| Publication | Date of Publication | Type |
|---|
Risk-indifference pricing of American-style contingent claims
Probability, Uncertainty and Quantitative Risk | 2026-09-01 | Paper |
When to Sell an Asset? - A Distribution Builder Approach
(available as arXiv preprint) | 2026-01-01 | Paper |
Optimal Selling of Defaultable Assets using the Distribution Builder
(available as arXiv preprint) | 2026-01-01 | Paper |
Understanding the Commodity Futures Term Structure Through Signatures
(available as arXiv preprint) | 2025-01-01 | Paper |
Path Signatures for Feature Extraction. An Introduction to the Mathematics Underpinning an Efficient Machine Learning Technique
(available as arXiv preprint) | 2025-01-01 | Paper |
| Small-time large deviations for sample paths of infinite dimensional symmetric Dirichlet processes | 2024-11-11 | Paper |
Intertemporal Cost-efficient Consumption
(available as arXiv preprint) | 2024-01-01 | Paper |
Examples and Counterexamples of Cost-efficiency in Incomplete Markets
(available as arXiv preprint) | 2024-01-01 | Paper |
Risk-indifference Pricing of American-style Contingent Claims
(available as arXiv preprint) | 2024-01-01 | Paper |
| Cost-efficiency in Incomplete Markets | 2022-06-24 | Paper |
Cost-efficiency in Incomplete Markets
(available as arXiv preprint) | 2022-01-01 | Paper |
Robust XVA
Mathematical Finance | 2021-03-23 | Paper |
| XVA Valuation under Market Illiquidity | 2020-11-06 | Paper |
A risk-sharing framework of bilateral contracts
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
XVA Valuation under Market Illiquidity
(available as arXiv preprint) | 2020-01-01 | Paper |
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
SIAM Journal on Financial Mathematics | 2019-03-20 | Paper |
Arbitrage-free XVA
Mathematical Finance | 2018-05-25 | Paper |
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
Mathematical Finance | 2015-04-24 | Paper |
| Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis | 2015-02-21 | Paper |
Portfolio optimization under convex incentive schemes
Finance and Stochastics | 2015-02-06 | Paper |
| Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples | 2015-01-23 | Paper |
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
(available as arXiv preprint) | 2015-01-01 | Paper |
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
(available as arXiv preprint) | 2015-01-01 | Paper |
On refined volatility smile expansion in the Heston model
Quantitative Finance | 2013-06-27 | Paper |
Is the minimum value of an option on variance generated by local volatility?
SIAM Journal on Financial Mathematics | 2011-05-02 | Paper |
