Publications
Polynomial term structure models
– International Journal of Theoretical and Applied Finance
(2021)
(doi: 10.1142/S0219024921500096)
Optimisation-based representations for branching processes
– Electronic Journal of Probability
(2020)
25,
1
(doi: 10.1214/20-EJP548)
A Black-Scholes inequality: applications and generalisations
– Finance and Stochastics
(2019)
24,
1
(doi: 10.1007/s00780-019-00410-6)
MRI turbulence and thermal instability in accretion discs
– Monthly Notices of the Royal Astronomical Society
(2017)
468,
2401
(doi: 10.1093/mnras/stx564)
Optimal investment for all time horizons and Martin boundary of space-time diffusions
– Mathematical Finance
(2017)
27,
438
(doi: 10.1111/mafi.12092)
If $B$ and $f(B)$ are Brownian motions, then $f$ is affine
– Rocky Mountain Journal of Mathematics
(2017)
47,
947
(doi: 10.1216/rmj-2017-47-3-947)
Inequalities for the Gaussian measure of convex sets
– Electronic Communications in Probability
(2017)
22,
1
(doi: 10.1214/17-ECP89)
Characterizing attainable claims: A new proof
– Journal of Applied Probability
(2016)
47,
1013
(doi: 10.1239/jap/1294170515)
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