| Publication | Date of Publication | Type |
|---|
Probabilistic interpretation of black implied volatility
| 2024-09-06 | Paper |
Convex duality in continuous option pricing models
Annals of Operations Research | 2024-06-04 | Paper |
Optionality as a binary operation
Frontiers of Mathematical Finance | 2023-09-27 | Paper |
Option pricing generators
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
Decomposing Long Bond Returns: A Decentralized Theory
Review of Finance | 2023-06-30 | Paper |
Static replication of European standard dispersion options
Quantitative Finance | 2022-05-27 | Paper |
A functional analysis approach to the static replication of European options
Quantitative Finance | 2021-12-01 | Paper |
Additive logistic processes in option pricing
Finance and Stochastics | 2021-11-02 | Paper |
Spiking the Volatility Punch
Applied Mathematical Finance | 2021-06-21 | Paper |
Two extensions to barrier option valuation
Applied Mathematical Finance | 2021-06-18 | Paper |
Why is VIX a fear gauge?
Risk and Decision Analysis | 2019-03-12 | Paper |
From local volatility to local Lévy models
| 2019-01-15 | Paper |
Optimal positioning in derivative securities
Quantitative Finance | 2019-01-14 | Paper |
Convex duality and financial mathematics
SpringerBriefs in Mathematics | 2018-06-29 | Paper |
Randomization and the American put
Review of Financial Studies | 2018-04-06 | Paper |
Local variance gamma and explicit calibration to option prices
Mathematical Finance | 2017-03-13 | Paper |
Hedging insurance books
Insurance Mathematics & Economics | 2016-12-13 | Paper |
On the hedging of options on exploding exchange rates
Finance and Stochastics | 2014-11-14 | Paper |
Why are quadratic normal volatility models analytically tractable?
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Options on realized variance and convex orders
Quantitative Finance | 2013-12-13 | Paper |
Variation and share-weighted variation swaps on time-changed Lévy processes
Finance and Stochastics | 2013-11-06 | Paper |
Jump without tears: a new splitting technology for barrier options
| 2013-04-17 | Paper |
Factor models for option pricing
Asia-Pacific Financial Markets | 2013-01-29 | Paper |
Explicit constructions of martingales calibrated to given implied volatility smiles
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Computational Economics | 2013-01-11 | Paper |
Static hedging under time-homogeneous diffusions
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Maximum drawdown insurance
International Journal of Theoretical and Applied Finance | 2012-03-13 | Paper |
Semi-static hedging of barrier options under Poisson jumps
International Journal of Theoretical and Applied Finance | 2011-12-28 | Paper |
A PDE approach to jump-diffusions
Quantitative Finance | 2011-04-29 | Paper |
Multi-asset stochastic local variance contracts
Mathematical Finance | 2011-02-02 | Paper |
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
Quantitative Finance | 2010-12-20 | Paper |
Time-changed Markov processes in unified credit-equity modeling
Mathematical Finance | 2010-10-15 | Paper |
Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
Review of Derivatives Research | 2010-09-16 | Paper |
Local volatility enhanced by a jump to default
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Saddlepoint methods for option pricing
The Journal of Computational Finance | 2009-10-26 | Paper |
scientific article; zbMATH DE number 5499200 (Why is no real title available?)
| 2009-01-28 | Paper |
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
SELF-DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance | 2007-06-08 | Paper |
Generating integrable one dimensional driftless diffusions
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
A jump to default extended CEV model: an application of Bessel processes
Finance and Stochastics | 2006-12-08 | Paper |
Pricing options on realized variance
Finance and Stochastics | 2006-05-24 | Paper |
THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS
International Journal of Theoretical and Applied Finance | 2005-05-06 | Paper |
Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
Theory of Probability & Its Applications | 2004-12-16 | Paper |
Stochastic Volatility for Lévy Processes
Mathematical Finance | 2004-08-23 | Paper |
Determining volatility surfaces and option values from an implied volatility smile
| 2003-06-19 | Paper |
Towards a theory of volatility trading
| 2002-08-19 | Paper |
Optimal investment in derivative securities
Finance and Stochastics | 2001-09-16 | Paper |
Simulating Bermudan interest rate derivatives
| 2001-07-12 | Paper |
On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited
| 2001-02-09 | Paper |
The Valuation of Executive Stock Options in an Intensity-Based Framework *
European Finance Review | 2000-01-01 | Paper |
scientific article; zbMATH DE number 1069621 (Why is no real title available?)
| 1998-11-01 | Paper |
The Variance Gamma Process and Option Pricing
Review of Finance | 1998-01-01 | Paper |
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Mathematical Finance | 1997-08-31 | Paper |
