| Publication | Date of Publication | Type |
|---|
Martingales with independent increments
Bulletin of the Belgian Mathematical Society - Simon Stevin | 2026-07-29 | Paper |
A bipolar theorem only using independent random variables
Pure and Applied Functional Analysis | 2025-10-20 | Paper |
A solution to a conjecture of David Schmeidler
Economic Theory Bulletin | 2025-03-20 | Paper |
Monetary utility functions on \(C_b(X)\) spaces
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
Convergence results for approximations with independent variables
Frontiers of Mathematical Finance | 2024-11-26 | Paper |
Fairness principles for insurance contracts in the presence of default risk
Mathematical Finance | 2023-09-28 | Paper |
Fairness principles for insurance contracts in the presence of default risk
Mathematical Finance | 2023-09-28 | Paper |
Convex increasing functionals on $C_b(X)$ spaces
Studia Mathematica | 2023-08-25 | Paper |
Approximation with independent variables
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
| Monetary Utility Functions on C_b(X) Spaces | 2022-09-16 | Paper |
A multiset version of James's theorem
Journal of Functional Analysis | 2022-08-20 | Paper |
Group cohesion under individual regulatory constraints
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
| Law of Large Numbers for Risk Measures | 2021-09-22 | Paper |
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
Finance and Stochastics | 2021-08-27 | Paper |
On the range of the subdifferential in non reflexive Banach spaces
Journal of Functional Analysis | 2021-04-23 | Paper |
Mod-\(\phi\) convergence: approximation of discrete measures and harmonic analysis on the torus
Annales de l’institut Fourier | 2021-03-16 | Paper |
| Conditionally atomless extensions of sigma algebras | 2020-03-19 | Paper |
Mackey constraints for James's compactness theorem and risk measures
Journal of Mathematical Analysis and Applications | 2020-02-26 | Paper |
Convex functions on dual Orlicz spaces
Positivity | 2019-10-17 | Paper |
| Commonotonicity and L¹ Random Variables | 2019-05-13 | Paper |
| Precise Limit Theorems for Lacunary Series | 2018-05-10 | Paper |
Risk measures with the CxLS property
Finance and Stochastics | 2016-05-23 | Paper |
Risk measures with the CxLS property
Finance and Stochastics | 2016-05-23 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Mod-\(\varphi\) convergence
IMRN. International Mathematics Research Notices | 2015-06-22 | Paper |
Mod-\(\varphi\) convergence
IMRN. International Mathematics Research Notices | 2015-06-22 | Paper |
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
Stochastic Processes and their Applications | 2015-06-11 | Paper |
| Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123 | 2015-04-01 | Paper |
On a class of law invariant convex risk measures
Finance and Stochastics | 2014-12-17 | Paper |
| A Remark on the Structure of Expectiles | 2013-07-22 | Paper |
Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation
Electronic Journal of Probability | 2012-06-22 | Paper |
A von Neumann-Morgenstern representation result without weak continuity assumption
Journal of Mathematical Economics | 2012-04-18 | Paper |
Representation of the penalty term of dynamic concave utilities
Finance and Stochastics | 2011-11-27 | Paper |
| BSDE and risk measures | 2011-11-11 | Paper |
Backward SDEs with superquadratic growth
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-09-27 | Paper |
Existence and non-uniqueness of solutions for BSDE
Contemporary Quantitative Finance | 2011-05-31 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2011-05-19 | Paper |
Risk Measures and Efficient use of Capital
ASTIN Bulletin | 2011-01-20 | Paper |
Differentiability Properties of Utility Functions
Optimality and Risk - Modern Trends in Mathematical Finance | 2010-02-05 | Paper |
Harmonic analysis of stochastic equations and backward stochastic differential equations
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2010-01-15 | Paper |
RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
Mathematical Finance | 2009-08-28 | Paper |
On Esscher Transforms in Discrete Finance Models
ASTIN Bulletin | 2009-06-15 | Paper |
A note on the no arbitrage condition for international financial markets
Financial Engineering and the Japanese Markets | 2009-02-06 | Paper |
Coherent multiperiod risk adjusted values and Bellman's principle
Annals of Operations Research | 2008-03-31 | Paper |
Coherent risk measures
Blätter der DGVFM | 2007-10-30 | Paper |
| The structure of m-stable sets and in particular of the set of risk neutral measures | 2007-07-24 | Paper |
Erratum: Coherent and convex risk measures for unbounded càdlàg processes
Finance and Stochastics | 2006-12-08 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
Dynamic monetary risk measures for bounded discrete-time processes
Electronic Journal of Probability | 2006-11-03 | Paper |
| Hedging bounded claims with bounded outcomes | 2006-08-28 | Paper |
The mathematics of arbitrage
Springer Finance | 2006-06-13 | Paper |
Coherent and convex monetary risk measures for unbounded càdlàg processes.
