• Published Papers

    • Globally Distributed Production and the Pricing of CME Commodity Futures, forthcoming at The Journal of Futures Markets (2013).
    • Efficient Monte Carlo for Discrete Variance Contracts, (with Leonardo Vicchi), Forthcoming at the Journal Computational Finance.
    • Swap Rate Variance Swaps, Quantitative Finance, Vol 12 (2), pp 249-261, February 2012. 
    • Libor Volatility Derivatives, in Modelling Interest Rates, edited by Fabio Mercurio, Risk Books, London, 2009.
    • Convergence of a Discretization Scheme for Jump-Diffusion Processes with State-Dependent Intensities, (with Paul Glasserman), Proceedings of the Royal Society A, vol. 460, (2041), pp 111-127, January 2004.
    • Cap and Swaption Approximations in Libor Market Models with Jumps, (with Paul Glasserman), The Journal of Computational Finance, vol. 7 (1), pp 1-36, Fall 2003.
    • Numerical Solution of Jump-Diffusion Libor Market Models, (with Paul Glasserman), Finance and Stochastics, vol. 7 (1), pp 1-28, January 2003.
    • Low Dimensional Dynamics outside the Laboratory: the case of Stellar Pulsations, (with Gabriel Mindlin and Padi Boyd), Europhysics Letters, vol. 42 (1), pp. 111-127, 1998.


  • Working Papers