| Publication | Date of Publication | Type |
|---|
| Yule's ``Nonsense correlation: moments and density | 2024-11-05 | Paper |
| Things we think we know | 2024-09-06 | Paper |
| What Next? | 2023-12-03 | Paper |
| The Bruss–Robertson–Steele inequality | 2023-08-16 | Paper |
| The least favorable noise | 2022-07-08 | Paper |
| The 1/e-strategy is sub-optimal for the problem of best choice under no information | 2022-06-20 | Paper |
| Change of drift in one-dimensional diffusions | 2021-04-29 | Paper |
| The Value of Insight | 2021-01-08 | Paper |
| When is it best to follow the leader? | 2020-04-29 | Paper |
| Yule's "nonsense correlation" solved: Part II | 2019-09-05 | Paper |
| Sense, nonsense and the S\&P500 | 2019-01-29 | Paper |
| THE POTENTIAL APPROACH IN PRACTICE | 2018-06-07 | Paper |
| Combining different models | 2018-03-01 | Paper |
| The value of foresight | 2017-11-09 | Paper |
| The Joint Law of the Extrema, Final Value and Signature of a Stopped Random Walk | 2016-04-13 | Paper |
| Estimate nothing | 2015-04-27 | Paper |
| Investing and Stopping | 2015-02-26 | Paper |
| Trading to Stops | 2015-01-20 | Paper |
| Utilities bounded below | 2014-11-12 | Paper |
| EVOLUTION OF FIRM SIZE | 2014-09-25 | Paper |
| Market selection: hungry misers and bloated bankrupts | 2013-02-26 | Paper |
| An asset return model capturing stylized facts | 2013-02-19 | Paper |
| Optimal and robust contracts for a risk-constrained principal | 2013-01-20 | Paper |
| Optimal Investment | 2013-01-15 | Paper |
| Can the implied volatility surface move by parallel shifts? | 2011-04-06 | Paper |
| Optimal Time to Exchange Two Baskets | 2011-04-05 | Paper |
| THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING | 2010-10-15 | Paper |
| Dual Valuation and Hedging of Bermudan Options | 2010-08-11 | Paper |
| Equity with Markov-modulated dividends | 2009-10-12 | Paper |
| A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS | 2009-06-23 | Paper |
| ONE FOR ALL The Potential Approach to Pricing and Hedging | 2009-03-31 | Paper |
| Optimal exercise of executive stock options | 2009-02-28 | Paper |
| Pathwise Stochastic Optimal Control | 2008-06-16 | Paper |
| VALUATIONS AND DYNAMIC CONVEX RISK MEASURES | 2008-05-22 | Paper |
| Estimating correlation from high, low, opening and closing prices | 2008-04-23 | Paper |
| DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS | 2007-10-29 | Paper |
| The correlation of the maxima of correlated Brownian motions | 2007-08-23 | Paper |
| MODELING LIQUIDITY EFFECTS IN DISCRETE TIME | 2007-06-08 | Paper |
| Option Pricing With Markov-Modulated Dynamics | 2007-03-20 | Paper |
| THE SQUARED ORNSTEIN‐UHLENBECK MARKET | 2005-05-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160516 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4459810 | 2004-05-18 | Paper |
| Large Investors, takeovers, and the rule of law | 2004-02-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4429138 | 2003-09-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550917 | 2003-05-31 | Paper |
| Monte Carlo valuation of American options | 2003-02-26 | Paper |
| Volatility Estimation with Price Quanta | 2003-02-02 | Paper |
| Optimal capital structure and endogenous default | 2002-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782364 | 2002-06-03 | Paper |
| Optimal stopping and embedding | 2002-03-14 | Paper |
| The maximum maximum of a martingale constrained by an intermediate law | 2002-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760397 | 2002-01-06 | Paper |
| Robust Hedging of Barrier Options | 2001-11-26 | Paper |
| Evaluating first-passage probabilities for spectrally one-sided Lévy processes | 2001-07-12 | Paper |
| The relaxed investor and parameter uncertainty | 2001-07-11 | Paper |
| Saddlepoint approximations to option prices | 2001-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4508926 | 2000-10-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4492756 | 2000-07-18 | Paper |
| Fastest Coupling of Random Walks | 2000-06-22 | Paper |
| Probability theory and polymer physics | 2000-05-22 | Paper |
| Consistent fitting of one-factor models to interest rate data. | 2000-01-01 | Paper |
| Complete Models with Stochastic Volatility | 1998-11-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218369 | 1998-11-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356598 | 1998-11-01 | Paper |
| Arbitrage with Fractional Brownian Motion | 1998-04-05 | Paper |
| Fast accurate binomial pricing | 1998-03-17 | Paper |
