| Publication | Date of Publication | Type |
|---|
Implied roughness in the term structure of oil market volatility
Quantitative Finance | 2024-07-23 | Paper |
Locally risk minimizing pricing of Asian option in a semi-Markov modulated market
Stochastic Analysis and Applications | 2024-04-18 | Paper |
The weak functional representation of historical martingales
Electronic Communications in Probability | 2022-10-31 | Paper |
Inhomogeneous affine Volterra processes
Stochastic Processes and their Applications | 2022-06-20 | Paper |
A functional Itō-formula for Dawson-Watanabe superprocesses
Stochastic Processes and their Applications | 2022-01-17 | Paper |
On the Martingale Representation with Respect to the super-Brownian Filtration
| 2021-04-28 | Paper |
Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Dynamic systemic risk measures for bounded discrete time processes
Mathematical Methods of Operations Research | 2019-09-19 | Paper |
A note on optimal risk sharing on $L^p$ spaces
Operations Research Letters | 2018-10-01 | Paper |
Option pricing in a regime switching stochastic volatility model
Statistics & Probability Letters | 2018-06-20 | Paper |
Effects of regime switching on pricing credit options in a shifted CIR model
From Statistics to Mathematical Finance | 2018-03-29 | Paper |
Differentiability of BSVIEs and dynamic capital allocations
International Journal of Theoretical and Applied Finance | 2017-11-29 | Paper |
Path-dependent BSDEs with jumps and their connection to PPIDEs
Stochastics and Dynamics | 2017-08-04 | Paper |
Systemic risk measures on general measurable spaces
Mathematical Methods of Operations Research | 2016-11-29 | Paper |
Asymptotic behaviour of multivariate default probabilities and default correlations under stress
Journal of Applied Probability | 2016-04-29 | Paper |
Multivariate Markov families of copulas
Dependence Modeling | 2016-01-21 | Paper |
Feynman-Kac for functional jump diffusions with an application to credit value adjustment
Statistics & Probability Letters | 2015-12-01 | Paper |
Copula dynamics in CDOs
Quantitative Finance | 2015-04-16 | Paper |
Representation of BSDE-based dynamic risk measures and dynamic capital allocations
International Journal of Theoretical and Applied Finance | 2014-09-25 | Paper |
Doubly stochastic CDO term structures
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Computational issues in stress testing
Handbook of Computational Finance | 2012-01-10 | Paper |
Dynamic CDO term structure modeling
Mathematical Finance | 2011-02-02 | Paper |
scientific article; zbMATH DE number 5723836 (Why is no real title available?)
| 2010-06-21 | Paper |
Risk Measurement with Spectral Capital Allocation
Applied Quantitative Finance | 2008-12-01 | Paper |
Mathematics in financial risk management
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2008-10-17 | Paper |
Structured credit portfolio analysis, baskets \& CDOs
| 2006-10-20 | Paper |
An Introduction to Credit Risk Modeling
| 2005-04-06 | Paper |
scientific article; zbMATH DE number 1538071 (Why is no real title available?)
| 2001-04-08 | Paper |
Estimation for Continuous Branching Processes
Scandinavian Journal of Statistics | 1999-02-03 | Paper |
Geometric aspects of finite and infinite-dimensional Fleming-Viot processes
rose | 1997-08-19 | Paper |
Nonlinear superprocesses
The Annals of Probability | 1997-08-05 | Paper |
scientific article; zbMATH DE number 836655 (Why is no real title available?)
| 1996-08-14 | Paper |
Markov processes associated with semi-Dirichlet forms
Osaka Journal of Mathematics | 1996-03-25 | Paper |
An analytic approach to the Fleming-Viot processes with interactive selection
The Annals of Probability | 1996-03-14 | Paper |
scientific article; zbMATH DE number 816100 (Why is no real title available?)
| 1996-02-11 | Paper |
scientific article; zbMATH DE number 781748 (Why is no real title available?)
| 1995-08-03 | Paper |
Pathwise construction of additive \(H\)-transforms of super-Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1995-05-30 | Paper |
Martin boundaries of some branching processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1995-02-22 | Paper |
scientific article; zbMATH DE number 645789 (Why is no real title available?)
| 1994-10-03 | Paper |
Conditioned super-Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-07-14 | Paper |
