| Publication | Date of Publication | Type |
|---|
| Projections of SDEs onto submanifolds | 2024-01-16 | Paper |
| Optimal projection filters with information geometry | 2024-01-16 | Paper |
| Option pricing models without probability: a rough paths approach | 2023-09-28 | Paper |
| Non‐geometric rough paths on manifolds | 2023-08-22 | Paper |
| Optimal Projection Filters | 2022-05-03 | Paper |
| Price impact on term structure | 2022-04-05 | Paper |
| Mechanics of good trade execution in the framework of linear temporary market impact | 2021-12-01 | Paper |
| The multivariate mixture dynamics model: shifted dynamics and correlation skew | 2021-11-08 | Paper |
| Impact of multiple curve dynamics in credit valuation adjustments under collateralization | 2021-09-03 | Paper |
| SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions | 2020-05-26 | Paper |
| Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections | 2019-08-14 | Paper |
| MULTI-CURRENCY CREDIT DEFAULT SWAPS | 2019-06-24 | Paper |
| Funding, repo and credit inclusive valuation as modified option pricing | 2019-02-22 | Paper |
| Approximated moment-matching dynamics for basket-options pricing | 2019-01-15 | Paper |
| Analytical pricing of the smile in a forward LIBOR market model | 2019-01-14 | Paper |
| Alternative asset-price dynamics and volatility smile | 2019-01-14 | Paper |
| Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement | 2018-12-18 | Paper |
| Intrinsic stochastic differential equations as jets | 2018-12-04 | Paper |
| Impact of multiple curve dynamics in credit valuation adjustments under collateralization | 2018-11-14 | Paper |
| Nonlinearity Valuation Adjustment | 2018-10-22 | Paper |
| Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects | 2018-10-22 | Paper |
| Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments | 2018-10-22 | Paper |
| Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures | 2018-05-17 | Paper |
| Itô stochastic differential equations as 2-jets | 2018-01-12 | Paper |
| SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions | 2016-06-05 | Paper |
| Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters | 2016-05-25 | Paper |
| Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law | 2016-05-04 | Paper |
| Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric | 2016-04-26 | Paper |
| Optimal approximations of the Fokker-Planck-Kolmogorov equation: projection, maximum likelihood eigenfunctions and Galerkin methods | 2016-03-14 | Paper |
| Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds | 2016-01-16 | Paper |
| COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS | 2015-06-29 | Paper |
| A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING | 2015-05-11 | Paper |
| CLUSTER-BASED EXTENSION OF THE GENERALIZED POISSON LOSS DYNAMICS AND CONSISTENCY WITH SINGLE NAMES | 2014-07-17 | Paper |
| Counterparty Credit Risk, Collateral and Funding | 2014-05-27 | Paper |
| ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS | 2014-04-23 | Paper |
| Stochastic Filtering by Projection: The Example of the Quadratic Sensor | 2014-04-16 | Paper |
| PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK | 2013-06-24 | Paper |
| RESTRUCTURING COUNTERPARTY CREDIT RISK | 2013-06-24 | Paper |
| COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES | 2012-11-22 | Paper |
| The direct L2 geometric structure on a manifold of probability densities with applications to Filtering | 2011-11-29 | Paper |
| ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS | 2011-11-22 | Paper |
| NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS | 2011-11-21 | Paper |
| AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL | 2010-08-03 | Paper |
| COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION | 2010-01-08 | Paper |
| A dynamic programming approach for pricing CDS and CDS options | 2009-10-16 | Paper |
| A finite dimensional filter with exponential conditional density | 2009-01-14 | Paper |
| Projecting the Fokker-Planck Equation onto a finite dimensional exponential family | 2009-01-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3515750 | 2008-07-29 | Paper |
| Parameterizing correlations: a geometric interpretation | 2007-11-27 | Paper |
| Interest rate models -- theory and practice. With smile, inflation and credit | 2006-12-29 | Paper |
| THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION | 2006-08-14 | Paper |
| On the distributional distance between the lognormal LIBOR and swap market models | 2006-03-08 | Paper |
| New Families of Copulas Based on Periodic Functions | 2005-09-05 | Paper |
| LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES | 2005-06-22 | Paper |
| Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model | 2005-05-20 | Paper |
| The LIBOR model dynamics: Approximations, calibration and diagnostics | 2005-01-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782353 | 2003-05-31 | Paper |
| A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models | 2001-12-12 | Paper |
| Interest rate models -- theory and practice | 2001-07-09 | Paper |
| On SDEs with marginal laws evolving in finite-dimensional exponential families | 2001-05-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4934488 | 2001-01-04 | Paper |
| Option pricing impact of alternative continuous-time dynamics | 2000-11-01 | Paper |
| Approximate nonlinear filtering by projection on exponential manifolds of densities | 2000-01-31 | Paper |
| A differential geometric approach to nonlinear filtering: the projection filter | 1999-01-19 | Paper |
| On some filtering problems arising in mathematical finance | 1998-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4357549 | 1997-09-25 | Paper |
| On the nice behaviour of the Gaussian projection filter with small observation noise | 1997-02-27 | Paper |
| New results on the Gaussian projection filter with small observation noise | 1997-02-27 | Paper |
