PRESENTATIONS

Dublin 2015: Market Completion using Options: (pdf|code)

LSE 2016: Complete Market – a Wishart based approach (pdf|code)

PAPERS – PREPRINTS – MEMOS

Local Volatility for Long-dated FX Products: (pdf|code)

Decoding the Volatility Smile: (pdf|code)

State Dependent PDEs for Strongly Path Dependent Exotics: (pdf|code)

Forward Backward Kolmogorov (pdf|code)

HJB and Kushner Dupuis Markovian Approximation (pdf|code)

Detecting Strict Local Martingales (pdf|code)

Some remarks on Stochastic Filtering (pdf|code)

Some useful pointers ;
Stochastic Analysis Notes (Cambridge): (pdf)