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Rare disasters, credit, and option market puzzles

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Buy rough, sell smooth

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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

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Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

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Modeling and valuation of energy structures : analylsis., econometrics, and numerics

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Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models

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On a Heath-Jarrow-Morton approach for stock options

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Forward equations for option prices in semimartingale models

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Asymptotic arbitrage in the Heston model

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