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Calgary, Alberta T2N 1N4
Canada
University of Calgary
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Mean-reverting asset, European call option, option pricing formula, risk-neutral measure, Black-Scholes formula, AECO Natural Gas Index
stochastic interest rate derivatives, bond options, swaps, caps, floors, swaptions, captions, floortionschange of time methods, partial integro-differetial equations
multi-factor Levy models, change of time method, alpha-stable Levy processes, Levy-based SABR model, Levy-based Heston model, Levy-based Schwartz model, Levy-based Schwartz-Smith model
semi-Markov volatility, incomplete market, minimal martingale measure, variance and volatility swaps, Dupire formula, residual risk, risk-minimizing strategy
Black-76 formula; OU process; Vasicek model; option pricing formulas; forward; futures
Independent increments processes, Ornstein-Uhlenbeck process, arithmetic models, geometric models, stochastic volatility models with delay and jumps, delay, energy markets, forwards, futures, swaps, options, SDDEs with jumps, optimal control of SDDEs with jumps
COGARCH(1,1) process, variance and volatility swaps, compound Poisson ansd variance gamma CORARCH processes
energy market, stochastic mean-reverting volatility, variance and volatility swaps, AECO Natural Gas Index
semi-Markov volatility, volatility, covariance, correlation swaps
fractional stochastic volatility, variance and volatility swaps, fractional Ornstein-Uhlenbeck process, fractional Vasicek process, fractional geometric Brownian motion, fractional continuous-time GARCH model
stochastic volatility with delay and jumps, variance and volatility swaps, covariance and correlation swaps
limit order book, semi-Markov process, diffusion limit, duration analysis, Weibull and Gamma distributions
local stochastic volatility, delay, jumps, variance swaps, S&P60 Canada Index, S&P500 Index
Hawkes Process; Compound Hawkes Process; Regime-Switching Compound Hawkes Processes; Limit Order Books; Diffusion Limits; Law of Large Numbers
Levy-based interest rate models, bond options, swaps, caps, floors, PIDEs, numerical solutions
hawkes processes, general compound hawkes processes, limit order books, functional central limit theorems, LOBSTER data
Hawkes processes; compound Hawkes processes; regime- switching compound Hawkes processes; limit order books; diffusion limits; Law of Large Numbers (LLN); Functional Central Limit Theorem (FCLT)
variance swaps, Levy process, local stochastic volatility, delay, S&P500 Index
Energy Economics, Stochastic Processes, Carbon Pricing, Renewable Energies, Fossil Fuels, Fuel-Switching
Limit Order Books, General Semi-Markov Model, Diffusion Limit, Real Data
stochastic SARS model, averaging, merging, diffusion approximation, semi-Markov random media, random differential equation
variance swap, volatility swap, stochastic volatility, VIX future, convexity correction, Markov chain Monte Carlo
Endemic SIR Model; Semi-Markov Random Media; Averaging Principle; Averaged Endemic SIR Model; Two-State Markov Chain; Two-State Semi-Markov Chain; Weibull Distribution; Failure Rate for the Disease
Geometric compound Hawkes process, LLN; FCLT, European call and put option pricing, American call and put option pricing, infinite horizon, Merton investment problem
random operators, Skorokhod space, bounded linear operators, weak convergence, almost sure convergence
Markov-modulated volatility, covariance and correlation swaps, VIX and VXN indices, variance and volatility swaps for VIX index, first-order correction for correlation swap
Hakes process; semi-Markov process; limit order books; high-frequerncy and algorithmic trading;
endemic SIR model; semi-Markov random media; averaging principle; averaged endemic SIR model; two-state Markov chain; two-state semi-Markov chain; Weibull disctribution; failure rate for the disease
Multivariate general compound Hawkes process (MGCHP); exponential MGCHP (EMGCHP); LLN and FCLT; limit order book; option pricing; Margrabe’s spread option pricing.
Point process (PP), multivariate point processes (MPP), multivariate general compound point processes (MGCPP), limit order books (LOB), Functional Central Limit Theorems (FCLT), Law of Large Numbers (LLN)
Multivariate general compound Hawkes process (MGCHP); exponential MGCHP (EMGCHP); LLN and FCLT; limit order book; option pricing; Margrabe's spread option pricing
pseudo-swaps; pseudo-statistics; variance, volatility, covariance and correlation swaps; real data;
Merton problem in finance; Merton problem in insurance; Hawkes-based models; risk process; general compound Hawkes process; LLN; FCLT
energy markets; option pricing; mean-reverting assets; variance and volatility swaps; weather derivatives; Levy processes; delayed and jumped volatilities; Alberta energy markets; alternatives to Black-76 model; wind, solar and water energy
Algorithmic and High-Frequency Trading, Acquisition, Liquidation, Limit Order Books, Stochastic Optimal Control, Hawkes Process, Semi-Markov Process, Market Simulation
exponential multivariate general compound Hawkes process, basket option pricing, FCLT
LIBOR Market Model, Jump Diffusion, Markov Switching, Heath-Jarrow-Morton Model, Pricing, Parameter Estimation
volatility swap, stochastic volatility with delay, Heston model with delayed stochastic
Algorithmic and High-Frequency Trading, Market-Making, Adverse Selection, Stochastic Optimal Control, Market Simulation
Hawkes process, variance-Hawkes process, subordinator, generator, Ito formula, clustering, energy, finance, time change, WTI crude oil, NYMEX natural gas futures, simulation
Heston model with delayed stochastic volatility, delayed continuous-time GARCH
volatility swap, delayed Heston model, stochastic volatility, change of time, dynamic
