Output Value Risk for Commodity Producers: the Uncertain Benets of DiversicationConcentrated Production and Conditional Heavy Tails in Commodity Returns
With Maria Eugenia Steglich (2017)
Accepted at World Development
The Journal of Futures Markets, vol 36 (1), pp 46-65. (2016)
Optimal Trading and Shipping of Agricultural Commodities
(with Ramiro Moyano, Nicolas Stier-Moses and Pablo Watfi)
Journal of the Operational Research Society, vol 67, pp 114–126. (2016)
Globally Distributed Production and the Pricing of CME Commodity Futures
The Journal of Futures Markets, Vol, No. 1, 1-30 (2015)
Efficient Monte Carlo for Discrete Variance Contracts, (with Leonardo Vicchi)
Journal of Computational Finance 18(3), 1–25 (2015)
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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.
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