Finance and Stochastics | 2006-05-24 | Paper |
Coherent and convex monetary risk measures for bounded càdlàg processes
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A central limit theorem for the optimal selection process for monotone subsequences of maximum expected length
Stochastic Processes and their Applications | 2005-06-22 | Paper |
On the law of one price
Finance and Stochastics | 2005-05-20 | Paper |
| scientific article; zbMATH DE number 2121872 (Why is no real title available?) | 2004-12-13 | Paper |
A note on option pricing for the constant elasticity of variance model
Asia-Pacific Financial Markets | 2004-03-17 | Paper |
| scientific article; zbMATH DE number 2046106 (Why is no real title available?) | 2004-02-23 | Paper |
No arbitrage condition for positive diffusion price processes
Asia-Pacific Financial Markets | 2004-02-03 | Paper |
An interest rate model with upper and lower bounds
Asia-Pacific Financial Markets | 2004-02-03 | Paper |
| scientific article; zbMATH DE number 1795842 (Why is no real title available?) | 2003-10-05 | Paper |
PASSPORT OPTIONS
Mathematical Finance | 2003-08-13 | Paper |
| Applications to mathematical finance | 2003-06-29 | Paper |
Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
Mathematical Finance | 2003-04-06 | Paper |
Optimal rules for the sequential selection of monotone subsequences of maximum expected length
Stochastic Processes and their Applications | 2003-01-27 | Paper |
Exponential Hedging and Entropic Penalties
Mathematical Finance | 2002-10-28 | Paper |
Coherent measures of risk
Mathematical Finance | 2001-11-26 | Paper |
| scientific article; zbMATH DE number 1487969 (Why is no real title available?) | 2001-01-14 | Paper |
| scientific article; zbMATH DE number 1342042 (Why is no real title available?) | 2000-06-28 | Paper |
| scientific article; zbMATH DE number 1405953 (Why is no real title available?) | 2000-05-08 | Paper |
| scientific article; zbMATH DE number 1405953 (Why is no real title available?) | 2000-05-08 | Paper |
The fundamental theorem of asset pricing for unbounded stochastic processes
Mathematische Annalen | 1999-07-18 | Paper |
Weighted norm inequalities and hedging in incomplete markets
Finance and Stochastics | 1999-07-06 | Paper |
A Simple Counterexample to Several Problems in the Theory of Asset Pricing
Mathematical Finance | 1999-04-06 | Paper |
| scientific article; zbMATH DE number 1234545 (Why is no real title available?) | 1999-03-14 | Paper |
| Convergence of discretized stochastic (interest rate) processes with stochastic drift term | 1999-03-14 | Paper |
| Long-term returns in stochastic interest rate models: different convergence results | 1999-03-14 | Paper |
Subspaces of L_p isometric to subspaces of _p
Positivity | 1999-03-07 | Paper |
| scientific article; zbMATH DE number 1210410 (Why is no real title available?) | 1998-11-25 | Paper |
| scientific article; zbMATH DE number 1210410 (Why is no real title available?) | 1998-11-25 | Paper |
Long-term returns in stochastic interest rate models: convergence in law
Stochastics and Stochastic Reports | 1998-05-04 | Paper |
Consols In the Cir Model
Mathematical Finance | 1998-04-05 | Paper |
ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
Mathematical Finance | 1998-01-21 | Paper |
The Banach space of workable contingent claims in arbitrage theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-10-05 | Paper |
The Banach space of workable contingent claims in arbitrage theory
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-10-05 | Paper |
Attainable claims with \(p\)'th moments
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-09-02 | Paper |
Attainable claims with \(p\)'th moments
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1997-09-02 | Paper |
REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
Mathematical Finance | 1997-08-31 | Paper |
DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS
Mathematical Finance | 1997-03-23 | Paper |
| scientific article; zbMATH DE number 927094 (Why is no real title available?) | 1997-03-11 | Paper |
The existence of absolutely continuous local martingale measures
The Annals of Applied Probability | 1996-07-08 | Paper |
The variance-optimal martingale measure for continuous processes
Bernoulli | 1996-06-11 | Paper |
| scientific article; zbMATH DE number 816092 (Why is no real title available?) | 1996-02-11 | Paper |
| scientific article; zbMATH DE number 816092 (Why is no real title available?) | 1996-02-11 | Paper |
Arbitrage possibilities in Bessel processes and their relations to local martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-01-30 | Paper |
Long-term returns in stochastic interest rate models
Insurance Mathematics & Economics | 1996-01-15 | Paper |
| scientific article; zbMATH DE number 764440 (Why is no real title available?) | 1995-06-14 | Paper |
| scientific article; zbMATH DE number 708768 (Why is no real title available?) | 1995-02-16 | Paper |
A general version of the fundamental theorem of asset pricing
Mathematische Annalen | 1994-12-11 | Paper |
The Laplace transform of annuities certain with exponential time distribution
Insurance Mathematics & Economics | 1993-05-16 | Paper |
Remarks on the methodology introduced by Goovaerts et al
Insurance Mathematics & Economics | 1993-05-16 | Paper |
| scientific article; zbMATH DE number 140560 (Why is no real title available?) | 1993-03-28 | Paper |
| scientific article; zbMATH DE number 140560 (Why is no real title available?) | 1993-03-28 | Paper |
A dynamic reinsurance theory
Insurance Mathematics & Economics | 1993-01-17 | Paper |
| scientific article; zbMATH DE number 4208838 (Why is no real title available?) | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4187013 (Why is no real title available?) | 1990-01-01 | Paper |
`Finem Lauda' or the risks in swaps
Insurance Mathematics & Economics | 1990-01-01 | Paper |
A remark on the moments of ruin time in classical risk theory
Insurance Mathematics & Economics | 1990-01-01 | Paper |
A martingale approach to premium calculation principles in an arbitrage free market
Insurance Mathematics & Economics | 1989-01-01 | Paper |
Limit theorems for the present value of the surplus of an insurance portfolio
Insurance Mathematics & Economics | 1988-01-01 | Paper |
