Selected Publications

• ‘A Hype- Adjusted Probability Measure in NLP Forecasting of Stock Price Volatlity’ (with James Cao), 2025 Frontiers in Artificial Intelligence
• ‘Green Ammonia Production in Stochastic Power Markets’ (with E. Lauro and A .Tetu), 2024, Commodities
• US Regional Banks: Challenges and Opportunities’ (with O.Levyne), 2024, the Journal of Risk
• Distributed Energy Resources Flexibility as Volumetric Options on Electricity’ (with Y.Ma), 2023 Frontiers of Mathematical Finance
• ‘Locational Arbitrage Strategies around Shanghai Oil Futures Contracts’ (with J.Miller and Y.Ma), 2023, Journal of Energy Markets
• ‘From Lehman to Silicon Valley Bank and Beyond’, 2023, Policy Brief of the Policy Centre for the New South
• ‘Not All Storage Shocks Are Alike : The Case of WTI Crude Oil during Covid 19’ (with Y.Ma), 2023, Gedenkschrift Book for Peter Carr
• A Sentiment Analysis Approach to the Prediction of Market Volatility’ (with J.Deveikyte, C.Piccari and A.Provetti), 2022, Frontiers in Artificial Intelligence
• ‘In the Vault: Bitcoin Futures and Storage Insurance’ (with H.Price), 2020, The Actuary
• “LNG Spot Markets and Valuation of the Re-Routing Option” (with S. Philippou), 2020, Journal of Energy Markets
• “Bitcoin Spot and Derivative Markets: Searching for Completeness” (with H.Price), 2020, Risk and Decision Analysis
• “Diamonds and Precious Metals for Reduction of Portfolio Tail Risk” (with M. Barbi and S. Romagnoli), 2019, Applied Economics
• “An Analysis of High Frequency Trading Response to Crude Oil Inventory Shocks” 2018, Journal of Energy Markets.
• “Fertilizer Markets: Looking for the Index of Choice” March 2018, OCP Policy Centre Report.
• “Recent Experiences of Copper on the Shanghai Futures Exchange: Some Lessons for Warehouse Monitoring” (with M. Scheiber), 2017, Resources Policy
• “Expanding the Space of Real Estate Investments to Data Centers and Shopping Complexes” (with T. Velez), 2018, Real Estate Finance
• “Electricity in Eastern Africa: the Case for Mini-Hydro”, 2017, Policy Brief, OCP Policy Center
• “World Coal Markets: Still Weakly Integrated and Moving East” (with B. Liu), 2017, Journal of Commodity Markets
• Robert Merton et l’Introduction du Temps Continu dans la Theorie Financiere in ‘Les Grands Auteurs en Finance’, 2017, Editions Management et Societe
• “Ownership Yield and Prime Real Estate in Alpha Cities” (with T. Velez), 2016, Journal of Wealth Management
• “Intraday Pair Trading Strategies on High Frequency Data: the Case of Oil Companies” (with B. Liu and L. Chang), 2016, Quantitative Finance
• “Introducing Distances Between Commodity Markets: The Case of the US and the UK Natural Gas”, Spring 2016, Advanced Modelling in Mathematical Finance - in honor of Ernst Eberlein
• “Tail Risk Constraints and Maximum Entropy” (with D. Geman and N. Taleb), 2015, to Entropy
• “On Rarity Premium and Ownership Yield in Art” (with T. Velez), 2015, Journal of Alternative Investments
• “Revisiting Uncertainty and Price Forecast Indicators in Corn and Wheat Markets” (with P. Vergel), 2015, Journal of Agricultural Extension and Rural Development
• “Live Cattle as a New Frontier in Commodity Markets” (with P. Vergel), 2015, Journal of Agriculture and Sustainability
• “Are World Natural Gas Markets Moving toward Integration? Evidence from the HH and NBP Forward Curves” (with B. Liu), 2014, Journal of Energy Markets
• “Investing in Fertilizer Mining Companies in Times of Food Scarcity” (with P. Vergel), 2014, Resources Policy
• “Marc Yor: A beautiful mind has disappeared” (with M. Jeanblanc), 2014, Stochastic Processes and their Applications
• “Mispricing and Trading Profits in ETNs” (with L. Thukral et al.), 2014, Journal of Investing
