4 papers in the archive (2025–2026), average empirical rigor 3.2/10, average math complexity 8.6/10. Quadrant mix: Holy Grail ×1, Lab Rats ×3.
Works mostly in Options & Derivatives Pricing, Commodities & Energy Markets, Statistical Arbitrage & Pairs Trading, Volatility Modeling & Forecasting.
Frequent co-authors: Karel J. in ’t Hout (2), Michèle Vanmaele (2), Massimiliano Moda (1), Mustapha Regragui (1), Thomas K. Kloster (1), Sven Karbach (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dimensional partial integro-differential equations (PIDEs) are convection-dominated and possess a nonlocal integral term du
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential Lévy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional case to the 2-dimensional setting and is applicable for general
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by Lévy subordinators. We show their existence and cone-invariance, investigate their first and second order moment structure, and derive explicit conditions for their stationarity. Spec
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process governed by a stochastic partial differential equation, we de