Consistently Modeling Joint Dynamics of Volatility and Underlying To Enable Effective Hedging

Achieving Consistent Modeling Of VIX and Equities Derivatives

Realized and implied index skews, jumps, and the failure of the minimum-variance hedging

Stochastic Local Volatility Models: Theory and Implementation

Quantitative Methods for Counterparty Risk

Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models

Volatility derivatives and default risk

An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs