| Publication | Date of Publication | Type |
|---|
| FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs | 2025-01-06 | Paper |
| Short communication: the price of information | 2024-09-17 | Paper |
| Robust Risk-Aware Option Hedging | 2024-04-23 | Paper |
| Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes | 2024-03-26 | Paper |
| Exploratory Control with Tsallis Entropy for Latent Factor Models | 2024-03-22 | Paper |
| Reinforcement learning with dynamic convex risk measures | 2024-03-14 | Paper |
| Stressing dynamic loss models | 2024-02-13 | Paper |
| Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning | 2024-01-05 | Paper |
| Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders | 2023-11-23 | Paper |
| Portfolio Optimization within a Wasserstein Ball | 2023-11-23 | Paper |
| A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets | 2023-09-28 | Paper |
| Deep Q-Learning for Nash Equilibria: Nash-DQN | 2023-02-28 | Paper |
| Mean field regret in discrete time games | 2023-01-17 | Paper |
| Optimal Trading with Signals and Stochastic Price Impact | 2022-08-22 | Paper |
| Double Deep Q-Learning for Optimal Execution | 2022-07-26 | Paper |
| Exploratory LQG mean field games with entropy regularization | 2022-03-18 | Paper |
| Robust Risk-Aware Reinforcement Learning | 2022-03-18 | Paper |
| LATENCY AND LIQUIDITY RISK | 2022-03-11 | Paper |
| Reinforcement learning and stochastic optimisation | 2022-02-01 | Paper |
| Lévy-Ito models in finance | 2021-07-05 | Paper |
| Hedging nontradable risks with transaction costs and price impact | 2021-03-23 | Paper |
| Mean‐field games with differing beliefs for algorithmic trading | 2021-03-23 | Paper |
| Spoofing and Price Manipulation in Order-Driven Markets | 2020-10-20 | Paper |
| Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets | 2020-10-20 | Paper |
| Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems | 2020-10-07 | Paper |
| Trading Foreign Exchange Triplets | 2020-09-28 | Paper |
| Mixing LSMC and PDE Methods to Price Bermudan Options | 2020-06-08 | Paper |
| Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders | 2019-11-22 | Paper |
| Trading algorithms with learning in latent alpha models | 2019-10-31 | Paper |
| Mean-Field Game Strategies for Optimal Execution | 2019-06-18 | Paper |
| Trading co‐integrated assets with price impact | 2019-05-23 | Paper |
| Foreign exchange markets with last look | 2019-05-08 | Paper |
| Optimal execution with limit and market orders | 2019-02-06 | Paper |
| A two-state jump model | 2019-01-14 | Paper |
| Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management | 2018-12-18 | Paper |
| Enhancing trading strategies with order book signals | 2018-12-03 | Paper |
| Modelling Asset Prices for Algorithmic and High-Frequency Trading | 2018-09-05 | Paper |
| Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes | 2018-08-14 | Paper |
| TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE | 2018-06-07 | Paper |
| Optimal accelerated share repurchases | 2018-04-06 | Paper |
| Algorithmic Trading with Model Uncertainty | 2018-03-12 | Paper |
| Mean Field Games with Partial Information for Algorithmic Trading | 2018-03-11 | Paper |
| Using managerial revenue and cost estimates to value early stage real option investments | 2018-02-15 | Paper |
| IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION | 2017-11-29 | Paper |
| A Closed-Form Execution Strategy to Target Volume Weighted Average Price | 2016-11-11 | Paper |
| ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS | 2016-10-24 | Paper |
| Incorporating order-flow into optimal execution | 2016-06-29 | Paper |
| ALGORITHMIC TRADING WITH LEARNING | 2016-06-22 | Paper |
| Model Uncertainty in Commodity Markets | 2016-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5263525 | 2015-07-17 | Paper |
| RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES | 2015-07-15 | Paper |
| Buy Low, Sell High: A High Frequency Trading Perspective | 2015-01-20 | Paper |
| Valuing clustering in catastrophe derivatives | 2014-09-05 | Paper |
| Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility | 2014-09-05 | Paper |
| VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS | 2013-11-15 | Paper |
| INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT | 2013-02-28 | Paper |
| Lévy-Based Cross-Commodity Models and Derivative Valuation | 2012-04-19 | Paper |
| Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models | 2012-04-19 | Paper |
| An insurance risk model with stochastic volatility | 2012-02-10 | Paper |
| Randomized First Passage Times | 2009-11-21 | Paper |
| Fourier space time-stepping for option pricing with Lévy models | 2009-04-28 | Paper |
| Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models | 2009-03-23 | Paper |
| Integral Equations and the First Passage Time of Brownian Motions | 2009-02-16 | Paper |
| ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING | 2008-05-28 | Paper |
| Pricing equity-linked pure endowments with risky assets that follow Lévy processes | 2007-05-24 | Paper |
| Catastrophe options with stochastic interest rates and compound Poisson losses | 2006-08-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2712434 | 2001-07-03 | Paper |
| Wilson loops, Bianchi constraints and duality in abelian lattice models | 2000-07-12 | Paper |
| LOOPS, SURFACES AND GRASSMANN REPRESENTATION IN TWO- AND THREE-DIMENSIONAL ISING MODELS | 2000-05-01 | Paper |
| Theta sectors and thermodynamics of a classical adjoint gas | 1998-04-01 | Paper |
