Publications:

• How Much is the Gap? Efficient Overnight Jump Risk-Adjusted Valuation of Leveraged Certificates (2016), Quantitative Finance (forthcoming)

Working Papers:

• Analytical Option Pricing under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

Ongoing Projects:

• Calibrating Stochastic Volatility Models to the Term-Structure of Implied Risk-Neutral Moments Using Automatic Differentiation