Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. - Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai; Guido Germano 001 (Eur. J. Oper. Res., 2018)

Fourier transform methods for the pricing of barrier options and other exotic derivatives. - Carolyn E. Phelan (2018)

Hilbert transform, spectral filters and option pricing. - Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai; Guido Germano 001 (Ann. Oper. Res., 2019)

Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. - Guido Germano 001; Carolyn E. Phelan; Daniele Marazzina; Gianluca Fusai (CoRR, 2021)

Whack-a-mole Learning: Physics- Informed Deep Calibration for Implied Volatility Surface. - Kentaro Hoshisashi; Carolyn E. Phelan; Paolo Barucca (CIFEr, 2024)

Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. - Kentaro Hoshisashi; Carolyn E. Phelan; Paolo Barucca (ICAIF, 2024)