| Publication | Date of Publication | Type |
|---|
| Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data | 2024-06-04 | Paper |
| Risk‐sensitive benchmarked asset management with expert forecasts | 2023-09-28 | Paper |
| Perturbation analysis of sub/super hedging problems | 2023-09-28 | Paper |
| Informed traders | 2022-04-29 | Paper |
| Pricing weather derivatives by marginal value | 2019-01-14 | Paper |
| Pricing, no-arbitrage bounds and robust hedging of instalment options | 2019-01-14 | Paper |
| Mathematical Finance: A Very Short Introduction | 2018-09-28 | Paper |
| Pathwise stochastic calculus with local times | 2018-06-01 | Paper |
| Discussion of ``Elicitability and backtesting: perspectives for banking regulation | 2018-02-19 | Paper |
| Risk-sensitive investment in a finite-factor model | 2017-04-11 | Paper |
| A Beaufort Scale of Predictability | 2017-01-16 | Paper |
| Verification of internal risk measure estimates | 2016-12-16 | Paper |
| Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk | 2015-10-20 | Paper |
| Jump-diffusion asset-liability management via risk-sensitive control | 2015-08-03 | Paper |
| A note on utility-based pricing | 2015-06-23 | Paper |
| A note on utility-based pricing in models with transaction costs | 2015-06-23 | Paper |
| Risk-Sensitive Investment Management | 2014-11-13 | Paper |
| Taming animal spirits: risk management with behavioural factors | 2014-11-12 | Paper |
| ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS | 2014-11-05 | Paper |
| Pathwise Nonlinear Filtering for Nondegenerate Diffusions with Noise Correlation | 2014-09-29 | Paper |
| LARGE PORTFOLIO CREDIT RISK MODELING | 2014-07-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5416123 | 2014-05-19 | Paper |
| Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model | 2013-07-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3015751 | 2011-07-13 | Paper |
| Impulse Control of Multidimensional Jump Diffusions | 2011-03-21 | Paper |
| Jump-Diffusion Risk-Sensitive Asset Management I: Diffusion Factor Model | 2011-02-10 | Paper |
| Dequantization of the Dirac monopole | 2010-05-19 | Paper |
| Optimal investment under partial information | 2010-04-23 | Paper |
| ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE | 2010-01-08 | Paper |
| Market completion using options | 2008-11-04 | Paper |
| Risk-sensitive benchmarked asset management | 2008-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5457450 | 2008-04-14 | Paper |
| Negative Libor rates in the swap market model | 2007-12-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5423299 | 2007-10-23 | Paper |
| THE RANGE OF TRADED OPTION PRICES | 2007-06-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493542 | 2006-10-23 | Paper |
| Malliavin Monte Carlo Greeks for jump diffusions | 2005-12-29 | Paper |
| Analysis of default data using hidden Markov models | 2005-10-17 | Paper |
| Complete–market models of stochastic volatility | 2004-08-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4781779 | 2002-11-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2722587 | 2002-09-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2762115 | 2002-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741101 | 2001-11-18 | Paper |
| A Markovian analysis of the finite-buffer M/D/1 queue | 2000-08-16 | Paper |
| Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling | 1999-12-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218383 | 1999-06-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227207 | 1999-04-22 | Paper |
| A pair of explicitly solvable singular stochastic control problems | 1998-12-07 | Paper |
| A note on the forward measure | 1998-08-19 | Paper |
| A new order estimation technique for time series modeling | 1997-12-01 | Paper |
| A Target Recognition Problem: Sequential Analysis and Optimal Control | 1997-02-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4895161 | 1996-11-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4865508 | 1996-08-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4887223 | 1996-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868513 | 1996-04-17 | Paper |
| A new proof of the discrete-time LQG optimal control theorems | 1995-11-21 | Paper |
| A note on super-replicating strategies | 1995-05-14 | Paper |
| The writing price of a European contingent claim under proportional transaction costs | 1994-12-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4279410 | 1994-08-31 | Paper |
| A problem of singular stochastic control with discretionary stopping | 1994-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4272614 | 1993-12-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3136505 | 1993-10-05 | Paper |
| European Option Pricing with Transaction Costs | 1993-07-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4029013 | 1993-03-28 | Paper |
