| Publication | Date of Publication | Type |
|---|
| On Watanabe's characterisation and change of intensity \`{a} la Girsanov for Cox processes | 2023-08-09 | Paper |
| Discounted optimal stopping problems in first-passage time models with random thresholds | 2022-09-21 | Paper |
| Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information | 2022-08-22 | Paper |
| Discounted optimal stopping problems in continuous hidden Markov models | 2022-07-08 | Paper |
| Perpetual American double lookback options on drawdowns and drawups with floating strikes | 2022-07-07 | Paper |
| Optimal double stopping problems for maxima and minima of geometric Brownian motions | 2022-07-07 | Paper |
| Optimal stopping problems for maxima and minima in models with asymmetric information | 2022-05-31 | Paper |
| Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis | 2022-02-22 | Paper |
| Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs | 2022-01-18 | Paper |
| Optimal stopping games in models with various information flows | 2021-12-16 | Paper |
| FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS | 2021-08-24 | Paper |
| Markovian short rates in multidimensional term structure Lévy models | 2021-05-20 | Paper |
| Optimal stopping problems for running minima with positive discounting rates | 2020-12-18 | Paper |
| On the problems of sequential statistical inference for Wiener processes with delayed observations | 2020-11-02 | Paper |
| CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS | 2020-06-25 | Paper |
| Perpetual dual American barrier options for short sellers | 2020-05-13 | Paper |
| On some functionals of the first passage times in jump models of stochastic volatility | 2019-12-18 | Paper |
| DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION | 2019-06-24 | Paper |
| Some Extensions of Norros’ Lemma in Models with Several Defaults | 2018-12-13 | Paper |
| On the Pricing of Perpetual American Compound Options | 2018-12-13 | Paper |
| On the sequential testing and quickest change-point detection problems for Gaussian processes | 2018-09-04 | Paper |
| ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY | 2018-03-15 | Paper |
| On the construction of non-affine jump-diffusion models | 2017-11-02 | Paper |
| On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models | 2016-12-15 | Paper |
| Bayesian Switching Multiple Disorder Problems | 2016-08-10 | Paper |
| Perpetual American options in diffusion-type models with running maxima and drawdowns | 2016-04-20 | Paper |
| On the drawdowns and drawups in diffusion-type models with running maxima and minima | 2015-11-10 | Paper |
| Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns | 2014-10-15 | Paper |
| Perpetual American options in a diffusion model with piecewise-linear coefficients | 2013-04-23 | Paper |
| Bayesian Quickest Detection Problems for Some Diffusion Processes | 2013-04-11 | Paper |
| PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION | 2012-04-24 | Paper |
| On the sequential testing problem for some diffusion processes | 2012-01-03 | Paper |
| On the structure of discounted optimal stopping problems for one-dimensional diffusions | 2012-01-03 | Paper |
| Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives | 2011-05-31 | Paper |
| Robust replication in H-self-similar Gaussian market models under uncertainty | 2011-03-29 | Paper |
| An iterative procedure for solving integral equations related to optimal stopping problems | 2011-03-11 | Paper |
| On large deviations in testing Ornstein-Uhlenbeck-type models | 2011-02-05 | Paper |
| PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL | 2011-01-13 | Paper |
| PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS | 2010-02-05 | Paper |
| The integral option in a model with jumps | 2008-11-14 | Paper |
| On Markovian short rates in term structure models driven by jump-diffusion processes | 2008-05-14 | Paper |
| Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes | 2008-02-05 | Paper |
| Discounted optimal stopping for maxima in diffusion models with finite horizon | 2007-11-23 | Paper |
| Perpetual barrier options in jump-diffusion models | 2007-03-30 | Paper |
| The Wiener disorder problem with finite horizon | 2007-01-09 | Paper |
| An optimal stopping problem in a diffusion-type model with delay | 2006-04-28 | Paper |
| Perpetual convertible bonds in jump-diffusion models | 2005-10-18 | Paper |
| The disorder problem for compound Poisson processes with exponential jumps | 2005-04-29 | Paper |
| On arbitrage and Markovian short rates in fractional bond markets | 2005-03-08 | Paper |
| Problems in sequential decision between hypotheses for a combined Poisson process with exponential jumps | 2004-09-10 | Paper |
| The Wiener Sequential Testing Problem with Finite Horizon | 2004-06-22 | Paper |
| The Bayes problem of detecting a disorder with information criterion of delay | 2004-01-14 | Paper |
| Bayesian problems of sequential discrimination between hypotheses for continuous random processes | 2000-11-23 | Paper |
| Towards a proof of the first fundamental theorem of financial mathematics | 2000-07-05 | Paper |
| Calculation of the high and low prices of European-type options | 1999-03-15 | Paper |