| The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates | 1997-01-01 | Paper |
| On coupling of random walks and renewal processes | 1996-11-17 | Paper |
| Equivalent martingale measures and no-arbitrage | 1996-11-04 | Paper |
| The harmonic functions of (At, Bt,) | 1996-08-27 | Paper |
| A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift | 1996-08-14 | Paper |
| Equivalent martingale measures and no-arbitrage | 1996-07-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868517 | 1996-03-06 | Paper |
| The value of an Asian option | 1996-02-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839090 | 1996-02-20 | Paper |
| Probability and dispersion theory | 1995-11-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4328337 | 1995-03-30 | Paper |
| Computing the invariant law of a fluid model | 1995-03-20 | Paper |
| Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains | 1994-09-15 | Paper |
| Interacting Brownian particles and the Wigner law | 1994-08-15 | Paper |
| On polymer conformations in elongational flows | 1994-06-20 | Paper |
| The joint law of the maximum and terminal value of a martingale | 1994-05-18 | Paper |
| Recurrence and transience of reflecting Brownian motion in the quadrant | 1993-11-24 | Paper |
| Quadratic functionals of brownian motion, optimal control,and the “colditz” example | 1993-05-16 | Paper |
| Asymptotic behavior of Brownian polymers | 1993-03-22 | Paper |
| Decomposing the branching Brownian path | 1993-02-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4011272 | 1992-09-27 | Paper |
| Embedding optimal selection problems in a Poisson process | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975580 | 1992-06-26 | Paper |
| Brownian Motion in a Wedge with Variable Skew Reflection | 1992-06-26 | Paper |
| Pascal processes and their characterization | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5753321 | 1991-01-01 | Paper |
| Limit theorems for transient diffusions on the line | 1991-01-01 | Paper |
| The intrinsic local time sheet of Brownian motion | 1991-01-01 | Paper |
| Local time and stochastic area integrals | 1991-01-01 | Paper |
| Stochastic ordering of order statistics | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5751705 | 1990-01-01 | Paper |
| The two-sided exit problem for spectrally positive Lévy processes | 1990-01-01 | Paper |
| A Guided Tour through Excursions | 1989-01-01 | Paper |
| Ignatov's theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3816798 | 1988-01-01 | Paper |
| Self-avoiding random walk: A Brownian motion model with local time drift | 1987-01-01 | Paper |
| Continuity of martingales in the Brownian excursion filtration | 1987-01-01 | Paper |
| Characterising One-Dimensional Diffusions using Stochastic Calculus | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3763296 | 1987-01-01 | Paper |
| Coupling of multidimensional diffusions by reflection | 1986-01-01 | Paper |
| Brownian Motions of Ellipsoids | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4725442 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3675275 | 1985-01-01 | Paper |
| Smooth Transition Densities for One-Dimensional Diffusions | 1985-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:5186510 Addendum to ?it� excursion theory via resolvents?] | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3221144 | 1984-01-01 | Paper |
| The k-record processes are i.i.d. | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3330262 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3345543 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3345544 | 1984-01-01 | Paper |
| Wiener-Hopf Factorization of Diffusions and Lévy Processes | 1983-01-01 | Paper |
| [https://portal.mardi4nfdi.de/wiki/Publication:3308821 It� excursion theory via resolvents] | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3945339 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3945340 | 1982-01-01 | Paper |
| Markov functions | 1981-01-01 | Paper |
| Characterizing all diffusions with the 2M-X property | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3911817 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3917261 | 1981-01-01 | Paper |
| A simple proof of Müntz's theorem | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3866218 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3884925 | 1980-01-01 | Paper |
| The probability that two samples in the plane will have disjoint convex hulls | 1978-01-01 | Paper |