• “On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market” (with G. Barone-Adesi and J. Theal), 2014, Journal of International Research and Financial Engineering
• “A Daily Trading Strategy in the ETN Space” (with L.Thukral et al.), 2013, Journal of Trading
• “Theory of Storage, Inventory and Volatility in the LME Base Metals” (with W.O. Smith), 2013, Resources Policy
• “Some Elements on Agricultural Price Volatility” (With H. Ott), 2013, European Commission Scientific and Policy Reports
• “Are ETNs realizing their potential? An empirical investigation of ETNs vs. other exchange traded products in the precious metals space” (with L. Thukral), 2012, Journal of Index Investing
• “Commercial Real Estate Inventory and Theory of Storage” (with R. Tunaru), 2012, Journal of Futures Markets
• “Seasonality in Cocoa Spot and Forward Markets: Empirical Evidence” (with S. Sarfo), 2012, Journal of Agricultural Extension and Rural Development
• “Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index” (with W.O. Smith), 2012, Journal of Alternative Investments
• “Price Volatility in Storable Commodity Markets: Speculation or Scarcity?”, 2011, Swiss Derivatives Review
• “Distortion Risk Measures for Hedge Funds” (with C. Kharoubi), 2011, Journal of Risk Management for Financial Institutions
• “Commodities and Numéraire” (with Y. Shih), 2010, Encyclopedia of Quantitative Finance, Wiley Publisher.
• “Realized Variance Options and Convex Orders”, 2010, Quantitative Finance
• “On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market”, 2009, Swiss Finance Institute Research Paper
• “On Pricing Risky Loans and Collateralized Fund Obligations”, 2009, Journal of Credit Risk
• “Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets”, 2009, Energy Economics
• “Modelling Electricity Prices with Forward Looking Capacity Constraints”, 2009, Applied Mathematical Finance
• “Modeling Commodity Prices under the CEV model”, Winter 2009, Journal of Alternative Investments
• “WTI crude oil Futures in portfolio diversification: The time-to-maturity effect”, 2008, Journal of Banking and Finance
• “Valuation of default-sensitive claims under imperfect information”, 2008, Finance and Stochastics
• “Correlations and the Pricing of Risks”, 2008, Annals of Finance
• “A lattice-based Method for the Pricing of Energy Derivatives in the Threshold Model”, 2008, Applied Mathematical Finance
• “Seasonal and Stochastic Features in Commodity Forward Curves”, 2008, Review of Derivative Research
• “Time Consistency in Managing a Commodity Portfolio: A Dynamic Risk Measure Approach”, 2008, Journal of Banking and Finance
• “Water as the Next Commodity”, 2007, Journal of Alternative Investments
• “Mean Reversion versus Random Walk in Oil and Natural Gas Prices”, 2007, Advances in Mathematical Finance, Birkhäuser Boston
• “Self Decomposition and Option Pricing”, 2007, Mathematical Finance
• “Understanding the Fine Structure of Electricity Prices”, 2006, Journal of Business
• “Energy Commodity Prices: Is Mean-Reversion Dead?”, 2005, Journal of Alternative Investments
• “From Measure Changes to Time Changes in Asset Pricing”, 2005, Journal of Banking and Finance
• “Pricing Options on Realized Variance”, 2005, Finance and Stochastics
• “Soybean inventory and forward curves dynamics”, 2005, Management Science
• “Alternative Approaches to Weather Derivative Valuation”, 2005, Managerial Finance
• “From Local Volatility to Local Lévy Models”, 2004, Quantitative Finance
• “Hedge Funds: A Copula Approach for Risk Management”, 2004, in Risk Measures for the 21st Century, Wiley
• “Stochastic Volatility for Lévy Processes”, 2003, Mathematical Finance
