| Publication | Date of Publication | Type |
|---|
The Jarrow and Turnbull setting revisited
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
On the occasion of Walter Schachermayer's 70th birthday: the mathematics of arbitrage
Internationale Mathematische Nachrichten | 2024-08-14 | Paper |
Optimal extension to Sobolev rough paths
Potential Analysis | 2023-10-13 | Paper |
A Sobolev rough path extension theorem via regularity structures
ESAIM: Probability and Statistics | 2023-08-21 | Paper |
Ramifications of generalized Feller theory
| 2023-08-07 | Paper |
Signature SDEs from an affine and polynomial perspective
| 2023-02-02 | Paper |
Ergodic robust maximization of asymptotic growth under stochastic volatility
| 2022-11-28 | Paper |
Deep neural networks, generic universal interpolation, and controlled ODEs
SIAM Journal on Mathematics of Data Science | 2022-03-01 | Paper |
A deep learning model for gas storage optimization
Decisions in Economics and Finance | 2022-01-06 | Paper |
Stochastic analysis with modelled distributions
Stochastic and Partial Differential Equations. Analysis and Computations | 2021-08-12 | Paper |
Optimal Stopping via Randomized Neural Networks
| 2021-04-28 | Paper |
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
Journal of Evolution Equations | 2021-04-27 | Paper |
On Sobolev rough paths
Journal of Mathematical Analysis and Applications | 2021-03-03 | Paper |
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
Theory of Probability & Its Applications | 2020-11-05 | Paper |
Discrete-time signatures and randomness in reservoir computing
| 2020-09-17 | Paper |
Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering
| 2020-06-08 | Paper |
Markovian lifts of positive semidefinite affine Volterra-type processes
Decisions in Economics and Finance | 2020-01-31 | Paper |
Linearized filtering of affine processes using stochastic Riccati equations
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Characterization of nonlinear Besov spaces
Transactions of the American Mathematical Society | 2019-12-18 | Paper |
A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
The Gärtner-Ellis theorem, homogenization, and affine processes
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
An elementary proof of the reconstruction theorem
| 2018-12-07 | Paper |
Consistent recalibration of yield curve models
Mathematical Finance | 2018-08-16 | Paper |
Consistent yield curve prediction
ASTIN Bulletin | 2018-06-04 | Paper |
Discrete time term structure theory and consistent recalibration models
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
No Arbitrage Theory for Bond Markets
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Functional analytic (ir-)regularity properties of SABR-type processes
International Journal of Theoretical and Applied Finance | 2017-05-16 | Paper |
Parabolic free boundary price formation models under market size fluctuations
Multiscale Modeling & Simulation | 2016-12-13 | Paper |
A new perspective on the fundamental theorem of asset pricing for large financial markets
Theory of Probability & Its Applications | 2016-12-07 | Paper |
Affine processes on symmetric cones
Journal of Theoretical Probability | 2016-06-27 | Paper |
Martin Hairer's regularity structures
Internationale Mathematische Nachrichten | 2016-05-25 | Paper |
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Finance and Stochastics | 2015-11-09 | Paper |
Exotic one-parameter semigroups of endomorphisms of a symmetric cone
Linear Algebra and its Applications | 2015-05-06 | Paper |
Pathwise construction of affine processes
| 2014-12-25 | Paper |
Cubature methods for stochastic (partial) differential equations in weighted spaces
Stochastic and Partial Differential Equations. Analysis and Computations | 2014-12-17 | Paper |
Fourier transform methods for pathwise covariance estimation in the presence of jumps
Stochastic Processes and their Applications | 2014-11-07 | Paper |
A heat kernel approach to interest rate models
Japan Journal of Industrial and Applied Mathematics | 2014-08-29 | Paper |
Invariant manifolds with boundary for jump-diffusions
Electronic Journal of Probability | 2014-06-27 | Paper |
Efficient simulation and calibration of general HJM models by splitting schemes
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Regularity of affine processes on general state spaces
Electronic Journal of Probability | 2014-01-17 | Paper |
Path properties and regularity of affine processes on general state spaces
Lecture Notes in Mathematics | 2013-11-28 | Paper |
Smooth perfectness for the group of diffeomorphisms
Journal of Geometric Mechanics | 2013-11-14 | Paper |
The affine LIBOR models
Mathematical Finance | 2013-10-11 | Paper |
When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms
| 2013-09-30 | Paper |
Polynomial processes and their applications to mathematical finance
Finance and Stochastics | 2012-12-07 | Paper |
A new extrapolation method for weak approximation schemes with applications
The Annals of Applied Probability | 2012-07-08 | Paper |
Affine processes are regular
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-02-13 | Paper |
scientific article; zbMATH DE number 5998981 (Why is no real title available?)
