| Publication | Date of Publication | Type |
|---|
Optimal order execution under price impact: a hybrid model
Annals of Operations Research | 2024-06-04 | Paper |
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Decisions in Economics and Finance | 2020-01-31 | Paper |
Target volatility option pricing in the lognormal fractional SABR model
Quantitative Finance | 2019-09-26 | Paper |
Bridge representation and modal-path approximation
Stochastic Processes and their Applications | 2018-12-28 | Paper |
Implied Volatility from Local Volatility: A Path Integral Approach
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Optimal execution with uncertain order fills in Almgren-Chriss framework
Quantitative Finance | 2018-11-19 | Paper |
Most-likely-path in Asian option pricing under local volatility models
International Journal of Theoretical and Applied Finance | 2018-09-04 | Paper |
Bessel bridge representation for the heat kernel in hyperbolic space
Proceedings of the American Mathematical Society | 2018-01-30 | Paper |
Asymptotics of implied volatility in local volatility models
Mathematical Finance | 2013-05-14 | Paper |
The heat-kernel most-likely-path approximation
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Sensitivity analysis of nongaussianity by projection pursuit
STATISTICA SINICA | 2011-11-10 | Paper |
Generalized uncorrelated SABR models with a high degree of symmetry
Quantitative Finance | 2010-08-05 | Paper |
| scientific article; zbMATH DE number 5586154 (Why is no real title available?) | 2009-07-23 | Paper |
| scientific article; zbMATH DE number 5586154 (Why is no real title available?) | 2009-07-23 | Paper |
Pair-perturbation influence functions of nongaussianity by projection pursuit
Computational Statistics and Data Analysis | 2009-06-16 | Paper |
Pair-perturbation influence functions and local influence in PCA
Computational Statistics and Data Analysis | 2009-06-02 | Paper |
Influence functions and local influence in linear discriminant analysis
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
Insurance Mathematics & Economics | 2009-03-04 | Paper |
Influence analysis of non-Gaussianity by applying projection pursuit
Statistics & Probability Letters | 2008-01-21 | Paper |
Generating integrable one dimensional driftless diffusions
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2006-10-16 | Paper |
Static-arbitrage upper bounds for the prices of basket options
Quantitative Finance | 2006-03-08 | Paper |
Static-arbitrage optimal subreplicating strategies for basket options
Insurance Mathematics & Economics | 2006-03-08 | Paper |
Sharp Upper and Lower Bounds for Basket Options
Applied Mathematical Finance | 2005-10-27 | Paper |
Inequalities between Dirichlet and Neumann eigenvalues for domains in spheres.
Taiwanese Journal of Mathematics | 2002-05-22 | Paper |
Graphs with prescribed mean curvature in the sphere
Bulletin of the Institute of Mathematics. Academia Sinica | 2002-05-13 | Paper |
A global pinching theorem for surfaces with constant mean curvature in \(S^3\)
Proceedings of the American Mathematical Society | 2001-10-21 | Paper |
