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On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux

Journal of economic dynamics & control, 2024-05, Vol.162, p.104855, Article 104855

2024

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Pricing Asian options with stochastic convenience yield and jumps

Quantitative finance, 2023-04, Vol.23 (4), p.677-692

2023

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On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter

Annals of operations research, 2019-11, Vol.282 (1-2), p.119-130

2019

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Hedging longevity risk in defined contribution pension schemes

Computational management science, 2023-12, Vol.20 (1), p.11, Article 11

2023

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Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

Aquaculture economics & management, 2022-04, Vol.26 (2), p.171-191

2022

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On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

American journal of agricultural economics, 2017-01, Vol.99 (1), p.207-224

2017

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On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales

Mathematical finance, 2018-04, Vol.28 (2), p.536-549

2018

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Riding the Nordic German Power-Spread: The Einar Aas Experiment

The Energy journal (Cambridge, Mass.), 2022-09, Vol.43 (5), p.51-70

2022

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Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?

Energy economics, 2022-11, Vol.115, p.106324, Article 106324

2022

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A lattice method for option evaluation with regime-switching asset correlation structure

Journal of industrial and management optimization, 2021-07, Vol.17 (4), p.1729

2021

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An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Marine resource economics, 2017-10, Vol.32 (4), p.431-449

2017

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Optimal contracts for central bankers: Calls on inflation

Applied mathematics and computation, 2017-01, Vol.292, p.57-62

2017

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On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options

Journal of economic dynamics & control, 2015-10, Vol.59, p.22-36

2015

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Trading time seasonality in electricity futures

Journal of commodity markets, 2023-09, Vol.31, p.100291, Article 100291

2023

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Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk

Journal of economic dynamics & control, 2016-10, Vol.71, p.45-59

2016

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On the Effects of Physical Climate Risks on the Chinese Energy Sector

Journal of risk and financial management, 2024-10, Vol.17 (10), p.458

2024

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Risk factors for reoperation after initial burr hole trephination in chronic subdural hematomas

Clinical neurology and neurosurgery, 2015-11, Vol.138, p.66-71

2015

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On the effects of changing mortality patterns on investment, labour and consumption under uncertainty

Insurance, mathematics & economics, 2017-03, Vol.73, p.105-115

2017

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Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method

International review of financial analysis, 2017-07, Vol.52, p.144-151

2017

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MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY

Mathematical finance, 2015-10, Vol.25 (4), p.869-889

2015

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Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?

European journal of operational research, 2021-10, Vol.294 (2), p.801-815

2021

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Optimal investment for a pension fund under inflation risk

Mathematical methods of operations research (Heidelberg, Germany), 2010-04, Vol.71 (2), p.353-369

2010

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Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

Energy economics, 2013-03, Vol.36, p.97-107

2013

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Predicting the “usefulness” of 5-ALA-derived tumor fluorescence for fluorescence-guided resections in pediatric brain tumors: a European survey

Acta neurochirurgica, 2014-12, Vol.156 (12), p.2315-2324

2014

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The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model

Quantitative finance, 2016-12, Vol.16 (12), p.1823-1842

2016

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On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: A Lagrange-Chow redux

Pricing Asian options with stochastic convenience yield and jumps

On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter

Hedging longevity risk in defined contribution pension schemes

Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

On the Market-consistent Valuation of Fish Farms: Using the Real Option Approach and Salmon Futures

On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales

Riding the Nordic German Power-Spread: The Einar Aas Experiment

Trading time seasonality in commodity futures: An opportunity for arbitrage in the natural gas and crude oil markets?

A lattice method for option evaluation with regime-switching asset correlation structure

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience Yield

Optimal contracts for central bankers: Calls on inflation

On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options

Trading time seasonality in electricity futures

Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk

On the Effects of Physical Climate Risks on the Chinese Energy Sector

Risk factors for reoperation after initial burr hole trephination in chronic subdural hematomas

On the effects of changing mortality patterns on investment, labour and consumption under uncertainty

Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method

MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY

Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?

Optimal investment for a pension fund under inflation risk

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

Predicting the “usefulness” of 5-ALA-derived tumor fluorescence for fluorescence-guided resections in pediatric brain tumors: a European survey

The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model

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