3 papers in the archive (2024–2025), average empirical rigor 3.5/10, average math complexity 9.1/10. Quadrant mix: Holy Grail ×1, Lab Rats ×2.
Works mostly in Options & Derivatives Pricing, Statistical Arbitrage & Pairs Trading, Stochastic Control & Optimal Stopping.
Frequent co-authors: Karel J. in ’t Hout (2), Fred Espen Benth (2), Massimiliano Moda (1), Mustapha Regragui (1), Tahir Choulli (1), Ella Elazkany (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 introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price $S$ or its logarithm is the main driving noise/shock in the Esscher definition, we obtained two classes of second-order Esscher densities called linear class and exponent