Publications: 
Here is a list without links. Most of them, especially recent ones can be found at http://eprints.lse.ac.uk. Alternatively look at google scholar and researchgate.
Exact Simulation for a Class of Tempered Stable and Related Distributions, 2018, to appear in Transactions on Modeling and Computer Simulation (TOMACS) (with Y.Qu and H. Zhao).
Moments of Renewal ShotNoise Processes and Applications, 2018, to appear in the Scandinavian Actuarial Journal (with J. Jang and H.Zhao)
Efficient
Simulation of Clustering Jumps with CIR Intensity, 2017,
to appear in Operations
Research, (with
H. Zhao).
Testing independence of covariates and errors in nonparametric regression, 2017, to appear in the Scandinavian Journal of Statististics, (with W. P. Bergsma and S.S. Dhar).
An
efficient algorithm for simulating the drawdown stopping time and the
running maximum of a Brownian motion, 2017, Methodology
and Computing in Applied Probability, 19(1),
116,
(with J.W.Lim)
A
Generalised Contagion Process with An Application to Credit Risk
2017, International
Journal of Theoretical and Applied Finance, 20(1),
133,
(with H. Zhao).
The
joint distribution of Parisian and hitting times of
Brownian motion with application to Parisian option pricing, 2016,
Finance
and Stochastics,
20(3),
773804 (with Y. Zhang).
A
study of the power and robustness of a new test for independence
against contiguous alternatives, 2016, Electronic
Journal of Statistics,
10
(1).
pp. 330351 (with W. P. Bergsma and S.S. Dhar).
An
analytical solution for the twosided Parisian stopping time, its
asymptotics, and the pricing of Parisian options, 2015, Mathematical
Finance
doi:10.1111/mafi.12091 (with J.W.Lim).
A
risk model with renewal shotnoise Cox process, 2015, Insurance:
Mathematics & Economics,
65,
55–65 (with J. Jang and H. Zhao).
A
consistent test of independence based on a sign covariance related to
Kendall's tau, 2014, Bernoulli
, 20(2),
10061028 (with W. P. Bergsma).
A
Markov chain model for contagion , Risks
2014, 2,
434455; doi:10.3390/risks2040434) (with H. Zhao).
Parisian
option pricing: A recursive solution for the density of the Parisian
stopping time, 2013, SIAM
J. Financial Mathematics,
4(1),
599615 (with J. W. Lim).
Stochastic
boundary crossing probabilities for the Brownian motion, 2013,
Journal
of Applied Probability,
50(2),
419429 (with X. Che).
Exact
simulation of Hawkes process with exponential decaying Intensity,
2013, Electronic
Communications in Probability
, 18:0
http://ecp.ejpecp.org/article/view/2717 (with H. Zhao).
A
risk model with delayed claims, 2013, Journal
of Applied Probability,
50(3),
686702 (with H. Zhao).
A
bivariate shot noise process for insurance , 2013, Insurance
Mathematics and Economics,
53(3),
524532 (with J. Jang).
Ruin
by Dynamic Contagion Claims, 2012, Insurance
Mathematics and Economics,
51(1),
93106 (with H.Zhao).
Double
barrier Parisian options , 2011, Journal
of Applied Probability
, 48(1),
120 (with S. Wu).
A
dynamic contagion process, 2011, Advances
in Applied Probability ,
43(3),
814846 (with H. Zhao).
A
double shot noise process and its application in insurance , 2011,
Journal
of Mathematics and System Science.
(with J. Jang).
Perturbed
Brownian motion and its application to Parisian option pricing, 2010,
Finance
and Stochastics
, 14,
473494 (with S. Wu).
On
barrier strategy dividends with Parisian implementation delay for
classical surplus processes, 2009, Insurance
Mathematics and Economics,
45,
195202 (with S. Wu).
The
distribution of the interval between events of a Cox process with
shot noise intensity, Journal
of Applied Mathematics and Stochastic Analysis,
2008, Article ID 367170 (with J. Jang)
Bonds
and options valuation using a conditioning factor approach ,
Management
Dynamics,
2007, 7(2),
2569 (with S. Basu).
The
square root process and Asian options, Quantitative
Finance,
2006, 6(4),
337347. (with J. Nagaradjasarma).
On
the quantiles of the Brownian motion and their hitting times, 2005,
Bernoulli,
11(1),
2936.
KalmanBucy
filtering for linear system driven by the Cox process with shot noise
intensity and its application to the pricing of reinsurance
contracts, 2005, Journal
of Applied Probability,
42(1),
93107 (with J. Jang).
Pricing
of catastrophe reinsurance & derivatives using the Cox process
with shot noise intensity, 2003, Finance
and Stochastics
, 7(1),
7395 (with J. Jang).
Cox
process with lognormal density, 2002, Insurance,
Mathematics and Economics,
31(2),
297302 (with S. Basu).
Interpreting
the BetaGeometric in comparative fecundability studies, 1998,
Biometrics,
54(1),
140146 (with R. Crouchley).
Sample
quantiles of additive renewal reward processes, 1996, Journal
of Applied Probability,
33,
10181032.
Sample
quantiles of stochastic processes with stationary and independent
increments and of sums of exchangeable random variables, 1996, Annals
of Applied Probability,
6(3),
10411043.
The
distribution of the quantiles of a Brownian motion with drift and the
pricing of related path dependent options, 1995, Annals
of Applied Probability,
5(2),
389398.
Martingales
and insurance risk, 1989, Communications
in Statistics, Stochastic Models,
5(2),
181217, (with P. Embrechts).
Here are links to a few of my papers as well as some working papers:
An
efficient algorithm for simulating the drawdown stopping time and the
running maximum of a Brownian motion (with J.W.Lim).
A
dynamic contagion process (with H. Zhao).
Doublebarrier
Parisian options (with S. Wu).
On
barrier strategy dividends with Parisian
implementation delay for classical surplus
processes (with S. Wu).
Point
processes with contagion and an
application to credit risk (with H. Zhao).
A
Dynamic contagion Process and an application
to credit risk (with H.Zhao).
Ruin
by dynamic contagion claims (with H.Zhao).
Ruin
by delayed claims (with H.Zhao).
Perturbed
Brownian motion and its application to
Parisian option pricing (with S. Wu).
Barrier
strategies
with Parisian delay (with S.Wu).
Parisian
ruin
with exponential claims (with S.Wu).
Ruin
probabilities
of the Parisian type for small claims (with
S.Wu).
Brownian
excursions
in a corridor and related Parisian options
(with S.Wu).
Brownian
excursions
outside a corridor and twosided Parisian
options (with S.Wu).
Two
sided Parisian options with a single barrier
(with S.Wu).
SemiMarkov
model for Excursions and Occupation time of
Markov processes (with S.Wu).
The
distribution of the interval between events of a
Cox process with shotnoise intensity (with J.
Jang).
On the quantiles
of the Brownian motion and their hitting
times.
Pricing
of Asian options on interest rates in
the CIR model (with J.Nagaradjasarma).
The
square
root process and Asian options (with J.
Nagaradjasarma).
Quantiles
of
Levy processes and applications in finance (a
review)
On
the quantiles of the Brownian motion and their
hitting times.
Pricing
of
catastrophe reinsurance and derivatives using
the Cox process with shot noise intensity (with
J. Jang).
A Cox Process
with LogNormal Intensity (with S. Basu).
