|
Variance dynamics and term structure of the natural gas market
|
Energy Economics |
2024 |
A* |
|
Hitting times, number of jumps, and occupation times for continuous-time finite state Markov chains
|
Statistics & Probability Letters |
2023 |
B |
|
Variance minimizing strategies for stochastic processes with applications to tracking stock indices
|
International Review of Finance |
2021 |
A |
|
A structural model for credit risk with switching processes and synchronous jumps
|
The European Journal of Finance |
2016 |
A |
|
Non-Transferable non-hedgeable executive stock option pricing
|
Journal of Economic Dynamics and Control |
2015 |
A* |
|
A multi-factor model with time-varying and seasonal risk premiums for the natural gas market
|
Energy Economics |
2015 |
A* |
|
Risk Premium in Electricity Prices: Evidence from the PJM Market
|
The Journal of Futures Markets |
2013 |
A |
|
Regime Dependent Causality: Equity and Credit Markets
|
International Journal of Financial Markets and Derivatives |
2012 |
C |
|
A Markov chain modulated short-term interest rate model: Inference on Central bank transparency
|
Journal of Applied Statistical Science |
2009 |
C |
|
The effect of investor category trading imbalances on stock returns
|
International Review of Finance |
2008 |
A |
|
Hedging diffusion processes by local risk minimization with applications to index tracking
|
Journal of Economic Dynamics and Control |
2007 |
A* |
|
Real Options Valuation of Australian Gold Mines and Mining Companies
|
The Journal of Alternative Investments |
2003 |
B |
|
DISCONTINUOUS ASSET PRICES AND NON‐ATTAINABLE CONTINGENT CLAIMS
|
Mathematical Finance |
1993 |
A |
|
Martingale representation and hedging policies
|
Stochastic Processes and their Applications |
1991 |
A |