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)

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s