ORCID as entered in ROS
https://orcid.org/0000-0002-8108-2049
Select Publications
Book Chapters
, 2014, 'An Exact Formula for Pricing American Exchange Options with Regime Switching', in Mamon RS; Elliott RJ (ed.), Hidden Markov Models in Finance, Springer, pp. 211 - 226, http://dx.doi.org/10.1007/978-1-4899-7442-6_9
Journal articles
, 2023, 'AN EXACT AND EXPLICIT FORMULA FOR PRICING LOOKBACK OPTIONS WITH REGIME SWITCHING', Journal of Industrial and Management Optimization, 19, pp. 723 - 729, http://dx.doi.org/10.3934/jimo.2021203
, 2022, 'Saddlepoint Method for Pricing European Options under Markov-Switching Heston’s Stochastic Volatility Model', Journal of Risk and Financial Management, 15, http://dx.doi.org/10.3390/jrfm15090396
, 2021, 'An Analytic Approach for Pricing American Options with Regime Switching', Journal of Risk and Financial Management, 14, http://dx.doi.org/10.3390/jrfm14050188
, 2018, 'Editorial for special issue “finance, financial risk management and their applications”', International Journal of Financial Studies, 6, http://dx.doi.org/10.3390/ijfs6040083
, 2016, 'Pricing volatility swaps in the Heston's stochastic volatility model with regime switching: A saddlepoint approximation method', INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 3, http://dx.doi.org/10.1142/S2424786316500304
, 2016, 'Pricing options in a Markov regime switching model with a random acceleration for the volatility', IMA Journal of Applied Mathematics, http://dx.doi.org/10.1093/imamat/hxw035
, 2016, 'Pricing of long dated equity-linked life insurance contracts', Stochastic Analysis and Applications, http://dx.doi.org/10.1080/07362994.2015.1136563
, 2016, 'Saddlepoint approximations to option price in a regime-switching model', Annals of Finance, 12, pp. 55 - 69, http://dx.doi.org/10.1007/s10436-015-0272-2
, 2016, 'Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method', International Journal of Financial Engineering, 03, pp. 1 - 20
, 2016, 'Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint approximation method', International Journal of Financial Engineering, 03, pp. 1 - 20
, 2015, 'A Dupire equation for a regime-switching model', International Journal of Theoretical and Applied Finance, 18, http://dx.doi.org/10.1142/S0219024915500235
, 2015, 'Pricing volatility derivatives under the modified constant elasticity of variance model', Operations Research Letters, 43, pp. 419 - 422, http://dx.doi.org/10.1016/j.orl.2015.05.009
, 2015, 'Pricing and hedging of long dated variance swaps under a 3/2 volatility model', Journal of Computational and Applied Mathematics, 278, pp. 181 - 196, http://dx.doi.org/10.1016/j.cam.2014.09.032
, 2015, 'An explicit analytic formula for pricing barrier options with regime switching', Mathematics and Financial Economics, 9, pp. 29 - 37, http://dx.doi.org/10.1007/s11579-014-0119-z
, 2015, 'A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL', International Journal of Theoretical and Applied Finance, 18
, 2015, 'A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL', International Journal of Theoretical and Applied Finance, 18, pp. 1 - 13
, 2014, 'An exact formula for pricing american exchange options with regime switching', International Series in Operations Research and Management Science, 209, pp. 211 - 226, http://dx.doi.org/10.1007/978-1-4899-7442-69
, 2014, 'On pricing barrier options with regime switching', Journal of Computational and Applied Mathematics, 256, pp. 196 - 210, http://dx.doi.org/10.1016/j.cam.2013.07.034
, 2013, 'An analytic formula for pricing American-style convertible bonds in a regime switching model', IMA Journal of Management Mathematics, 26, pp. 403 - 428, http://dx.doi.org/10.1093/imaman/dpu005
, 2013, 'Option valuation under a regime-switching constant elasticity of variance process', Applied Mathematics and Computation, 219, pp. 4434 - 4443, http://dx.doi.org/10.1016/j.amc.2012.10.047
, 2011, 'Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach', The ANZIAM Journal, 52, pp. C727 - C741
, 2008, 'A PDE approach for risk measures for derivatives with regime switching', Annals of Finance, 4, pp. 55 - 74, http://dx.doi.org/10.1007/s10436-006-0068-5
, 2007, 'Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model', Stochastic Analysis and Applications, 25, pp. 821 - 843, http://dx.doi.org/10.1080/07362990701420118
, 2007, 'Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching', Applied Mathematical Finance, 14, pp. 41 - 62, http://dx.doi.org/10.1080/13504860600659222
, 2006, 'Option pricing for GARCH models with Markov switching', International Journal of Theoretical and Applied Finance, 9, pp. 825 - 841, http://dx.doi.org/10.1142/S0219024906003846
, 2006, 'Risk measures for derivatives with Markov-modulated pure jump processes', Asia Pacific Financial Markets, 13, pp. 129 - 149, http://dx.doi.org/10.1007/s10690-007-9038-9
, 2005, 'Option pricing and Esscher transform under regime switching', Annals of Finance, 1, pp. 423 - 432
, 2004, 'Perpetual American options with fractional Brownian motion', QUANTITATIVE FINANCE, 4, pp. 123 - 128, http://dx.doi.org/10.1088/1469-7688/4/2/001
, 2004, 'Perpetual American options with fractional Brownian motion', Quantitative Finance, 4, pp. 123 - 128
Preprints
, 2014, An exact and explicit formula for pricing Asian options with regime switching, , http://dx.doi.org/10.48550/arxiv.1407.5091
, 2014, An exact and explicit formula for pricing lookback options with regime switching, , http://dx.doi.org/10.48550/arxiv.1407.4864
, 2010, Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model, , http://dx.doi.org/10.48550/arxiv.1007.2968
https://orcid.org/0000-0002-8108-2049