| Publication | Date of Publication | Type |
|---|
| Discussion of: ``Virtual age, is it real? | 2024-07-25 | Paper |
| Analytical pricing of single barrier options under local volatility models | 2021-07-16 | Paper |
| MARKET PRICE OF TRADING LIQUIDITY RISK AND MARKET DEPTH | 2020-01-16 | Paper |
| A jump-diffusion model for pricing corporate debt securities in a complex capital structure | 2019-01-14 | Paper |
| On the First Passage Time Under Regime-Switching with Jumps | 2018-12-13 | Paper |
| A unified approach for the pricing of options relating to averages | 2018-11-30 | Paper |
| An analytical approximation for pricing VWAP options | 2018-11-19 | Paper |
| An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options | 2018-09-11 | Paper |
| Does the Hurst index matter for option prices under fractional volatility? | 2017-04-28 | Paper |
| CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS | 2014-06-13 | Paper |
| Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty | 2013-11-07 | Paper |
| Credit events and the valuation of credit derivatives of basket type | 2013-10-29 | Paper |
| Valuation of a credit swap of the basket type | 2013-10-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5327139 | 2013-08-07 | Paper |
| EKC-type transitions and environmental policy under pollutant uncertainty and cost irreversibility | 2011-03-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3084269 | 2011-03-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3084334 | 2011-03-15 | Paper |
| Pricing of CDOs based on the multivariate Wang transform | 2010-12-01 | Paper |
| Economic models for the environmental Kuznets curve: a survey | 2010-06-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656124 | 2010-01-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656125 | 2010-01-13 | Paper |
| A latent process model for the pricing of corporate securities | 2009-07-06 | Paper |
| Pricing of path-dependent American options by Monte Carlo simulation | 2009-07-01 | Paper |
| A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks | 2009-06-15 | Paper |
| An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk | 2008-06-25 | Paper |
| THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY | 2008-04-29 | Paper |
| THE PRICING OF OPTIONS WITH STOCHASTIC BOUNDARIES IN A GAUSSIAN ECONOMY | 2008-02-05 | Paper |
| Value-at-risk in a market subject to regime switching | 2008-01-31 | Paper |
| A positive interest rate model with sticky barrier | 2007-10-09 | Paper |
| A Note on External Uniformization for Finite Markov Chains in Continuous Time | 2007-01-19 | Paper |
| A Consumption–Investment Problem with Production Possibilities | 2006-10-23 | Paper |
| A Markov model for valuing asset prices in a dynamic bargaining market | 2005-12-09 | Paper |
| VaR is subject to a significant positive bias | 2005-08-01 | Paper |
| On the term structure of lending interest rates when a fraction of collateral is recovered upon default | 2004-09-27 | Paper |
| An economic premium principle in a multiperiod economy. | 2003-11-16 | Paper |
| MONOTONICITY AND CONVEXITY OF OPTION PRICES REVISITED | 2003-08-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4417321 | 2003-07-28 | Paper |
| Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk | 2003-02-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2734972 | 2002-02-24 | Paper |
| Stochastic orders and their applications in financial optimization | 2001-04-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4945037 | 2000-03-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4935240 | 2000-01-30 | Paper |
| A \((T,S)\) inventory/production system with limited production capacity and uncertain demands | 1999-12-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4703159 | 1999-12-14 | Paper |
| Hazard rate and reversed hazard rate monotonicities in continuous-time Markov chains | 1999-08-02 | Paper |
| PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS | 1999-02-23 | Paper |
| The generalized harmonic mean and a portfolio problem with dependent assets | 1998-07-22 | Paper |
| Limiting Conditional Distributions for Birthdeath Processes | 1998-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4363259 | 1997-11-13 | Paper |
| A point process model for the reliability of a maintained system subject to general repair | 1997-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5691143 | 1997-01-14 | Paper |
