| Publication | Date of Publication | Type |
|---|
| Robust reinsurance and investment strategies under principal-agent framework | 2024-06-04 | Paper |
| Optimal payout strategies when Bruno de Finetti meets model uncertainty | 2024-05-24 | Paper |
| European option pricing with market frictions, regime switches and model uncertainty | 2024-02-13 | Paper |
| Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting | 2024-01-02 | Paper |
| A hidden Markov regime-switching smooth transition model | 2023-03-30 | Paper |
| Mean-variance portfolio selection with random investment horizon | 2023-03-29 | Paper |
| Optimal investment and consumption in a continuous-time co-integration model | 2022-11-09 | Paper |
| Generalized optimal liquidation problems across multiple trading venues | 2022-08-23 | Paper |
| Regime switching optimal growth model with risk sensitive preferences | 2022-08-12 | Paper |
| Lower and upper pricing of financial assets | 2022-06-03 | Paper |
| A generalized Esscher transform for option valuation with regime switching risk | 2022-05-27 | Paper |
| Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model | 2022-05-20 | Paper |
| Household consumption-investment-insurance decisions with uncertain income and market ambiguity | 2022-03-02 | Paper |
| “Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009 | 2022-02-11 | Paper |
| The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model | 2022-01-19 | Paper |
| “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007 | 2022-01-19 | Paper |
| A stochastic maximum principle for backward control systems with random default time | 2022-01-19 | Paper |
| Option Pricing Under Autoregressive Random Variance Models | 2021-12-22 | Paper |
| Optimal pairs trading with dynamic mean-variance objective | 2021-11-02 | Paper |
| Optimal risk exposure and dividend payout policies under model uncertainty | 2021-10-19 | Paper |
| How correlation risk in basket credit derivatives might be priced and managed? | 2021-07-13 | Paper |
| Two price economic equilibria and financial market bid/ask prices | 2021-06-28 | Paper |
| Stochastic Flows and Jump-Diffusions | 2020-12-07 | Paper |
| Robust reinsurance contracts with risk constraint | 2020-08-26 | Paper |
| Trading strategy with stochastic volatility in a limit order book market | 2020-07-08 | Paper |
| Singular dividend optimization for a linear diffusion model with time-inconsistent preferences | 2020-05-26 | Paper |
| HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS | 2020-01-16 | Paper |
| Continuous-time optimal reinsurance strategy with nontrivial curved structures | 2020-01-09 | Paper |
| A martingale approach for asset allocation with derivative security and hidden economic risk | 2019-10-07 | Paper |
| A Markov-Driven Portfolio Execution Strategy with Market Impact | 2019-09-20 | Paper |
| Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales | 2019-06-21 | Paper |
| Capital requirements and optimal investment with solvency probability constraints | 2019-06-18 | Paper |
| Pricing dynamic fund protection under hidden Markov models | 2019-06-18 | Paper |
| On infectious model for dependent defaults | 2019-03-12 | Paper |
| Malliavin calculus in a binomial framework | 2019-03-07 | Paper |
| Integration by parts and martingale representation for a Markov chain | 2019-02-14 | Paper |
| A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing | 2018-12-21 | Paper |
| Pricing options in a Markov regime switching model with a random acceleration for the volatility | 2018-11-29 | Paper |
| Interacting default intensity with a hidden Markov process | 2018-11-19 | Paper |
| The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model | 2018-11-13 | Paper |
| Mean-variance portfolio selection under a constant elasticity of variance model | 2018-09-28 | Paper |
| Market-making strategy with asymmetric information and regime-switching | 2018-08-13 | Paper |
| Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes | 2018-07-20 | Paper |
| Optimal investment of an insurer with regime-switching and risk constraint | 2018-07-11 | Paper |
| A higher-order interactive hidden Markov model and its applications | 2018-06-20 | Paper |
| A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows | 2018-02-13 | Paper |
| Optimal Strategy for Limit Order Book Submissions in High Frequency Trading | 2017-10-23 | Paper |
| Viterbi-Based Estimation for Markov Switching GARCH Model | 2017-10-05 | Paper |
| OPTIMAL DIVIDEND–REINSURANCE WITH TWO TYPES OF PREMIUM PRINCIPLES | 2017-09-19 | Paper |
| Filtering a Double Threshold Model With Regime Switching | 2017-09-08 | Paper |
| Filtering a Markov Modulated Random Measure | 2017-08-25 | Paper |
| An FFT approach for option pricing under a regime-switching stochastic interest rate model | 2017-08-23 | Paper |
| Asset pricing using trading volumes in a hidden regime-switching environment | 2017-08-17 | Paper |
| A real option approach to optimal inventory management of retail products | 2017-06-16 | Paper |
| Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model | 2017-06-15 | Paper |
| Impact of reorder option in supply chain coordination | 2017-06-15 | Paper |
| Hidden Markov models with threshold effects and their applications to oil price forecasting | 2017-06-12 | Paper |
| Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model | 2017-06-07 | Paper |
| A real option approach for investment opportunity valuation | 2017-05-22 | Paper |
| Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations | 2017-04-25 | Paper |
