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Financial Modeling
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Financial Modeling (2013)Financial ModelingXVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS (2018)XVA PRINCIPLES, NESTED MONTE …Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle (2018)Path-dependent backward stoch…Rational multi-curve models with counterparty-risk valuation adjustments (2015)Rational multi-curve models w…Backward Stochastic Differential Equations (2015)Backward Stochastic Different…A Lévy HJM multiple-curve model with application to CVA computation (2014)A Lévy HJM multiple-curve mod…INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA (2013)INFORMATIONALLY DYNAMIZED GAU…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Financial Modelling with Jump Processes (2003)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Monte Carlo Methods in Financial Engineering (2003)THE MULTI-CURVE POTENTIAL MODEL (2015)Term structure modelling for multiple curves with stochastic discontinuities (2020)On Default Correlation (2000)Credit Risk Modeling (2004)Credit Risk: Modeling, Valuation and Hedging (2004)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Reflected BSDEs with nonpositive jumps, and controller-and-stopper games (2014)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Multilevel Monte Carlo Path Simulation (2008)Limit Theorems for Stochastic Processes (2003)Backward stochastic Volterra integral equations with jumps in a general filtration (2021)
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  • 2014A Lévy HJM multiple-curve model with application to CVA computation36 cited
  • 2015Rational multi-curve models with counterparty-risk valuation adjustments19 cited
  • 2018Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle18 cited
  • 2015Backward Stochastic Differential Equations18 cited
  • 2018XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS16 cited
  • 2013INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA15 cited

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