| Publication | Date of Publication | Type |
|---|
Mixtures of multivariate Gaussians
Stochastic Analysis and Applications | 2024-11-12 | Paper |
Conditional expectation formulae for copulas
Australian & New Zealand Journal of Statistics | 2024-07-17 | Paper |
Authors' reply: ``Capital allocation in insurance: economic capital and the allocation of the default option value -- discussion by Helmut Gründl and Hato Schmeiser
North American Actuarial Journal | 2022-01-10 | Paper |
Capital allocation in insurance: economic capital and the allocation of the default option value
North American Actuarial Journal | 2021-12-22 | Paper |
Bayesian WIV Estimators for 3-D Bearings-Only TMA With Speed Constraints
IEEE Transactions on Signal Processing | 2019-10-28 | Paper |
| An explicit numerical algorithm to the solution of Volterra integral equation of the second kind | 2019-08-07 | Paper |
Default times in a continuous time Markov chain economy
Applied Mathematical Finance | 2018-09-05 | Paper |
Pricing participating policies under the Meixner process and stochastic volatility
Scandinavian Actuarial Journal | 2018-07-17 | Paper |
| Introduction to hidden semi-Markov models | 2018-01-02 | Paper |
Optimal Linear Estimation and Data Fusion
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
A modified hidden Markov model
Automatica | 2015-06-25 | Paper |
An interesting inequality at the 1995 I.M.O
Rad Hrvatske Akademije Znanosti i Umjetnosti. Matematičke Znanosti | 2014-10-08 | Paper |
American option prices in a Markov chain market model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
| An approximation of It\^o diffusions based on simple random walks | 2014-03-25 | Paper |
| New analytic approximations for pricing spread options | 2013-06-12 | Paper |
Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
Stochastic Analysis and Applications | 2012-11-09 | Paper |
Markov Chain Hitting Times
Stochastic Analysis and Applications | 2012-11-09 | Paper |
Binomial models for interest rates
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Nonlinear filter estimation of volatility
Stochastic Analysis and Applications | 2010-08-11 | Paper |
Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
ASTIN Bulletin | 2009-06-15 | Paper |
Recombining Binomial Tree Approximations for Diffusions
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
| scientific article; zbMATH DE number 5529020 (Why is no real title available?) | 2009-03-16 | Paper |
| Itô formulas for fractional Brownian motion | 2009-01-28 | Paper |
Using distortions of copulas to price synthetic CDOs
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Mathematical analysis of an extended Mumford-Shah model for image segmentation
Journal of Mathematical Imaging and Vision | 2006-11-22 | Paper |
Binomial models in finance.
Springer Finance | 2006-03-23 | Paper |
Pairs trading
Quantitative Finance | 2005-12-09 | Paper |
| scientific article; zbMATH DE number 2133109 (Why is no real title available?) | 2005-02-09 | Paper |
On Some Inequalities for the Moments of Guessing Mapping
Mathematical Journal of Ibaraki University | 2004-09-07 | Paper |
A General Fractional White Noise Theory And Applications To Finance
Mathematical Finance | 2003-08-25 | Paper |
| scientific article; zbMATH DE number 1642340 (Why is no real title available?) | 2002-10-26 | Paper |
| scientific article; zbMATH DE number 1724297 (Why is no real title available?) | 2002-08-05 | Paper |
Stochastic flows and the forward measure
Finance and Stochastics | 2002-03-13 | Paper |
A class of non-expected utility risk measures and implications for asset allocations
Insurance Mathematics & Economics | 2001-01-01 | Paper |
| scientific article; zbMATH DE number 1347841 (Why is no real title available?) | 1999-10-05 | Paper |
A finite-dimensional filter for hybrid observations
IEEE Transactions on Automatic Control | 1999-04-07 | Paper |
An application of hidden Markov models to asset allocation problems
Finance and Stochastics | 1999-03-09 | Paper |
Some new analytic inequalities and their applications in guessing theory
Journal of Mathematical Analysis and Applications | 1998-11-03 | Paper |
Explicit finite difference methods for two-dimensional diffusion with non-local boundary condition
International Journal of Engineering Science | 1998-10-13 | Paper |
| scientific article; zbMATH DE number 4198606 (Why is no real title available?) | 1990-01-01 | Paper |
A Galerkin Procedure for the Diffusion Equation Subject to the Specification of Mass
SIAM Journal on Numerical Analysis | 1987-01-01 | Paper |
Diffusion subject to the specification of mass
Journal of Mathematical Analysis and Applications | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3912871 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3894742 (Why is no real title available?) | 1984-01-01 | Paper |
Existence and uniqueness of generalized vortices
Journal of Mathematical Physics | 1983-01-01 | Paper |
The Free-boundary Problem for Gravity-driven Unidirectional Viscous Flows
IMA Journal of Applied Mathematics | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3824329 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3750216 (Why is no real title available?) | 1982-01-01 | Paper |
The classical solution of the one-dimensional two-phase Stefan problem with energy specification
Annali di Matematica Pura ed Applicata. Serie Quarta | 1982-01-01 | Paper |
On the phase Stefan problem subject to the specification of energy
Journal of Mathematical Analysis and Applications | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3886483 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3855587 (Why is no real title available?) | 1981-01-01 | Paper |
