| Publication | Date of Publication | Type |
|---|
Penalization schemes for BSDEs and reflected BSDEs with generalized driver
Probability, Uncertainty and Quantitative Risk | 2024-09-30 | Paper |
Generalized BSDE and reflected BSDE with random time horizon
Electronic Journal of Probability | 2023-07-04 | Paper |
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs
| 2022-12-24 | Paper |
Reflected and doubly reflected BSDEs driven by RCLL martingales
Stochastics and Dynamics | 2022-09-30 | Paper |
Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
American options in nonlinear markets
Electronic Journal of Probability | 2021-07-21 | Paper |
Generalized BSDEs with random time horizon in a progressively enlarged filtration
| 2021-05-14 | Paper |
Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales
| 2021-03-16 | Paper |
Arbitrage-free pricing of derivatives in nonlinear market models
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Integral representations of martingales for progressive enlargements of filtrations
Stochastic Processes and their Applications | 2019-06-04 | Paper |
Funding, repo and credit inclusive valuation as modified option pricing
Operations Research Letters | 2019-02-22 | Paper |
Forward start foreign exchange options under Heston's volatility and the CIR interest rates
Inspired by Finance | 2018-12-13 | Paper |
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Applied Mathematical Finance | 2018-09-18 | Paper |
Fair bilateral pricing under funding costs and exogenous collateralization
Mathematical Finance | 2018-05-25 | Paper |
Modeling of the Defaultable Term Structure: Conditionally Markov Approach
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Arbitrage-free pricing of multi-person game claims in discrete time
Finance and Stochastics | 2017-01-12 | Paper |
BSDEs driven by multidimensional martingales and their applications to markets with funding costs
Theory of Probability & Its Applications | 2016-12-07 | Paper |
A BSDE approach to fair bilateral pricing under endogenous collateralization
Finance and Stochastics | 2016-10-27 | Paper |
Fair bilateral prices in Bergman's model with exogenous collateralization
International Journal of Theoretical and Applied Finance | 2016-01-08 | Paper |
Discrete time stochastic multi-player competitive games with affine payoffs
Stochastic Processes and their Applications | 2015-12-08 | Paper |
Discrete-time multi-player stopping and quitting games with redistribution of payoffs
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Regulatory capital modeling for credit risk
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
Valuation and hedging of contracts with funding costs and collateralization
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Hedging of a credit default swaption in the CIR default intensity model
Finance and Stochastics | 2014-12-17 | Paper |
Admissibility of generic market models of forward swap rates
Mathematical Finance | 2014-11-05 | Paper |
Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Progressive enlargements of filtrations with pseudo-honest times
The Annals of Applied Probability | 2014-08-06 | Paper |
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
Quantitative Finance | 2014-02-20 | Paper |
CVA under alternative settlement conventions and with systemic risk
International Journal of Theoretical and Applied Finance | 2014-02-11 | Paper |
A zero-sum competitive multi-player game
Demonstratio Mathematica | 2013-01-03 | Paper |
Convertible bonds in a defaultable diffusion model
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Market Models of Forward CDS Spreads
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Random times and multiplicative systems
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Defaultable options in a Markovian intensity model of credit risk
Mathematical Finance | 2011-06-09 | Paper |
Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Static Replication of Forward-Start Claims and Realized Variance Swaps
Applied Mathematical Finance | 2010-05-27 | Paper |
Valuation of credit default swaptions and credit default index swaptions
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
Defaultable game options in a hazard process model
Journal of Applied Mathematics and Stochastic Analysis | 2009-11-23 | Paper |
ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
International Journal of Theoretical and Applied Finance | 2009-08-03 | Paper |
Arbitrage pricing of defaultable game options with applications to convertible bonds
Quantitative Finance | 2009-02-23 | Paper |
Pricing and trading credit default swaps in a hazard process model
The Annals of Applied Probability | 2009-01-13 | Paper |
Completeness of a general semimartingale market under constrained trading
| 2008-07-11 | Paper |
PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS
International Journal of Theoretical and Applied Finance | 2007-07-18 | Paper |
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
Stochastic Models | 2007-02-15 | Paper |
Hedging of Credit Derivatives in Models with Totally Unexpected Default
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
PDE approach to valuation and hedging of credit derivatives
Quantitative Finance | 2005-12-09 | Paper |
scientific article; zbMATH DE number 2144815 (Why is no real title available?)
| 2005-03-14 | Paper |
scientific article; zbMATH DE number 2133104 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2133105 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2130502 (Why is no real title available?)
| 2005-01-20 | Paper |
Martingale methods in financial modelling.