| A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control | 1993-01-17 | Paper |
| Reducibility and unobservability of Markov processes: the linear system case | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3974813 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3348845 | 1991-01-01 | Paper |
| Portfolio Selection with Transaction Costs | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4733798 | 1989-01-01 | Paper |
| Strong consistency of the PLS criterion for order determination of autoregressive processes | 1989-01-01 | Paper |
| Impulse control of piecewise-deterministic processes | 1989-01-01 | Paper |
| Recursive order estimation of stochastic control systems | 1989-01-01 | Paper |
| On the Minimum Principle for Controlled Diffusions on Manifolds | 1989-01-01 | Paper |
| Anticipative LQG Control | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5753312 | 1988-01-01 | Paper |
| Approximations for optimal stopping of a piecewise-deterministic process | 1988-01-01 | Paper |
| The Wiener space derivative for functionals of diffusions on manifolds | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3803942 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3824212 | 1988-01-01 | Paper |
| The martingale maximum principle and the allocation of labour surplus | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3026689 | 1987-01-01 | Paper |
| Optimal capacity expansion under uncertainty | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3822078 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3833972 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3728794 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3801397 | 1985-01-01 | Paper |
| Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3345509 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3680030 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3687442 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4744175 | 1982-01-01 | Paper |
| A note on a comparison theorem for equations with different diffusions | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3948398 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4750503 | 1981-01-01 | Paper |
| Factorization of a multiplicative functional of nonlinear filtering theory | 1981-01-01 | Paper |
| Optimal Play in a Stochastic Differential Game | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3953669 | 1981-01-01 | Paper |
| Stochastic control by measure transformation: A general existence result | 1980-01-01 | Paper |
| Functionals of diffusion processes as stochastic integrals | 1980-01-01 | Paper |
| Comments on "Weaker conditions for innovations informational equivalence in the independent Gaussian case" | 1980-01-01 | Paper |
| On a multiplicative functional transformation arising in nonlinear filtering theory | 1980-01-01 | Paper |
| Capacity and cutoff rate for Poisson-type channels | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3934270 | 1980-01-01 | Paper |
| Existence of Optimal Controls for Stochastic Jump Processes | 1979-01-01 | Paper |
| On “predicted miss” stochastic control problems | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4198589 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4174042 | 1978-01-01 | Paper |
| A direct proof of innovations/observations equivalence for Gaussian procedures (Corresp.) | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3878440 | 1977-01-01 | Paper |
| Optimal control of a jump process | 1977-01-01 | Paper |
| Exact and approximate filtering in signal detection: An example (Corresp.) | 1977-01-01 | Paper |
| The general point process disorder problem (Corresp.) | 1977-01-01 | Paper |
| The Separation Principle in Stochastic Control via Girsanov Solutions | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4096228 | 1976-01-01 | Paper |
| The Representation of Martingales of Jump Processes | 1976-01-01 | Paper |
| Martingales of Wiener and Poisson Processes | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4148612 | 1976-01-01 | Paper |
| Nonlinear filtering with counting observations | 1975-01-01 | Paper |
| The application of nonlinear filtering to fault detection in linear systems | 1975-01-01 | Paper |
| On Stochastic Differentiation | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4124704 | 1975-01-01 | Paper |
| The multiplicity of an increasing family of \(\sigma\)-fields | 1974-01-01 | Paper |
| On the Existence of Optimal Policies in Stochastic Control | 1973-01-01 | Paper |
| Dynamic Programming Conditions for Partially Observable Stochastic Systems | 1973-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4041433 | 1973-01-01 | Paper |
| Information states for linear stochastic systems | 1972-01-01 | Paper |
