| Publication | Date of Publication | Type |
|---|
| Model uncertainty and scenario aggregation | 2024-05-06 | Paper |
| A machine learning approach to portfolio pricing and risk management for high‐dimensional problems | 2023-09-28 | Paper |
| A term structure model for dividends and interest rates | 2021-03-23 | Paper |
| Polynomial Jump-Diffusion Models | 2020-09-04 | Paper |
| Systemic Risk in Networks with a Central Node | 2020-05-29 | Paper |
| Option pricing with orthogonal polynomial expansions | 2020-05-14 | Paper |
| Markov cubature rules for polynomial processes | 2020-04-07 | Paper |
| Linear credit risk models | 2019-12-27 | Paper |
| On the relation between linearity‐generating processes and linear‐rational models | 2019-10-31 | Paper |
| Unspanned stochastic volatility in the multifactor CIR model | 2019-10-31 | Paper |
| On the American swaption in the linear-rational framework | 2019-02-06 | Paper |
| Fed funds futures variance futures | 2018-11-14 | Paper |
| Exact Smooth Term-Structure Estimation | 2018-10-31 | Paper |
| Uniqueness of equilibrium in a payment system with liquidation costs | 2018-09-28 | Paper |
| The Jacobi stochastic volatility model | 2018-07-16 | Paper |
| Replicating portfolio approach to capital calculation | 2018-01-16 | Paper |
| Old-age provision: past, present, future | 2017-06-06 | Paper |
| To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting | 2016-12-20 | Paper |
| Polynomial diffusions and applications in finance | 2016-10-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2801414 | 2016-04-07 | Paper |
| Pricing and hedging of inflation-indexed bonds in an affine framework | 2015-06-17 | Paper |
| Invariant manifolds with boundary for jump-diffusions | 2014-06-27 | Paper |
| Density approximations for multivariate affine jump-diffusion processes | 2014-04-03 | Paper |
| Affine Variance Swap Curve Models | 2014-02-19 | Paper |
| THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 | 2013-02-28 | Paper |
| Approaches to Conditional Risk | 2013-01-25 | Paper |
| Doubly Stochastic CDO Term Structures | 2012-08-24 | Paper |
| CONDITIONAL DENSITY MODELS FOR ASSET PRICING | 2012-04-24 | Paper |
| Pricing and Hedging of CDOs: A Top Down Approach | 2011-05-31 | Paper |
| Affine processes on positive semidefinite matrices | 2011-05-11 | Paper |
| Jump-diffusions in Hilbert spaces: existence, stability and numerics | 2011-03-11 | Paper |
| DYNAMIC CDO TERM STRUCTURE MODELING | 2011-02-02 | Paper |
| Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity | 2010-08-11 | Paper |
| A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* | 2010-08-03 | Paper |
| Affine Diffusion Processes: Theory and Applications | 2010-01-13 | Paper |
| Multi-Level Risk Aggregation | 2009-12-22 | Paper |
| Separation and duality in locally \(L^0\)-convex modules | 2009-06-30 | Paper |
| CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH | 2009-03-06 | Paper |
| Optimal capital and risk allocations for law- and cash-invariant convex functions | 2009-02-28 | Paper |
| Affine Models | 2008-09-11 | Paper |
| EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS | 2008-08-26 | Paper |
| A note on the Swiss solvency test risk measure | 2008-06-25 | Paper |
| Term-structure models. A graduate course | 2008-06-24 | Paper |
| Existence of Lévy term structure models | 2008-06-18 | Paper |
| Convexity theory for the term structure equation | 2008-06-18 | Paper |
| OPTIMAL NUMERAIRES FOR RISK MEASURES | 2008-05-22 | Paper |
| OPTIMAL NUMERAIRES FOR RISK MEASURES | 2008-04-30 | Paper |
| Credit derivatives in an affine framework | 2008-02-18 | Paper |
| Monotone and cash-invariant convex functions and hulls | 2007-07-19 | Paper |
| A simple model for credit migration and spread curves | 2006-05-24 | Paper |
| Equivalent and absolutely continuous measure changes for jump-diffusion processes | 2005-11-08 | Paper |
| Time-inhomogeneous affine processes | 2005-08-05 | Paper |
| QUADRATIC TERM STRUCTURE MODELS FOR RISK‐FREE AND DEFAULTABLE RATES | 2005-05-09 | Paper |
| CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS | 2005-03-07 | Paper |
| On the geometry of the term structure of interest rates | 2004-08-06 | Paper |
| Affine processes and applications in finance | 2004-03-21 | Paper |
| SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM | 2003-08-13 | Paper |
| Markovian term structure models in discrete time | 2003-05-06 | Paper |
| Existence of invariant manifolds for stochastic equations in infinite dimension | 2003-04-09 | Paper |
| Regularity of finite-dimensional realizations for evolution equations | 2003-04-09 | Paper |
| On Finite-dimensional Term Structure models | 2002-01-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421372 | 2002-01-01 | Paper |
| A general characterization of one factor affine term structure models | 2001-12-12 | Paper |
| A Note on the Nelson-Siegel Family | 2001-11-26 | Paper |
| Invariant manifolds for weak solutions to stochastic equations | 2001-10-06 | Paper |
| Exponential-polynomial families and the term structure of interest rates | 2001-07-26 | Paper |
| Finite dimensional Realizations of Stochastic Equations | 2001-06-19 | Paper |
| Consistency problems for Heath-Jarrow-Morton interest rate models | 2001-04-25 | Paper |
