Publications
Consistent fitting of one-factor models to interest rate data
– Insurance: Mathematics and Economics
(2000)
27,
45
Diffusions, Markov processes, and martingales. Vol. 2
(2000)
Saddlepoint approximations to option prices
– ANNALS OF APPLIED PROBABILITY
(1999)
9,
493
Stochastic calculus and Markov methods
(1997)
15,
15
Numerical methods in finance
(1997)
Fast, accurate and inelegant valuation of American options
(1997)
88
Recovery of preferences from observed wealth in a single realization
– Review of Financial Studies
(1997)
10,
151
(doi: 10.1093/rfs/10.1.151)
Probability and dispersion theory
– IMA Journal of Applied Mathematics
(1995)
55,
149
(doi: 10.1093/imamat/55.2.149)
A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift
– The Annals of Applied Probability
(1995)
5,
757
(doi: 10.1214/aoap/1177004704)
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