| Publication | Date of Publication | Type |
|---|
Fractional Ito calculus
Transactions of the American Mathematical Society, Series B | 2024-04-14 | Paper |
Dynamics of market making algorithms in dealer markets: Learning and tacit collusion
Mathematical Finance | 2024-03-14 | Paper |
Simulation of Arbitrage-Free Implied Volatility Surfaces
Applied Mathematical Finance | 2024-01-11 | Paper |
A model‐free approach to continuous‐time finance
Mathematical Finance | 2023-09-28 | Paper |
In memoriam: Marco Avellaneda (1955–2022)
Mathematical Finance | 2023-09-28 | Paper |
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Mathematical Finance | 2023-09-28 | Paper |
Causal functional calculus
Transactions of the London Mathematical Society | 2023-08-01 | Paper |
Analysis and modeling of client order flow in limit order markets
Quantitative Finance | 2023-06-20 | Paper |
Quadratic variation and quadratic roughness
Bernoulli | 2022-12-19 | Paper |
Quadratic variation along refining partitions: constructions and examples
Journal of Mathematical Analysis and Applications | 2022-04-06 | Paper |
Rough volatility: fact or artefact?
| 2022-03-24 | Paper |
A stochastic partial differential equation model for limit order book dynamics
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
Universal features of price formation in financial markets: perspectives from deep learning
Quantitative Finance | 2019-09-26 | Paper |
Quadratic variation and quadratic roughness
| 2019-07-06 | Paper |
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
Transactions of the American Mathematical Society, Series B | 2019-05-06 | Paper |
On pathwise quadratic variation for càdlàg functions
Electronic Communications in Probability | 2019-02-14 | Paper |
Empirical properties of asset returns: stylized facts and statistical issues
Quantitative Finance | 2019-01-14 | Paper |
Dynamics of implied volatility surfaces
Quantitative Finance | 2019-01-14 | Paper |
Optimal order placement in limit order markets
Quantitative Finance | 2018-11-19 | Paper |
Pathwise integration with respect to paths of finite quadratic variation
Journal de Mathématiques Pures et Appliquées. Neuvième Série | 2017-05-23 | Paper |
Credit default swaps and systemic risk
Annals of Operations Research | 2017-03-03 | Paper |
Fire sales forensics: measuring endogenous risk
Mathematical Finance | 2016-11-01 | Paper |
Pathwise calculus for non-anticipative functionals
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Functional Kolmogorov equations
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Weak functional calculus for square-integrable processes
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Overview
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
The functional Itô formula
Advanced Courses in Mathematics - CRM Barcelona | 2016-06-24 | Paper |
Institutional investors and the dependence structure of asset returns
International Journal of Theoretical and Applied Finance | 2016-04-14 | Paper |
Resilience to contagion in financial networks
Mathematical Finance | 2016-04-14 | Paper |
Weak approximation of martingale representations
Stochastic Processes and their Applications | 2016-02-15 | Paper |
Forward equations for option prices in semimartingale models
Finance and Stochastics | 2015-08-04 | Paper |
Functional calculus and martingale representation formula for integer-valued measures
| 2015-07-31 | Paper |
scientific article; zbMATH DE number 6288703 (Why is no real title available?)
| 2014-04-25 | Paper |
Central clearing of OTC derivatives: bilateral vs multilateral netting
Statistics & Risk Modeling | 2014-03-17 | Paper |
Constant proportion debt obligations (CPDOs): modeling and risk analysis
Quantitative Finance | 2014-01-24 | Paper |
Price dynamics in a Markovian limit order market
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Running for the exit: distressed selling and endogenous correlation in financial markets
Mathematical Finance | 2013-10-11 | Paper |
Equity correlations implied by index options: estimation and model uncertainty analysis
Mathematical Finance | 2013-09-04 | Paper |
Loss-based risk measures
Statistics & Risk Modeling | 2013-07-25 | Paper |
A consistent pricing model for index options and volatility derivatives
Mathematical Finance | 2013-04-29 | Paper |
Functional Itō calculus and stochastic integral representation of martingales
The Annals of Probability | 2013-03-15 | Paper |
Recovering portfolio default intensities implied by CDO quotes
Mathematical Finance | 2013-02-28 | Paper |
Nonparametric tests for pathwise properties of semimartingales
Bernoulli | 2012-09-19 | Paper |
Stress testing the resilience of financial networks
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Short-time asymptotics for marginal distributions of semimartingales
| 2012-02-06 | Paper |
A stochastic model for order book dynamics
Operations Research | 2011-11-17 | Paper |
A reduced basis for option pricing
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
Dynamic hedging of portfolio credit derivatives
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
Social distance, heterogeneity and social interactions
Journal of Mathematical Economics | 2010-09-06 | Paper |
Default intensities implied by CDO spreads: inversion formula and model calibration
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
Robustness and sensitivity analysis of risk measurement procedures
Quantitative Finance | 2010-08-05 | Paper |
Change of variable formulas for non-anticipative functionals on path space
Journal of Functional Analysis | 2010-07-19 | Paper |
Encyclopedia of quantitative finance. 4 Volumes.
| 2010-03-30 | Paper |
A functional extension of the Ito formula
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2010-02-12 | Paper |
Volatility clustering in financial markets: empirical facts and agent-based models
| 2010-02-05 | Paper |
Mimicking the marginal distributions of a semimartingale
| 2009-10-21 | Paper |
Long range dependence in financial markets
| 2009-09-16 | Paper |
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Mathematical Finance | 2009-08-28 | Paper |
Small-world graphs: characterization and alternative constructions
Advances in Applied Probability | 2009-02-16 | Paper |
scientific article; zbMATH DE number 5287151 (Why is no real title available?)
| 2008-06-11 | Paper |
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
Mathematical Finance | 2008-04-03 | Paper |
scientific article; zbMATH DE number 5227619 (Why is no real title available?)
| 2008-01-17 | Paper |
Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem
SIAM Journal on Control and Optimization | 2007-03-20 | Paper |
A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
SIAM Journal on Numerical Analysis | 2006-06-02 | Paper |
Integro-differential equations for option prices in exponential Lévy models
Finance and Stochastics | 2006-05-24 | Paper |
MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
International Journal of Theoretical and Applied Finance | 2005-07-06 | Paper |
Financial Modelling with Jump Processes
| 2004-10-20 | Paper |
Phenomenology of the interest rate curve
Applied Mathematical Finance | 2002-09-04 | Paper |
scientific article; zbMATH DE number 1552554 (Why is no real title available?)
| 2002-02-25 | Paper |
Strings attached.
| 2002-01-06 | Paper |
HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
Macroeconomic Dynamics | 2000-01-01 | Paper |
