| Publication | Date of Publication | Type |
|---|
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
(available as arXiv preprint) | N/A | Paper |
Reinforcement learning algorithm for mixed mean field control games
Journal of Machine Learning | 2025-07-22 | Paper |
Abstract polynomial processes
Electronic Journal of Probability | 2024-10-16 | Paper |
Pricing options on flow forwards by neural networks in a Hilbert space
Finance and Stochastics | 2024-01-02 | Paper |
Neural networks in Fréchet spaces
Annals of Mathematics and Artificial Intelligence | 2023-01-20 | Paper |
Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
Stochastics | 2022-12-08 | Paper |
Independent increment processes: a multilinearity preserving property
Stochastics | 2022-07-07 | Paper |
Independent increment processes: a multilinearity preserving property
Stochastics | 2022-07-07 | Paper |
| Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game | 2022-07-07 | Paper |
| Percolation in Random Graphs of Unbounded Rank | 2022-05-29 | Paper |
| Reinforcement Learning Algorithm for Mixed Mean Field Control Games | 2022-05-04 | Paper |
Suffocating Fire Sales
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
Neural Networks in Fr\'echet spaces
(available as arXiv preprint) | 2021-09-28 | Paper |
An integrated model for fire sales and default contagion
Mathematics and Financial Economics | 2021-05-05 | Paper |
Financial contagion in a stochastic block model
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
| Abstract polynomial processes | 2020-10-06 | Paper |
Directed chain stochastic differential equations
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Managing Default Contagion in Inhomogeneous Financial Networks
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Managing Default Contagion in Inhomogeneous Financial Networks
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Bootstrap percolation in directed inhomogeneous random graphs
The Electronic Journal of Combinatorics | 2019-08-05 | Paper |
Bootstrap percolation in directed inhomogeneous random graphs
The Electronic Journal of Combinatorics | 2019-08-05 | Paper |
Model risk of contingent claims
Quantitative Finance | 2018-11-14 | Paper |
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
International Journal of Theoretical and Applied Finance | 2018-06-29 | Paper |
Pricing and hedging Asian-style options on energy
Finance and Stochastics | 2015-11-09 | Paper |
Return distributions of equity-linked retirement plans under jump and interest rate risk
European Actuarial Journal | 2013-08-20 | Paper |
