Cambridge
University Press, September 2011.
- Portfolio
Optimization & Stochastic Volatility Asymptotics, with
J.-P. Fouque & T. Zariphopoulou, March 2013, submitted.
- Implied Volatility of Leveraged
ETF Options, with T. Leung, October 2012, submitted.
- A Regime-Switching
Heston Model for VIX and S&P 500 Implied Volatilities, with
A. Papanicolaou, October 2012, revised April 2013, submitted.
- Second Order
Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal
Layer Analysis & Calibration, with J.-P. Fouque &
M. Lorig, August 2012, submitted, revised April 2013.
- A Model
for Hedging Load and Price Risk in the Texas Electricity Market,
with M. Coulon & W. Powell, August 2012, revised May
2013, submitted.
- Oligopoly Games under Asymmetric Costs and an Application to Energy Production, with
A. Ledvina, Mathematics and Financial Economics, 6(4),
2012, pages 261-293. [Previously titled ``Static &
Dynamic Oligopoly Games under Asymmetric Costs''. An earlier version on
static games was titled ``Bertrand and Cournot
competition under asymmetric costs: number of active firms in
equilibrium''; first draft October 2010.]
- From Smile
Asymptotics to Market Risk Measures, with S. Sturm, July
2011, to appear in Mathematical Finance.
- Dynamic Bertrand
and Cournot Competition: Asymptotic and Computational Analysis of
Product Differentiation,
with A. Ledvina, Risk and Decision Analysis 3(3), 2012,
pages 149-165.
- Exploration and
Exhaustibility in Dynamic Cournot Games, with M. Ludkovski, European
Journal on Applied Mathematics, 23(3), 2012, pages 343-372.
- Dynamic Bertrand Oligopoly,
with A. Ledvina, Applied Mathematics and Optimization
63(1), 2011, pages 11-44.
- Forward Indifference Valuation of American Options,
with T. Leung & T. Zariphopoulou, Stochastics
84(5-6), 2012, pages 741-770.
- Games with Exhaustible Resources,
with C. Harris & S. Howison, SIAM J. Applied
Mathematics 70(7), 2010, pages 2556-2581.
- A Framework for Dynamic
Hedging under Convex Risk Measures, with A. Toussaint,
November 2008. Appears in Proceedings of 2008
Ascona Seminar on Stochastic Analysis, Random Fields
and Applications (eds. R. Dalang, M. Dozzi, F. Russo),
Birkhauser, 2011.
- Multiname and
Multiscale Default Modeling, with J.-P. Fouque &
K. Solna, SIAM J. Multiscale Modeling and Simulation 7(4),
2009, pages 1956-1978.
- Option pricing under
stochastic volatility: the exponential Ornstein-Uhlenbeck model,
with J. Perello & J. Masoliver, Journal of Statistical
Mechanics (2008), P06010.
- Optimal Static-Dynamic
Hedges for Exotic Options under Convex Risk Measures, with
A. Ilhan & M. Jonsson,
Stochastic Processes & Applications 119(10), 2009, pages 3608-3632.
- Exponential
Hedging with Optimal Stopping and Application to ESO Valuation,
with T. Leung, SIAM J. Control & Optimization 48(3),
2009, pages 1422-1451.
- Credit Derivatives and Risk
Aversion, with T. Leung & T. Zariphopoulou, in Advances in Econometrics (eds.
T. Fomby, J.-P. Fouque and K. Solna), 2008, Elsevier
Science.
- Multiscale
Intensity Models and Name Grouping for Valuation of Multi-name Credit
Derivatives, with E. Papageorgiou, Applied Mathematical
Finance 16(4), 2009, pages 353-383.
- Accounting for Risk
Aversion, Vesting, Job Termination Risk and Multiple Exercises in
Valuation of Employee Stock Options, with T. Leung, Mathematical
Finance 19(1), 2009, pages 99-128.
- Utility
Valuation of Credit Derivatives and Application to CDOs, with
T. Zariphopoulou, Quantitative Finance 10(2), 2010,
pages 195-208. [A related
article is Utility
Valuation of Credit Derivatives: Single and Two-Name Cases, with
T. Zariphopoulou, in Advances in Mathematical Finance
(eds. M. Fu, R. Jarrow, J.-Y. Yen, R. Elliott), ANHA Series,
Birkhauser, 2007, pages 279-301.]
- Multiscale
Intensity Models for Single Name Credit Derivatives, with
E. Papageorgiou, Applied Mathematical Finance 15(1),
2008, pages 73-105.
- Queueing
Theoretic Approaches to Financial Price Fluctuations, with
E. Bayraktar & U. Horst, in Handbook of Financial
Engineering (ed. J. Birge and V. Linetsky), Volume 15 of
Handbooks in Operations Research and Management Science, North
Holland, 2007, pages 637-677.
- Portfolio Optimization
with Derivatives and Indifference Pricing, with A. Ilhan &
M. Jonsson, May 2004, in Volume on Indifference
Pricing, (ed. R. Carmona), Princeton University Press (2008). [A
shorter preliminary version "Options: To Buy or not To
Buy?", with M. Jonsson, appears in Proceedings of
an AMS-IMS-SIAM Summer Conference on Mathematics of Finance,
ed. G. Yin and Q. Zhang, Contemporary Mathematics 351, AMS,
2003, pages 207-215.]
