Publication | Date of Publication | Type |
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Robust Risk-Aware Option Hedging | 2024-04-23 | Paper |
Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes | 2024-03-26 | Paper |
Exploratory Control with Tsallis Entropy for Latent Factor Models | 2024-03-22 | Paper |
Reinforcement learning with dynamic convex risk measures | 2024-03-14 | Paper |
Stressing dynamic loss models | 2024-02-13 | Paper |
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning | 2024-01-05 | Paper |
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders | 2023-11-23 | Paper |
Portfolio Optimization within a Wasserstein Ball | 2023-11-23 | Paper |
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets | 2023-09-28 | Paper |
Deep Q-Learning for Nash Equilibria: Nash-DQN | 2023-02-28 | Paper |
Mean field regret in discrete time games | 2023-01-17 | Paper |
Optimal Trading with Signals and Stochastic Price Impact | 2022-08-22 | Paper |
Double Deep Q-Learning for Optimal Execution | 2022-07-26 | Paper |
Exploratory LQG mean field games with entropy regularization | 2022-03-18 | Paper |
Robust Risk-Aware Reinforcement Learning | 2022-03-18 | Paper |
LATENCY AND LIQUIDITY RISK | 2022-03-11 | Paper |
Reinforcement learning and stochastic optimisation | 2022-02-01 | Paper |
Lévy-Ito models in finance | 2021-07-05 | Paper |
Hedging nontradable risks with transaction costs and price impact | 2021-03-23 | Paper |
Mean‐field games with differing beliefs for algorithmic trading | 2021-03-23 | Paper |
Spoofing and Price Manipulation in Order-Driven Markets | 2020-10-20 | Paper |
Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets | 2020-10-20 | Paper |
Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems | 2020-10-07 | Paper |
Trading Foreign Exchange Triplets | 2020-09-28 | Paper |
Mixing LSMC and PDE Methods to Price Bermudan Options | 2020-06-08 | Paper |
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders | 2019-11-22 | Paper |
Trading algorithms with learning in latent alpha models | 2019-10-31 | Paper |
Mean-Field Game Strategies for Optimal Execution | 2019-06-18 | Paper |
Trading co‐integrated assets with price impact | 2019-05-23 | Paper |
Foreign exchange markets with last look | 2019-05-08 | Paper |
Optimal execution with limit and market orders | 2019-02-06 | Paper |
A two-state jump model | 2019-01-14 | Paper |
Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management | 2018-12-18 | Paper |
Enhancing trading strategies with order book signals | 2018-12-03 | Paper |
Modelling Asset Prices for Algorithmic and High-Frequency Trading | 2018-09-05 | Paper |
Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes | 2018-08-14 | Paper |
TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE | 2018-06-07 | Paper |
Optimal accelerated share repurchases | 2018-04-06 | Paper |
Algorithmic Trading with Model Uncertainty | 2018-03-12 | Paper |
Mean Field Games with Partial Information for Algorithmic Trading | 2018-03-11 | Paper |
Using managerial revenue and cost estimates to value early stage real option investments | 2018-02-15 | Paper |
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION | 2017-11-29 | Paper |
A Closed-Form Execution Strategy to Target Volume Weighted Average Price | 2016-11-11 | Paper |
ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS | 2016-10-24 | Paper |
Incorporating order-flow into optimal execution | 2016-06-29 | Paper |
ALGORITHMIC TRADING WITH LEARNING | 2016-06-22 | Paper |
Model Uncertainty in Commodity Markets | 2016-01-21 | Paper |
https://portal.mardi4nfdi.de/entity/Q5263525 | 2015-07-17 | Paper |
RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES | 2015-07-15 | Paper |
Buy Low, Sell High: A High Frequency Trading Perspective | 2015-01-20 | Paper |
Valuing clustering in catastrophe derivatives | 2014-09-05 | Paper |
Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility | 2014-09-05 | Paper |
VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS | 2013-11-15 | Paper |
INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT | 2013-02-28 | Paper |
Lévy-Based Cross-Commodity Models and Derivative Valuation | 2012-04-19 | Paper |
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models | 2012-04-19 | Paper |
An insurance risk model with stochastic volatility | 2012-02-10 | Paper |
Randomized First Passage Times | 2009-11-21 | Paper |
Fourier space time-stepping for option pricing with Lévy models | 2009-04-28 | Paper |
Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models | 2009-03-23 | Paper |
Integral Equations and the First Passage Time of Brownian Motions | 2009-02-16 | Paper |
ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING | 2008-05-28 | Paper |
Pricing equity-linked pure endowments with risky assets that follow Lévy processes | 2007-05-24 | Paper |
Catastrophe options with stochastic interest rates and compound Poisson losses | 2006-08-14 | Paper |
https://portal.mardi4nfdi.de/entity/Q2712434 | 2001-07-03 | Paper |
Wilson loops, Bianchi constraints and duality in abelian lattice models | 2000-07-12 | Paper |
LOOPS, SURFACES AND GRASSMANN REPRESENTATION IN TWO- AND THREE-DIMENSIONAL ISING MODELS | 2000-05-01 | Paper |
Theta sectors and thermodynamics of a classical adjoint gas | 1998-04-01 | Paper |