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

Option pricing in the presence of extreme fluctuations

Missing information and asset allocation

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

Financial modeling and option theory with the truncated Lévy process

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

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

A Langevin approach to stock market fluctuations and crashes

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

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

Wealth condensation in a simple model of economy

E-print: http://arxiv.org/abs/cond-mat/0002374

Hedging large risks reduces the transaction costs

E-print: http://arxiv.org/abs/cond-mat/0005148

Power-laws in economics and finance: some ideas from physics

E-print: http://arxiv.org/abs/cond-mat/0008103

Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

E-print: http://arxiv.org/abs/cond-mat/0008147

Option pricing and hedging with temporal correlations

E-print: https://arxiv.org/abs/cond-mat/0011506

Welcome to a non-Black-Scholes world

Article: https://www.tandfonline.com/toc/rquf20/1/5?nav=tocList

Hedge your Monte Carlo

Published in: Risk Magazine 14 3, 133-136

Microscopic models for long ranged volatility correlations

E-print: http://arxiv.org/abs/cond-mat/0105076

The skewed multifractal random walk with applications to option smiles

E-print: https://arxiv.org/abs/cond-mat/0204047

Bubbles, crashes and intermittency in agent based market models

E-print: https://arxiv.org/abs/cond-mat/0206222