| Publication | Date of Publication | Type |
|---|
Yule's ``Nonsense correlation: moments and density
Bernoulli | 2024-11-05 | Paper |
Things we think we know
| 2024-09-06 | Paper |
What Next?
Lecture Notes in Mathematics | 2023-12-03 | Paper |
The Bruss–Robertson–Steele inequality
Journal of Applied Probability | 2023-08-16 | Paper |
The least favorable noise
Electronic Communications in Probability | 2022-07-08 | Paper |
The 1/e-strategy is sub-optimal for the problem of best choice under no information
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Change of drift in one-dimensional diffusions
Finance and Stochastics | 2021-04-29 | Paper |
The value of insight
Mathematics of Operations Research | 2021-01-08 | Paper |
When is it best to follow the leader?
Stochastic Processes and their Applications | 2020-04-29 | Paper |
Yule's "nonsense correlation" solved: Part II
| 2019-09-05 | Paper |
Sense, nonsense and the S\&P500
Decisions in Economics and Finance | 2019-01-29 | Paper |
The potential approach in practice
International Journal of Theoretical and Applied Finance | 2018-06-07 | Paper |
Combining different models
Mathematics and Financial Economics | 2018-03-01 | Paper |
The value of foresight
Stochastic Processes and their Applications | 2017-11-09 | Paper |
The joint law of the extrema, final value and signature of a stopped random walk
Lecture Notes in Mathematics | 2016-04-13 | Paper |
Estimate nothing
Quantitative Finance | 2015-04-27 | Paper |
Investing and stopping
| 2015-02-26 | Paper |
Trading to stops
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Utilities bounded below
Annals of Finance | 2014-11-12 | Paper |
EVOLUTION OF FIRM SIZE
International Journal of Theoretical and Applied Finance | 2014-09-25 | Paper |
Market selection: hungry misers and bloated bankrupts
Mathematics and Financial Economics | 2013-02-26 | Paper |
An asset return model capturing stylized facts
Mathematics and Financial Economics | 2013-02-19 | Paper |
Optimal and robust contracts for a risk-constrained principal
Mathematics and Financial Economics | 2013-01-20 | Paper |
Optimal investment
SpringerBriefs in Quantitative Finance | 2013-01-15 | Paper |
Can the implied volatility surface move by parallel shifts?
Finance and Stochastics | 2011-04-06 | Paper |
Optimal time to exchange two baskets
Journal of Applied Probability | 2011-04-05 | Paper |
The cost of illiquidity and its effects on hedging
Mathematical Finance | 2010-10-15 | Paper |
Dual valuation and hedging of Bermudan options
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
Equity with Markov-modulated dividends
Quantitative Finance | 2009-10-12 | Paper |
A DYNAMIC APPROACH TO THE MODELING OF CORRELATION CREDIT DERIVATIVES USING MARKOV CHAINS
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
ONE FOR ALL The Potential Approach to Pricing and Hedging
Progress in Industrial Mathematics at ECMI 2004 | 2009-03-31 | Paper |
Optimal exercise of executive stock options
Finance and Stochastics | 2009-02-28 | Paper |
Pathwise Stochastic Optimal Control
SIAM Journal on Control and Optimization | 2008-06-16 | Paper |
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Mathematical Finance | 2008-05-22 | Paper |
Estimating correlation from high, low, opening and closing prices
The Annals of Applied Probability | 2008-04-23 | Paper |
DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
Mathematical Finance | 2007-10-29 | Paper |
The correlation of the maxima of correlated Brownian motions
Journal of Applied Probability | 2007-08-23 | Paper |
MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
Mathematical Finance | 2007-06-08 | Paper |
Option Pricing With Markov-Modulated Dynamics
SIAM Journal on Control and Optimization | 2007-03-20 | Paper |
THE SQUARED ORNSTEIN‐UHLENBECK MARKET
Mathematical Finance | 2005-05-09 | Paper |
scientific article; zbMATH DE number 2133124 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2065144 (Why is no real title available?)
