Publications in collaboration with researchers from Universitat Pompeu Fabra (2)

2018

  1. Importance sampling applied to greeks for jump–diffusion models with stochastic volatility

    Journal of Computational Finance, Vol. 22, Núm. 1, pp. 79-105

2011

  1. Conditional beta pricing models: A nonparametric approach

    Journal of Banking and Finance, Vol. 35, Núm. 12, pp. 3362-3382