| Publication | Date of Publication | Type |
|---|
| Hedging longevity risk in defined contribution pension schemes | 2023-12-14 | Paper |
| Pricing Asian options with stochastic convenience yield and jumps | 2023-06-20 | Paper |
| Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil | 2022-06-30 | Paper |
| Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? | 2021-11-05 | Paper |
| A lattice method for option evaluation with regime-switching asset correlation structure | 2021-09-10 | Paper |
| On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman filter | 2020-01-20 | Paper |
| Optimal contracts for central bankers: calls on inflation | 2019-03-25 | Paper |
| The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model | 2018-11-13 | Paper |
| Asian and Australian options: a common perspective | 2018-11-01 | Paper |
| Asymptotic Solutions for Australian Options with Low Volatility | 2018-09-12 | Paper |
| On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options | 2018-08-13 | Paper |
| On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales | 2018-05-25 | Paper |
| On the effects of changing mortality patterns on investment, labour and consumption under uncertainty | 2017-11-23 | Paper |
| MARKETS FOR INFLATION-INDEXED BONDS AS MECHANISMS FOR EFFICIENT MONETARY POLICY | 2015-10-20 | Paper |
| On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model | 2014-02-20 | Paper |
| On the investment-uncertainty relationship in a real option model with stochastic volatility | 2014-02-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925738 | 2013-06-12 | Paper |
| Privatization of businesses and flexible investment: a real option approach | 2013-02-25 | Paper |
| A numerical method for solving stochastic optimal control problems with linear control | 2012-06-19 | Paper |
| Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus | 2011-09-20 | Paper |
| Analytic solutions for infinite horizon stochastic optimal control problems via finite horizon approximation: a practical guide | 2011-06-22 | Paper |
| Information: price and impact on general welfare and optimal investment. an anticipative stochastic differential game model | 2011-05-03 | Paper |
| A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA | 2010-12-01 | Paper |
| Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model | 2010-11-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3582288 | 2010-09-02 | Paper |
| SUSTAINABLE YIELDS IN FISHERIES: UNCERTAINTY, RISK-AVERSION, AND MEAN-VARIANCE ANALYSIS | 2010-09-02 | Paper |
| Irreversible investment with Cox-Ingersoll-Ross type mean reversion | 2010-06-11 | Paper |
| Optimal investment for a pension fund under inflation risk | 2010-04-23 | Paper |
| A stochastic differential Fishery game for a two species fish population with ecological interaction | 2010-04-22 | Paper |
| On the non-equilibrium density of geometric mean reversion | 2010-04-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3400138 | 2010-02-05 | Paper |
| Risk minimization in stochastic volatility models: model risk and empirical performance | 2009-10-16 | Paper |
| IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS | 2009-08-03 | Paper |
| Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk | 2009-03-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3599322 | 2009-02-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3516997 | 2008-08-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3517062 | 2008-08-12 | Paper |
| Malliavin differentiability of the Heston volatility and applications to option pricing | 2008-05-15 | Paper |
| A note on the Malliavin derivative operator under change of variable | 2008-03-12 | Paper |
| Optimal management and inflation protection for defined contribution pension plans | 2008-01-11 | Paper |
| Parental care as a differential game: a dynamic extension of the Houston-Davies game | 2007-09-19 | Paper |
| Local volatility in the Heston model: a Malliavin calculus approach | 2006-08-28 | Paper |
| A new technique for calibrating stochastic volatility models: the Malliavin gradient method | 2006-08-21 | Paper |
| The Malliavin gradient method for the calibration of stochastic dynamical models | 2006-06-16 | Paper |
| OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET | 2005-07-06 | Paper |
| A DE RHAM ISOMORPHISM IN SINGULAR COHOMOLOGY AND STOKES THEOREM FOR STRATIFOLDS | 2005-05-09 | Paper |
| Hochschild- and cyclic-homology of LCNT-spaces | 2005-04-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4780770 | 2002-11-21 | Paper |
