| Publication | Date of Publication | Type |
|---|
A gradient method for high-dimensional BSDEs
Monte Carlo Methods and Applications | 2024-06-12 | Paper |
A market- and time-consistent extension for the EIOPA risk-margin
European Actuarial Journal | 2024-02-21 | Paper |
Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
Systems & Control Letters | 2021-11-10 | Paper |
Near-optimal asset allocation in financial markets with trading constraints
European Journal of Operational Research | 2021-11-09 | Paper |
Time-consistent and market-consistent actuarial valuation of the participating pension contract
Scandinavian Actuarial Journal | 2021-07-21 | Paper |
Pricing and hedging in incomplete markets with model uncertainty
European Journal of Operational Research | 2020-01-23 | Paper |
A Monte Carlo method for backward stochastic differential equations with Hermite martingales
Monte Carlo Methods and Applications | 2019-05-31 | Paper |
Mathematical foundation of convexity correction
Quantitative Finance | 2019-01-14 | Paper |
Robust evaluation of SCR for participating life insurances under Solvency II
Insurance Mathematics & Economics | 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
European Actuarial Journal | 2017-06-06 | Paper |
Sustainability of participation in collective pension schemes: an option pricing approach
Insurance Mathematics & Economics | 2017-05-24 | Paper |
Time-consistent actuarial valuations
Insurance Mathematics & Economics | 2016-01-05 | Paper |
Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
Stochastic Models | 2015-03-20 | Paper |
Optimal dividends and ALM under unhedgeable risk
Insurance Mathematics & Economics | 2014-06-23 | Paper |
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
Mathematical Finance | 2014-04-23 | Paper |
A tractable yield-curve model that guarantees positive interest rates
Review of Derivatives Research | 2013-10-29 | Paper |
Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Modeling non-monotone risk aversion using SAHARA utility functions
Journal of Economic Theory | 2011-10-28 | Paper |
Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
Quantitative Finance | 2011-06-07 | Paper |
A comparison of single factor Markov-functional and multi factor market models
Review of Derivatives Research | 2011-06-07 | Paper |
Efficient, almost exact simulation of the Heston stochastic volatility model
International Journal of Theoretical and Applied Finance | 2010-05-19 | Paper |
On the Applicability of the Wang Transform for Pricing Financial Risks
ASTIN Bulletin | 2009-09-13 | Paper |
Analytical approximations for prices of swap rate dependent embedded options in insurance products
Insurance Mathematics & Economics | 2009-03-04 | Paper |
Level–Slope–Curvature – Fact or Artefact?
Applied Mathematical Finance | 2007-07-16 | Paper |
PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS
Mathematical Finance | 2007-02-22 | Paper |
Pricing rate of return guarantees in regular premium unit linked insurance
Insurance Mathematics & Economics | 2005-01-13 | Paper |
On the information in the interest rate term structure and option prices
Review of Derivatives Research | 2005-01-12 | Paper |
Pricing and hedging guaranteed annuity options via static option replication.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis
Review of Finance | 2002-05-30 | Paper |
| Markov-functional interest rate models. | 2002-01-06 | Paper |
Markov-functional interest rate models
Finance and Stochastics | 2001-03-01 | Paper |
| scientific article; zbMATH DE number 1505639 (Why is no real title available?) | 2000-09-13 | Paper |
Pricing double barrier options using Laplace transforms
Finance and Stochastics | 2000-05-24 | Paper |
Transaction costs and efficiency of portfolio strategies
European Journal of Operational Research | 1999-11-10 | Paper |
| scientific article; zbMATH DE number 1234541 (Why is no real title available?) | 1999-01-03 | Paper |