| A note on optimal insurance risk control with multiple reinsurers | 2017-03-16 | Paper |
| A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach | 2017-03-16 | Paper |
| A self-exciting threshold jump-diffusion model for option valuation | 2016-11-21 | Paper |
| Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model | 2016-11-14 | Paper |
| A functional Itô's calculus approach to convex risk measures with jump diffusion | 2016-10-07 | Paper |
| Optimal insurance risk control with multiple reinsurers | 2016-05-30 | Paper |
| A stochastic flows approach for asset allocation with hidden economic environment | 2016-04-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2787528 | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2790522 | 2016-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3462068 | 2016-01-04 | Paper |
| Backward stochastic difference equations for dynamic convex risk measures on a binomial tree | 2015-10-30 | Paper |
| On a Markov chain approximation method for option pricing with regime switching | 2015-10-22 | Paper |
| Credit portfolio management using two-level particle swarm optimization | 2015-09-23 | Paper |
| A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL | 2015-07-23 | Paper |
| Option valuation under a regime-switching constant elasticity of variance process | 2015-06-18 | Paper |
| On pricing barrier options with regime switching | 2015-06-16 | Paper |
| Pricing annuity guarantees under a double regime-switching model | 2015-05-26 | Paper |
| Filtering and change point estimation for hidden Markov-modulated Poisson processes | 2015-05-19 | Paper |
| A Note on Differentiability in a Markov Chain Market Using Stochastic Flows | 2015-03-23 | Paper |
| Strategic asset allocation under a fractional hidden Markov model | 2014-12-05 | Paper |
| Pricing and managing risks of European-style options in a Markovian regime-switching binomial model | 2014-11-12 | Paper |
| Option valuation by a self-exciting threshold binomial model | 2014-10-21 | Paper |
| On modeling credit defaults: A probabilistic Boolean network approach | 2014-08-22 | Paper |
| Longevity bond pricing under stochastic interest rate and mortality with regime-switching | 2014-07-16 | Paper |
| Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach | 2014-06-23 | Paper |
| Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model | 2014-06-23 | Paper |
| Asset allocation under threshold autoregressive models | 2014-05-06 | Paper |
| Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes | 2014-05-02 | Paper |
| Optimal dividends with debts and nonlinear insurance risk processes | 2014-04-15 | Paper |
| On Optimal Cash Management under a Stochastic Volatility Model | 2014-04-04 | Paper |
| Optimal insurance in a changing economy | 2014-03-11 | Paper |
| On pricing basket credit default swaps | 2014-03-04 | Paper |
| Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options | 2014-02-11 | Paper |
| The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem | 2014-01-14 | Paper |
| A stochastic maximum principle for backward control systems with random default time | 2014-01-09 | Paper |
| Optimal investment-reinsurance with dynamic risk constraint and regime switching | 2013-12-17 | Paper |
| A risk-based approach for pricing American options under a generalized Markov regime-switching model | 2013-12-13 | Paper |
| A Bayesian approach for optimal reinsurance and investment in a diffusion model | 2013-12-04 | Paper |
| An HMM approach for optimal investment of an insurer | 2013-11-26 | Paper |
| Optimal portfolio in a continuous-time self-exciting threshold model | 2013-11-14 | Paper |
| Markovian forward-backward stochastic differential equations and stochastic flows | 2013-08-27 | Paper |
| Markov chains. Models, algorithms and applications | 2013-08-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925738 | 2013-06-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925766 | 2013-06-12 | Paper |
| A decomposition method for optimal portfolios with regime-switching and risk constraint | 2013-05-23 | Paper |
| Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching | 2013-05-14 | Paper |
| A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching | 2013-04-22 | Paper |
| A BSDE approach to risk-based asset allocation of pension funds with regime switching | 2013-04-02 | Paper |
| On optimal proportional reinsurance and investment in a Markovian regime-switching economy | 2013-03-14 | Paper |
| Long-term strategic asset allocation with inflation risk and regime switching | 2013-03-14 | Paper |
| ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET | 2013-03-12 | Paper |
| Stochastic differential portfolio games for an insurer in a jump-diffusion risk process | 2013-02-20 | Paper |
| Risk measures and behaviors for bonds under stochastic interest rate models | 2013-01-24 | Paper |
| A BSDE Approach to Convex Risk Measures for Derivative Securities | 2012-12-13 | Paper |
| Markovian regime-switching market completion using additional Markov jump assets | 2012-09-13 | Paper |
| A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance | 2012-08-10 | Paper |
| Filtering a nonlinear stochastic volatility model | 2012-07-17 | Paper |
| A flexible Markov chain approach for multivariate credit ratings | 2012-07-03 | Paper |
| Portfolio risk minimization and differential games | 2012-06-09 | Paper |
| Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model | 2012-06-08 | Paper |
| A PDE approach for risk measures for derivatives with regime switching | 2012-03-06 | Paper |
