| Publication | Date of Publication | Type |
|---|
Semistatic variance-optimal hedging with self-exciting jumps
Mathematics of Operations Research | 2026-09-15 | Paper |
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
(available as arXiv preprint) | 2026-01-01 | Paper |
Optimal self-protection via BSDEs for risk models with jump clusters
SIAM Journal on Control and Optimization | 2025-11-21 | Paper |
Continuous-time persuasion by filtering
Journal of Economic Dynamics & Control | 2025-10-07 | Paper |
Efficient simulation of a new class of Volterra-type SDEs
(available as arXiv preprint) | 2025-01-01 | Paper |
A self-exciting modeling framework for forward prices in power markets
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Functional quantization of rough volatility and applications to volatility derivatives
Quantitative Finance | 2024-04-12 | Paper |
Optimal reinsurance via BSDEs in a partially observable model with jump clusters
Finance and Stochastics | 2024-04-02 | Paper |
Continuous-time persuasion by filtering
(available as arXiv preprint) | 2024-01-01 | Paper |
| From elephant to goldfish (and back): memory in stochastic Volterra processes | 2023-06-05 | Paper |
A fully quantization-based scheme for FBSDEs
Applied Mathematics and Computation | 2022-12-07 | Paper |
A McKean-Vlasov game of commodity production, consumption and trading
Applied Mathematics and Optimization | 2022-09-23 | Paper |
Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
Mathematics of Operations Research | 2021-06-03 | Paper |
Quantization goes polynomial
Quantitative Finance | 2021-06-02 | Paper |
A Fully Quantization-based Scheme for FBSDEs
(available as arXiv preprint) | 2021-05-07 | Paper |
Correction to: ``No-arbitrage commodity option pricing with market manipulation''
Mathematics and Financial Economics | 2021-05-05 | Paper |
Optimal reduction of public debt under partial observation of the economic growth
Finance and Stochastics | 2020-11-11 | Paper |
No-arbitrage commodity option pricing with market manipulation
Mathematics and Financial Economics | 2020-06-18 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
Quantization meets Fourier: a new technology for pricing options
Annals of Operations Research | 2020-01-20 | Paper |
Pricing via recursive quantization in stochastic volatility models
Quantitative Finance | 2018-11-19 | Paper |
A backward Monte Carlo approach to exotic option pricing
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Optimal investment in markets with over and under-reaction to information
Mathematics and Financial Economics | 2017-11-09 | Paper |
Utility indifference pricing and hedging for structured contracts in energy markets
Mathematical Methods of Operations Research | 2017-08-11 | Paper |
Carthaginian enlargement of filtrations
ESAIM: Probability and Statistics | 2014-04-10 | Paper |
Optimal consumption problems in discontinuous markets
Optimization | 2014-02-07 | Paper |
Portfolio optimization in a defaultable market under incomplete information
Decisions in Economics and Finance | 2013-02-25 | Paper |
| An application to credit risk of a hybrid Monte Carlo-Optimal quantization method | 2009-07-03 | Paper |
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
(available as arXiv preprint) | 2009-01-01 | Paper |
Portfolio optimization in discontinuous markets under incomplete information
Asia-Pacific Financial Markets | 2007-11-27 | Paper |
