| Publication | Date of Publication | Type |
|---|
| Robust distortion risk measures | 2024-11-20 | Paper |
| Cost-efficient payoffs under model ambiguity | 2024-10-16 | Paper |
| Closed-form approximations for spread options in Lévy markets | 2024-07-18 | Paper |
| Implied value-at-risk and model-free simulation | 2024-06-04 | Paper |
| Up- and down-correlations in normal variance mixture models | 2024-02-12 | Paper |
| Model Risk Management | 2023-10-30 | Paper |
| Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information | 2023-10-12 | Paper |
| The impact of correlation on (Range) Value-at-Risk | 2023-07-12 | Paper |
| Coskewness under dependence uncertainty | 2023-07-12 | Paper |
| Optimal multivariate financial decision making | 2023-07-03 | Paper |
| ETF basket-adjusted covariance estimation | 2023-06-29 | Paper |
| The optimal payoff for a Yaari investor | 2022-10-14 | Paper |
| Fair allocation of indivisible goods with minimum inequality or minimum envy | 2021-11-09 | Paper |
| A model-free approach to multivariate option pricing | 2021-08-19 | Paper |
| Range value-at-risk bounds for unimodal distributions under partial information | 2020-11-19 | Paper |
| Correlation matrices with average constraints | 2020-09-01 | Paper |
| On the construction of optimal payoffs | 2020-07-08 | Paper |
| The minimum regularized covariance determinant estimator | 2020-02-26 | Paper |
| On the computation of Wasserstein barycenters | 2020-02-05 | Paper |
| A new efficiency test for ranking investments: application to hedge fund performance | 2019-07-10 | Paper |
| Impact of Flexible Periodic Premiums on Variable Annuity Guarantees | 2019-05-28 | Paper |
| Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) | 2019-05-15 | Paper |
| The minimum regularized covariance determinant estimator | 2019-04-02 | Paper |
| Equivalent distortion risk measures on moment spaces | 2019-02-20 | Paper |
| Optimal strategies under omega ratio | 2019-01-28 | Paper |
| My introduction to copulas. An interview with Roger Nelsen | 2018-11-01 | Paper |
| Upper bounds for strictly concave distortion risk measures on moment spaces | 2018-10-19 | Paper |
| Optimal payoffs under state-dependent preferences | 2018-09-19 | Paper |
| Reduction of Value-at-Risk bounds via independence and variance information | 2018-07-13 | Paper |
| OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY | 2018-06-07 | Paper |
| A Stein type lemma for the multivariate generalized hyperbolic distribution | 2018-05-29 | Paper |
| Block rearranging elements within matrix columns to minimize the variability of the row sums | 2018-04-13 | Paper |
| Rearrangement algorithm and maximum entropy | 2018-03-23 | Paper |
| The vine philosopher | 2018-02-15 | Paper |
| Risk bounds for factor models | 2017-07-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2968270 | 2017-03-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2968298 | 2017-03-13 | Paper |
| Distributions with given marginals: the beginnings. An interview with Giorgio Dall'Aglio | 2016-12-20 | Paper |
| Stat trek. An interview with Christian Genest | 2016-10-17 | Paper |
| Quantile of a mixture with application to model risk assessment | 2016-01-21 | Paper |
| Rationalizing investors' choices | 2015-08-21 | Paper |
| Some Stein-type inequalities for multivariate elliptical distributions and applications | 2015-05-06 | Paper |
| Optimal claims with fixed payoff structure | 2015-04-14 | Paper |
| Optimal portfolios under worst-case scenarios | 2015-04-01 | Paper |
| Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection | 2015-02-03 | Paper |
| USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS | 2014-06-11 | Paper |
| A note on Stein's lemma for multivariate elliptical distributions | 2014-01-24 | Paper |
| Bounds for sums of random variables when the marginal distributions and the variance of the sum are given | 2013-12-17 | Paper |
| A provisioning problem with stochastic payments | 2012-12-29 | Paper |
| A Note on ‘Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options’ by Tankov (2011) | 2012-10-29 | Paper |
| AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING | 2012-05-07 | Paper |
| Correlation order, merging and diversification | 2012-02-10 | Paper |
| Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables | 2011-07-02 | Paper |
| Improving the Design of Financial Products in a Multidimensional Black-Scholes Market | 2011-06-07 | Paper |
| Bounds for some general sums of random variables | 2011-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3566016 | 2010-06-07 | Paper |
| A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets | 2009-12-16 | Paper |
| Bounds and approximations for sums of dependent log-elliptical random variables | 2009-06-10 | Paper |
| On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk | 2009-01-28 | Paper |
| Some results on the CTE-based capital allocation rule | 2009-01-28 | Paper |
| Optimal approximations for risk measures of sums of lognormals based on conditional expectations | 2008-10-22 | Paper |
| Analytic bounds and approximations for annuities and Asian options | 2008-06-25 | Paper |
| Risk Measures and Comonotonicity: A Review | 2007-02-15 | Paper |
| The hurdle-race problem. | 2004-02-14 | Paper |
