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- (with M. Terhanchi) A Characterization of Hedging Portfolios for Interest Rate Contingent Claims.
pdf.file
- (with A. Danilova) Consistency of the Geometric Brownian Motion Model of Stock Prices with Asymmetric Information.
pdf.file
- (with N. Touzi) Optimal Multiple Stopping and Valuation of Swing Options.
pdf.file
- (with S. Dayanik) Optimal Multiple Stopping of Linear Diffusions.
pdf.file
- (with V. Durrleman) Pricing and Hedging Multivariate Contingent Claims.
pdf.file
- (with V. Durrleman) Pricing and Hedging Spread Options.
pdf.file
- (with M. Ludkowski) Spot Convenience Yield Models for the Energy Markets.
pdf.file
- (with D. Villani) Monte Carlo Helps with Pricing.
pdf.file
- (with D. Villani and R.M. Ghigliazza) A Discrete Affair.
pdf.file
- (with P.Diko) Indifference Pricing of Precipitation Options.
pdf.file
- (with M. Ludkowski) Convenience Yield Models with Partial Observations and Exponential Utility.
pdf.file
- (with M. Ludkowski) Pricing Asset Scheduling Flexibility using Optimal Switching
pdf.file(to appear in Applied Mathematical Finance)
- (with M. Ludkowski) Valuation of Energy Storage: An Optimal Switching Approach
pdf.file (submitted to Quantitative Finance)
- (with D. Vestal and J.P. Fouque): Interacting Particle Systems for the Computation of CDO Tranche Spreads with Rare Defaults. pdf.file
- HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets.
pdf.file(to appear in {\it Paris -Princeton
Lectures in Mathematical Finance, 2004.\/} Lect. Notes in Math.
- (with S. Nadotchiy) Local Volatility Dynamic Models
pdf.file (submitted to Stochastics and Finance)
- (with M. Fehr, J. Hinz and A. Porchet) Market Design for Emissions Trading Schemes. (Apr. 2008)
pdf.file (submitted for publication)
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- (with L. Xu) Calibrating Arbitrage-Free Stochastic Volatility Models based on Relative Entropy Distances.
pdf.file
- (with V. Durrleman) Pricing and Hedging Spread Options in a Log-Normal Model.
pdf.file
- (with E. Ozgur) Statistical Evidence of Contagion in Emerging Markets.
pdf.file
- (with S. Brendle) Hedging in Partially Observed Markets.
pdf.file
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