1. Contingent Claim Pricing using Probability Distortion Operators: Methods from Insurance Risk Pricing and their Relationship to Financial Theory
Refereed paper published in the journal:
Applied Mathematical Finance, Volume 10, Issue 1 March 2003 , pages 19 - 47
2. Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
Refereed paper published in the journal:
ASTIN Bulletin International Actuarial Association - 2006: Vol. 36, No. 1, pp:
187-217
http://www.casact.org/library/astin/vol36no1/187.pdf
3. CAPM and Option Pricing With Elliptically Contoured Distributions
Refereed paper published in the journal:
Journal of Risk & Insurance, Volume 75 Issue 2, Pages 387 - 409, 5 May 2008
4. Dynamic Portfolio Optimization and Asset Pricing
Martingale Methods and Probablity Distortion Functions
Published Monograph (6 January 2009):
- Paperback: 244 pages
- Publisher: VDM Verlag Dr. Müller
- Language: English
- ISBN-10: 3639110587
- ISBN-13: 978-3639110586
- Product Dimensions: 8.7 x 5.9 x 0.6 inches
5. Pricing Electricity Forwards using the Real Option Theory
Refereed paper forthcoming in the journal of Energy Markets
6. The Compass Rose Pattern in Electricity Prices
Refereed paper published in the journal:
CHAOS 19, 043106 - October 2009
7. A probabilistic Approach for Evaluating Alternatives to Reduce Minimum Send Out Rate at LNG Regasification Terminal
Forthcoming in LNG Journal
Link to World Gas Conference 2009
8. Fair Pricing of Energy Derivatives - A Comparative Study
Non-refereed paper published in:
World Energy Congress proceedings paper, 7 May 2004