| Publication | Date of Publication | Type |
|---|
Corporate debt value under transition scenario uncertainty
Mathematical Finance | 2025-01-20 | Paper |
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Mathematics and Financial Economics | 2024-11-01 | Paper |
A mean-field game model of electricity market dynamics
| 2024-09-25 | Paper |
Implied volatility asymptotics: Black-Scholes and beyond
| 2024-09-06 | Paper |
Stochastic optimization with dynamic probabilistic forecasts
Annals of Operations Research | 2024-06-04 | Paper |
Importance sampling for McKean-Vlasov SDEs
Applied Mathematics and Computation | 2023-06-27 | Paper |
Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
ESAIM: Mathematical Modelling and Numerical Analysis | 2023-05-25 | Paper |
Price formation and optimal trading in intraday electricity markets
Network Games, Control and Optimization | 2022-10-24 | Paper |
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
| 2022-10-07 | Paper |
Price formation and optimal trading in intraday electricity markets
Mathematics and Financial Economics | 2022-04-01 | Paper |
Control and optimal stopping mean field games: a linear programming approach
Electronic Journal of Probability | 2022-02-22 | Paper |
The entry and exit game in the electricity markets: a mean-field game approach
Journal of Dynamics and Games | 2022-01-20 | Paper |
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
Advances in Applied Probability | 2022-01-18 | Paper |
Mean-field games of optimal stopping: a relaxed solution approach
SIAM Journal on Control and Optimization | 2020-11-03 | Paper |
Volatility options in rough volatility models
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
The entry and exit game in the electricity markets: a mean-field game approach
| 2020-04-29 | Paper |
Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Optimal importance sampling for Lévy processes
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Regression Monte Carlo for microgrid management
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Implied volatility of basket options at extreme strikes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
| 2018-09-17 | Paper |
Approximate indifference pricing in exponential Lévy models
Applied Mathematical Finance | 2018-09-06 | Paper |
Arbitrage and utility maximization in market models with an insider
Mathematics and Financial Economics | 2018-09-05 | Paper |
Asymptotic optimal tracking: feedback strategies
Stochastics | 2018-09-04 | Paper |
Optimal trading policies for wind energy producer
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Asymptotic lower bounds for optimal tracking: a linear programming approach
The Annals of Applied Probability | 2017-11-07 | Paper |
Approximate option pricing in the Lévy Libor model
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Hedging under multiple risk constraints
Finance and Stochastics | 2017-04-13 | Paper |
Lévy copulas: review of recent results
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Optimal discretization of hedging strategies with directional views
SIAM Journal on Financial Mathematics | 2016-03-31 | Paper |
Tails of weakly dependent random vectors
Journal of Multivariate Analysis | 2016-02-29 | Paper |
A new look at short-term implied volatility in asset price models with jumps
Mathematical Finance | 2016-02-22 | Paper |
Tail behavior of sums and differences of log-normal random variables
Bernoulli | 2016-02-22 | Paper |
Market Models with Optimal Arbitrage
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Finite-dimensional representations for controlled diffusions with delay
Applied Mathematics and Optimization | 2015-04-21 | Paper |
Optimal consumption policies in illiquid markets
Finance and Stochastics | 2014-12-17 | Paper |
Optimal simulation schemes for Lévy driven stochastic differential equations
Mathematics of Computation | 2014-09-10 | Paper |
Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
Bernoulli | 2014-08-08 | Paper |
Asymptotically optimal discretization of hedging strategies with jumps
The Annals of Applied Probability | 2014-06-13 | Paper |
Pricing and hedging gap risk
The Journal of Computational Finance | 2014-04-23 | Paper |
High order weak approximation schemes for Lévy-driven SDEs
Springer Proceedings in Mathematics & Statistics | 2013-07-31 | Paper |
Swing options valuation: a BSDE with constrained jumps approach
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
A finite-dimensional approximation for pricing moving average options
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Portfolio insurance under a risk-measure constraint
Insurance Mathematics & Economics | 2011-12-21 | Paper |
Tracking errors from discrete hedging in exponential Lévy models
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
Asymptotic results for time-changed Lévy processes sampled at hitting times
Stochastic Processes and their Applications | 2011-07-08 | Paper |
Improved Fréchet bounds and model-free pricing of multi-asset options
Journal of Applied Probability | 2011-07-08 | Paper |
Arbitrage opportunities in misspecified stochastic volatility models
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
A model of optimal consumption under liquidity risk with random trading times
Mathematical Finance | 2011-06-09 | Paper |
Pricing and hedging in exponential Lévy models: review of recent results
Paris-Princeton Lectures on Mathematical Finance 2010 | 2010-12-14 | Paper |
Jump-adapted discretization schemes for Lévy-driven SDEs
Stochastic Processes and their Applications | 2010-11-19 | Paper |
Lévy processes in finance: inverse problems and modeling of dependence.
| 2010-05-28 | Paper |
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Mathematical Finance | 2009-08-28 | Paper |
A coupled system of integrodifferential equations arising in liquidity risk model
Applied Mathematics and Optimization | 2009-08-06 | Paper |
Asymptotic analysis of hedging errors in models with jumps
Stochastic Processes and their Applications | 2009-06-04 | Paper |
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
International Journal of Theoretical and Applied Finance | 2008-09-29 | Paper |
scientific article; zbMATH DE number 5227619 (Why is no real title available?)
| 2008-01-17 | Paper |
Monte Carlo option pricing for tempered stable (CGMY) processes
Asia-Pacific Financial Markets | 2007-11-27 | Paper |
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
SIAM Journal on Control and Optimization | 2007-03-20 | Paper |
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis | 2006-08-14 | Paper |
Financial Modelling with Jump Processes
| 2004-10-20 | Paper |
A mean-field game model of electricity market dynamics
| N/A | Paper |
