Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
Models with time-dependent parameters using transform methods: application to Heston's model
Moment Explosion in the LIBOR Market Model
Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models
Negative Call Prices
New Financial Research Program: General Option-Price Wave Modeling
No Arbitrage Conditions For Simple Trading Strategies
No-arbitrage pricing under cross-ownership
No-Free-Lunch equivalences for exponential Levy models
Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions
Normalization for Implied Volatility
Old and new approaches to LIBOR modeling
On Agents' Agreement and Partial-Equilibrium Pricing in Incomplete Markets
On break-even correlation: the way to price structured credit derivatives by replication
On Calibrating Stochastic Volatility Models with time-dependent Parameters
On Equilibrium Prices in Continuous Time
On martingale measures and pricing for continuous bond-stock market with stochastic bond
On perpetual American put valuation and first-passage in a regime-switching model with jumps
On Pricing Basket Credit Default Swaps
On refined volatility smile expansion in the Heston model