Publications
Consistent fitting of one-factor models to interest rate data
– Insurance: Mathematics and Economics
(2000)
27,
45
Diffusions, Markov processes, and martingales. Vol. 2
(2000)
Saddlepoint approximations to option prices
– ANNALS OF APPLIED PROBABILITY
(1999)
9,
493
Numerical methods in finance
(1997)
Recovery of preferences from observed wealth in a single realization
– Review of Financial Studies
(1997)
10,
151
(doi: 10.1093/rfs/10.1.151)
Stochastic calculus and Markov methods
(1997)
15,
15
Fast, accurate and inelegant valuation of American options
(1997)
88
Probability and dispersion theory
– IMA Journal of Applied Mathematics
(1995)
55,
149
(doi: 10.1093/imamat/55.2.149)
A Proof of Dassios' Representation of the $|alpha$-Quantile of Brownian Motion with Drift
– The Annals of Applied Probability
(1995)
5,
757
(doi: 10.1214/aoap/1177004704)
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