Publications
A note on invariant measures for HJM models
– Finance and Stochastics
(2005)
9,
389
A characterization of hedging portfolios for interest rate contingent claims
– The Annals of Applied Probability
(2004)
14,
1267
Explicit solutions of some utility maximization problems in incomplete markets
– STOCH PROC APPL
(2004)
114,
109
Implied volatility: long maturity behavior
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