| Publication | Date of Publication | Type |
|---|
The additive Bachelier model with an application to the oil option market in the Covid period
Journal of Computational and Applied Mathematics | 2026-07-15 | Paper |
Fast and general simulation of Lévy-driven Ornstein-Uhlenbeck processes for energy derivatives
Journal of Computational and Applied Mathematics | 2026-07-15 | Paper |
Smile asymptotics for Bachelier implied volatility
(available as arXiv preprint) | 2026-01-01 | Paper |
Short-time implied volatility of additive normal tempered stable processes
Annals of Operations Research | 2024-06-04 | Paper |
A fast Monte Carlo scheme for additive processes and option pricing
Computational Management Science | 2023-08-22 | Paper |
| Is (independent) subordination relevant in option pricing? | 2023-07-14 | Paper |
Is (independent) subordination relevant in option pricing?
(available as arXiv preprint) | 2023-01-01 | Paper |
Additive normal tempered stable processes for equity derivatives and power-law scaling
Quantitative Finance | 2022-05-05 | Paper |
Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach
Journal of Global Optimization | 2021-09-29 | Paper |
A method that reveals the multi-level ultrametric tree hidden in p-spin-glass-like systems
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Back-of-the-envelope swaptions in a very parsimonious multi-curve interest rate model
International Journal of Theoretical and Applied Finance | 2019-09-09 | Paper |
Vol-bond: an analytical solution
Quantitative Finance | 2019-01-14 | Paper |
A joint model for temperature and natural gas with an application to the US market
Quantitative Finance | 2018-11-19 | Paper |
CVA with Wrong-Way Risk in the Presence of Early Exercise
Innovations in Derivatives Markets | 2018-10-22 | Paper |
A note on dual-curve construction: Mr. Crab's bootstrap
Applied Mathematical Finance | 2018-09-18 | Paper |
A perturbative approach to Bermudan options pricing with applications
Quantitative Finance | 2014-02-08 | Paper |
Multiscale analysis of hierarchical landscapes
Physica D | 2010-09-11 | Paper |
A GENERAL METHODOLOGY TO PRICE AND HEDGE DERIVATIVES IN INCOMPLETE MARKETS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
TRANSACTION COSTS: A NEW POINT OF VIEW
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
A simple solution for sticky cap and sticky floor
Quantitative Finance | 2007-10-09 | Paper |
BOND MARKET MODEL
International Journal of Theoretical and Applied Finance | 2006-08-14 | Paper |
MOVING AVERAGES AND PRICE DYNAMICS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Antipersistent Markov behavior in foreign exchange markets
Physica A | 2002-08-21 | Paper |
Correlations and multi-affinity in high frequency financial datasets
Physica A | 2001-10-23 | Paper |
Optimal strategies for prudent investors
International Journal of Theoretical and Applied Finance | 2001-02-28 | Paper |
A variational approach to Ising spin glasses in finite dimensions
Journal of Physics A: Mathematical and General | 1999-11-30 | Paper |
