| Publication | Date of Publication | Type |
|---|
| Statistical models built on sub-exponential random variables | 2026-03-09 | Paper |
On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models
Decisions in Economics and Finance | 2026-01-16 | Paper |
Sub-exponentiality in statistical exponential models
Journal of Theoretical Probability | 2024-08-24 | Paper |
A stage structured demographic model with ``no-regression'' growth: the case of temperature-dependent development rate
Physica A | 2023-10-30 | Paper |
| Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models | 2023-02-16 | Paper |
Robust concentration inequalities in maximal exponential models
Statistics & Probability Letters | 2021-03-18 | Paper |
| Minimization of the Kullback-Leibler divergence over a log-normal exponential arc | 2020-03-10 | Paper |
Exponential models by Orlicz spaces and applications
Journal of Applied Probability | 2018-11-19 | Paper |
Option pricing under deformed Gaussian distributions
Physica A | 2018-11-13 | Paper |
| On mixture and exponential connection by open arcs | 2018-01-12 | Paper |
| Exact and approximated option pricing in a stochastic volatility jump-diffusion model | 2017-11-22 | Paper |
New results on mixture and exponential models by Orlicz spaces
Bernoulli | 2016-05-12 | Paper |
New results on mixture and exponential models by Orlicz spaces
Bernoulli | 2016-05-12 | Paper |
Deformed exponentials and applications to finance
Entropy | 2016-05-10 | Paper |
Power utility maximization problems under partial information and information sufficiency in a Brownian setting
Stochastic Analysis and Applications | 2015-06-22 | Paper |
Forward backward semimartingale systems for utility maximization
SIAM Journal on Control and Optimization | 2015-03-27 | Paper |
The minimal -entropy martingale measure
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
| Derivative evaluation using recombining trees under stochastic volatility | 2011-06-27 | Paper |
Exact pricing with stochastic volatility and jumps
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
An equilibrium model of insider trading in continuous time
Decisions in Economics and Finance | 2009-11-16 | Paper |
Replication and shortfall risk in a binomial model with transaction costs
Mathematical Methods of Operations Research | 2009-04-27 | Paper |
| Insider trading in continuous time | 2006-10-16 | Paper |
| scientific article; zbMATH DE number 1971733 (Why is no real title available?) | 2002-01-01 | Paper |
Almost sure optimality and optimality in probability for stochastic linear-quadratic regulator with partial information
Stochastics and Stochastic Reports | 2001-05-07 | Paper |
Pathwise optimality in stochastic control
SIAM Journal on Control and Optimization | 2001-03-19 | Paper |
Almost sure optimality and optimality in probability for stochastic control problems over an infinite time horizon
Annals of Operations Research | 1999-12-02 | Paper |
