Research

Selection of articles published in peer-reviewed research journals

[1]  Analytical Valuation of Options on Joint Minima and Maxima

  Applied Mathematical Finance,  2002, 8 (4),  209-235

[2]  Window Double Barrier Options

  Review of Derivatives Research, 2003, 6 (1), 47-75

[3]  Making the Best of Best-of 

  Review of Derivatives Research, 2008, 11 (1), 1-39

[4]  Step Double Barrier Options,

  Journal of Derivatives, 2010, 18 (1), 59-80

[5]  Some Sequential Boundary Crossing Results for Geometric Brownian Motion and their Applications in Financial Engineering,

 Applied Mathematics, 2011, Article ID 120253, 22 pages

[6]  A Few Insights into Cliquet Options

  International Journal of Business, 2012, 17, (2), 164-180

[7]  On the Probability of Hitting a Time-Dependent Boundary for a Geometric Brownian Motion with Time-Dependent Coefficients

Applied Mathematical Sciences, 2014, 20 (8), 989-1009

[8]  Autocallable Structured Products 

  Journal of Derivatives, 2015, 22 (3), 73-95

[9]  Analytical Valuation of Autocallable Notes

 International Journal of Financial Engineering, 2015, 2 (2), 1-23

 [10]  On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function  

Journal of Probability and Statistics, 2015, article ID391681

[11]   Computation of the Survival Probability of Brownian Motion with Drift when the Absorbing Boundary is a Piecewise Affine or Piecewise Exponential Function of Time

International Journal of Statistics and Probability, 2016,  5 (4), 119-138

[12]   An analytically tractable model for pricing multi-asset options with correlated jump-diffusion equity processes and a two-factor stochastic interest rate

Journal of Applied Mathematics, 2016, Article ID 8029750

[13]  First Exit Time from a Corridor

International Journal of Applied Mathematics and Statistics, 2017, 56 (2), 64-80

[14]  Computation of the quadrivariate and pentavariate normal cumulative distribution functions

Communications in Statistics - Computation and Simulation, 2018, 47 (3), 839-851

[15]  On the First Exit Time of Geometric Brownian Motion from stochastic exponential boundaries

International Journal of Applied and Computational Mathematics, 2018, 4 : 120, 1 - 23

[16]  On the Multidimensional Black-Scholes Partial Differential Equation

Annals of Operations Research, 2019, 281 (1-2), 229-251

[17]   On the Telegrapher's equation with three space variables in non-rectangular coordinates

Journal of Applied Mathematics and Physics, 2020, 8 (5), 910-926

[18]   Closed form valuation of barrier options with stochastic barriers 

Annals of Operations Research, 2022, vol. 313(2), 1021-1050

[19]   Multitouch options 

Journal of Risk and Financial Management, 2023, 16 (6), https://doi.org/10.3390/jrfm16060300 

[20]   Rainbow step barrier options 

Journal of Risk and Financial Management, 2024, 17 (8), https://doi.org/10.3390/jrfm17080356 

[21]   Computation of the survival probability of Brownian motion with drift subject to an intermittent step barrier

 AppliedMath, 2024 , 4(3), 1080-1097; https://doi.org/10.3390/appliedmath4030058 

[22]   Analytical valuation of a general form of barrier option with stochastic interest rate and jumps 

Review of Derivatives Research, 2025, 28:8, https://doi.org/10.1007/s11147-025-09215-6 

[23]   Less vulnerable valuation of vulnerable options 

Annals of Operations Research, 2025, https://doi.org/10.1007/s10479-025-06755-w 

[24]   Survival Probabilities for Correlated Drifted Brownian Motions via Exit from Simplicial Cones

 AppliedMath, 2026, 6 (3), 45; https://doi.org/10.3390/appliedmath6030045 

[25]  Excursion Laplace Exponents under Height Truncation

Mathematics, 2026, 14 (6), 1014; https://doi.org/10.3390/math14061014 

Preprints

[26]  Boundary Non-Crossing Probabilities as Functionals of the Deterministic Variance Clock

Under review

[27]  Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models

Under review

[28]  Exit times from time-dependent random domains: continuity, weak convergence, and exit-time profiles

Under review

[29]  Contact from the Left, Jump-to-Barrier, and Overshoot  at First Passage

Under review

[30]  Persistence of the Wiener Sausage: Sampling Stability and a Law of Large Numbers for Drifted Planar Brownian Motion

Under review

Working Papers

[1]  Implementation of a Sobol sequence random number generator

2004, Technical Note, University of Cergy-Pontoise

[2]  A semi-analytical method for the valuation of discretely monitored barrier and lookback options

2005, Working Paper, University of Cergy-Pontoise

[3]  An algorithm for the numerical evaluation of finite-dimensional distributions of Brownian motion with drift

2006, Technical Note, University of Cergy-Pontoise

[4]  An algorithm for the numerical inversion of Hankel transforms

2015, Technical Note, University of Cergy-Pontoise

[5]  A useful result on the covariance between Ito integrals

2016, Working Paper, University of Cergy-Pontoise