| Publication | Date of Publication | Type |
|---|
| Dynamic Portfolio Optimization with Looping Contagion Risk | 2019-05-14 | Paper |
| A Simple Stochastic Rate Model for Rate Equity Hybrid Products | 2018-09-05 | Paper |
| On dynamic deviation measures and continuous-time portfolio optimization | 2018-03-08 | Paper |
| On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation | 2017-10-23 | Paper |
| On future drawdowns of Lévy processes | 2017-06-30 | Paper |
| CONIC TRADING IN A MARKOVIAN STEADY STATE | 2017-04-13 | Paper |
| On a class of dependent Sparre Andersen risk models and a bailout application | 2016-12-14 | Paper |
| Dynamic conic hedging for competitiveness | 2016-09-30 | Paper |
| Joint asymptotic distribution of certain path functionals of the reflected process | 2016-08-22 | Paper |
| Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver | 2016-04-04 | Paper |
| Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications | 2016-03-11 | Paper |
| Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk | 2015-10-20 | Paper |
| The distribution of the supremum for spectrally asymmetric Lévy processes | 2015-08-17 | Paper |
| On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function | 2015-07-27 | Paper |
| American Option Valuation under Continuous-Time Markov Chains | 2015-07-15 | Paper |
| Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes | 2015-05-27 | Paper |
| Asymptotic independence of three statistics of maximal segmental scores | 2015-05-18 | Paper |
| On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes | 2015-02-03 | Paper |
| Two price economies in continuous time | 2014-11-13 | Paper |
| Bid and ask prices as non-linear continuous time G-expectations based on distortions | 2014-11-06 | Paper |
| The valuation of structured products using Markov chain models | 2014-02-08 | Paper |
| On additive time-changes of Feller processes | 2013-05-14 | Paper |
| CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES | 2013-02-28 | Paper |
| Optimal dividend distribution under Markov regime switching | 2012-11-15 | Paper |
| On the drawdown of completely asymmetric Lévy processes | 2012-10-10 | Paper |
| On matrix exponential approximations of the infimum of a spectrally negative Levy process | 2012-10-09 | Paper |
| Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations | 2012-08-30 | Paper |
| Equity quantile upper and lower swaps | 2012-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3108752 | 2012-01-05 | Paper |
| METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS | 2011-12-28 | Paper |
| Exotic Derivatives under Stochastic Volatility Models with Jumps | 2011-08-08 | Paper |
| Pricing and hedging barrier options in a hyper-exponential additive model | 2010-09-16 | Paper |
| A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes | 2010-08-05 | Paper |
| Cramér asymptotics for finite time first passage probabilities of general Lévy processes | 2009-09-14 | Paper |
| On an explicit Skorokhod embedding for spectrally negative Lévy processes | 2009-07-06 | Paper |
| On perpetual American put valuation and first-passage in a regime-switching model with jumps | 2009-02-28 | Paper |
| Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results | 2009-01-13 | Paper |
| A two-dimensional ruin problem on the positive quadrant | 2008-08-22 | Paper |
| The probability of exceeding a piecewise deterministic barrier by the heavy-tailed renewal compound process | 2008-05-12 | Paper |
| Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function | 2008-02-15 | Paper |
| On the optimal dividend problem for a spectrally negative Lévy process | 2008-01-18 | Paper |
| Pricing Equity Default Swaps under an approximation to the CGMY L\'{e}% vy Model | 2007-11-18 | Paper |
| An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes | 2007-10-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3445097 | 2007-06-08 | Paper |
| On Maxima and Ladder Processes for a Dense Class of Lévy Process | 2006-09-25 | Paper |
| Russian and American put options under exponential phase-type Lévy models. | 2005-11-29 | Paper |
| On doubly reflected completely asymmetric Lévy processes. | 2005-11-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5699574 | 2005-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4662395 | 2005-03-30 | Paper |
| On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum | 2004-08-06 | Paper |
| Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options | 2004-06-10 | Paper |
| Perpetual options and Canadization through fluctuation theory | 2004-03-21 | Paper |
| On an optimal consumption problem for \(p\)-integrable consumption plans | 2001-08-09 | Paper |
