients | 1992-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3974081 | 1992-06-26 | Paper |
| On Woltjer’s variational principle for force-free fields | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975871 | 1992-06-26 | Paper |
| Darcy's law for slow viscous flow past a stationary array of bubbles | 1992-06-25 | Paper |
| An integral representation and bounds on the effective diffusivity in passive advection by laminar and turbulent flows | 1991-01-01 | Paper |
| Mathematical models with exact renormalization for turbulent transport | 1990-01-01 | Paper |
| Effective conductivity and average polarizability of random polycrystals | 1990-01-01 | Paper |
| Compactness methods in the theory of homogenization II: Equations in non-divergence form | 1989-01-01 | Paper |
| Homogenization of Poisson's kernel and applications to boundary control | 1989-01-01 | Paper |
| Optimal Bounds on the Effective Bulk Modulus of Polycrystals | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3032659 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3484408 | 1989-01-01 | Paper |
| Homogenization of elliptic problems with \(L^p\) boundary data | 1987-01-01 | Paper |
| Compactness methods in the theory of homogenization | 1987-01-01 | Paper |
| Iterated homogenization, differential effective medium theory and applications | 1987-01-01 | Paper |
| Optimal Bounds and Microgeometries for Elastic Two-Phase Composites | 1987-01-01 | Paper |
| Counterexamples related to high-frequency oscillation of Poisson's kernel | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3791541 | 1987-01-01 | Paper |
