Biography
Assistant Professor
Recent Publications
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Estimation of the instantaneous volatility and detection of volatility jumps
- arXiv, 2016
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Arbitrage and hedging in a non probabilistic framework
- Mathematics and Financial Economics, 2013
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Pricing two dimensional derivatives under stochastic correlation
- International Journal of Financial Markets and Derivatives, 2011
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Multivariate stochastic covariance models and applications to pricing and risk management
- Journal of Financial Decision Making, 2010
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Methodes d'estimation pour des lois stables avec des applications en finance
- Journal de la Société Française de Statistique, 2005
Research Classification
- no classification
Research Interests
- Statistical interference for stochastic processes
- Financial mathematics
- Stochastic processes
Current Scholars in Mathematical and Computational Sciences
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