| Publication | Date of Publication | Type |
|---|
The geometry of multi-curve interest rate models
Quantitative Finance | 2025-04-03 | Paper |
CBI-time-changed Lévy processes for multi-currency modeling
Annals of Operations Research | 2024-06-04 | Paper |
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance | 2024-01-18 | Paper |
Valuation of general GMWB annuities in a low interest rate environment
Insurance Mathematics & Economics | 2023-10-12 | Paper |
A stochastic control perspective on term structure models with roll-over risk
Finance and Stochastics | 2023-10-12 | Paper |
CBI-time-changed Lévy processes
Stochastic Processes and their Applications | 2023-08-14 | Paper |
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Multiple yield curve modelling with CBI processes
Mathematics and Financial Economics | 2021-07-08 | Paper |
Arbitrage concepts under trading restrictions in discrete-time financial markets
Journal of Mathematical Economics | 2021-03-03 | Paper |
The value of informational arbitrage
Finance and Stochastics | 2020-03-25 | Paper |
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics | 2020-03-25 | Paper |
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics | 2020-03-25 | Paper |
Martingale spaces and representations under absolutely continuous changes of probability
Electronic Communications in Probability | 2019-11-06 | Paper |
Martingale spaces and representations under absolutely continuous changes of probability
Electronic Communications in Probability | 2019-11-06 | Paper |
On the existence of sure profits via flash strategies
Journal of Applied Probability | 2019-07-31 | Paper |
Affine multiple yield curve models
Mathematical Finance | 2019-05-23 | Paper |
General dynamic term structures under default risk
Stochastic Processes and their Applications | 2018-10-31 | Paper |
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability | 2018-09-26 | Paper |
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Journal of Applied Probability | 2018-09-26 | Paper |
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
Stochastic Processes and their Applications | 2018-02-13 | Paper |
Financial markets theory. Equilibrium, efficiency and information
Springer Finance | 2017-05-15 | Paper |
A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
Stochastics | 2016-06-10 | Paper |
A general HJM framework for multiple yield curve modelling
Finance and Stochastics | 2016-05-23 | Paper |
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Stochastic Processes and their Applications | 2016-04-20 | Paper |
No-arbitrage conditions and absolutely continuous changes of measure
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
A unified approach to pricing and risk management of equity and credit risk
Journal of Computational and Applied Mathematics | 2015-06-17 | Paper |
Market viability and martingale measures under partial information
Methodology and Computing in Applied Probability | 2015-04-16 | Paper |
Weak and strong no-arbitrage conditions for continuous financial markets
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
On arbitrages arising with honest times
Finance and Stochastics | 2014-09-26 | Paper |
Information, no-arbitrage and completeness for asset price models with a change point
Stochastic Processes and their Applications | 2014-09-02 | Paper |
Diffusion-based models for financial markets without martingale measures
EAA Series | 2013-07-30 | Paper |
Simplified mean-variance portfolio optimisation
Mathematics and Financial Economics | 2013-02-26 | Paper |
| Credit risk and incomplete information: A filtering framework for pricing and risk management | 2012-05-30 | Paper |
Credit risk and incomplete information: filtering and EM parameter estimation
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
