| Publication | Date of Publication | Type |
|---|
Improved block rearrangement algorithm
Annals of Operations Research | 2026-08-24 | Paper |
Green spread of US municipal bonds
Annals of Operations Research | 2026-08-24 | Paper |
Multivariate portfolio choice via quantiles
Quantitative Finance | 2026-03-16 | Paper |
Green bonds \& certification: is getting certified always optimal?
Annals of Operations Research | 2026-01-27 | Paper |
Impact of Model Misspecification on the Value-at-Risk of Unimodal T-Symmetric Distributions
North American Actuarial Journal | 2025-10-14 | Paper |
Model uncertainty assessment for symmetric and right-skewed distributions
Scandinavian Actuarial Journal | 2025-07-08 | Paper |
Optimal surrender policy for reverse mortgage loans
ASTIN Bulletin | 2025-01-22 | Paper |
Robust distortion risk measures
Mathematical Finance | 2024-11-20 | Paper |
Cost-efficient payoffs under model ambiguity
Finance and Stochastics | 2024-10-16 | Paper |
Multivariate option pricing using copulae
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Implied value-at-risk and model-free simulation
Annals of Operations Research | 2024-06-04 | Paper |
| Model Risk Management | 2023-10-30 | Paper |
Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information''
Insurance Mathematics & Economics | 2023-10-12 | Paper |
The impact of correlation on (Range) Value-at-Risk
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
Coskewness under dependence uncertainty
Statistics & Probability Letters | 2023-07-12 | Paper |
Optimal multivariate financial decision making
European Journal of Operational Research | 2023-07-03 | Paper |
| Cost-efficiency in Incomplete Markets | 2022-06-24 | Paper |
Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model''
Decisions in Economics and Finance | 2022-06-17 | Paper |
<i>Optimization Methods in Finance</i>Gerard Cornuejols and Reha Tütüncü
North American Actuarial Journal | 2022-01-19 | Paper |
Development and pricing of a new participating contract
North American Actuarial Journal | 2021-12-22 | Paper |
Optimal annuity demand for general expected utility agents
Insurance Mathematics & Economics | 2021-11-19 | Paper |
A model-free approach to multivariate option pricing
Review of Derivatives Research | 2021-08-19 | Paper |
Bounds on multi-asset derivatives via neural networks
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
Range value-at-risk bounds for unimodal distributions under partial information
Insurance Mathematics & Economics | 2020-11-19 | Paper |
State-dependent fees for variable annuity guarantees
ASTIN Bulletin | 2020-02-05 | Paper |
Semi-analytical prices for lookback and barrier options under the Heston model
Decisions in Economics and Finance | 2020-01-31 | Paper |
A new efficiency test for ranking investments: application to hedge fund performance
Economics Letters | 2019-07-10 | Paper |
Impact of flexible periodic premiums on variable annuity guarantees
North American Actuarial Journal | 2019-05-28 | Paper |
Optimal strategies under omega ratio
European Journal of Operational Research | 2019-01-28 | Paper |
Optimal payoffs under state-dependent preferences
Quantitative Finance | 2018-09-19 | Paper |
Prices and asymptotics for discrete variance swaps
Applied Mathematical Finance | 2018-09-11 | Paper |
Dynamic preferences for popular investment strategies in pension funds
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal portfolio under state-dependent expected utility
International Journal of Theoretical and Applied Finance | 2018-06-07 | Paper |
Rearrangement algorithm and maximum entropy
Annals of Operations Research | 2018-03-23 | Paper |
Risk bounds for factor models
Finance and Stochastics | 2017-07-21 | Paper |
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Mathematical Finance | 2017-03-13 | Paper |
Algorithms for finding copulas minimizing convex functions of sums
Asia-Pacific Journal of Operational Research | 2016-12-16 | Paper |
Simplified hedge for path-dependent derivatives
International Journal of Theoretical and Applied Finance | 2016-12-08 | Paper |
Semi-static hedging of variable annuities
Insurance Mathematics & Economics | 2016-05-12 | Paper |
Quantile of a mixture with application to model risk assessment
Dependence Modeling | 2016-01-21 | Paper |
Rationalizing investors' choices
Journal of Mathematical Economics | 2015-08-21 | Paper |
Conditional quantiles and tail dependence
Journal of Multivariate Analysis | 2015-06-18 | Paper |
Optimal claims with fixed payoff structure
Journal of Applied Probability | 2015-04-14 | Paper |
Optimal portfolios under worst-case scenarios
Quantitative Finance | 2015-04-01 | Paper |
Optimal insurance design under rank-dependent expected utility
Mathematical Finance | 2015-02-20 | Paper |
Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
European Journal of Operational Research | 2015-02-03 | Paper |
Optimal surrender policy for variable annuity guarantees
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Impact of counterparty risk on the reinsurance market
North American Actuarial Journal | 2014-07-19 | Paper |
Risk aggregation with dependence uncertainty
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
Dependence Modeling | 2014-05-21 | Paper |
Pricing and hedging of cliquet options and locally capped contracts
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
An optimal insurance design problem under Knightian uncertainty
Decisions in Economics and Finance | 2013-11-07 | Paper |
Correction note for ``The large-maturity smile for the Heston model''
Finance and Stochastics | 2013-02-07 | Paper |
Performance regularity: a new class of executive compensation packages
Asia-Pacific Financial Markets | 2013-01-29 | Paper |
Static portfolio choice under cumulative prospect theory
Mathematics and Financial Economics | 2013-01-20 | Paper |
Nearly exact option price simulation using characteristic functions
International Journal of Theoretical and Applied Finance | 2013-01-16 | Paper |
A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
Journal of Applied Probability | 2012-10-29 | Paper |
Protection of a company issuing a certain class of participating policies in a complete market framework
North American Actuarial Journal | 2011-08-23 | Paper |
Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
North American Actuarial Journal | 2011-06-07 | Paper |
Pricing derivatives with barriers in a stochastic interest rate environment
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
On the regulator-insurer interaction in a structural model
Journal of Computational and Applied Mathematics | 2009-10-09 | Paper |
Market value of life insurance contracts under stochastic interest rates and default risk
Insurance Mathematics & Economics | 2007-05-24 | Paper |
