| Publication | Date of Publication | Type |
|---|
Book review of: S. Calogero, A first course in option pricing theory
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2024-10-14 | Paper |
Numeraire-invariant quadratic hedging and mean-variance portfolio allocation
Mathematics of Operations Research | 2024-06-27 | Paper |
On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
Electronic Journal of Probability | 2020-09-29 | Paper |
On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
Electronic Journal of Probability | 2020-09-29 | Paper |
Mathematical finance
Springer Finance | 2019-09-11 | Paper |
Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Almost surely optimal portfolios under proportional transaction costs
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
The general structure of optimal investment and consumption with small transaction costs
Mathematical Finance | 2017-07-21 | Paper |
On uniqueness of solutions to martingale problems --- counterexamples and sufficient criteria
(available as arXiv preprint) | 2016-07-11 | Paper |
Option pricing and hedging with small transaction costs
Mathematical Finance | 2015-10-20 | Paper |
On a Heath-Jarrow-Morton approach for stock options
Finance and Stochastics | 2015-08-04 | Paper |
Asymptotic power utility-based pricing and hedging
Mathematics and Financial Economics | 2015-02-23 | Paper |
Asymptotic power utility-based pricing and hedging
Mathematics and Financial Economics | 2015-02-23 | Paper |
On the performance of delta hedging strategies in exponential Lévy models
Quantitative Finance | 2014-02-20 | Paper |
On the existence of shadow prices
Finance and Stochastics | 2013-11-06 | Paper |
Pricing options on variance in affine stochastic volatility models
Mathematical Finance | 2011-11-21 | Paper |
Method of moment estimation in time-changed Lévy models
Statistics & Decisions | 2011-06-28 | Paper |
Variance-optimal hedging for time-changed Lévy processes
Applied Mathematical Finance | 2011-06-03 | Paper |
Existence of shadow prices in finite probability spaces
Mathematical Methods of Operations Research | 2011-05-05 | Paper |
Existence of shadow prices in finite probability spaces
Mathematical Methods of Operations Research | 2011-05-05 | Paper |
Asymptotic utility-based pricing and hedging for exponential utility
Statistics & Decisions | 2011-03-29 | Paper |
Utility maximization in models with conditionally independent increments
The Annals of Applied Probability | 2010-12-27 | Paper |
On using shadow prices in portfolio optimization with transaction costs
The Annals of Applied Probability | 2010-09-01 | Paper |
Utility maximization in affine stochastic volatility models
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Variance-Optimal Hedging in General Affine Stochastic Volatility Models
Advances in Applied Probability | 2010-06-07 | Paper |
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
Stochastic Processes and their Applications | 2010-03-01 | Paper |
Hedging by sequential regressions revisited
Mathematical Finance | 2009-12-07 | Paper |
Option Pricing
Handbook of Financial Time Series | 2009-11-27 | Paper |
Quadratic hedging in affine stochastic volatility models
Review of Derivatives Research | 2009-08-31 | Paper |
COGARCH as a continuous-time limit of GARCH(1,1)
Stochastic Processes and their Applications | 2009-02-19 | Paper |
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
Mathematical Finance | 2008-08-21 | Paper |
A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
Mathematical Finance | 2008-04-30 | Paper |
On utility-based derivative pricing with and without intermediate trades
Statistics & Decisions | 2008-01-18 | Paper |
Variance-optimal hedging for processes with stationary independent increments
The Annals of Applied Probability | 2007-08-08 | Paper |
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Applied Mathematical Finance | 2007-07-16 | Paper |
On the structure of general mean-variance hedging strategies
The Annals of Probability | 2007-07-12 | Paper |
| A didactic note on affine stochastic volatility models | 2006-10-23 | Paper |
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis | 2006-08-14 | Paper |
\sigma-Localization and \sigma-Martingales
Theory of Probability & Its Applications | 2004-12-16 | Paper |
Pricing derivatives of American and game type in incomplete markets
Finance and Stochastics | 2004-11-24 | Paper |
Optimal portfolios for logarithmic utility.
Stochastic Processes and their Applications | 2004-09-07 | Paper |
The cumulant process and Esscher's change of measure
Finance and Stochastics | 2004-03-16 | Paper |
Time Change Representation of Stochastic Integrals
Theory of Probability & Its Applications | 2004-01-21 | Paper |
A complete explicit solution to the log-optimal portfolio problem.
The Annals of Applied Probability | 2003-11-17 | Paper |
Derivative pricing based on local utility maximization
Finance and Stochastics | 2002-11-21 | Paper |
| scientific article; zbMATH DE number 1724299 (Why is no real title available?) | 2002-04-03 | Paper |
A utility maximization approach to hedging in incomplete markets
Mathematical Methods of Operations Research | 2001-01-08 | Paper |
| scientific article; zbMATH DE number 1405941 (Why is no real title available?) | 2000-04-03 | Paper |
| scientific article; zbMATH DE number 1405941 (Why is no real title available?) | 2000-04-03 | Paper |
Option Pricing in ARCH-type Models
Mathematical Finance | 1999-05-05 | Paper |
| scientific article; zbMATH DE number 1257762 (Why is no real title available?) | 1999-03-02 | Paper |
Is Learning in Biological Neural Networks based on Stochastic Gradient Descent? An analysis using stochastic processes
(available as arXiv preprint) | N/A | Paper |
