| Publication | Date of Publication | Type |
|---|
Notes on backward stochastic differential equations for computing XVA
Proceedings of the Forum "Math-for-Industry" 2018 | 2024-04-03 | Paper |
| Backward stochastic difference equations on lattices with application to market equilibrium analysis | 2023-12-17 | Paper |
Stochastic modelling with randomized Markov bridges
Stochastics | 2022-07-06 | Paper |
Stochastic modelling with randomized Markov bridges
Financial Informatics | 2022-04-29 | Paper |
On optimal thresholds for pairs trading in a one-dimensional diffusion model
The ANZIAM Journal | 2021-10-26 | Paper |
Optimal portfolio for a highly risk-averse investor: a differential game interpretation
Risk and Decision Analysis | 2019-03-12 | Paper |
Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
Asia-Pacific Financial Markets | 2018-12-03 | Paper |
Order estimates for the exact Lugannani-Rice expansion
Japan Journal of Industrial and Applied Mathematics | 2016-04-04 | Paper |
A one-factor conditionally linear commodity pricing model under partial information
Asia-Pacific Financial Markets | 2015-08-06 | Paper |
Long-term optimal investment with a generalized drawdown constraint
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Long-term optimal portfolios with floor
Finance and Stochastics | 2012-11-15 | Paper |
Risk-sensitive portfolio optimization with two-factor having a memory effect
Asia-Pacific Financial Markets | 2012-03-09 | Paper |
Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem
Applied Mathematics and Optimization | 2010-12-03 | Paper |
A NOTE ON THE RISK-PREMIUM PROCESS IN AN EQUILIBRIUM
International Journal of Theoretical and Applied Finance | 2009-02-26 | Paper |
On a robustness of quantile hedging: Complete market's case
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
Marginal distribution of some path-dependent stochastic volatility model
Statistics & Probability Letters | 2008-09-29 | Paper |
On exponential hedging and related quadratic backward stochastic differential equations
Applied Mathematics and Optimization | 2006-11-17 | Paper |
A note on long-term optimal portfolios under drawdown constraints
Advances in Applied Probability | 2006-11-02 | Paper |
| Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates | 2006-08-28 | Paper |
Dynamic Minimization of Worst Conditional Expectation of Shortfall
Mathematical Finance | 2005-05-09 | Paper |
| scientific article; zbMATH DE number 2131684 (Why is no real title available?) | 2005-02-01 | Paper |
On superhedging under delta constraints
Applied Mathematical Finance | 2002-09-05 | Paper |
Quantile hedging for defaultable securities in an incomplete market
RIMS Kokyuroku | 2001-09-23 | Paper |
Information geometry for symmetric diffusions
Potential Analysis | 2001-02-18 | Paper |
Mean-variance hedging in continuous-time with stochastic interest rate
Stochastics and Stochastic Reports | 2000-03-14 | Paper |
The Hilbert Riemannian structure of equivalent Gaussian measures associated with the Fisher information
Osaka Journal of Mathematics | 1996-01-15 | Paper |
| scientific article; zbMATH DE number 30306 (Why is no real title available?) | 1992-06-27 | Paper |