| 2004-05-18 | Paper |
Large Investors, takeovers, and the rule of law
Monte Carlo Methods and Applications | 2004-02-27 | Paper |
scientific article; zbMATH DE number 1985274 (Why is no real title available?)
| 2003-09-24 | Paper |
scientific article; zbMATH DE number 1795850 (Why is no real title available?)
| 2003-05-31 | Paper |
Monte Carlo valuation of American options
Mathematical Finance | 2003-02-26 | Paper |
Volatility Estimation with Price Quanta
Mathematical Finance | 2003-02-02 | Paper |
Optimal capital structure and endogenous default
Finance and Stochastics | 2002-12-01 | Paper |
scientific article; zbMATH DE number 1724302 (Why is no real title available?)
| 2002-06-03 | Paper |
Optimal stopping and embedding
Journal of Applied Probability | 2002-03-14 | Paper |
The maximum maximum of a martingale constrained by an intermediate law
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-03-04 | Paper |
The potential approach to the term structure of interest rates and foreign exchange rates.
| 2002-01-06 | Paper |
Robust hedging of barrier options.
Mathematical Finance | 2001-11-26 | Paper |
Evaluating first-passage probabilities for spectrally one-sided Lévy processes
Journal of Applied Probability | 2001-07-12 | Paper |
The relaxed investor and parameter uncertainty
Finance and Stochastics | 2001-07-11 | Paper |
Saddlepoint approximations to option prices
The Annals of Applied Probability | 2001-06-27 | Paper |
scientific article; zbMATH DE number 1515832 (Why is no real title available?)
| 2000-10-10 | Paper |
scientific article; zbMATH DE number 1478492 (Why is no real title available?)
| 2000-07-18 | Paper |
Fastest Coupling of Random Walks
Journal of the London Mathematical Society | 2000-06-22 | Paper |
Probability theory and polymer physics
Journal of Statistical Physics | 2000-05-22 | Paper |
Consistent fitting of one-factor models to interest rate data.
Insurance Mathematics \& Economics | 2000-01-01 | Paper |
Complete Models with Stochastic Volatility
Mathematical Finance | 1998-11-29 | Paper |
scientific article; zbMATH DE number 1222786 (Why is no real title available?)
| 1998-11-11 | Paper |
scientific article; zbMATH DE number 1069633 (Why is no real title available?)
| 1998-11-01 | Paper |
Arbitrage with Fractional Brownian Motion
Mathematical Finance | 1998-04-05 | Paper |
Fast accurate binomial pricing
Finance and Stochastics | 1998-03-17 | Paper |
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
Mathematical Finance | 1997-01-01 | Paper |
On coupling of random walks and renewal processes
Journal of Applied Probability | 1996-11-17 | Paper |
Equivalent martingale measures and no-arbitrage
Stochastics and Stochastic Reports | 1996-11-04 | Paper |
The harmonic functions of (At, Bt,)
Mathematical Proceedings of the Cambridge Philosophical Society | 1996-08-27 | Paper |
A proof of Dassios' representation of the \(\alpha\)-quantile of Brownian motion with drift
The Annals of Applied Probability | 1996-08-14 | Paper |
Equivalent martingale measures and no-arbitrage
Stochastics and Stochastic Reports | 1996-07-15 | Paper |
scientific article; zbMATH DE number 852306 (Why is no real title available?)
| 1996-03-06 | Paper |
The value of an Asian option
Journal of Applied Probability | 1996-02-26 | Paper |
scientific article; zbMATH DE number 774035 (Why is no real title available?)
| 1996-02-20 | Paper |
Probability and dispersion theory
IMA Journal of Applied Mathematics | 1995-11-05 | Paper |
scientific article; zbMATH DE number 739283 (Why is no real title available?)
