| Publication | Date of Publication | Type |
|---|
Viscosity Solutions for Singular HJB Equations: BSDE Representations and Stochastic Control
(available as arXiv preprint) | 2026-01-01 | Paper |
A pathwise approach to semilinear SPDEs with Lévy drivers
(available as arXiv preprint) | 2026-01-01 | Paper |
On Watanabe's characterisation and change of intensity à la Girsanov for Cox processes
(available as arXiv preprint) | 2025-01-01 | Paper |
Rough backward SDEs with discontinuous Young drivers
(available as arXiv preprint) | 2025-01-01 | Paper |
Hedging with physical or cash settlement under transient multiplicative price impact
Finance and Stochastics | 2024-04-02 | Paper |
Common Noise by Random Measures: Mean-Field Equilibria for Competitive Investment and Hedging
(available as arXiv preprint) | 2024-01-01 | Paper |
| Mean-field games of speedy information access with observation costs | 2023-09-14 | Paper |
| On Watanabe's characterisation and change of intensity \`{a} la Girsanov for Cox processes | 2023-08-09 | Paper |
Mean-field games of speedy information access with observation costs
(available as arXiv preprint) | 2023-01-01 | Paper |
On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples
Springer Proceedings in Mathematics & Statistics | 2022-09-30 | Paper |
Good deal hedging and valuation under combined uncertainty about drift and volatility
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
Bernoulli | 2019-04-30 | Paper |
Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
Bernoulli | 2019-04-30 | Paper |
Optimal asset liquidation with multiplicative transient price impact
Applied Mathematics and Optimization | 2018-12-10 | Paper |
Approximating diffusion reflections at elastic boundaries
Electronic Communications in Probability | 2018-08-23 | Paper |
Approximating diffusion reflections at elastic boundaries
Electronic Communications in Probability | 2018-08-23 | Paper |
Optimal liquidation under stochastic liquidity
Finance and Stochastics | 2018-01-16 | Paper |
Hedging under generalized good-deal bounds and model uncertainty
Mathematical Methods of Operations Research | 2017-10-10 | Paper |
| Multilevel approximation of backward stochastic differential equations | 2014-12-09 | Paper |
Multilevel approximation of backward stochastic differential equations
(available as arXiv preprint) | 2014-01-01 | Paper |
Optimal allocation of a futures portfolio utilizing numerical market phase detection
SIAM Journal on Financial Mathematics | 2010-11-10 | Paper |
Optimal weak static hedging of equity and credit risk using derivatives
Applied Mathematical Finance | 2010-05-27 | Paper |
| From bounds on optimal growth towards a theory of good-deal hedging | 2010-01-13 | Paper |
Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
The Annals of Applied Probability | 2007-08-06 | Paper |
Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
The Annals of Applied Probability | 2005-07-13 | Paper |
Utility–indifference hedging and valuation via reaction–diffusion systems
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
A monetary value for initial information in portfolio optimization
Finance and Stochastics | 2004-03-16 | Paper |
Rational hedging and valuation of integrated risks under constant absolute risk aversion.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
The numeraire portfolio for unbounded semimartingale
Finance and Stochastics | 2001-12-12 | Paper |
