| Publication | Date of Publication | Type |
|---|
| On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria | 2020-09-29 | Paper |
| Mathematical Finance | 2019-09-11 | Paper |
| Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models | 2017-07-31 | Paper |
| Almost Surely Optimal Portfolios Under Proportional Transaction Costs | 2017-07-31 | Paper |
| THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS | 2017-07-21 | Paper |
| On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria | 2016-07-11 | Paper |
| OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS | 2015-10-20 | Paper |
| On a Heath-Jarrow-Morton approach for stock options | 2015-08-04 | Paper |
| Asymptotic power utility-based pricing and hedging | 2015-02-23 | Paper |
| On the performance of delta hedging strategies in exponential Lévy models | 2014-02-20 | Paper |
| On the existence of shadow prices | 2013-11-06 | Paper |
| PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS | 2011-11-21 | Paper |
| Method of moment estimation in time-changed Lévy models | 2011-06-28 | Paper |
| Variance-Optimal Hedging for Time-Changed Lévy Processes | 2011-06-03 | Paper |
| Existence of shadow prices in finite probability spaces | 2011-05-05 | Paper |
| Asymptotic utility-based pricing and hedging for exponential utility | 2011-03-29 | Paper |
| Utility maximization in models with conditionally independent increments | 2010-12-27 | Paper |
| On using shadow prices in portfolio optimization with transaction costs | 2010-09-01 | Paper |
| UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS | 2010-08-11 | Paper |
| Variance-Optimal Hedging in General Affine Stochastic Volatility Models | 2010-06-07 | Paper |
| Exponentially affine martingales, affine measure changes and exponential moments of affine processes | 2010-03-01 | Paper |
| HEDGING BY SEQUENTIAL REGRESSIONS REVISITED | 2009-12-07 | Paper |
| Option Pricing | 2009-11-27 | Paper |
| Quadratic hedging in affine stochastic volatility models | 2009-08-31 | Paper |
| COGARCH as a continuous-time limit of GARCH(1,1) | 2009-02-19 | Paper |
| MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION | 2008-08-21 | Paper |
| A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE | 2008-04-30 | Paper |
| On utility-based derivative pricing with and without intermediate trades | 2008-01-18 | Paper |
| Variance-optimal hedging for processes with stationary independent increments | 2007-08-08 | Paper |
| A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing | 2007-07-16 | Paper |
| On the structure of general mean-variance hedging strategies | 2007-07-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493554 | 2006-10-23 | Paper |
| Characterization of dependence of multidimensional Lévy processes using Lévy copulas | 2006-08-14 | Paper |
| $\sigma$-Localization and $\sigma$-Martingales | 2004-12-16 | Paper |
| Pricing derivatives of American and game type in incomplete markets | 2004-11-24 | Paper |
| Optimal portfolios for logarithmic utility. | 2004-09-07 | Paper |
| The cumulant process and Esscher's change of measure | 2004-03-16 | Paper |
| Time Change Representation of Stochastic Integrals | 2004-01-21 | Paper |
| A complete explicit solution to the log-optimal portfolio problem. | 2003-11-17 | Paper |
| Derivative pricing based on local utility maximization | 2002-11-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782359 | 2002-04-03 | Paper |
| A utility maximization approach to hedging in incomplete markets | 2001-01-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938938 | 2000-04-03 | Paper |
| Option Pricing in ARCH-type Models | 1999-05-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4229056 | 1999-03-02 | Paper |
