Articles

• Schrödinger bridges, optimal price bounds and Sinkhorn convergence for the FX cross-smiles problem
• Rough Bergomi revisited - exact and minimal-variance hedging for VIX and European options, and exact calibration to multiple smiles
• Optimal trade execution with unknown drift
• Small-time VIX smile and the stationary distribution for the Rough Heston model, with S.Gerhold and B.Smith
• Rough Heston with jumps - joint calibration to SPX/VIX level and skew as T→0, and issues with the quadratic rough Heston model, with B.Smith
• Optimality properties of Dupire and Brunick-Shreve diffusion-type processes - extremal prices of vol swaps and VIX futures given full marginals

Publications

• Markovian stochastic volatility with stochastic correlation - joint calibration and consistency of SPX/VIX short-maturity smiles, with B.Smith, Int. J. Theor. Appl. Finance, 26, 2-3, 2023
• The Riemann-Liouville field and its GMC as H→0, and skew flattening for the rough Bergomi model, with M.Fukasawa, S.Gerhold and B.Smith, Stat. Prob. Lett., Volume 181, February 2022
• Optimal trade execution for Gaussian signals with power-law resilience, with L.Sánchez-Betancourt and B.Smith, Quantitative Finance, 22(3), 585-596, 2022
• Small-time, large-time and H→0 asymptotics for the rough Heston model, with S.Gerhold and B.Smith, Mathematical Finance, 31(1), 203-241, 2021
• Rough volatility and CGMY jumps with a finite history and the Rough Heston model - small-time asymptotics in the k√t regime, with B.Smith and L.Viitasaari, Quantitative Finance, 21(4), 541-563, 2021
• The conditional law of the Bacry-Muzy and Riemann-Liouville log-correlated Gaussian fields and their GMC, via Gaussian Hilbert and fractional Sobolev spaces, with B.Smith, Stat. Prob. Lett., Volume 161, June 2020
• Pathwise superhedging for time-dependent barrier options on cadlag paths - finite or infinite tradeable European, One-Touch, lookback or forward starting options, Stoch. Proc. Appl, 129(3), 799-821, 2019
  
• Asymptotics for rough stochastic volatility models, with H.Zhang, SIAM J. Finan. Math., 8(1), 114-145, 2017
  
• Large-time option pricing using the Donsker-Varadhan LDP - correlated stochastic volatility with stochastic interest rates and jumps, with R.Kumar, Annals of Applied Probability, 26(6), 3699–3726, 2016
  
• Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion, with J.Armstrong, M.Lorig and H.Zhang, SIAM J. Finan. Math., 8(1), 82-113, 2017
  
• Small-time asymptotics for basket options - the bi-variate SABR model and the hyperbolic heat kernel on H³, with H.Zhang, SIAM J. Finan. Math, 7(1), 1-551, 2016
  
• Large deviations for the boundary local time of doubly reflected Brownian motion, with R.Kumar and H.Zhang, Stat. Prob. Lett., 96, 262-268, 2015
  
• The Large-maturity smile for the Stein-Stein model, Stat. Prob. Lett., 91, 145-152, 2014
  
• On the Markovian projection in the Brunick-Shreve mimicking result, Stat. Prob. Lett., 85, 98-105, 2014
  
• The Large-maturity smile for the SABR and CEV-Heston models, with A.Pogudin, Int. J. Theor. Appl. Finance, 16 (8), 2013
  
• Hitting times, occupation times, tri-variate laws and the forward Kolmogorov equation for a one-dimensional diffusion with memory, with A.Pogudin and H.Zhang, Adv. Appl. Probab., 45(3), 860-875, 2013
  
• Correction note for ‘The large-maturity smile for the Heston model’, with C.Bernard, Z.Cui, A.Jacquier, D.McLeish, A.Mijatović, Finance and Stochastics, 17 (1), 223-224, 2013
  
• The small-time smile and term structure of implied volatility under the Heston model, with A.Jacquier and R.Lee, SIAM J. Finan. Math., 3(1), 690-708, 2012
  
• The small-maturity smile for exponential Lévy models, with J.E.Figueroa-López, SIAM J. Finan. Math., 3(1), 33-65, 2012
  
• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time, Stoch. Proc. Appl., 121(12), 2802-2817, 2011
  
• Small-time asymptotics for an uncorrelated Local-Stochastic volatility model, with A.Jacquier, Appl. Math. Finance, 18(6), 517-535, 2011
  
• Large-time asymptotics for an uncorrelated stochastic volatility model, Stat. Prob. Lett., 81, 1230-1232, 2011
  
• A note on essential smoothness in the Heston model, with A.Jacquier and A.Mijatovic, Finance and Stochastics, 15(4), 781-784, 2011
  
• Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional, Int. J. Theor. Appl. Finance, 14(4), 1–19, 2011
  
• Asymptotic formulae for implied volatility in the Heston model, with A.Jacquier and A.Mijatovic, Proc. R. Soc. A, 466(2124), 3593-3620, 2010
  
• The Large-maturity smile for the Heston model, with A.Jacquier, Finance and Stochastics, 15(4), 755-780, 2011
  
• Robust approximations for pricing Asian options and volatility swaps under stochastic volatility, with A.Jacquier, Appl. Math. Finance, 17(3), 241-259, 2010
• Short maturity asymptotics for a fast mean-reverting Heston stochastic volatility model, with J.P.Fouque and J.Feng, SIAM J. Finan. Math., 1(1), 126-141, 2010
  
• Small-time asymptotics for implied volatility under the Heston model, with A.Jacquier, Int. J. Theor. Appl. Finance, 12(6), 861-876, 2009

Older preprints

• Duality for three robust hedging problems - finite strikes and maturities with tradeable exotics, or given joint/marginal laws for the minimum and the terminal price, with R.Kumar (2015)
  
• Portfolio optimization with transient linear and non-linear price impact under exponential utility, with M.Weber and H.Zhang (2015)
  
• Sharp tail estimates for the correlated SABR model, with H.Zhang (2015)
  
• The large-time smile and skew for exponential Lévy models, with J.E.Figueroa-Lopez and A.Jacquier (2011)
  

Teaching

• FM14 Advanced Volatility Models and Path-dependent options
• FM04 Stochastic Analysis
• FM50 Bloomberg mini-course
• FM02 Risk Neutral Valuation
• CM338 Mathematical Finance II: Continuous Time
• FM01 Applied Probability and Stochastics
• Former PhD student: Benjamin Smith