| Publication | Date of Publication | Type |
|---|
Robust long-term growth rate of expected utility for leveraged ETFs
Mathematics and Financial Economics | 2024-12-27 | Paper |
Financial time series analysis and forecasting with Hilbert-Huang transform feature generation and machine learning
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
Applied Mathematical Finance | 2024-04-23 | Paper |
Constrained dynamic futures portfolios with stochastic basis
Annals of Finance | 2023-04-27 | Paper |
Optimal dynamic futures portfolio under a multifactor Gaussian framework
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
Optimal trading with a trailing stop
Applied Mathematics and Optimization | 2021-04-23 | Paper |
Optimal trading of a basket of futures contracts
Annals of Finance | 2020-06-26 | Paper |
A top-down approach for the multiple exercises and valuation of employee stock options
International Journal of Theoretical and Applied Finance | 2020-06-25 | Paper |
Sparse mean-reverting portfolios via penalized likelihood optimization
Automatica | 2020-01-20 | Paper |
Optimal dynamic basis trading
Annals of Finance | 2019-11-07 | Paper |
Effort expenditure for cash flow in a mean-field equilibrium
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
Annals of Finance | 2019-06-18 | Paper |
Employee stock options. Exercise timing, hedging, and valuation
Modern Trends in Financial Engineering | 2019-05-17 | Paper |
Optimal starting–stopping and switching of a CIR process with fixed costs
Risk and Decision Analysis | 2019-03-12 | Paper |
Timing options for a startup with early termination and competition risks
Risk and Decision Analysis | 2019-03-12 | Paper |
Speculative futures trading under mean reversion
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Dynamic index tracking and risk exposure control using derivatives
Applied Mathematical Finance | 2018-12-03 | Paper |
Optimal static quadratic hedging
Quantitative Finance | 2018-11-14 | Paper |
Implied volatility of leveraged ETF options
Applied Mathematical Finance | 2018-09-18 | Paper |
An optimal multiple stopping approach to infrastructure investment decisions
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Mean reversion trading with sequential deadlines and transaction costs
International Journal of Theoretical and Applied Finance | 2018-03-15 | Paper |
Leveraged ETF implied volatilities from ETF dynamics
Mathematical Finance | 2017-10-24 | Paper |
LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
International Journal of Theoretical and Applied Finance | 2017-10-13 | Paper |
Optimal mean-reverting spread trading: nonlinear integral equation approach
Annals of Finance | 2017-10-13 | Paper |
Impact of risk aversion and belief heterogeneity on trading of defaultable claims
Annals of Operations Research | 2016-11-07 | Paper |
Pricing derivatives with counterparty risk and collateralization: a fixed point approach
European Journal of Operational Research | 2016-10-07 | Paper |
Leveraged exchange-traded funds. Price dynamics and options valuation
SpringerBriefs in Quantitative Finance | 2016-04-12 | Paper |
Optimal multiple trading times under the exponential OU model with transaction costs
Stochastic Models | 2015-12-08 | Paper |
An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
ESO valuation with job termination risk and jumps in stock price
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
SIAM Journal on Control and Optimization | 2015-08-20 | Paper |
OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
International Journal of Theoretical and Applied Finance | 2015-06-29 | Paper |
Stochastic modeling and fair valuation of drawdown insurance
Insurance Mathematics & Economics | 2014-06-23 | Paper |
American step-up and step-down default swaps under Lévy models
Quantitative Finance | 2014-02-08 | Paper |
Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Finance and Stochastics | 2013-11-06 | Paper |
Risk premia and optimal liquidation of credit derivatives
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
Accounting for risk aversion in derivatives purchase timing
Mathematics and Financial Economics | 2013-02-26 | Paper |
Default swap games driven by spectrally negative Lévy processes
Stochastic Processes and their Applications | 2013-01-24 | Paper |
Forward indifference valuation of American options
Stochastics | 2012-12-13 | Paper |
Optimal timing to purchase options
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Credit derivatives and risk aversion
Econometrics and Risk Management | 2010-06-30 | Paper |
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
SIAM Journal on Control and Optimization | 2010-06-10 | Paper |
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
Mathematical Finance | 2009-03-06 | Paper |
