Real-world options: smile and residual risk

E-print: http://arxiv.org/abs/cond-mat/9509095

The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

E-print: https://hal.archives-ouvertes.fr/jpa-00246951/document

Comment on Turbulent cascades in foreign exchange markets

E-print: http://arxiv.org/abs/cond-mat/9607120

Option pricing in the presence of extreme fluctuations

Scaling in stock market data: stable laws and beyond

E-print: http://arxiv.org/abs/cond-mat/9705087

Missing information and asset allocation

E-print: http://arxiv.org/abs/cond-mat/9707042

Universality classes for extreme value statistics

E-print: http://arxiv.org/abs/cond-mat/9707047

Financial modeling and option theory with the truncated Lévy process

E-print: http://arxiv.org/abs/cond-mat/97101977

Phenomenology of the interest rate curve

E-print: http://arxiv.org/abs/cond-mat/9712164

Herd behavior and aggregate fluctuations in financial markets

E-print: http://arxiv.org/abs/cond-mat/9712318

Rational Decisions, Random Matrices and Spin Glasses

E-print: http://arxiv.org/abs/cond-mat/9801209

Taming large events: portfolio selection for strongly fluctuating assets

 

A Langevin approach to stock market fluctuations and crashes

E-print: http://arxiv.org/abs/cond-mat/9801279

Are financial crashes predictable?

E-print: http://arxiv.org/abs/cond-mat/9804111

Elements for a theory of financial risks

E-print: http://arxiv.org/abs/cond-mat/9806101

Back to basics: historical option pricing revisited

E-print: http://arxiv.org/abs/cond-mat/9808206

Noise Dressing of Financial Correlation Matrices

E-print: http://arxiv.org/abs/cond-mat/9810255

Random matrix theory and financial correlations

Published in: International Journal of Theoretical and Applied Finance - Volume 03, Issue 03, July 2000

 

 

Apparent multifractality in financial time series

E-print: http://arxiv.org/abs/cond-mat/9906347

An empirical investigation of the forward interest rate term structure

E-print: http://arxiv.org/abs/cond-mat/9907297