Publications

Refereed Journals

• [14] On the predictive power of food commodity futures prices in forecasting inflation with S. Zhang*, C. Ewald and Y. Zou. Accepted with minor revision at Quantitative Finance. 2025 [SSRN]
• [13] Efficient calibration of the shifted square-root diffusion model to credit default swap spreads using asymptotic approximations with Y. Liao*. International Journal of Computer Mathematics.[arXiv]
• [12] Optimal income drawdown and investment with longevity basis risk with C. Ewald and Y. Wang*. Scandinavian Actuarial Journal. 2025
• [11] Penalized estimation of sparse Markov regime-switching vector auto-regressive models with G. Chavez Martinez, A. Khalili and S. Ejaz Ahmed. Technometrics 2023, Vol. 65, No. 4, pp. 553-563.
• [10] Hedging longevity risk in defined contribution pension schemes with C-O. Ewald and Y. Wang*. Computational Management Science. 2023, Vol. 20.
• [9] The implied Sharpe ratio with M. Lorig. Quantitative Finance. 2020, Vol. 20, No. 6, pp. 1009-1026.
• [8] Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method with J. Claisse. Stochastic Processes and Their Applications. 2020, Vol. 130, No. 8, pp. 5006-5036.
• [7] A Fourier-based Picard-iteration approach for a class of McKean-Vlasov SDEs Lévy jumps with S. Pagliarani. Stochastics. 2020, Vol. 93, No. 4, pp. 592-624.
• [6] Numerical approximation of McKean Anticipative BSDEs arising in initial margin requirements with S. De Marco, E. Gobet, J.G. Lopéz-Salas, F. Noubiagain and A. Zhou. ESAIM: Proceedings and Surveys. 2019, Vol. 65, No. 1, pp. 1- 26.
• [5] Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio with R. Sircar. SIAM Journal on Financial Mathematics. 2018, Vol. 9, No. 2, pp. 435- 464.
• [4] Study of new rare event simulation schemes and their application to scenario generation with S. De Marco, E. Gobet and G. Liu. Mathematics and Computers in Simulation. 2018, Vol. 143, Supp. C, pp. 89- 98.
• [3] American options under stochastic volatility: Control variates, randomization and multiscale asymptotics with S. Juneja and R. Sircar. Quantitative Finance. 2016, Vol. 16, No. 01, pp. 17-30.
• [2] Nearest neighbor based estimation technique for pricing Bermudan options with S. Juneja. International Game Theory Review. 2015, Vol. 17, No. 01, pp. 154002.
• [1] Efficient simulation of large deviations events for sums of random vectors using saddle point representations with S. Dey and S. Juneja. Journal of Applied Probability. 2013, Vol. 50, No. 03, pp. 703-720.

Peer-Reviewed Proceedings

• [2] Finite variance unbiased estimation of stochastic differential equations with E. Gobet. Proceedings of 2017 Winter Simulation Conference. pp. 1950-1961.
• [1] Comparing optimal convergence rate of stochastic mesh and least squares method for Bermudan option pricing with S. Juneja. Proceedings of 2013 Winter Simulation Conference. pp. 701-712.

Preprints and working Papers

• [6] Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent with A. Amato, G. dos Reis and S. Pagliarani. Under revision at Journal of Applied Probability. [arXiv]
• [5] Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty with C. Ewald and Y. Zou. Submitted at European Journal of Operational Research.[arXiv]
• [4] Valuation of American options in ambiguous multifactor models with C. Ewald and Y. Zou*. Submitted at Quantitative Finance.
• [3] Implied volatility approximation in forward variance models for VIX options with F. Bourgey and Y. Liao*.
• [2] Numerical approximation of RBSDEs via regularization with E. Gobet and Y. Zou.
• [1] Rare event simulation related to financial risks: Efficient estimation and sensitivity analysis with S. De Marco, E. Gobet and G. Liu.