Publications in Asset Pricing

A. Derivative Pricing

"Early exercise decision in American options with dividends, stochastic volatility and jumps" with A. Cosma, S. Galluccio and P. Pederzoli, Journal of Financial and Quantitative Analysis, 54, (2019), 1-26. Abstract pdf SupplementalFile Matlab and DLL Codes Pricing Library Codes
"Pricing American options under stochastic volatility and stochastic interest rates" with A. Medvedev, Journal of Financial Economics, 98, (2010), 145-159. Abstract pdf Matlab Codes
"A primer on weather derivatives", with P. Barrieu, Handbook on Uncertainty and Environmental Decision Making, International Series in Operations Research and Management Science, Springer Verlag, forthcoming (2008). Abstract pdf
"Weather derivatives", with P. Barrieu, Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, forthcoming (2008). pdf
"CMS spread options", with S. Galluccio, Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, forthcoming (2008). Abstract pdf
"Swap market models", with S. Galluccio, Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd, forthcoming (2008). Abstract pdf
"Linear-quadratic jump-diffusion modelling", with P. Cheng, Mathematical Finance, 17, (2007), 575-598. Abstract pdf
"Approximation and calibration of short-term implied volatilities under jump-diffusion stochastic volatility", with A. Medvedev, Review of Financial Studies, 20, (2007), 427-459. Abstract pdf
"Theory and calibration of Swap Market Models", with S. Galluccio, Z. Huang and J.-M. Ly, Mathematical Finance, 17, (2007), 111-141. Abstract
"An autoregressive conditional binomial option pricing model" with J.L. Prigent and O. Renault, in Selected Papers from the First World Congress of the Bachelier Finance Society, eds. Geman, Madan, Pliska and Vorst, Springer Verlag, Heidelberg, (2001), Inquire UK prize 2001. Abstract pdf  ps
"Convergence of discrete time option pricing models under stochastic interest rates", with J.P. Lesne and J.L. Prigent, Finance and Stochastics, 4, (2000), 81-93. Abstract
"A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary", with B. Leblanc and O. Renault, Finance and Stochastics, 4, (2000), 109-111. Abstract
"Lookback and barrier options: A comparison between Black-Scholes and ACB pricing" with J.L. Prigent and O. Renault, Finance, 20, (1999), 143-152. Abstract pdf  ps
"Path dependent options on yields in the affine term structure model", with B. Leblanc, Finance and Stochastics, 2, (1998), 349-367. Abstract
"Compound and exchange options in the affine term structure model", Applied Mathematical Finance, Vol. 3, (1996), 75-92. Abstract
"Options on futures and forward contracts in the affine term structure model", with B. Leblanc, Advances in Futures and Options Research, Vol. 8, (1995), 241-261.

B. Asset Allocation

"Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases", with P. Battocchio and  F. Menoncin, Annals of Operations Research, 142, (2007), 141-165. Abstract pdf  ps
"Optimal asset management for pension funds", with F. Menoncin, Managerial Finance, Vol. 32, (2006), 347-374. Abstract pdf