| Publication | Date of Publication | Type |
|---|
Semi‐efficient valuations and put‐call parity
Mathematical Finance | 2018-11-02 | Paper |
Strong bubbles and strict local martingales
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
Stochastics | 2016-05-04 | Paper |
A note on the condition of no unbounded profit with bounded risk
Finance and Stochastics | 2014-11-07 | Paper |
Cone-constrained continuous-time Markowitz problems
The Annals of Applied Probability | 2013-04-24 | Paper |
Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
Advances in Applied Probability | 2013-02-28 | Paper |
Simplified mean-variance portfolio optimisation
Mathematics and Financial Economics | 2013-02-26 | Paper |
Mean-variance hedging via stochastic control and BSDEs for general semimartingales
The Annals of Applied Probability | 2013-01-25 | Paper |
Convexity bounds for BSDE solutions, with applications to indifference valuation
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-09-27 | Paper |
Some new BSDE results for an infinite-horizon stochastic control problem
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
M6—On Minimal Market Models and Minimal Martingale Measures
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands
Séminaire de Probabilités XLIII | 2011-03-30 | Paper |
scientific article; zbMATH DE number 5666915 (Why is no real title available?)
| 2010-02-05 | Paper |
Arbitrage-free market models for option prices: the multi-strike case
Finance and Stochastics | 2009-08-08 | Paper |
From structural assumptions to a link between assets and interest rates
Journal of Economic Dynamics and Control | 2008-12-12 | Paper |
Local risk-minimization for multidimensional assets and payment streams
| 2008-11-04 | Paper |
RISKY OPTIONS SIMPLIFIED
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Dynamic utility-based good deal bounds
Statistics & Decisions | 2008-08-14 | Paper |
Exponential utility indifference valuation in two Brownian settings with stochastic correlation
Advances in Applied Probability | 2008-08-05 | Paper |
DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
Mathematical Finance | 2008-05-22 | Paper |
TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
Mathematical Finance | 2008-05-22 | Paper |
A stochastic control approach to a robust utility maximization problem
| 2008-01-17 | Paper |
A Diffusion Limit for Generalized Correlated Random Walks
Journal of Applied Probability | 2006-09-25 | Paper |
Dynamic exponential utility indifference valuation
The Annals of Applied Probability | 2005-11-08 | Paper |
Minimal entropy preserves the Lévy property: how and why
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
The Annals of Applied Probability | 2005-07-13 | Paper |
A monetary value for initial information in portfolio optimization
Finance and Stochastics | 2004-03-16 | Paper |
A comparison of two quadratic approaches to hedging in incomplete markets
Mathematical Finance | 2004-03-16 | Paper |
From actuarial to financial valuation principles
Insurance Mathematics & Economics | 2003-08-26 | Paper |
scientific article; zbMATH DE number 1795854 (Why is no real title available?)
| 2003-05-31 | Paper |
Numerical comparison of local risk-minimisation and mean-variance hedging
| 2003-02-03 | Paper |
Martingales versus PDEs in finance: an equivalence result with examples
Journal of Applied Probability | 2002-11-06 | Paper |
Exponential Hedging and Entropic Penalties
Mathematical Finance | 2002-10-28 | Paper |
A guided tour through quadratic hedging approaches
| 2002-09-12 | Paper |
A minimality property of the minimal martingale measure
Statistics & Probability Letters | 2002-05-14 | Paper |
ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS
Stochastic Analysis and Applications | 2002-02-24 | Paper |
Local risk-minimization under transaction costs
Mathematics of Operations Research | 2001-11-26 | Paper |
Implied savings accounts are unique
Finance and Stochastics | 2001-03-01 | Paper |
Additional logarithmic utility of an insider
Stochastic Processes and their Applications | 1999-11-18 | Paper |
Weighted norm inequalities and hedging in incomplete markets
Finance and Stochastics | 1999-07-06 | Paper |
On Feedback Effects from Hedging Derivatives
Mathematical Finance | 1998-11-29 | Paper |
Mean-variance hedging for continuous processes: New proofs and examples
Finance and Stochastics | 1998-09-07 | Paper |
On \(L^2\)-projections on a space of stochastic integrals
The Annals of Probability | 1998-09-06 | Paper |
RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
Mathematical Finance | 1998-01-21 | Paper |
A Microeconomic Approach to Diffusion Models For Stock Prices
Mathematical Finance | 1998-01-21 | Paper |
Option Pricing Under Incompleteness and Stochastic Volatility
Mathematical Finance | 1997-08-31 | Paper |
Approximation pricing and the variance-optimal martingale measure
The Annals of Probability | 1997-01-05 | Paper |
On the minimal martingale measure and the möllmer-schweizer decomposition
Stochastic Analysis and Applications | 1996-05-20 | Paper |
Variance-Optimal Hedging in Discrete Time
Mathematics of Operations Research | 1996-03-18 | Paper |
A projection result for semimartingales
Stochastics and Stochastic Reports | 1996-02-13 | Paper |
scientific article; zbMATH DE number 797368 (Why is no real title available?)
| 1995-11-26 | Paper |
Approximating random variables by stochastic integrals
The Annals of Probability | 1995-06-13 | Paper |
scientific article; zbMATH DE number 708768 (Why is no real title available?)
| 1995-02-16 | Paper |
Martingale densities for general asset prices
Journal of Mathematical Economics | 1993-01-16 | Paper |
Semimartingales and Hedging in Incomplete Markets
Theory of Probability & Its Applications | 1992-09-27 | Paper |
Mean-variance hedging for general claims
The Annals of Applied Probability | 1992-06-28 | Paper |
scientific article; zbMATH DE number 17495 (Why is no real title available?)
| 1992-06-26 | Paper |
Option hedging for semimartingales
Stochastic Processes and their Applications | 1992-06-25 | Paper |
Semimartingales and hedging in incomplete markets
| 1992-01-01 | Paper |
Risk-minimality and orthogonality of martingales
Stochastics and Stochastic Reports | 1990-01-01 | Paper |
New Stochastic Fubini Theorems
| N/A | Paper |
