Publications
] . “On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models”. SIAM Journal on Financial Mathematics (Accepted). https://arxiv.org/abs/2504.09276.
. “Sample Path Properties of the Fractional Wiener-–Weierstrass Bridge”. Bernoulli (Accepted). https://arxiv.org/abs/2411.05204.
. “Robust Faber–Schauder approximation based on discrete observations of an antiderivative”. Mathematics of Operations Research (Accepted). http://arxiv.org/abs/2211.11907.
. Stochastic Finance. An Introduction in Discrete Time. 5th revised and extended edition. 5th revised and extended editionth ed. De Gruyter, 2025. https://www.degruyterbrill.com/document/isbn/9783111045283/html.
. “The roughness exponent and its model-free estimation”. Annals of Applied Probability 35, no. 2 (2025): 1049-1082. https://arxiv.org/abs/2111.10301.
. “Multiarmed bandits problem under the mean-variance setting”. European Journal of Operational Research 324 (2025): 168-182. https://www.sciencedirect.com/science/article/pii/S0377221725002085.
. “A criterion for absolute continuity relative to the law of fractional Brownian motion”. Electronic Communications in Probability 29, no. 80 (2024): 1-10. https://doi.org/10.1214/24-ECP646.
. “The perturbation method applied to a robust optimization problem with constraint”. Mathematics and Financial Economics 18 (2024): 95-112. https://link.springer.com/article/10.1007/s11579-024-00358-y.
. “Weierstrass bridges”. Transactions of the AMS 377, no. 4 (2024): 2947-2989. https://arxiv.org/abs/2304.04944.
. “A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class.”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://arxiv.org/abs/2102.02745.
. “Protecting Pegged Currency Markets from Speculative Investors”. Mathematical Finance 32, no. 1 (2022): 405-420. http://dx.doi.org/10.1111/mafi.12324.
. “Step roots of Littlewood polynomials and the extrema of functions in the Takagi class”. Mathematical Proceedings of the Cambridge Philosophical Society 173 (2022): 591–618. https://www.doi.org/10.1017/S0305004122000020.
. “Robustness in the Optimization of Risk Measures”. Operations Research 70, no. 1 (2022): 95-110. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3254587.
. “An FBSDE approach to market impact games with stochastic parameters”. Probability, Uncertainty and Quantitative Risk 6, no. 3 (2021): 237-260. https://www.aimsciences.org/article/doi/10.3934/puqr.2021012.
. “A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness”. Statist. Probab. Lett. 168 (2021): 108920, 6.
. “Distributional transforms, probability distortions, and their applications”. Mathematics of Operations Research 46, no. 4 (2021): 1490-1512. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419388.
. “On the minimizers of energy forms with completely monotone kernel”. Applied Mathematics and Optimization 83, no. 1 (2021): 177–205.
