Research
October 2023 version.
EMA-type Trading Strategies Maximize Utility under Partial Information
Frontiers of Mathematical Finance (2023) vol 2 issue 1, 124 - 140.
Joint with X Chen.
Semi-robust Replication of Barrier-style Claims on Price and Volatility
Applied Mathematical Finance (2022) vol 28 issue 6, 534-559.
Joint with P Carr and M Lorig.
Robust Replication of Volatility and Hybrid Derivatives on Jump-Diffusions
Mathematical Finance (2021) vol 31 issue 4, 1394-1422.
Joint with P Carr and M Lorig.
Variance Swaps on Time-Changed Markov Processes
SIAM Journal on Financial Mathematics (2021) vol 12 issue 2.
Joint with P Carr and M Lorig.
How Leverage Shifts and Scales a Volatility Skew: Asymptotics for Continuous and Jump Dynamics
Joint with R Wang.
Asymptotics of Implied Volatility to Arbitrary Order
Finance and Stochastics (2014) vol 18 issue 2, 349-392.
Joint with K Gao.
Variation and Weighted Variation Swaps on Time-Changed Levy Processes
Finance and Stochastics (2013) vol 17 issue 4, 685-716.
Joint with P Carr.
The Small-Time Smile and Term Structure of Implied Volatility Under the Heston Model
SIAM Journal on Financial Mathematics (2012) vol 3, 690-708.
Joint with M Forde and A Jacquier.
Variance Swaps on Time-Changed Levy Processes
Finance and Stochastics (2012) vol 16 issue 2, 335-355.
Joint with P Carr and L Wu.
Displaced Lognormal Volatility Skews: Analysis and Applications to Stochastic Volatility Simulations
Annals of Finance, vol 8 issue 2 (2012), 159-181.
Joint with D Wang.
Volatility Derivatives
Annual Review of Financial Economics, vol 1 (2009), 319-339.
Joint with P Carr.
Weighted Variance Swap, Corridor Variance Swap, Gamma Swap, Realized Volatility Options
in Encyclopedia of Quantitative Finance (2010).
Hedging Variance Options on Continuous Semimartingales
Finance and Stochastics, vol 14 issue 2 (2010), 179-207.
Joint with P Carr.
Put-Call Symmetry: Extensions and Applications
Mathematical Finance, vol 19 issue 4 (2009), 523-560.
Joint with P Carr.
Robust Replication of Volatility Derivatives
PRMIA award for Best Paper in Derivatives, MFA 2008 Annual Meeting.
Joint with P Carr.
Realized Volatility and Variance: Options via Swaps including unpublished appendices
RISK, vol 20 issue 5 (2007), 76-83.
Joint with P Carr.
The Moment Formula for Implied Volatility at Extreme Strikes
Mathematical Finance, vol 14 issue 3 (July 2004), 469-480.
Option Pricing by Transform Methods: Extensions, Unification, and Error Control (Feb 05 version)
Journal of Computational Finance, vol 7 issue 3 (Spring 2004), 51-86.
Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation
In Recent Advances in Applied Probability, Springer (2005).
Implied and Local Volatilities under Stochastic Volatility
International Journal of Theoretical and Applied Finance, vol 4 issue 1 (2001) 45-89.