| Publication | Date of Publication | Type |
|---|
| A market- and time-consistent extension for the EIOPA risk-margin | 2024-02-21 | Paper |
| Quantifying ambiguity bounds via time-consistent sets of indistinguishable models | 2021-11-10 | Paper |
| Near-optimal asset allocation in financial markets with trading constraints | 2021-11-09 | Paper |
| Time-consistent and market-consistent actuarial valuation of the participating pension contract | 2021-07-21 | Paper |
| Pricing and hedging in incomplete markets with model uncertainty | 2020-01-23 | Paper |
| A Monte Carlo method for backward stochastic differential equations with Hermite martingales | 2019-05-31 | Paper |
| Mathematical foundation of convexity correction | 2019-01-14 | Paper |
| Robust evaluation of SCR for participating life insurances under Solvency II | 2018-04-12 | Paper |
| A Regress-Later Algorithm for Backward Stochastic Differential Equations | 2017-06-24 | Paper |
| The difference between LSMC and replicating portfolio in insurance liability modeling | 2017-06-06 | Paper |
| Sustainability of participation in collective pension schemes: an option pricing approach | 2017-05-24 | Paper |
| Time-consistent actuarial valuations | 2016-01-05 | Paper |
| Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model | 2015-03-20 | Paper |
| Optimal dividends and ALM under unhedgeable risk | 2014-06-23 | Paper |
| TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS | 2014-04-23 | Paper |
| A tractable yield-curve model that guarantees positive interest rates | 2013-10-29 | Paper |
| Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility | 2012-02-10 | Paper |
| Valuation of guaranteed annuity options using a stochastic volatility model for equity prices | 2012-02-10 | Paper |
| Modeling non-monotone risk aversion using SAHARA utility functions | 2011-10-28 | Paper |
| A comparison of single factor Markov-functional and multi factor market models | 2011-06-07 | Paper |
| Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility | 2011-06-07 | Paper |
| EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL | 2010-05-19 | Paper |
| On the Applicability of the Wang Transform for Pricing Financial Risks | 2009-09-13 | Paper |
| Analytical approximations for prices of swap rate dependent embedded options in insurance products | 2009-03-04 | Paper |
| Level–Slope–Curvature – Fact or Artefact? | 2007-07-16 | Paper |
| PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS | 2007-02-22 | Paper |
| Pricing rate of return guarantees in regular premium unit linked insurance | 2005-01-13 | Paper |
| On the information in the interest rate term structure and option prices | 2005-01-12 | Paper |
| Pricing and hedging guaranteed annuity options via static option replication. | 2004-02-14 | Paper |
| Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis | 2002-05-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760400 | 2002-01-06 | Paper |
| Markov-functional interest rate models | 2001-03-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4504336 | 2000-09-13 | Paper |
| Pricing double barrier options using Laplace transforms | 2000-05-24 | Paper |
| Transaction costs and efficiency of portfolio strategies | 1999-11-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4221326 | 1999-01-03 | Paper |