| Weighted sums of orthogonal polynomials with positive zeros | 1996-07-15 | Paper |
| American put options with a finite set of exercisable time epochs | 1996-02-12 | Paper |
| Bounds for the quasi-stationary distribution of some specialized Markov chains | 1996-02-12 | Paper |
| Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains | 1994-05-19 | Paper |
| Approximate valuation of average options | 1994-04-13 | Paper |
| A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES | 1994-03-27 | Paper |
| Quasi-limiting distributions of Markov chains that are skip-free to the left in continuous time | 1994-02-17 | Paper |
| Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities | 1994-02-09 | Paper |
| Quasi-Stationary Distributions of Single-Server Phase-Type Queues | 1993-08-05 | Paper |
| The transient solution to a class of Markovian queues | 1993-04-01 | Paper |
| Evaluation of the decay parameter for some specialized birth-death processes | 1993-04-01 | Paper |
| Computation of the quasi-stationary distributions in \(M(n)/GI/1/K\) and \(GI/M(n)/1/K\) queues | 1993-01-17 | Paper |
| Replacement policies of a shock model with imperfect preventive maintenance | 1993-01-16 | Paper |
| THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART II: ALGORITHM | 1993-01-16 | Paper |
| Further monotonicity properties of renewal processes | 1992-10-04 | Paper |
| Single Machine Scheduling Problem When the Machine Capacity Varies Stochastically | 1992-09-27 | Paper |
| A unified approach to gi/m(n)/l/k and m(n)/g/1/k queues via finite quasi-birth-death processes | 1992-09-27 | Paper |
| On the existence of quasi-stationary distributions in denumerable R-transient Markov chains | 1992-08-13 | Paper |
| Some results for quasi-stationary distributions of birth-death processes | 1992-06-26 | Paper |
| Decomposition of the M/M/1 transition function | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5752278 | 1991-01-01 | Paper |
| On the largest negative eigenvalue of the infinitesimal generator associated with M/M/n/n queues | 1990-01-01 | Paper |
| ON THE UNIMODALITY OF TRANSITION PROBABILITIES IN MARKOV CHAINS | 1990-01-01 | Paper |
| On interchangeability for exponential single-server queues in tandem | 1990-01-01 | Paper |
| Stochastic Minimization of the Makespan in Flow Shops with Identical Machines and Buffers of Arbitrary Size | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3471290 | 1989-01-01 | Paper |
| THE LAGUERRE TRANSFORM OF PRODUCT OF FUNCTIONS | 1989-01-01 | Paper |
| Replacement policies for a cumulative damage model with minimal repair at failure | 1989-01-01 | Paper |
| ON TRANSITION PROBABILITIES OF SKIP-FREE MARKOV CHAINS | 1989-01-01 | Paper |
| UPPER BOUNDS OF A MEASURE OF DEPENDENCE AND THE RELAXATION TIME FOR FINITE STATE MARKOV CHAINS | 1989-01-01 | Paper |
| ON THE RELAXATION TIME FOR SINGLE SERVER QUEUES | 1989-01-01 | Paper |
| An extremal property of FIFO discipline in G/IFR/1 queues | 1989-01-01 | Paper |
| Some results for repairable systems with general repair | 1989-01-01 | Paper |
| Further results for dynamic scheduling of multiclass G/G/1 queues | 1989-01-01 | Paper |
| Evaluation of regular splitting queues | 1989-01-01 | Paper |
| Periodical replacement problem without assuming minimal repair | 1988-01-01 | Paper |
| THEORY AND ALGORITHMS OF THE LAGUERRE TRANSFORM, PART I:THEORY | 1988-01-01 | Paper |
| Further properties of extremal sequences in queues | 1988-01-01 | Paper |
| On passage and conditional passage times for Markov chains in continuous time | 1988-01-01 | Paper |
| DISTRIBUTION PROPERTIES OF DISCRETE CHARACTERISTICS IN M/G/1 AND GI/M/1 QUEUES | 1988-01-01 | Paper |
| Spectral structure of the first-passage-time densities for classes of Markov chains | 1987-01-01 | Paper |
| Some Results for Uniformizable Semi-Markov Processes | 1987-01-01 | Paper |
| A useful generalization of renewal theory: counting processes governed by non-negative Markovian increments | 1986-01-01 | Paper |
| Evaluation of minimum and maximum of a correlated pair of random variables via the bivariate laguerre transform | 1986-01-01 | Paper |
| The bivariate Laguerre transform and its applications: numerical exploration of bivariate processes | 1985-01-01 | Paper |
| REPLACEMENT POLICIES IN THE CASE THAT FAILURE DISTRIBUTIONS DEPEND ON THE NUMBER OF FAILURES | 1983-01-01 | Paper |
