Research

For an overview of my research activity, please follow the link below "Activité de recherche" (currently in French).

You can also download the draft versions of some of my published articles (links below).

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 

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