| Option pricing and Esscher transform under regime switching | 2012-03-05 | Paper |
| Optimal investment and reinsurance of an insurer with model uncertainty | 2012-02-10 | Paper |
| Esscher transforms and consumption-based models | 2012-02-10 | Paper |
| A hidden Markov regime-switching model for option valuation | 2012-02-10 | Paper |
| An M-ary detection approach for asset allocation | 2012-02-05 | Paper |
| On filtering and estimation of a threshold stochastic volatility model | 2012-01-13 | Paper |
| Regime-switching risk: to price or not to price? | 2012-01-03 | Paper |
| Characteristic functions and option valuation in a Markov chain market | 2011-12-18 | Paper |
| A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS | 2011-10-24 | Paper |
| Default Times in a Continuous-Time Markovian Regime Switching Model | 2011-10-21 | Paper |
| Ruin Theory in a Hidden Markov-Modulated Risk Model | 2011-10-21 | Paper |
| Utility-based indifference pricing in regime-switching models | 2011-10-17 | Paper |
| Impulse control of proportional reinsurance with constraints | 2011-09-08 | Paper |
| Pricing and hedging contingent claims with regime switching risk | 2011-06-28 | Paper |
| Control of discrete-time HMM partially observed under fractional Gaussian noises | 2011-05-31 | Paper |
| Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance | 2011-05-17 | Paper |
| A stochastic differential game for optimal investment of an insurer with regime switching | 2011-04-28 | Paper |
| On pricing and hedging options in regime-switching models with feedback effect | 2011-03-31 | Paper |
| Martingale Representation and Admissible Portfolio Process with Regime Switching | 2011-03-08 | Paper |
| Modelling long-term investment returns via Bayesian infinite mixture time series models | 2011-02-22 | Paper |
| A BSDE approach to a risk-based optimal investment of an insurer | 2011-02-21 | Paper |
| A Markov regime-switching marked point process for short-rate analysis with credit risk | 2010-12-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3061032 | 2010-12-13 | Paper |
| Portfolio Selection in the Enlarged Markovian Regime-Switching Market | 2010-10-20 | Paper |
| On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy | 2010-09-20 | Paper |
| Can expected shortfall and Value-at-Risk be used to statically hedge options? | 2010-08-05 | Paper |
| Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows | 2010-07-19 | Paper |
| Optimal portfolios with regime switching and value-at-risk constraint | 2010-06-17 | Paper |
| Modeling default data via an interactive hidden Markov model | 2010-02-01 | Paper |
| Option pricing when the regime-switching risk is priced | 2009-11-13 | Paper |
| On Markov‐modulated Exponential‐affine Bond Price Formulae | 2009-09-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5324097 | 2009-08-03 | Paper |
| Robust optimal portfolio choice under Markovian regime-switching model | 2009-06-16 | Paper |
| On Bayesian Mixture Credibility | 2009-06-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3599223 | 2009-02-03 | Paper |
| Pricing currency options under two-factor Markov-modulated stochastic volatility models | 2009-01-16 | Paper |
| COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY | 2008-09-03 | Paper |
| Pricing participating products under a generalized jump-diffusion model | 2008-08-20 | Paper |
| On option pricing under a completely random measure via a generalized Esscher transform | 2008-08-18 | Paper |
| Pricing exotic options under a high-order Markovian regime switching model | 2008-07-28 | Paper |
| A game theoretic approach to option valuation under Markovian regime-switching models | 2008-06-25 | Paper |
| Pricing risky debts under a Markov-modulated Merton model with completely random measures | 2008-06-11 | Paper |
| On valuing participating life insurance contracts with conditional heteroscedasticity | 2008-06-11 | Paper |
| On Fair Valuation of Participating Life Insurance Policies With Regime Switching | 2007-11-05 | Paper |
| Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model | 2007-09-21 | Paper |
| Risk measures for derivatives with Markov-modulated pure jump processes | 2007-08-27 | Paper |
| Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching | 2007-06-07 | Paper |
| Extracting information from spot interest rates and credit ratings using double higher-order hidden Markov models | 2006-10-25 | Paper |
| On Bayesian value at risk: from linear to non-linear portfolios | 2006-10-24 | Paper |
| OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING | 2006-09-12 | Paper |
| Option pricing under threshold autoregressive models by threshold Esscher transform | 2006-07-14 | Paper |
| Fair valuation of participating policies with surrender options and regime switching | 2006-03-08 | Paper |
| On a multivariate Markov chain model for credit risk measurement | 2006-03-08 | Paper |
| Bayesian Risk Measures for Derivatives via Random Esscher Transform | 2006-01-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5715975 | 2006-01-06 | Paper |
| A dynamic binomial expansion technique for credit risk measurement: a Bayesian filtering approach | 2005-05-09 | Paper |
| A PDE approach to risk measures of derivatives | 2002-09-05 | Paper |
| Subjective risk measures: Bayesian predictive scenarios analysis | 2001-01-29 | Paper |
| Identification both of the unknown plant and noise parameters of the K aim an filter† | 1980-01-01 | Paper |
| Parameter Optimization for Linear Quadratic Differential Games | 1977-01-01 | Paper |
