| Publication | Date of Publication | Type |
|---|
Detecting asset price bubbles using deep learning
Mathematical Finance | 2025-01-20 | Paper |
Approximation rates for deep calibration of (rough) stochastic volatility models
SIAM Journal on Financial Mathematics | 2024-09-17 | Paper |
Risk-minimization for life insurance liabilities with dependent mortality risk
Mathematical Finance | 2024-05-06 | Paper |
Liquidity Based Modeling of Asset Price Bubbles via Random Matching
SIAM Journal on Financial Mathematics | 2024-01-29 | Paper |
Generalized Feynman-Kac formula under volatility uncertainty
Stochastic Processes and their Applications | 2024-01-29 | Paper |
Multi-dimensional fractional Brownian motion in the G-setting
| 2023-12-19 | Paper |
Non-linear affine processes with jumps
Probability, Uncertainty and Quantitative Risk | 2023-11-21 | Paper |
Neural network approximation for superhedging prices
Mathematical Finance | 2023-09-28 | Paper |
Optional projection under equivalent local martingale measures
Finance and Stochastics | 2023-04-12 | Paper |
A dynamic version of the super-replication theorem under proportional transaction costs
Stochastic Analysis and Applications | 2023-02-01 | Paper |
Reduced-form framework for multiple ordered default times under model uncertainty
Stochastic Processes and their Applications | 2023-01-02 | Paper |
Extended reduced-form framework for non-life insurance
Advances in Applied Probability | 2022-12-13 | Paper |
Asset price bubbles in markets with transaction costs
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
Reduced-form setting under model uncertainty with non-linear affine intensities
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
A unified approach to xVA with CSA discounting and initial margin
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Systemic optimal risk transfer equilibrium
Mathematics and Financial Economics | 2021-05-05 | Paper |
General analysis of long-term interest rates
International Journal of Theoretical and Applied Finance | 2020-03-26 | Paper |
On fairness of systemic risk measures
Finance and Stochastics | 2020-03-25 | Paper |
Financial asset price bubbles under model uncertainty
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Reduced-form framework under model uncertainty
The Annals of Applied Probability | 2019-10-22 | Paper |
Financial asset bubbles in banking networks
SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
Robust mean-variance hedging via \(G\)-expectation
Stochastic Processes and their Applications | 2019-06-04 | Paper |
A unified approach to systemic risk measures via acceptance sets
Mathematical Finance | 2019-05-08 | Paper |
Liquidity induced asset bubbles via flows of ELMMs
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
Applied Mathematics and Optimization | 2018-07-20 | Paper |
Polynomial diffusion models for life insurance liabilities
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Risk-minimization for life insurance liabilities with basis risk
Mathematics and Financial Economics | 2016-03-08 | Paper |
The Formation of Financial Bubbles in Defaultable Markets
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Electricity futures price modeling with Lévy term structure models
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
Shifting martingale measures and the birth of a bubble as a submartingale
Finance and Stochastics | 2014-11-07 | Paper |
Elements of Probability and Statistics
Unitext | 2014-09-05 | Paper |
The Mathematical Concept of Measuring Risk
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Local risk-minimization under the benchmark approach
Mathematics and Financial Economics | 2014-05-30 | Paper |
Intensity-based premium evaluation for unemployment insurance products
Insurance Mathematics & Economics | 2014-04-15 | Paper |
HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS
ASTIN Bulletin | 2014-02-27 | Paper |
Evaluating hybrid products: the interplay between financial and insurance markets
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Risk-minimization for life insurance liabilities
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Money out of nothing? Principles and foundations of mathematical finance
Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) | 2013-07-10 | Paper |
A fractional credit model with long range dependent default rate
Stochastic Processes and their Applications | 2013-03-04 | Paper |
Insider trading equilibrium in a market with memory
Mathematics and Financial Economics | 2013-02-26 | Paper |
Pricing of unemployment insurance products with doubly stochastic Markov chains
International Journal of Theoretical and Applied Finance | 2012-08-30 | Paper |
Local risk-minimization for defaultable claims with recovery process
Applied Mathematics and Optimization | 2012-08-01 | Paper |
Credit Contagion in a Long Range Dependent Macroeconomic Factor Model
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Pricing of catastrophe insurance options written on a loss index with reestimation
Insurance Mathematics & Economics | 2010-06-08 | Paper |
Asymptotics for Operational Risk Quantified with Expected Shortfall
ASTIN Bulletin | 2009-12-22 | Paper |
Local risk minimization for defaultable markets
Mathematical Finance | 2009-12-07 | Paper |
Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2
Stochastics | 2008-11-25 | Paper |
Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
Journal of Applied Probability | 2008-11-13 | Paper |
FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2008-08-19 | Paper |
MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
International Journal of Theoretical and Applied Finance | 2008-05-14 | Paper |
Quadratic hedging methods for defaultable claims
Applied Mathematics and Optimization | 2008-04-03 | Paper |
Stochastic Calculus for Fractional Brownian Motion and Applications
Probability and Its Applications | 2008-03-26 | Paper |
ON THE TIMING OPTION IN A FUTURES CONTRACT
Mathematical Finance | 2007-10-29 | Paper |
Elementi di Probabilità e Statistica
UNITEXT | 2006-06-13 | Paper |
A general stochastic calculus approach to insider trading
Applied Mathematics and Optimization | 2006-06-12 | Paper |
A stochastic maximum principle for processes driven by fractional Brownian motion.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Minimal variance hedging for fractional Brownian motion
Methods and Applications of Analysis | 2004-10-25 | Paper |
An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
Local risk minimization and numéraire
Journal of Applied Probability | 2002-09-22 | Paper |
scientific article; zbMATH DE number 1642335 (Why is no real title available?)
| 2002-01-13 | Paper |
Mean-variance hedging for interest rate models with stochastic volatility.
Decisions in Economics and Finance | 2002-01-01 | Paper |
Mean–variance hedging with random volatility jumps
Stochastic Analysis and Applications | 2002-01-01 | Paper |
Mean-variance hedging for stochastic volatility models
Mathematical Finance | 2001-03-29 | Paper |
