• A survey of the theory of viscosity solutions. [pdf]
  • Convergence of Binomial Tree Methods for pricing European and American "path-dependent" options. [pdf]
  • Discrete Fourier Transform and Diffusion (a numerical approximation using FFTW). [pdf]
  • Fractional Brownian Motion  (long-range dependence, FARIMA models). [pdf]
  • Statistics for long-range dependence (Characterization, Modeling, Estimation). [pdf]
  • Group theory elements. [pdf mail me]
  • Elementary applications of noise theory and fractional Brownian motion. [pdf mail me] 
  • Fundamental solution of the Fractional Forward Drift Equation in terms of the Fox H-function and the M-Wright function. [pdf]