| 1995-03-30 | Paper |
Computing the invariant law of a fluid model
Journal of Applied Probability | 1995-03-20 | Paper |
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
The Annals of Applied Probability | 1994-09-15 | Paper |
Interacting Brownian particles and the Wigner law
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-08-15 | Paper |
On polymer conformations in elongational flows
Communications in Mathematical Physics | 1994-06-20 | Paper |
The joint law of the maximum and terminal value of a martingale
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-05-18 | Paper |
Recurrence and transience of reflecting Brownian motion in the quadrant
Mathematical Proceedings of the Cambridge Philosophical Society | 1993-11-24 | Paper |
Quadratic functionals of brownian motion, optimal control,and the “colditz” example
Stochastics and Stochastic Reports | 1993-05-16 | Paper |
Asymptotic behavior of Brownian polymers
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1993-03-22 | Paper |
Decomposing the branching Brownian path
The Annals of Applied Probability | 1993-02-22 | Paper |
scientific article; zbMATH DE number 66638 (Why is no real title available?)
| 1992-09-27 | Paper |
Embedding optimal selection problems in a Poisson process
Stochastic Processes and their Applications | 1992-06-26 | Paper |
scientific article; zbMATH DE number 18217 (Why is no real title available?)
| 1992-06-26 | Paper |
Brownian Motion in a Wedge with Variable Skew Reflection
| 1992-06-26 | Paper |
Pascal processes and their characterization
Stochastic Processes and their Applications | 1992-06-25 | Paper |
Local time and stochastic area integrals
The Annals of Probability | 1991-01-01 | Paper |
scientific article; zbMATH DE number 4188931 (Why is no real title available?)
| 1991-01-01 | Paper |
The intrinsic local time sheet of Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1991-01-01 | Paper |
Limit theorems for transient diffusions on the line
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1991-01-01 | Paper |
Stochastic ordering of order statistics
Journal of Applied Probability | 1991-01-01 | Paper |
The two-sided exit problem for spectrally positive Lévy processes
Advances in Applied Probability | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4186795 (Why is no real title available?)
| 1990-01-01 | Paper |
A Guided Tour through Excursions
Bulletin of the London Mathematical Society | 1989-01-01 | Paper |
Ignatov's theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat
Advances in Applied Probability | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4088662 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4020069 (Why is no real title available?)
| 1987-01-01 | Paper |
Self-avoiding random walk: A Brownian motion model with local time drift
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
Characterising One-Dimensional Diffusions using Stochastic Calculus
Bulletin of the London Mathematical Society | 1987-01-01 | Paper |
Continuity of martingales in the Brownian excursion filtration
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1987-01-01 | Paper |
Coupling of multidimensional diffusions by reflection
The Annals of Probability | 1986-01-01 | Paper |
Brownian Motions of Ellipsoids
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3998912 (Why is no real title available?)
| 1986-01-01 | Paper |
Smooth Transition Densities for One-Dimensional Diffusions
Bulletin of the London Mathematical Society | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3896036 (Why is no real title available?)
| 1985-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:5186510 Addendum to ?it� excursion theory via resolvents?]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3879865 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3862186 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3879864 (Why is no real title available?)
| 1984-01-01 | Paper |
The k-record processes are i.i.d.
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3888651 (Why is no real title available?)
| 1984-01-01 | Paper |
Wiener-Hopf Factorization of Diffusions and Lévy Processes
Proceedings of the London Mathematical Society | 1983-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:3308821 It� excursion theory via resolvents]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3763004 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3763003 (Why is no real title available?)
| 1982-01-01 | Paper |
Markov functions
The Annals of Probability | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3723643 (Why is no real title available?)
| 1981-01-01 | Paper |
scientific article; zbMATH DE number 3729204 (Why is no real title available?)
| 1981-01-01 | Paper |
Characterizing all diffusions with the 2M-X property
The Annals of Probability | 1981-01-01 | Paper |
A simple proof of Müntz's theorem
Mathematical Proceedings of the Cambridge Philosophical Society | 1981-01-01 | Paper |
scientific article; zbMATH DE number 3690413 (Why is no real title available?)
| 1980-01-01 | Paper |
scientific article; zbMATH DE number 3668767 (Why is no real title available?)
| 1980-01-01 | Paper |
The probability that two samples in the plane will have disjoint convex hulls
Journal of Applied Probability | 1978-01-01 | Paper |
