Publications

Preprint:

  1. Optimal harvesting under marine reserves and uncertain environment, with M. Gaigi and V. Ly Vath, submitted.

  2. Stochastic evolution of distributions and Bollinger bands, with G. Bernis, N. Brunel and A. Kornprobst, 2021, submitted.


Published Articles:


  1. The alpha-Heston stochastic volatility model, with, Y. Jiao, C. Ma and C. Zhou, accepted for publication on Mathematical Finance.

  2. A gamma Ornstein-Uhlenbeck model driven by a Hawkes process, with G. Bernis, R. Brignone and C. Sgarra, accepted for publication on Mathematics and Financial Economics.

  3. Clustering effects through Hawkes processes, with G. Bernis, From Probability to Finance - Lecture Notes of BICMR Summer School on Financial Mathematics, 145-181.

  4. Is the variance swap rate affine in the spot variance? Evidence from S&P500 data, with M. Mancino and G. Toscano, 2020, Applied Mathematical Finance, 27-4, 288-316.

  5. A branching process approach to power markets, with Y. Jiao, C. Ma and C. Sgarra, 2019, Energy Economics, 79, 144-156.

  6. Sensitivity analysis for marked Hawkes processes - application to CLO pricing, with G. Bernis and K. Salhi, 2018, Mathematics and Financial Economics, 12, 541-559.

  7. Alpha-CIR model in sovereign interest rate modelling, with Y. Jiao and C. Ma, 2017, Finance and Stochastics, vol 21, issue 3, pp. 789-813.

  8. Optimal investment in markets with over and under-reaction to Information, with G. Callegaro, M. Gaigi and C. Sgarra, 2017, Mathematics and Financial Economics, vol 11, issue 3, pp. 299-322.

  9. Alternative to beta coefficients in the context of diffusions, with G. Bernis, 2017, Quantitative Finance, vol 17, issue 2, pp. 275-288.

  10. Optimal execution cost for liquidation through a limit order market, with E. Chevalier, V. Ly Vath and A. Roch, 2016, International Journal of Theoretical and Applied Finance, Vol 19, issue 1.

  11. Exit optimal exit strategies for investment projects, with E. Chevalier, V. Ly Vath and A. Roch, 2015, Journal of Mathematical Analysis and Applications, Vol.425(2), pp. 666-694.

  12. Uncertainty and the politics of employment protection, with C. Tealdi and A. Vindigni, 2015, Journal of Labor Economics, vol 33-1, pp 209-267.

  13. Trend detection under erroneous observations - Application to quantitative financial strategies, with G. Bernis, 2015, Risk J. Investment Strategies, vol 4, n. 3.

  14. Optimal credit allocation under regime uncertainty with sensitivity analysis, with G.e Bernis, L. Carassus and G. Docq, 2015, International Journal of Theoretical and Applied Finance, vol. 18.

  15. An optimal dividend and investment control problem under debt constraints, with E. Chevalier and V. Ly Vath, 2013, SIAM J. Finan. Math., 4(1), pp 297-326.

  16. Stochastic sensitivity study for optimal credit allocation, with L. Carassus, 2013, Arbitrage, Credit and Informational Risks, Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013, pp. 147-168.

  17. Bid-ask spread modelling, a perturbation approach, with T. Lim, V. Ly Vath et J.-M. Sahut, 2013, Seminar on Stochastic Analysis, Random Fields and Applications VII , Progress in Probability, 67, pp 411-434.