Publications:
- How Much is the Gap? — Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates (2017), Quantitative Finance, Vol. 17, No. 9, pp. 1387-1401, joint with Matthias Thul
Working Papers:
- The Macroeconomic Implications of Limited Arbitrage (Submitted)
- Arbitrage Run and Collateral Run
- Recursive equilibria in dynamic economies with bounded rationality
- Risky Arbitrage and Collateral Policies
- Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model
Preliminary Projects: