Preprint
 Skipfree Markov chains, (with M.C.H. Choi)
Submitted
 Spectral decomposition of fractional operators and reflected stable semigroups, (with Y. Zhao)
Submitted

Bernsteingamma functions and exponential functionals of Lévy Processes
(with M.
Savov )
Submitted
 Smoothness of continuous state branching with immigration semigroups, (with M. Chazal and R.L. Loeffen)
Submitted

Spectral expansions of nonselfadjoint generalized Laguerre semigroups
(with M.
Savov )
Submitted
 Absolute ruin
in the OrnsteinUhlenbeck type risk model, (with R.L. Loeffen)
Submitted
 Option pricing in a onedimensional affine term structure model via spectral representations (with M. Chazal, and R.L. Loeffen)
Submitted
Publications
 Cauchy problem of the nonselfadjoint GaussLaguerre semigroups and uniform
bounds of generalized Laguerre polynomials, (with M.
Savov )
J. Spectr. Theory, to appear, 2016.
 Boundary crossing identities for Brownian motion
and some
nonlinear
ode's, (with L.
Alili)
Proc. Amer. Math. Soc. 142, 38113824, 2014.
 A
transformation for Lévy processes with onesided jumps with
applications, (with M. Chazal and A.E. Kyprianou)
Adv. Appl. Prob., to appear, 2014

Exponential functionals of Lévy processes: generalized Weierstrass products and WienerHopf factorization
(with M.
Savov )
C. R. Math. Acad. Sci. Paris, 351, no. 910,
393396., 2013
 Asion options under onesided Lévy
models,
J. of Appl. Prob. 50(2), 359373, 2013

Extended factorizations of exponential functionals of Lévy processes,
(with M.
Savov )
Electron. J. Probab., 17(38): 122, 2012
 Law of the
absorption time of positive selfsimilar Markov processes,
Ann. Probab.,
40(2): 765787, 2012
 A WienerHopf
type factorization for the exponential functional of Lévy processes,
(with J.C.
Pardo and M. Savov )
J. London Math. Soc., 86(3): 930956, 2012
 Optimal
stopping problems for some Markov processes, (with M. Cissé
and E. Tanré)
Ann. Appl. Probab., 22(3): 1243–1265, 2012

Intertwining certain fractional operators, (with T. Simon)
Potent. Anal., 36: 569587, 2012
 A
CiesielskiTaylor type identity for positive selfsimilar Markov
processes, (with A.E. Kyprianou)
Ann. Inst. H. Poincaré Probab. Statist., 47(3):917–928,
2011
 A refined
factorization of the exponential law,
Bernoulli, 17(2):814826, 2011

Boundary crossing identities for diffusions having the time inversion
property,
(with L.
Alili)
J. Theoret. Probab., (23): 65–84, 2010

Exponential functional of a new family of Lévy processes and
selfsimilar continuous state
branching processes with immigration,
Bull. Sci. Math., 133(4):355382, 2009
 Infinite
divisibility
of solutions to some selfsimilar integrodifferential equations and
exponential functionals of Lévy processes,
Ann. Inst. H. Poincaré Probab. Statist., 45
(3):667684, 2009
 Law of the
exponential functional of onesided Lévy processes and Asian options,
C. R. Acad. Sci. Paris, Ser. I ,347:407–411, 2009
 A few remarks
on the supremum of stable processes,
Statist. Probab. Lett., 79:11251128, 2009
 qinvariant
functions for some generalizations of the OrnsteinUhlenbeck semigroup,
ALEA Lat. Am. J. Probab. Math. Stat.,4:3143, 2008
 First exit time
probabilities for multidimensional diffusion: A PDEbased approach,
(with C. Winter)
J. Comput. Appl. Math., 222(1):4353, 2008
 On the joint
law of the L^{1} and L^{2} norms of a 3dimensional
Bessel bridge, (with
L. Alili)
Séminaire de Probabilités XL:247264, Lecture Notes in
Math., 1899, Springer, Berlin, 2007

Twosided exit
problem for a spectrally negative αstable OrnsteinUhlenbeck process
and the Wright's generalized hypergeometric functions,
Elect. Com. Prob.,12:146160, 2007
 On a
martingale associated to generalized OrnsteinUhlenbeck processes and
an application to finance,
Stochastic Process. Appl., 115(4):593607, 2005
 Strategic
LongTerm Financial Risks: The one dimensional case, (with P. Embrechts
and R. Kaufmann)
Computational Optimization and Applications,
32(12):6190,2005
 Sur les
premiers instants de croissement du mouvement brownien et d'une famille
de courbes continues, (with L.
Alili)
C. R. Acad. Sci. Paris Sér. I Math., 340(3):225228,
2005
 Representations
of the first hitting time density of an OrnsteinUhlenbeck process,
(with L.
Alili and J.L.
Pedersen )
Stochastic Models, 21(4):967980, 2005
 On some first
passage times problems motivated by financial applications
PhD Thesis, ETHZ, 2004.
 Risk
Management
for Derivatives in Illiquid Markets: A Simulation Study,
(with R. Frey)
Advances in Finance and Stochastics, Klaus Sandmann and
Philipp SchĂ¶nbucher (Editors), 137159,
Springer, Berlin, 2002
Proceedings

Sufficient conditions for continuous time finite
skipfree Markov chains to have real eigenvalues
(with M.C.H. Choi )
Mathematical and Computational Approaches in Advancing Modern Science and Engineering, to appear, 2016

Convergence analysis of the spectral expansion
of stable related semigroups
(with Y. Zhao )
Mathematical and Computational Approaches in Advancing Modern Science and Engineering, to appear, 2016
