| Publication | Date of Publication | Type |
|---|
Machine learning for asset management and pricing
Other Titles in Applied Mathematics | 2024-07-19 | Paper |
Optimal control of the SIR model with constrained policy, with an application to COVID-19
Mathematical Biosciences | 2022-03-22 | Paper |
Corrigendum to: ``A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
Advances in Decision Sciences | 2022-03-07 | Paper |
An infinite-dimensional model of liquidity in financial markets
Probability, Uncertainty and Quantitative Risk | 2021-11-09 | Paper |
Optimal control of the SIR model in the presence of transmission and treatment uncertainty
Mathematical Biosciences | 2021-11-08 | Paper |
Dyson type formula for pure jump Lévy processes with some applications to finance
Stochastic Processes and their Applications | 2020-01-24 | Paper |
American option pricing with regression: convergence analysis
International Journal of Theoretical and Applied Finance | 2020-01-16 | Paper |
On the distribution of extended CIR model
Statistics & Probability Letters | 2019-02-20 | Paper |
Semigroup solution of path-dependent second-order parabolic partial differential equations
International Journal of Stochastic Analysis | 2018-10-15 | Paper |
Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
Statistical Inference for Stochastic Processes | 2018-04-16 | Paper |
A representation theorem for smooth Brownian martingales
Stochastics | 2016-11-25 | Paper |
A New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance
| 2016-02-05 | Paper |
Estimation of the Pointwise H\"older Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients
| 2015-12-16 | Paper |
Generating random vectors using transformation with multiple roots and its applications
| 2015-09-15 | Paper |
Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations
| 2014-06-05 | Paper |
A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility
| 2013-12-12 | Paper |
A Representation Theorem for Smooth Brownian Martingales
| 2012-05-01 | Paper |
Credit risk in a network economy
Management Science | 2012-02-21 | Paper |
A trading mechanism contingent on several indices
European Journal of Operational Research | 2011-08-10 | Paper |
A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
Advances in Decision Sciences | 2010-09-29 | Paper |
Optimal changes of Gaussian measures, with an application to resimulation
| 2010-04-21 | Paper |
A double-sided multiunit combinatorial auction for substitutes: Theory and algorithms
European Journal of Operational Research | 2009-04-30 | Paper |
An Algorithm for Optimal Stopping With Path-Dependent Rewards Based on Regression And Malliavin Calculus
AIP Conference Proceedings | 2009-01-22 | Paper |
An analytical characterization for an optimal change of Gaussian measures
Journal of Applied Mathematics and Decision Sciences | 2008-11-20 | Paper |
A new simulation approach to the LIBOR market model
Mathematical and Computer Modelling | 2008-03-12 | Paper |
A note on the first moment of makespan in an assembly shop
European Journal of Operational Research | 2007-03-08 | Paper |
A formulation of combinatorial auction via reverse convex programming
Journal of Applied Mathematics and Decision Sciences | 2006-08-28 | Paper |
scientific article; zbMATH DE number 1390123 (Why is no real title available?)
| 2000-06-14 | Paper |
Combination trading with limit orders
Journal of Applied Mathematics and Decision Sciences | 1998-03-04 | Paper |
