Publications

• Option pricing and arbitrage (1990).
  • Abstract
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• Discounted Functionals of Markov Processes (1993).
  • PDF download (765k)
  
  
• The local time of a two-dimensional diffusion (1993).
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• Discounted additive functionals of Markov processes (1993).
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• Markov processes on trees and their local times (1995).
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• General interest-rate models and the universality of HJM (1997).
  • Abstract
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• Hedging in financial markets (1997).
  • Abstract
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• Levy process dynamic modelling of single-name credits and CDO tranches (2006).
  • PDF download (89k)