| Publication | Date of Publication | Type |
|---|
| On the construction of conditional probability densities in the Brownian and compound Poisson filtrations | 2024-10-10 | Paper |
| Some Remarks on Enlargement of Filtration and Finance | 2023-12-03 | Paper |
| Generalized Cox model for default times | 2023-06-26 | Paper |
| BSDEs and Enlargement of Filtration | 2022-09-30 | Paper |
| Projections of martingales in enlargements of Brownian filtrations under Jacod's equivalence hypothesis | 2022-02-22 | Paper |
| Semimartingales and shrinkage of filtration | 2021-11-04 | Paper |
| FIRST-TO-DEFAULT AND SECOND-TO-DEFAULT OPTIONS IN MODELS WITH VARIOUS INFORMATION FLOWS | 2021-08-24 | Paper |
| Thin times and random times' decomposition | 2021-07-21 | Paper |
| Enlargement of Filtration in Discrete Time | 2020-11-12 | Paper |
| Characteristics and Constructions of Default Times | 2020-09-28 | Paper |
| CREDIT DEFAULT SWAPS IN TWO-DIMENSIONAL MODELS WITH VARIOUS INFORMATIONS FLOWS | 2020-06-25 | Paper |
| SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions | 2020-05-26 | Paper |
| No-arbitrage under additional information for thin semimartingale models | 2019-09-19 | Paper |
| DEFAULTABLE CLAIMS IN SWITCHING MODELS WITH PARTIAL INFORMATION | 2019-06-24 | Paper |
| Martingale Representation in the Enlargement of the Filtration Generated by a Point Process | 2019-06-04 | Paper |
| Integral representations of martingales for progressive enlargements of filtrations | 2019-06-04 | Paper |
| Joint densities of hitting times for finite state Markov processes | 2019-05-07 | Paper |
| Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices | 2019-04-24 | Paper |
| Adaptive Robust Control under Model Uncertainty | 2019-03-15 | Paper |
| Conditional Default Probability and Density | 2018-12-13 | Paper |
| Conic martingales from stochastic integrals | 2018-05-25 | Paper |
| Some existence results for advanced backward stochastic differential equations with a jump time | 2018-03-07 | Paper |
| No-arbitrage under a class of honest times | 2018-01-16 | Paper |
| An enlargement of filtration formula with applications to multiple non-ordered default times | 2018-01-16 | Paper |
| Controlling the occupation time of an exponential martingale | 2017-11-17 | Paper |
| Dynamics of multivariate default system in random environment | 2017-11-09 | Paper |
| No-arbitrage up to random horizon for quasi-left-continuous models | 2017-10-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5269990 | 2017-06-28 | Paper |
| Optimization problem under change of regime of interest rate | 2016-08-23 | Paper |
| Enlargement of Filtration with Finance in View | 2016-08-08 | Paper |
| SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions | 2016-06-05 | Paper |
| On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration | 2016-04-13 | Paper |
| UTILITY MAXIMIZATION WITH RANDOM HORIZON: A BSDE APPROACH | 2016-01-08 | Paper |
| A Note on BSDEs with Singular Driver Coefficients | 2015-10-21 | Paper |
| Arbitrages in a Progressive Enlargement Setting | 2015-10-21 | Paper |
| Martingale representation property in progressively enlarged filtrations | 2015-08-24 | Paper |
| Density Approach in Modeling Successive Defaults | 2015-06-04 | Paper |
| In Memory of Marc Yor | 2015-06-02 | Paper |
| ROLE OF INFORMATION IN PRICING DEFAULT-SENSITIVE CONTINGENT CLAIMS | 2015-04-15 | Paper |
| Full cooperation applied to environmental improvements | 2015-04-08 | Paper |
| Hedging of a credit default swaption in the CIR default intensity model | 2014-12-17 | Paper |
| On arbitrages arising with honest times | 2014-09-26 | Paper |
| Information, no-arbitrage and completeness for asset price models with a change point | 2014-09-02 | Paper |
| Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared | 2014-08-28 | Paper |
| BSDEs with Singular Terminal Condition and a Control Problem with Constraints | 2014-07-30 | Paper |
| Carthaginian enlargement of filtrations | 2014-04-10 | Paper |
| Joint Hitting-Time Densities for Finite State Markov Processes | 2014-02-27 | Paper |
| An enlargement of filtration formula with application to progressive enlargement with multiple random times | 2014-02-13 | Paper |
| INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA | 2013-06-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925746 | 2013-06-12 | Paper |
| Portfolio optimization in a defaultable market under incomplete information | 2013-02-25 | Paper |
| Mean-variance hedging via stochastic control and BSDEs for general semimartingales | 2013-01-25 | Paper |
| Default times, no-arbitrage conditions and changes of probability measures | 2012-11-15 | Paper |
| Convertible Bonds in a Defaultable Diffusion Model | 2012-09-07 | Paper |
| VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL | 2012-04-24 | Paper |
| Robust utility maximization problem in model with jumps and unbounded claim | 2012-01-12 | Paper |
| An explicit model of default time with given survival probability | 2011-07-22 | Paper |
| Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula | 2011-06-15 | Paper |
| DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK | 2011-06-09 | Paper |
| Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives | 2011-05-31 | Paper |
| PRICING AND FILTERING IN A TWO-DIMENSIONAL DIVIDEND SWITCHING MODEL | 2011-01-13 | Paper |
| Up and down credit risk | 2010-12-20 | Paper |
| Hedging CDO Tranches in a Markovian Environment | 2010-12-14 | Paper |
| What happens after a default: the conditional density approach | 2010-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3400712 | 2010-02-05 | Paper |
| PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS | 2010-02-05 | Paper |
| Defaultable game options in a hazard process model | 2009-11-23 | Paper |
| Progressive enlargement of filtrations with initial times | 2009-07-29 | Paper |
| Indifference pricing of defaultable claims | 2009-03-16 | Paper |
| Arbitrage pricing of defaultable game options with applications to convertible bonds | 2009-02-23 | Paper |
| Pricing and trading credit default swaps in a hazard process model | 2009-01-13 | Paper |
| Optimal investment decisions when time-horizon is uncertain | 2008-11-13 | Paper |
| Optimal portfolio management with American capital guarantee | 2008-11-06 | Paper |
| Completeness of a general semimartingale market under constrained trading | 2008-07-11 | Paper |
| Valuation of default-sensitive claims under imperfect information | 2008-06-18 | Paper |
| Minimal variance martingale measures for geometric Lévy processes | 2008-06-11 | Paper |
| On the Starting and Stopping Problem: Application in Reversible Investments | 2008-05-27 | Paper |
| Minimal \(f^q\)-Martingale measures for exponential Lévy processes | 2008-03-20 | Paper |
| Default-risky bond prices with jumps, liquidity risk and incomplete information | 2008-03-14 | Paper |
| Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices | 2007-02-15 | Paper |
| Hedging of Credit Derivatives in Models with Totally Unexpected Default | 2006-09-18 | Paper |
| Mathematical methods for financial markets. | 2006-04-04 | Paper |
| Computational Science - ICCS 2004 | 2005-12-23 | Paper |
| PDE approach to valuation and hedging of credit derivatives | 2005-12-09 | Paper |
| PARTIAL INFORMATION AND HAZARD PROCESS | 2005-11-15 | Paper |
| Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy | 2005-11-11 | Paper |
| Pricing American currency options in an exponential Lévy model | 2005-05-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4657105 | 2005-03-14 | Paper |
| Self-similar processes with independent increments associated with Lévy and Bessel processes. | 2005-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160495 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160496 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3158097 | 2005-01-20 | Paper |
| Hazard rate for credit risk and hedging defaultable contingent claims | 2004-11-24 | Paper |
| Financial markets in continuous time. Translated from the French by Anna Kennedy | 2003-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782358 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421376 | 2002-01-01 | Paper |
| On models of default risk. | 2001-03-29 | Paper |
| Incompleteness of markets driven by a mixed diffusion | 2000-11-01 | Paper |
| Incomplete markets with jumps and informed agents | 2000-05-07 | Paper |
| Optimization of consumption with labor income | 2000-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218372 | 1999-02-14 | Paper |
| Robustness of the Black and Scholes Formula | 1998-12-02 | Paper |
| Brownian Excursions and Parisian Barrier Options | 1998-02-18 | Paper |
| Impulse Control Method and Exchange Rate | 1998-01-21 | Paper |
| Optimization of the flow of dividends | 1998-01-05 | Paper |
| The Feynman-Kac formula and decomposition of Brownian paths | 1997-10-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4313036 | 1994-11-10 | Paper |
| Martingale measures and partially observable diffusions | 1992-06-25 | Paper |
| Optimal portfolio for a small investor in a market model with discontinuous prices | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3199307 | 1988-01-01 | Paper |
| Existence of an Optimal Markovian Filter for the Control under Partial Observations | 1988-01-01 | Paper |
| Compactification methods in the control of degenerate diffusions: existence of an optimal control | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3715998 | 1986-01-01 | Paper |
