(with K. Webster) The Self-financing Condition in High Frequency Markets pdf.file
(with K. Webster) Structural Relationships in a Limit Order Book pdf.file
(with K. Webster) High Frequency Market Making pdf.file
(with M. Coulon and D. Schwarz) The valuation of clean spread options: linking electricity, emissions and fuels pdf.file
(with M. Coulon and D. Schwarz) Electricity Price Modeling and Asset Valuation: a Multi-Fuel Approach pdf.file
(with J. Hinz) Least Squares Monte Carlo Approach to Convex Control Problems pdf file
(with Y. Sun) Implied and Local Correlations from Spread Options pdf.file
(with J. Yang) Predatory Trading: a Game on Volatility and Liquidity pdf.file
(with F. Delarue, G-E. Espinosa and N. Touzi) Singular forward-backward stochastic differential equations and emissions derivatives pdf.file
(with M. Fehr) Auctions and Relative Allocation Mechanisms for Cap-and-Trade Schemes pdf.file
(with J. Hinz) Risk-Neutral Modeling of Emission Allowance Prices and Option Valuation pdf.file
(with S. Nadtochiy) Tangent Models as a Mathematical Framework for Dynamic Calibration pdf.file
(with S. Nadtochiy) Tangent L'evy Market Models pdf.file
(with M. Fehr) The Clean Development Mechanism and CER Price Formation in the Carbon Emissions Markets pdf.file
(with M. Fehr and J. Hinz) Properly Designed Emissions Trading Schemes can Work! pdf.file
(with S. Crepey) Importance Sampling and Interacting Particle Systems for the Estimation of Markovian Credit Portfolio Loss Distributions. pdf.file
(with S. Nadtochiy) An Infinite Dimensional Stochastic Analysis Approach to Local Volatility Dynamic Models pdf.file
(with M. Fehr, J. Hinz and A. Porchet) Market Design for Emissions Trading Schemes pdf.file
(with M. Fehr and J. Hinz) Optimal Stochastic Control and Carbon Price Formation pdf.file
(with J.P. Fouque and D. Vestal): Interacting Particle Systems for the Computation of CDO Tranche Spreads with Rare Defaults. pdf.file
(with S. Nadotchiy) Local Volatility Dynamic Models pdf.file
(with A. Danilova) Consistency of the Geometric Brownian Motion Model of Stock Prices with Asymmetric Information. pdf.file
(with S. Brendle) Hedging in Partially Observed Markets. pdf.file
(with M. Ludkovski) Valuation of Energy Storage: An Optimal Switching Approach pdf.file
(with M. Ludkovski) Pricing Asset Scheduling Flexibility using Optimal Switching pdf.file
(with M. Ludkovski) Spot Convenience Yield Models for the Energy Markets. pdf.file
(with M. Ludkovski) Convenience Yield Models with Partial Observations and Exponential Utility. pdf.file
(with V. Durrleman) Pricing and Hedging Multivariate Contingent Claims. pdf.file
(with P. Diko) Indifference Pricing of Precipitation Options. pdf.file
(with M. Tehranchi) A Characterization of Hedging Portfolios for Interest Rate Contingent Claims. pdf.file
(with V. Durrleman) Pricing and Hedging Spread Options. pdf.file
(with V. Durrleman) Pricing and Hedging Spread Options in a Log-Normal Model. 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 S. Dayanik) Optimal Multiple Stopping of Linear Diffusions. pdf.file
(with N. Touzi) Optimal Multiple Stopping and Valuation of Swing Options. pdf.file
(with L. Xu) Calibrating Arbitrage-Free Stochastic Volatility Models based on Relative Entropy Distances. pdf.file
(with E. Ozgur) Statistical Evidence of Contagion in Emerging Markets. pdf.file