Research
Working Papers
Portfolios and Risk Premia for the Long Run
(with Paolo Guasoni)
Sample Path Large Deviations and
Importance Sampling for Stochastic Volatility Models
Publications in Peer
Reviewed
Journals
Optimal
Importance Sampling with Explicit Formulas in Continuous Time
(with
Paolo Guasoni)
Finance and Stochastics, 12(2008)
1-19
Math
Review
Conference Proceedings
Importance
Sampling with Basket Options
(with Paolo Guasoni)
Wilmott, Nov/Dec 2007
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