Financial Mathematics

  1. "Optimal investment, derivative demand, and arbitrage under price impact", (with Michail Anthropelos and Scott Robertson), 2021, Mathematical Finance, Vol. 31, Issue 1, pp. 3-35, [ArXiv preprint].
  2. "Network effects and default clustering for large systems", (with Jia Yang), 2020, Journal of Applied Mathematical Finance, Volume 26, Issue 6, pp. 523-582, [ArXiv preprint].
  3. "Pathwise moderate deviations for option pricing", (with Antoine Jacquier), 2019, Mathematical Finance, Vol. 30, Issue 2, pp. 426--463, [ArXiv preprint].
  4. "Sequential Monte Carlo for fractional Stochastic Volatility Models", (with Alexandra Chronopoulou), 2018, Quantitative Finance , Vol. 18, Issue 3, pp. 507--517, [ArXiv preprint].
  5. "Indifference pricing for Contingent Claims: Large Deviations Effects", (with Scott Robertson), 2018, Mathematical Finance , Vol. 28, Issue 1, pp. 335--371, [ArXiv preprint].
  6. "Stochastic gradient descent in continuous time", (with Justin Sirignano), 2017, SIAM Journal on Financial Mathematics, Vol. 8, Issue 1, pp. 933--961, [ArXiv preprint]
  7. "The effect of heterogeneity on flocking behavior and systemic risk", (with Fei Fang and Yiwei Sun), 2017, Statistics and Risk Modelling, Vol. 34, No. 3--4, pp. 141-155, [ArXiv preprint]
  8. "The pricing of contingent claims and optimal positions in asymptotically complete markets", (with Michail Anthropelos and Scott Robertson), 2017, Annals of Applied Probability, , Vol. 27, No. 3, pp. 1778-1830, [ArXiv preprint]
  9. "Default Clustering in Large Pools: Large Deviations", (with Richard Sowers), 2015, SIAM Journal on Financial Mathematics , Vol. 6, (2015), pp. 86-116, [SSRN], [ArXiv preprint].
  10. "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2015, Mathematical Finance, Vol. 25, No. 1, (January 2015), pp. 77-114, [SSRN] ,[ArXiv preprint]
  11. "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2014, Stochastic Processes and their Applications, Volume 124, Issue 7, pp. 2322-2362, [SSRN],[ArXiv preprint].
  12. "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [SSRN], [ArXiv preprint].
  13. "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861-2898, [SSRN] ,[ArXiv preprint].
  14. "Method of Moments Estimation of Ornstein-Uhlenbeck Processes Driven by General Levy Process", 2009, Annales de l'I.S.U.P., Volume 53 - Fascicule 2-3, pp. 3-19 [ArXiv preprint]