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Calibration of local-stochastic volatility models by optimal transport
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Mathematical Finance |
2022 |
A |
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Joint Modeling and Calibration of SPX and VIX by Optimal Transport
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SIAM Journal on Financial Mathematics |
2022 |
B |
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Robust utility maximization under model uncertainty via a penalization approach
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Mathematics and Financial Economics |
2022 |
C |
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VALUATION OF GENERAL CONTINGENT CLAIMS WITH SHORT SELLING BANS: AN EQUAL-RISK PRICING APPROACH
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International Journal of Theoretical and Applied Finance |
2022 |
B |
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Path dependent optimal transport and model calibration on exotic derivatives
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Annals of Applied Probability |
2021 |
A |
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Portfolio optimization with a prescribed terminal wealth distribution
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Quantitative Finance |
2021 |
A |
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Optimal execution with regime-switching market resilience
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Journal of Economic Dynamics and Control |
2019 |
A* |
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Pricing Bounds for Volatility Derivatives via Duality and Least Squares Monte Carlo
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Journal of Optimization Theory and Applications |
2018 |
A |
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Arbitrage-free pricing of multi-person game claims in discrete time
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Finance and Stochastics |
2017 |
A |
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Equal risk pricing under convex trading constraints
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Journal of Economic Dynamics and Control |
2017 |
A* |
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Discrete time stochastic multi-player competitive games with affine payoffs
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Stochastic Processes and their Applications |
2016 |
A |
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Effective and simple VWAP options pricing model
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International Journal of Theoretical and Applied Finance |
2014 |
B |
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New Analytic Approach to Address Put-Call Parity Violation due to Discrete Dividends
|
Applied Mathematical Finance |
2012 |
B |