"An irreversible investment problem with a learning-by-doing feature", (with E. Ekström, A. Milazzo, T. Tolonen-Weckström). Submitted. Available on arXiv.
"Optimal liquidity and asset bubbles", (with J. Detemple and R. Prieto). Submitted. Available on SSRN.
"On the pricing of double barrier options under stochastic volatility models: A probabilistic approach", (with J. Detemple and D. Shabalin). Accepted in AIMS Mathematics, 2025.
"The Valuation of Corporate Securities with Finite Maturity Debt", (with J. Detemple). Accepted in IMA Journal of Management Mathematics, 2025.
``Semi-analytical pricing of options written on SOFR futures" (with A. Itkin). Frontiers of Mathematical Finance 3 (520-559), 2024.
"Renewable energy investment under stochastic interest rate with regime-switching volatility", (with J. Detemple and A. M. Reppen). Energy Economics 136 (Article 107734), 2024.
"Mortgage contracts and underwater default" (with S. Robertson). SIAM Journal of Financial Mathematics, 15, 2024.
"Optimal technology adoption for power generation" (with J. Detemple). Energy Economics 111 (Article 106085), 2022.
"Callable barrier reverse convertible securities" (with J. Detemple). Quantitative Finance 21 (1519-1532), 2021. Available on SSRN.
“Closed form optimal exercise boundary of the American put option”. International Journal of Theoretical and Applied Finance. 24 (2150004), 2021.
"Optimal power investment and pandemics: a micro-economic analysis" (with J. Detemple). Energies 14 (814) 2021.
"The value of green energy under regulation uncertainty'', (with J. Detemple). Energy Economics 89 (Article 104807), 2020.
“The value of green energy: optimal investment in mutually exclusive projects and operating leverage”, (with J. Detemple). Review of Financial Studies 33 (3307-3347), 2020.
“On the American swaption in the linear-rational framework”, (with D. Filipovic). Quantitative Finance 18 (1865–1876), 2018.
“On American VIX options under the generalized 3/2 and 1/2 models”, (with J. Detemple). Mathematical Finance 28 (550–581), 2018.
“American options with discontinuous two-level caps”, (with J. Detemple). SIAM Journal on Financial Mathematics 9 (219–250), 2018.
“On the optimal exercise boundaries of swing put options”, (with T. De Angelis). Mathematics of Operations Research 43 (252–274), 2018.
“Mean reversion trading with sequential deadlines and transaction costs”, (with T. Leung). International Journal of Theoretical and Applied Finance 21 (1–22), 2018.
“Optimal investment under cost uncertainty”, (with J. Detemple). Risks 6 (1–19), 2018.
“Optimal mean-reverting spread trading: nonlinear integral equation approach”, (with T. Leung). Annals of Finance 13 (181–203), 2017.
“Integral equations for Rost’s reversed barriers: existence and uniqueness result”, (with T. De Angelis). Stochastic Processes and their Applications 127 (3447–3464), 2017.
“Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems”, (with P. Mancarella and J. Moriarty). Applied Energy 137 (823–831), 2016.
“The British lookback option with fixed strike”. Applied Mathematical Finance 22 (238–260), 2015.
“On the lookback option with fixed strike”. Stochastics 86 (510-526), 2014.
“Application of sequential testing problem to online detection of transient stability status for power systems”, (with J. Gonzalez, T. Guo, J.V. Milanovic, J. Moriarty and G. Peskir) 55th IEEE Conference on Decision and Control, Las Vegas, 2016.
“A real option assessment of operational flexibility in district energy systems” (with P. Mancarella and J. Moriarty). EEM Conference Proceedings, Stockholm, 2013.