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Springer Publishing Company

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Computations of Greeks in a market with jumps via the Malliavin calculus

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Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

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Quantitative Finance, Vol. 13, Iss. 8, 2013-08 ,pp. : 1257-1287

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The estimation of phase-type related functionals using Markov chain Monte Carlo methods

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Scandinavian Actuarial Journal, Vol. 2003, Iss. 4, 2003-10 ,pp. : 280-300

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