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Randomized Dimension Reduction for Monte Carlo Simulations.
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- Management Science, 2020, v. 66, n. 3, p. 1421, doi. 10.1287/mnsc.2018.3250
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- Article
Efficient Simulation of High Dimensional Gaussian Vectors.
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- Mathematics of Operations Research, 2019, v. 44, n. 1, p. 58, doi. 10.1287/moor.2017.0914
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- Article
Superreplication of Financial Derivatives via Convex Programming.
- Published in:
- Management Science, 2017, v. 63, n. 7, p. 2323, doi. 10.1287/mnsc.2017.2786
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- Article
MODEL-INDEPENDENT LOWER BOUND ON VARIANCE SWAPS.
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- Mathematical Finance, 2016, v. 26, n. 4, p. 939, doi. 10.1111/mafi.12083
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- Article
SPARSE CALIBRATIONS OF CONTINGENT CLAIMS.
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- Mathematical Finance, 2010, v. 20, n. 1, p. 105, doi. 10.1111/j.1467-9965.2009.00391.x
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- Article
A semidefinite bound for mixing rates of Markov chains.
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- Random Structures & Algorithms, 1997, v. 11, n. 4, p. 299, doi. 10.1002/(SICI)1098-2418(199712)11:4<299::AID-RSA2>3.0.CO;2-U
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- Article