| Publication | Date of Publication | Type |
|---|
| Semi‐efficient valuations and put‐call parity | 2018-11-02 | Paper |
| Strong bubbles and strict local martingales | 2016-06-22 | Paper |
| Locally Ф-integrable σ-martingale densitiesfor general semimartingales | 2016-05-04 | Paper |
| A note on the condition of no unbounded profit with bounded risk | 2014-11-07 | Paper |
| Cone-constrained continuous-time Markowitz problems | 2013-04-24 | Paper |
| Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints | 2013-02-28 | Paper |
| Simplified mean-variance portfolio optimisation | 2013-02-26 | Paper |
| Mean-variance hedging via stochastic control and BSDEs for general semimartingales | 2013-01-25 | Paper |
| Convexity bounds for BSDE solutions, with applications to indifference valuation | 2011-09-27 | Paper |
| Some New BSDE Results for an Infinite-Horizon Stochastic Control Problem | 2011-08-08 | Paper |
| M6—On Minimal Market Models and Minimal Martingale Measures | 2011-05-31 | Paper |
| Closedness in the Semimartingale Topology for Spaces of Stochastic Integrals with Constrained Integrands | 2011-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3400710 | 2010-02-05 | Paper |
| Arbitrage-free market models for option prices: the multi-strike case | 2009-08-08 | Paper |
| From structural assumptions to a link between assets and interest rates | 2008-12-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3534755 | 2008-11-04 | Paper |
| RISKY OPTIONS SIMPLIFIED | 2008-09-03 | Paper |
| Dynamic utility-based good deal bounds | 2008-08-14 | Paper |
| Exponential utility indifference valuation in two Brownian settings with stochastic correlation | 2008-08-05 | Paper |
| DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES | 2008-05-22 | Paper |
| TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS | 2008-05-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5436596 | 2008-01-17 | Paper |
| A Diffusion Limit for Generalized Correlated Random Walks | 2006-09-25 | Paper |
| Dynamic exponential utility indifference valuation | 2005-11-08 | Paper |
| Minimal entropy preserves the Lévy property: how and why | 2005-08-05 | Paper |
| Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes | 2005-07-13 | Paper |
| A monetary value for initial information in portfolio optimization | 2004-03-16 | Paper |
| A comparison of two quadratic approaches to hedging in incomplete markets | 2004-03-16 | Paper |
| From actuarial to financial valuation principles | 2003-08-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550921 | 2003-05-31 | Paper |
| Numerical comparison of local risk-minimisation and mean-variance hedging | 2003-02-03 | Paper |
| Martingales versus PDEs in finance: an equivalence result with examples | 2002-11-06 | Paper |
| Exponential Hedging and Entropic Penalties | 2002-10-28 | Paper |
| A guided tour through quadratic hedging approaches | 2002-09-12 | Paper |
| A minimality property of the minimal martingale measure | 2002-05-14 | Paper |
| ON SAVINGS ACCOUNTS IN SEMIMARTINGALE TERM STRUCTURE MODELS | 2002-02-24 | Paper |
| Local risk-minimization under transaction costs | 2001-11-26 | Paper |
| Implied savings accounts are unique | 2001-03-01 | Paper |
| Additional logarithmic utility of an insider | 1999-11-18 | Paper |
| Weighted norm inequalities and hedging in incomplete markets | 1999-07-06 | Paper |
| On Feedback Effects from Hedging Derivatives | 1998-11-29 | Paper |
| Mean-variance hedging for continuous processes: New proofs and examples | 1998-09-07 | Paper |
| On \(L^2\)-projections on a space of stochastic integrals | 1998-09-06 | Paper |
| RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION | 1998-01-21 | Paper |
| A Microeconomic Approach to Diffusion Models For Stock Prices | 1998-01-21 | Paper |
| Option Pricing Under Incompleteness and Stochastic Volatility | 1997-08-31 | Paper |
| Approximation pricing and the variance-optimal martingale measure | 1997-01-05 | Paper |
| On the minimal martingale measure and the möllmer-schweizer decomposition | 1996-05-20 | Paper |
| Variance-Optimal Hedging in Discrete Time | 1996-03-18 | Paper |
| A projection result for semimartingales | 1996-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848528 | 1995-11-26 | Paper |
| Approximating random variables by stochastic integrals | 1995-06-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4318656 | 1995-02-16 | Paper |
| Martingale densities for general asset prices | 1993-01-16 | Paper |
| Semimartingales and Hedging in Incomplete Markets | 1992-09-27 | Paper |
| Mean-variance hedging for general claims | 1992-06-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3974816 | 1992-06-26 | Paper |
| Option hedging for semimartingales | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3362168 | 1992-01-01 | Paper |
| Risk-minimality and orthogonality of martingales | 1990-01-01 | Paper |
| New Stochastic Fubini Theorems | N/A | Paper |