Stochastic Modelling and Applied Probability | 2005-01-11 | Paper |
Dependent defaults and credit migrations
Applicationes Mathematicae | 2003-09-09 | Paper |
Modelling of forward Libor and swap rates
| 2003-02-06 | Paper |
A note on the Flesaker-Hughston model of the term structure of interest rates
Applied Mathematical Finance | 2002-09-04 | Paper |
Models of forward Libor and swap rates
Applied Mathematical Finance | 2002-09-04 | Paper |
Credit risk modelling: intensity based approach
| 2002-02-14 | Paper |
A note on the Flesaker-Hughston model of the term structure of interest rates.
| 2002-01-06 | Paper |
scientific article; zbMATH DE number 1724298 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 1867087 (Why is no real title available?)
| 2002-01-01 | Paper |
Self-financing trading strategies for sliding, rolling-horizon, and consol bonds
Mathematical Finance | 2001-11-26 | Paper |
Credit risk: Modelling, valuation and hedging
Springer Finance | 2001-08-19 | Paper |
Multiple ratings model of defaultable term structure.
Mathematical Finance | 2001-03-29 | Paper |
Optimality of replication in the CRR model with transaction costs
Applicationes Mathematicae | 1999-06-27 | Paper |
Dynamics of Spot, Forward, and Futures Libor Rates
International Journal of Theoretical and Applied Finance | 1998-12-28 | Paper |
Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
Applied Mathematical Finance | 1998-01-25 | Paper |
THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1
Mathematical Finance | 1998-01-21 | Paper |
Continuous-time term structure models: Forward measure approach
Finance and Stochastics | 1997-12-11 | Paper |
scientific article; zbMATH DE number 1055921 (Why is no real title available?)
| 1997-09-02 | Paper |
scientific article; zbMATH DE number 993884 (Why is no real title available?)
| 1997-05-06 | Paper |
scientific article; zbMATH DE number 953313 (Why is no real title available?)
| 1996-12-01 | Paper |
Left and right linear innovations for a multivariate \(\text{S} \alpha \text{S}\) random variable
Statistics & Probability Letters | 1996-03-14 | Paper |
Local times of functions of continuous semimartingales
Stochastic Analysis and Applications | 1995-06-21 | Paper |
Optimal linear filtering and smoothing for a discrete-time stable linear model
Journal of Multivariate Analysis | 1995-02-14 | Paper |
A simple proof for the Kalman-Bucy smoothed estimate formula
Statistics & Probability Letters | 1993-12-12 | Paper |
On solutions of stochastic differential equations with drift
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1990-01-01 | Paper |
Stochastic differential equations with singular drift
Statistics & Probability Letters | 1990-01-01 | Paper |
Strong comparison of solutions of one-dimensional stochastic differential equations
Stochastic Processes and their Applications | 1990-01-01 | Paper |
Fundamental solutions of stochastic differential equations with drift
Stochastics and Stochastic Reports | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4124728 (Why is no real title available?)
| 1989-01-01 | Paper |
Strong solutions of stochastic differential equations involving local times
Stochastics | 1987-01-01 | Paper |
A NOTE ON THE HARRISON-SHEPP STOCHASTIC EQUATION
Demonstratio Mathematica | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3965122 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3872426 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3699946 (Why is no real title available?)
| 1980-01-01 | Paper |
SOME PROPERTIES OF STOCHASTIC INTEGRAL EQUATION OF A MIXED VOLTERRA-STIELTJES AND ITO TYPE
Demonstratio Mathematica | 1979-01-01 | Paper |
THE OPTIMAL STOPPING PROBLEM WITH INCOMPLETE INFORMATION
Demonstratio Mathematica | 1978-01-01 | Paper |
