- A two-factor cointegrated commodity price model with an application to spread option pricing, with Walter Farkas, Robert Huitema and Ciprian Necula, 2017, Journal of Banking and Finance, 77, 249-268.
- Quadratic Variance Swap Models, with Damir Filipovic and Loriano Mancini, 2016, Journal of Financial Economics, 119(1), 44-68.
- Inferring volatility dynamics and risk-premia from the S&P500 and VIX markets, with Chris Bardgett and Markus Leippold. Conditionally accepted in the Journal of Financial Economics.
Assistant Professor in Finance at Queen Mary University of London
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