| Publication | Date of Publication | Type |
|---|
| Short Option Maturity Term Structures of Skewness and Excess Kurtosis* | 2025-01-27 | Paper |
| On the real rate of interest in a closed economy | 2024-12-23 | Paper |
| Financial finance | 2024-11-27 | Paper |
| Rational hedging with a diversity of implied volatilities | 2024-11-26 | Paper |
| Risk exposure valuation using measure distortions: an overview | 2024-09-06 | Paper |
| Peter Carr Gedenkschrift | 2024-02-07 | Paper |
| Financial activity time | 2024-01-15 | Paper |
| Now decision theory | 2023-11-08 | Paper |
| Measuring dependence in a set of asset returns | 2023-09-28 | Paper |
| Exposure valuations and their capital requirements | 2023-09-27 | Paper |
| Option returns | 2023-07-25 | Paper |
| The economics of time as it is embedded in the prices of options§ | 2023-06-20 | Paper |
| The valuation of corporations: a derivative pricing perspective | 2023-04-04 | Paper |
| OPTION SURFACE STATISTICS WITH APPLICATIONS | 2022-11-16 | Paper |
| Implied price processes anchored in statistical realizations | 2022-10-19 | Paper |
| High dimensional Markovian trading of a single stock | 2022-10-19 | Paper |
| Two sided efficient frontiers at multiple time horizons | 2022-09-21 | Paper |
| Quadratic variation, models, applications and lessons | 2022-08-30 | Paper |
| Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) | 2022-07-22 | Paper |
| Lower and upper pricing of financial assets | 2022-06-03 | Paper |
| Errata: Instantaneous Portfolio theory | 2022-05-27 | Paper |
| Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models | 2022-05-10 | Paper |
| Nonlinear Valuation and Non-Gaussian Risks in Finance | 2021-12-01 | Paper |
| Correlated squared returns | 2021-11-09 | Paper |
| Filtering Response Directions | 2021-11-05 | Paper |
| OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES | 2021-10-20 | Paper |
| Two price economic equilibria and financial market bid/ask prices | 2021-06-28 | Paper |
| Self‐similarity in long‐horizon returns | 2021-03-23 | Paper |
| Additive Processes with Bilateral Gamma Marginals | 2021-02-08 | Paper |
| MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS | 2021-01-29 | Paper |
| Calibration for weak variance-alpha-gamma processes | 2020-05-04 | Paper |
| Portfolio theory for squared returns correlated across time | 2020-02-17 | Paper |
| Measure distorted arrival rate risks and their rewards | 2020-02-17 | Paper |
| Zero covariation returns | 2020-02-17 | Paper |
| Self-decomposability of weak variance generalised gamma convolutions | 2020-01-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5226697 | 2019-08-01 | Paper |
| Conic asset pricing and the costs of price fluctuations | 2019-06-18 | Paper |
| Nonlinear equity valuation using conic finance and its regulatory implications | 2019-05-08 | Paper |
| EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS | 2019-04-18 | Paper |
| Machine learning for quantitative finance: fast derivative pricing, hedging and fitting | 2019-02-06 | Paper |
| Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions | 2019-01-28 | Paper |
| From local volatility to local Lévy models | 2019-01-15 | Paper |
| Understanding option prices | 2019-01-15 | Paper |
| Maximally Acceptable Portfolios | 2018-12-13 | Paper |
| Pricing options on mean reverting underliers | 2018-11-19 | Paper |
| Instantaneous portfolio theory | 2018-11-14 | Paper |
| Option overlay strategies | 2018-09-19 | Paper |
| A Simple Stochastic Rate Model for Rate Equity Hybrid Products | 2018-09-05 | Paper |
| Financial equilibrium with non-linear valuations | 2018-07-05 | Paper |
| Financial jeopardy | 2018-04-06 | Paper |
| MEASURING AND MONITORING THE EFFICIENCY OF MARKETS | 2018-01-11 | Paper |
| Three Non-Gaussian Models of Dependence in Returns | 2017-07-31 | Paper |
| Adapted hedging | 2017-05-23 | Paper |
| CONIC TRADING IN A MARKOVIAN STEADY STATE | 2017-04-13 | Paper |
| Hedging insurance books | 2016-12-13 | Paper |
| Dynamic conic hedging for competitiveness | 2016-09-30 | Paper |
| Benchmarking in two price financial markets | 2016-09-21 | Paper |
| Applied Conic Finance | 2016-08-17 | Paper |
| Risk premia in option markets | 2016-06-28 | Paper |
| CONIC PORTFOLIO THEORY | 2016-05-17 | Paper |
| ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS | 2016-04-14 | Paper |
| Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver | 2016-04-04 | Paper |
| Utility correlations in probabilistic choice modelling | 2016-01-01 | Paper |
| Estimating parametric models of probability distributions | 2015-09-23 | Paper |
| Momentum and reversion in risk neutral martingale probabilities | 2015-04-08 | Paper |
| Asset pricing theory for two price economies | 2015-03-24 | Paper |
| Two price economies in continuous time | 2014-11-13 | Paper |
| A two price theory of financial equilibrium with risk management implications | 2014-11-12 | Paper |
| Bid and ask prices as non-linear continuous time G-expectations based on distortions | 2014-11-06 | Paper |
| Moments of Wiener integrals for subordinators | 2014-09-22 | Paper |
| TWO PROCESSES FOR TWO PRICES | 2014-04-25 | Paper |
| Systemic risk tradeoffs and option prices | 2014-04-03 | Paper |
| The valuation of structured products using Markov chain models | 2014-02-08 | Paper |
