| Publication | Date of Publication | Type |
|---|
Collective dynamic risk measures
Frontiers of Mathematical Finance | 2024-11-26 | Paper |
On entropy martingale optimal transport theory
Decisions in Economics and Finance | 2024-08-01 | Paper |
Multivariate systemic optimal risk transfer equilibrium
Annals of Operations Research | 2024-06-04 | Paper |
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
SIAM Journal on Financial Mathematics | 2024-01-29 | Paper |
Multivariate systemic risk measures and computation by deep learning algorithms
Quantitative Finance | 2023-11-07 | Paper |
Entropy martingale optimal transport and nonlinear pricing-hedging duality
Finance and Stochastics | 2023-04-12 | Paper |
Conditional systemic risk measures
SIAM Journal on Financial Mathematics | 2021-12-02 | Paper |
Short communication: Robust market-adjusted systemic risk measures
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Systemic optimal risk transfer equilibrium
Mathematics and Financial Economics | 2021-05-05 | Paper |
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
| 2020-05-26 | Paper |
Pointwise Arbitrage Pricing Theory in Discrete Time
Mathematics of Operations Research | 2020-04-30 | Paper |
On fairness of systemic risk measures
Finance and Stochastics | 2020-03-25 | Paper |
A unified approach to systemic risk measures via acceptance sets
Mathematical Finance | 2019-05-08 | Paper |
Disentangling price, risk and model risk: V\&R measures
Mathematics and Financial Economics | 2018-04-16 | Paper |
Model-free superhedging duality
The Annals of Applied Probability | 2017-09-15 | Paper |
Universal arbitrage aggregator in discrete-time markets under uncertainty
Finance and Stochastics | 2016-03-29 | Paper |
Conditionally evenly convex sets and evenly quasi-convex maps
Journal of Mathematical Analysis and Applications | 2015-03-27 | Paper |
Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
Mathematical Finance | 2014-08-11 | Paper |
Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type
Statistics & Risk Modeling | 2014-03-17 | Paper |
Dual representation of quasi-convex conditional maps
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
Indifference price with general semimartingales
Mathematical Finance | 2011-06-16 | Paper |
Conditional certainty equivalent
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
On the penalty function and on continuity properties of risk measures
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
| 2010-02-05 | Paper |
Law invariant convex risk measures
| 2008-09-25 | Paper |
A unified framework for utility maximization problems: An Orlicz space approach
The Annals of Applied Probability | 2008-07-01 | Paper |
The supermartingale property of the optimal wealth process for general semimartingales
Finance and Stochastics | 2007-12-16 | Paper |
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
Mathematical Finance | 2007-02-22 | Paper |
Utility maximization in incomplete markets for unbounded processes
Finance and Stochastics | 2006-05-24 | Paper |
SOME REMARKS ON ARBITRAGE AND PREFERENCES IN SECURITIES MARKET MODELS
Mathematical Finance | 2005-05-09 | Paper |
On the super replication price of unbounded claims
The Annals of Applied Probability | 2005-03-21 | Paper |
On the Existence of Minimax Martingale Measures
Mathematical Finance | 2002-09-19 | Paper |
The minimal entropy martingale measure and the valuation problem in incomplete markets
Mathematical Finance | 2001-03-29 | Paper |
Introduction to a theory of value coherent with the no-arbitrage principle
Finance and Stochastics | 2001-03-01 | Paper |
Dominated families of martingale, supermartingale and quasimartingale laws
Stochastic Processes and their Applications | 1998-11-23 | Paper |
scientific article; zbMATH DE number 1222798 (Why is no real title available?)
| 1997-01-01 | Paper |
scientific article; zbMATH DE number 852305 (Why is no real title available?)
| 1996-07-24 | Paper |
Almost sure characterization of Martingales
Stochastics and Stochastic Reports | 1995-10-29 | Paper |
