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Calendar JOURNAL ARTICLE published September 2012 in Quantitative Finance |
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Oxford Handbook of Credit Derivatives JOURNAL ARTICLE published 2 January 2014 in Quantitative Finance |
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Calendar JOURNAL ARTICLE published 2 December 2019 in Quantitative Finance |
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Dynamic capital allocation: exploiting persistent patterns in currency performance JOURNAL ARTICLE published June 2006 in Quantitative Finance |
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Calendar JOURNAL ARTICLE published 1 February 2004 in Quantitative Finance |
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Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model JOURNAL ARTICLE published 4 May 2023 in Quantitative Finance Research funded by National Natural Science Foundation of China (11701085,72001024) | Alexander von Humboldt Foundation (01DG15010) | Beijing Institute of Technology Research Fund Program for Young Scholars (19YQ14) |
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The rise of global stock market crash probabilities JOURNAL ARTICLE published April 2014 in Quantitative Finance |
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A term structure model of interest rates with quadratic volatility JOURNAL ARTICLE published 3 July 2018 in Quantitative Finance Research funded by Japan Society for the Promotion of Science (15K03538) |
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Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades? JOURNAL ARTICLE published 2 January 2022 in Quantitative Finance Research funded by Kepler Cheuvreux (1) |
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Pricing barrier options by a regime switching model JOURNAL ARTICLE published August 2011 in Quantitative Finance |
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Option pricing with realistic ARCH processes JOURNAL ARTICLE published 2 January 2014 in Quantitative Finance |
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Value at risk linear exponent (VARLINEX) forecasts JOURNAL ARTICLE published August 2003 in Quantitative Finance |
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Pricing a class of exotic commodity options in a multi-factor jump-diffusion model JOURNAL ARTICLE published August 2008 in Quantitative Finance |
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Optimising the multilateral netting of fungible OTC derivatives JOURNAL ARTICLE published 3 October 2017 in Quantitative Finance |
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24-Hour realized volatilities and transatlantic volatility interdependence JOURNAL ARTICLE published 4 March 2017 in Quantitative Finance |
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Calendar JOURNAL ARTICLE published October 2014 in Quantitative Finance |
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The performance of enhanced-return index funds: evidence from bootstrap analysis JOURNAL ARTICLE published March 2012 in Quantitative Finance |
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Calendar JOURNAL ARTICLE published 2 September 2018 in Quantitative Finance |
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Calendar JOURNAL ARTICLE published October 2012 in Quantitative Finance |
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Equilibrium implications of interest rate smoothing JOURNAL ARTICLE published 3 March 2020 in Quantitative Finance |