| Unbounded liabilities, capital reserve requirements and the taxpayer put option | 2014-01-17 | Paper |
| From credit valuation adjustments to credit capital commitments | 2014-01-17 | Paper |
| Options on realized variance and convex orders | 2013-12-13 | Paper |
| Pricing the risks of default | 2013-10-30 | Paper |
| Measures of risk aversion with many commodities | 2013-10-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925750 | 2013-06-12 | Paper |
| SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS | 2013-02-28 | Paper |
| Structured products equilibria in conic two price markets | 2013-02-26 | Paper |
| Factor models for option pricing | 2013-01-29 | Paper |
| Conic coconuts: the pricing of contingent capital notes using conic finance | 2013-01-20 | Paper |
| TENOR SPECIFIC PRICING | 2012-11-22 | Paper |
| Equity quantile upper and lower swaps | 2012-06-25 | Paper |
| The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX | 2012-06-08 | Paper |
| Correlation and the pricing of risks | 2012-03-06 | Paper |
| A Theory of Volatility Spreads | 2012-02-21 | Paper |
| CONIC FINANCE AND THE CORPORATE BALANCE SHEET | 2011-10-24 | Paper |
| Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes | 2011-04-13 | Paper |
| Leveraged Lévy processes as models for stock prices | 2010-09-21 | Paper |
| Pricing and hedging basket options to prespecified levels of acceptability | 2010-08-05 | Paper |
| Short Positions, Rally Fears and Option Markets | 2010-05-27 | Paper |
| Erratum | 2010-02-05 | Paper |
| PUT OPTION PRICES AS JOINT DISTRIBUTION FUNCTIONS IN STRIKE AND MATURITY: THE BLACK–SCHOLES CASE | 2010-02-05 | Paper |
| Local Volatility Enhanced by a Jump to Default | 2010-02-03 | Paper |
| Capital requirements, acceptable risks and profits | 2009-12-07 | Paper |
| A tale of two volatilities | 2009-11-16 | Paper |
| Saddlepoint methods for option pricing | 2009-10-26 | Paper |
| Sato processes and the valuation of structured products | 2009-10-12 | Paper |
| HEDGE FUND PERFORMANCE: SOURCES AND MEASURES | 2009-07-14 | Paper |
| Multiple priors and asset pricing | 2009-06-16 | Paper |
| Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon | 2009-05-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506189 | 2009-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506196 | 2009-01-28 | Paper |
| Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model | 2007-11-18 | Paper |
| Probing option prices for information | 2007-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5294261 | 2007-07-24 | Paper |
| SELF-DECOMPOSABILITY AND OPTION PRICING | 2007-06-08 | Paper |
| Equilibrium asset pricing: with non-Gaussian factors and exponential utilities | 2007-05-09 | Paper |
| Pricing options on realized variance | 2006-05-24 | Paper |
| Coherent measurement of factor risks | 2006-05-02 | Paper |
| Pricing and hedging in incomplete markets with coherent risk | 2006-05-02 | Paper |
| CAPM, rewards, and empirical asset pricing with coherent risk | 2006-05-02 | Paper |
| CGMY and Meixner Subordinators are Absolutely Continuous with respect to One Sided Stable Subordinators | 2006-01-09 | Paper |
| Stochastic Volatility for Lévy Processes | 2004-08-23 | Paper |
| Option pricing using variance gamma Markov chains | 2003-12-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725579 | 2003-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550914 | 2003-05-31 | Paper |
| Making Markov martingales meet marginals: With explicit constructions | 2003-04-07 | Paper |
| Is Mean-Variance Analysis Vacuous: Or was Beta Still Born? | 2003-03-12 | Paper |
| Stochastic volatility, jumps and hidden time changes | 2002-11-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771113 | 2002-08-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771102 | 2002-02-14 | Paper |
| The Second Fundamental Theorem of Asset Pricing | 2001-11-26 | Paper |
| Optimal investment in derivative securities | 2001-09-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725577 | 2001-07-12 | Paper |
| Time Changes for Lévy Processes | 2001-03-29 | Paper |
| Hedging contingent claims on semimartingales | 1999-09-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218379 | 1999-06-23 | Paper |
| A Discrete Time Equivalent Martingale Measure | 1999-04-06 | Paper |
| Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1 | 1998-04-05 | Paper |
| CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS | 1998-04-05 | Paper |
| The Variance Gamma Process and Option Pricing | 1998-01-01 | Paper |
| A Characterization of Complete Security Markets On A Brownian Filtration1 | 1997-08-31 | Paper |
| Option Pricing With V. G. Martingale Components1 | 1997-08-31 | Paper |
| OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS | 1997-03-23 | Paper |
| On the monotonicity of the labour-capital ratio in Sraffa's model | 1990-01-01 | Paper |
| Risk measurement in semimartingale models with multiple consumption goods | 1988-01-01 | Paper |
| Simulation of Estimates Using the Empirical Characteristic Function | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5185887 | 1984-01-01 | Paper |
| Testing for Random Pairing | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3657979 | 1982-01-01 | Paper |
