4 papers in the archive (2024–2026), average empirical rigor 2.9/10, average math complexity 8.8/10. Quadrant mix: Lab Rats ×4.
Works mostly in Volatility Modeling & Forecasting, Fixed Income & Interest Rates, Commodities & Energy Markets, Options & Derivatives Pricing.
Frequent co-authors: Asma Khedher (2), Jian He (1), Konstantinos Chatziandreou (1), Fred Espen Benth (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%).
We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dynamic trading in the underlying assets with a static portfolio of auxiliary contingent claims. Using a multivariate Galtc
We present a function-valued stochastic volatility model designed to capture the continuous-time evolution of forward curves in fixed-income or commodity markets. The dynamics of the (logarithmic) forward curves are defined by a Heath-Jarrow-Morton-Musiela stochastic partial differential equation mo
We study the pricing of European-style options written on forward contracts within function-valued infinite-dimensional affine stochastic volatility models. The dynamics of the underlying forward price curves are modeled within the Heath-Jarrow-Morton-Musiela framework as solution to a stochastic pa
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