- Stochastic Volatility
Effects on Defaultable Bonds, with J.-P. Fouque &
K. Solna, Applied Mathematical Finance 13(3), 2006, pages
215-244.
- Optimal Investment with
Derivative Securities, with A. Ilhan & M. Jonsson,
Finance & Stochastics 9(4), 2005, pages 585-595.
- Optimal
Static-Dynamic Hedges for Barrier Options, with A. Ilhan &
M. Jonsson, Mathematical Finance 16(2), 2006, pages
359-385.
- Multiscale Stochastic Volatility
Asymptotics, with J.-P. Fouque, G.
Papanicolaou & K. Solna, SIAM J. Multiscale Modeling and Simulation
2(1), 2003, pages 22-42.
- A General Framework for
Evaluating Executive Stock Options, with W. Xiong,
Journal of Economic Dynamics and Control 31(7), July 2007,
pages 2317-2349. [Formerly titled ``Evaluating Incentive
Options''; first draft May 2003.]
- A
Limit Theorem for Financial Markets with Inert Investors, with
E. Bayraktar & U. Horst, Mathematics of Operations
Research, 31(4), 2006, pages 789-810.
- Singular
Perturbations for Boundary Value Problems arising from Exotic
Options, with A. Ilhan & M. Jonsson, SIAM J.
Applied Math. 64(4), 2004, pages 1268-1293.
-
Maturity Cycles in Implied Volatility, with J.-P. Fouque,
G. Papanicolaou & K. Solna, Finance & Stochastics
8(4), 2004, pages 451-477.
- Estimating
the Fractal Dimension of the S&P 500 Index using Wavelet Analysis ,
with E. Bayraktar & V. Poor, International
Journal of Theoretical & Applied Finance, 7(5), 2004, pages
615-643.
- Bounds &
Asymptotic Approximations for Utility Prices when Volatility is
Random, with
T. Zariphopoulou, SIAM J.
Control & Optimization, 43(4), 2005, pages 1328-1353.
- Singular
Perturbations in Option Pricing, with J.-P.
Fouque, G. Papanicolaou & K. Solna, SIAM J. Applied Math 63(5),
2003, pages1648-1665.
- Trend-Following
Hedge Funds and Multi-Period Asset Allocation, with D. Darius, A. Ilhan, J. Mulvey & K.
Simsek, Quantitative Finance 2(5), October 2002, pages 354-61.
- Optimal
Investment Problems and Volatility Homogenization Approximations, with
M. Jonsson, in "Modern Methods
in Scientific Computing and Applications",
A. Bourlioux, M. Gander & G. Sabidussi (eds.), NATO Science Series II, vol.
75, pages 255-281, Kluwer. August 2002.
- Stochastic
Volatility and the Epsilon Martingale Decomposition, with J.-P. Fouque & G. Papanicolaou, Trends in
Mathematics, Kohlmann, M., Tang, S., (Eds.), pages 152-9, Birkhauser
Verlag, October 2000.
- Partial
Hedging in a Stochastic Volatility Environment, with M. Jonsson,
Mathematical Finance 12(4),
October 2002, pages 375-409.
- Stochastic
Volatility Corrections for Interest Rate Derivatives, with P. Cotton,
J.-P. Fouque & G. Papanicolaou, Mathematical
Finance 14(2), April 2004, pages 173-200.
Cambridge
University Press, Sept 2000. ERRATUM
- From
the Implied Volatility Skew to a Robust Correction to Black-Scholes American
Option Prices, with J.-P. Fouque
& G. Papanicolaou, International Journal of Theoretical & Applied Finance, vol
4, No. 4 (2001), pages 651-75.
- Short
Time-Scale in S&P 500 Volatility, with J.-P. Fouque & G. Papanicolaou, Journal of Computational Finance
6(4), Summer 2003, pages 1-23. (Formerly titled Mean-Reversion of S&P 500 Volatility.)
- Stochastic
Volatility Correction to Black-Scholes, with J.-P. Fouque & G. Papanicolaou,
RISK 13(2), February 2000,
pages 89-92.
- Hedging
under Stochastic Volatility, Quantitative
Analysis in Financial Markets, Vol. 2 (M. Avellaneda, ed.), World
Scientific, February 2000.
- Financial
Modeling in a Fast Mean-Reverting Stochastic Volatility Environment, with J.-P. Fouque & G. Papanicolaou, Asia-Pacific
Financial Markets 6(1), 1999, pages 37-48.
- Mean-Reverting
Stochastic Volatility, with J.-P.
Fouque & G. Papanicolaou, International Journal of Theoretical &
Applied Finance, Vol. 3, No. 1 (2000), pages 101-142.
- Asymptotics
of a Two-Scale Stochastic Volatility Model, with J.-P. Fouque & G. Papanicolaou,
in "Equations aux derivees
partielles et applications" in honour of Jacques-Louis Lions,
Gauthier-Villars, May 1998, pages 517-26.
- Stochastic
Volatility, Smile & Asymptotics, with G. Papanicolaou, Applied Mathematical Finance
6(2), June 1999, pages 107-145.
- General
Black-Scholes models accounting for increased market volatility from hedging
strategies, with G. Papanicolaou, Applied
Mathematical Finance 5(1), 1998, pages 45-82.