| 2012-01-18 | Paper |
ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
Stochastics and Dynamics | 2011-10-11 | Paper |
Weak and strong Taylor methods for numerical solutions of stochastic differential equations
Quantitative Finance | 2011-06-09 | Paper |
Affine processes on positive semidefinite matrices
The Annals of Applied Probability | 2011-05-11 | Paper |
Jump-diffusions in Hilbert spaces: existence, stability and numerics
Stochastics | 2011-03-11 | Paper |
A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations
| 2010-11-11 | Paper |
Term structure models driven by Wiener processes and Poisson measures: existence and positivity
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
Cubature on Wiener space in infinite dimension
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-05-19 | Paper |
Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems
Bulletin des Sciences Mathématiques | 2010-03-12 | Paper |
Non-monotone convergence in the quadratic Wasserstein distance
Lecture Notes in Mathematics | 2009-12-18 | Paper |
Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
SIAM Journal on Mathematical Analysis | 2009-09-28 | Paper |
How K. Itô revolutionized stochastic calculus
| 2009-09-24 | Paper |
Characterization of optimal transport plans for the Monge-Kantorovich problem
Proceedings of the American Mathematical Society | 2009-02-25 | Paper |
Affine Models
| 2008-09-11 | Paper |
Ornstein-Uhlenbeck processes on Lie groups
Journal of Functional Analysis | 2008-09-01 | Paper |
HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
Mathematical Finance | 2008-05-22 | Paper |
Calculating the Greeks by cubature formulae
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2008-05-22 | Paper |
The proof of Tchakaloff’s Theorem
Proceedings of the American Mathematical Society | 2006-06-21 | Paper |
A hyper-geometric approach to the BMV-conjecture
Monatshefte für Mathematik | 2006-01-10 | Paper |
Hypoellipticity in infinite dimensions and an application in interest rate theory
The Annals of Applied Probability | 2005-11-08 | Paper |
A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES
Mathematical Finance | 2005-08-17 | Paper |
scientific article; zbMATH DE number 2188938 (Why is no real title available?)
| 2005-07-27 | Paper |
On the geometry of the term structure of interest rates
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
scientific article; zbMATH DE number 1859252 (Why is no real title available?)
| 2003-12-08 | Paper |
Hille-Yosida theory in convenient analysis.
Revista Matemática Complutense | 2003-09-23 | Paper |
A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
Mathematical Finance | 2003-08-13 | Paper |
Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones
Annals of Global Analysis and Geometry | 2003-04-27 | Paper |
Existence of invariant manifolds for stochastic equations in infinite dimension
Journal of Functional Analysis | 2003-04-09 | Paper |
Regularity of finite-dimensional realizations for evolution equations
Journal of Functional Analysis | 2003-04-09 | Paper |
scientific article; zbMATH DE number 1751871 (Why is no real title available?)
| 2003-03-18 | Paper |
Regularity of infinite-dimensional Lie groups by metric space methods
Tokyo Journal of Mathematics | 2003-03-18 | Paper |
scientific article; zbMATH DE number 1875759 (Why is no real title available?)
| 2003-03-03 | Paper |
Totally geodesic subgroups of diffeomorphisms
Journal of Geometry and Physics | 2002-07-11 | Paper |
A Frobenius theorem on convenient manifolds
Monatshefte für Mathematik | 2002-06-02 | Paper |
On Finite-dimensional Term Structure models
| 2002-01-22 | Paper |
Trotter's formula on infinite dimensional Lie groups
Journal of Lie Theory | 2001-08-15 | Paper |
Finite dimensional Realizations of Stochastic Equations
| 2001-06-19 | Paper |
Global universal approximation of functional input maps on weighted spaces
| N/A | Paper |