• “Hedge Funds Revisited: Distributional Characteristics, Dependence Structure and Diversification”, 2003, Journal of Risk
• “Pure Jump Lévy Processes for Asset Price Modelling”, 2002, Journal of Banking and Finance
• “The Fine Structure of Asset Returns : An Empirical Investigation”, 2002, Journal of Business
• “Time Changes, Laplace Transforms and Path-Dependent Options”, 2001, Computational Economics
• “Forward and Futures Contracts on Non-Storable Commodities: The Case of Electricity”, 2001, RISK
• “Spot and Derivatives Trading in Deregulated European Electricity Markets”, 2001, Revue Economies et Sociétés
• “Pricing and Hedging in Incomplete Markets”, 2001, Journal of Financial Economics
• “Time Changes for Lévy Processes”, 2001, Mathematical Finance
• “The Bermuda Triangle: Electricity, Weather and Insurance Derivatives”, 2000, Journal of Alternative Investments
• “From Bachelier and Lundberg to Insurance and Weather Derivatives”, 2000, Mathematical Physics Studies, Kluwer Publishers
• “Order Flow, Transaction Clock and Normality of Asset Returns”, 2000, The Journal of Finance
• ‘Forward and Future Prices for Non Storable Commodities: the case of Electricity’ (with O. Vasicek), 1999 , RISK Journal
• “Fundamentals of Electricity Derivatives”, 1999, Chapter of the book “Energy Modelling and the Management of Uncertainty”, RISK Books
• “Pricing Power Derivatives”, 1998, RISK Journal
• “On the Behavior of the Long Term Rate in a No Arbitrage Framework”, 1998, Review of Derivatives Research
• “Stochastic Time Changes and Catastrophe Option Pricing”, 1997, Insurance: Mathematics and Economics
• “Portfolio Optimization and Contingent Claim Pricing With Differential Information”, 1997, Stochastics and Stochastics Reports
• “No Arbitrage Between Economies and Correlation Risk Management”, 1997, Computational Economics
• “Pricing and Hedging Double-Barrier Options: a Probabilistic Approach”, 1996, Mathematical Finance
• “Stochastic Subordination”, 1996, RISK
• “Insurance Risk Securitization and CAT Insurance Derivatives”, 1996, Financial Derivatives and Risk Management
• “Changes of Numéraire, Changes of Probability Measures and Option Pricing” 1995, Journal of Applied Probablity
• “Domino Effect: Inverting the Laplace Transform”, 1995, RISK
• “Pricing Catastrophe Futures Contracts and Call Spreads: An Arbitrage Approach”, 1995, Journal of Fixed Income
• “Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies”, 1994, Journal of Risk and Insurance
• “Catastrophe Calls”, 1994, RISK
• “An Asian Option Approach to the Valuation of Insurance Futures Contracts”, 1994, Review of Futures Markets
• “A Probabilistic Approach to the Valuation of General Floating-Rate Notes with an Application to Interest Rate Swaps”, 1994, Advances in Options and Futures Research
• “Bessel Processes, Asian Options and Perpetuities”, 1993, Mathematical Finance
• “Risky Pension Benefits in an Overlapping Generations Model”, 1992, with Y. Balasko, University of Geneva Working Paper
• “Processus de Bessel, Options Asiatiques et Fonctions confluentes hypergéométriques”, 1992, Note aux Comptes Rendus de l’Académie des Sciences
• “A Stochastic Approach to the Pricing of Floating Rate Notes”, 1991, RISK
• “Trading/Non Trading Time Effects in the French Futures Markets”, 1991, Journal of Accounting, Auditing and Finance
• “A Framework for Interest Risk Analysis and Portfolio Management”, 1989, American Stock Exchange Colloquium Proceedings
• “L’Importance de la Probabilité Forward Neutre dans une Approche Stochastique des Taux d’Intérêt”, 1989, ESSEC Working Paper (Univ. Paris Panthéon Sorbonne PhD Dissert)
• “Interest Rate Risk Management: Beyond Duration and Convexity”, 1988, Caisse des Dépôts Technical Report