| Publication | Date of Publication | Type |
|---|
| Pricing cumulative loss derivatives under additive models via Malliavin calculus | 2024-02-16 | Paper |
| Approximate option pricing under a two-factor Heston-Kou stochastic volatility model | 2024-02-06 | Paper |
| Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric | 2023-01-03 | Paper |
| Topological features of multivariate distributions: dependency on the covariance matrix | 2021-11-16 | Paper |
| DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS | 2021-06-18 | Paper |
| Dyson type formula for pure jump Lévy processes with some applications to finance | 2020-01-24 | Paper |
| DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS | 2019-01-10 | Paper |
| Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus | 2018-11-30 | Paper |
| Option price decomposition in spot-dependent volatility models and some applications | 2018-10-15 | Paper |
| Time-consistent investment and consumption strategies under a general discount function | 2017-05-28 | Paper |
| A Malliavin–Skorohod calculus inL0andL1for additive and Volterra-type processes | 2017-04-11 | Paper |
| Local Malliavin calculus for Lévy processes and applications | 2016-06-10 | Paper |
| A generic decomposition formula for pricing vanilla options under stochastic volatility models | 2016-04-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5500299 | 2015-08-05 | Paper |
| Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models | 2015-05-15 | Paper |
| Anticipating linear stochastic differential equations driven by a Lévy process | 2012-10-23 | Paper |
| Two-Sided Estimates for Distribution Densities in Models with Jumps | 2012-09-21 | Paper |
| An anticipating It\^o formula for L\'evy processes | 2009-04-27 | Paper |
| A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility | 2009-04-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5436618 | 2008-01-17 | Paper |
| On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility | 2007-12-16 | Paper |
| Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters | 2007-10-22 | Paper |
| Canonical Lévy process and Malliavin calculus | 2007-02-19 | Paper |
| A volatility-varying and jump-diffusion Merton type model of interest rate risk | 2006-10-05 | Paper |
| A Stroock formula for a certain class of Lévy processes and applications to finance | 2006-08-28 | Paper |
| Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters | 2005-05-23 | Paper |
| Chaotic expansion and smoothness of some functionals of the fractional Brownian motion | 2004-12-29 | Paper |
| Chaotic Kabanov formula for the Azéma martingales | 2003-09-10 | Paper |
| Anticipating stratonovich integral with respect to the Azema's martingales | 2003-01-01 | Paper |
| The indefinite Skorohod integral as integrator on the Poisson space | 2002-12-15 | Paper |
| A pathwise approach to backward and forward stochastic differential equations on the poisson space* | 2002-12-02 | Paper |
| On Lévy processes, Malliavin calculus and market models with jumps | 2002-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524440 | 2001-01-15 | Paper |
| On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space | 2000-09-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848517 | 1997-01-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4884166 | 1996-07-08 | Paper |
| Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization | 1995-05-23 | Paper |
| Chaos expansions and local times | 1993-08-17 | Paper |
| Smoothness of Brownian local times and related functionals | 1993-05-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3479316 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3796495 | 1988-01-01 | Paper |
