Research
Models, numerical methods and financial decisions.
Selected work across derivative valuation, stochastic simulation, commodity markets and portfolio analytics.
Areas of work
Research themes
Financial engineering and numerical methods
Simulation, transform methods and efficient derivative valuation.
Energy and commodity markets
Commodity price models, calendar spreads and energy derivatives.
Portfolio analytics
Covariance, portfolio selection and risk measurement.
Credit and counterparty risk
Default risk, credit valuation adjustment and model risk.
Selected work
Publications
- 2026
Navigating Supply Shocks: Sector Resilience and Production Prices Through Stochastic Input–Output Modeling
A stochastic input-output framework for studying supply shocks, sector resilience and production prices.
DOI: 10.1111/mafi.70029 - 2025
Energy commodities and calendar spread options
A framework for pricing calendar spread options under affine models with stochastic volatility and jumps.
DOI: 10.1016/j.eneco.2025.108809 - 2024
Unified Moment-Based Modeling of Integrated Stochastic Processes
A moment-based method for simulating time integrals of stochastic processes conditional on their endpoint values.
Published in the 2024 issue; first published online in 2023.
DOI: 10.1287/opre.2022.2422 - 2024
Converting a covariance matrix from local currencies to a common currency
A matrix-based conversion of log-return covariances across currency denominations.
DOI: 10.21314/jor.2024.009 - 2016
General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options
Optimized lower bounds and error bounds for arithmetic Asian option valuation across a broad range of models.
DOI: 10.1287/moor.2015.0739
This is a selected list. Follow the DOI links to the publisher records, or browse the full publication list and working papers above.