| Publication | Date of Publication | Type |
|---|
| Now decision theory | 2023-11-08 | Paper |
| Option returns | 2023-07-25 | Paper |
| Performance of advanced stock price models when it becomes exotic: an empirical study | 2023-04-27 | Paper |
| Errata: Instantaneous Portfolio theory | 2022-05-27 | Paper |
| Nonlinear Valuation and Non-Gaussian Risks in Finance | 2021-12-01 | Paper |
| Conic quantization: stochastic volatility and market implied liquidity | 2021-06-02 | Paper |
| Self‐similarity in long‐horizon returns | 2021-03-23 | Paper |
| Zero covariation returns | 2020-02-17 | Paper |
| Implied liquidity risk premia in option markets | 2019-06-28 | Paper |
| Conic asset pricing and the costs of price fluctuations | 2019-06-18 | Paper |
| EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS | 2019-04-18 | Paper |
| Machine learning for quantitative finance: fast derivative pricing, hedging and fitting | 2019-02-06 | Paper |
| Calibration to American options: numerical investigation of the de-Americanization method | 2018-11-14 | Paper |
| The risk management of contingent convertible (CoCo) bonds | 2018-10-29 | Paper |
| Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model | 2018-10-22 | Paper |
| The Impact of a New CoCo Issuance on the Price Performance of Outstanding CoCos | 2018-10-22 | Paper |
| CONIC CPPIs | 2018-04-11 | Paper |
| MEASURING AND MONITORING THE EFFICIENCY OF MARKETS | 2018-01-11 | Paper |
| Hunting for Black Swans in the European Banking Sector Using Extreme Value Analysis | 2017-07-31 | Paper |
| CONIC TRADING IN A MARKOVIAN STEADY STATE | 2017-04-13 | Paper |
| CoCos with Extension Risk. A Structural Approach | 2017-01-16 | Paper |
| Hedging insurance books | 2016-12-13 | Paper |
| Dynamic conic hedging for competitiveness | 2016-09-30 | Paper |
| Applied Conic Finance | 2016-08-17 | Paper |
| Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling | 2015-10-14 | Paper |
| A framework for robust measurement of implied correlation | 2015-08-26 | Paper |
| A bootstrapping market implied moment matching calibration for models with time-dependent parameters | 2015-08-26 | Paper |
| Two price economies in continuous time | 2014-11-13 | Paper |
| FIX: The Fear Index—Measuring Market Fear | 2014-09-29 | Paper |
| A multivariate dependence measure for aggregating risks | 2014-07-17 | Paper |
| Heston model: the variance swap calibration | 2014-06-30 | Paper |
| TWO PROCESSES FOR TWO PRICES | 2014-04-25 | Paper |
| On the (in-)dependence between financial and actuarial risks | 2014-04-04 | Paper |
| Systemic risk tradeoffs and option prices | 2014-04-03 | Paper |
| A moment matching market implied calibration | 2014-02-20 | Paper |
| The valuation of structured products using Markov chain models | 2014-02-08 | Paper |
| A Short Rate Model Using Ambit Processes | 2013-07-30 | Paper |
| SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS | 2013-02-28 | Paper |
| Structured products equilibria in conic two price markets | 2013-02-26 | Paper |
| Conic coconuts: the pricing of contingent capital notes using conic finance | 2013-01-20 | Paper |
| TENOR SPECIFIC PRICING | 2012-11-22 | Paper |
| The herd behavior index: a new measure for the implied degree of co-movement in stock markets | 2012-05-11 | Paper |
| Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao | 2012-04-27 | Paper |
| The \(\beta\)-Meixner model | 2012-03-19 | Paper |
| The \(\beta \)-variance gamma model | 2012-01-26 | Paper |
| CONIC FINANCE AND THE CORPORATE BALANCE SHEET | 2011-10-24 | Paper |
| Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches | 2011-06-07 | Paper |
| Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type | 2011-02-15 | Paper |
| Implied Lévy volatility | 2010-02-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656689 | 2010-01-13 | Paper |
| A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets | 2009-12-16 | Paper |
| PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL | 2009-11-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3184722 | 2009-10-22 | Paper |
| Single name credit default swaptions meet single sided jump models | 2009-06-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506193 | 2009-01-28 | Paper |
| HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT | 2008-08-26 | Paper |
| General Lower Bounds for Arithmetic Asian Option Prices | 2008-05-22 | Paper |
| A note on some new perpetuities | 2007-05-29 | Paper |
| A multivariate jump-driven financial asset model | 2007-05-09 | Paper |
| SELF EXCITING THRESHOLD INTEREST RATES MODELS | 2007-02-08 | Paper |
| Optimal investment in a Lévy market | 2006-06-28 | Paper |
| Exotic options under Lévy models: an overview | 2006-03-24 | Paper |
| Moment swaps | 2006-03-08 | Paper |
| Asymmetric skew Bessel processes and their applications to finance | 2005-11-01 | Paper |
| Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process | 2005-11-01 | Paper |
| THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY | 2005-10-19 | Paper |
| Completion of a Lévy market by power-jump assets | 2005-05-20 | Paper |
| A risk model driven by Lévy processes | 2004-11-24 | Paper |
| Chaotic and predictable representations for Lévy processes. | 2004-09-22 | Paper |
| Short-term risk management using stochastic Taylor expansions under Lévy models | 2003-11-16 | Paper |
| Discrete chaotic calculus and covariance identities | 2003-03-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524446 | 2002-10-07 | Paper |
| Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance | 2002-08-14 | Paper |
| Orthogonal polynomials in Stein's method | 2002-05-13 | Paper |
| An application in stochastics of the Laguerre-type polynomials | 2002-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2707914 | 2001-07-05 | Paper |
| Stochastic processes and orthogonal polynomials | 2000-08-23 | Paper |
| Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals | 2000-01-24 | Paper |
| A birth and death process related to the Rogers-Ramanujan continued fraction | 1999-03-14 | Paper |
| Lévy processes, polynomials and martingales | 1998-09-20 | Paper |
