Modeling Asset Prices for Algorithmic and High Frequency Trading
Distinguished Limits of Lévy-Stable Processes, and Applications to Option Pricing
Algorithmic Trading with Learning
Where is the Value in High Frequency Trading?
Trading Strategies Within the Edges of No-Arbitrage
Algorithmic Trading with Model Uncertainty
The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets
Buy Low Sell High
Modelling Electricity Prices with Forward Looking Capacity Constraints
Where is the Value in High Frecuency Trading?
Risk Metrics and Fine Tuning of High Frequency Trading Strategies
Market Making With Minimum Resting Times
Optimal Cross-Border Electricity Trading
Latency and Liquidity Risk
Optimal Execution of Foreign Securities
Fractional Diffusion Models of Option Prices in Markets With Jumps
Pricing in Electricity Markets
Trading Cointegrated Assets with Price Impact
Portfolio Liquidation and Ambiguity Aversion