| Publication | Date of Publication | Type |
|---|
Dynamic portfolio optimization with looping contagion risk
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
A Simple Stochastic Rate Model for Rate Equity Hybrid Products
Applied Mathematical Finance | 2018-09-05 | Paper |
On dynamic deviation measures and continuous-time portfolio optimization
The Annals of Applied Probability | 2018-03-08 | Paper |
On dynamic deviation measures and continuous-time portfolio optimization
The Annals of Applied Probability | 2018-03-08 | Paper |
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Finance and Stochastics | 2017-10-23 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
On future drawdowns of Lévy processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
CONIC TRADING IN A MARKOVIAN STEADY STATE
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
On a class of dependent Sparre Andersen risk models and a bailout application
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Dynamic conic hedging for competitiveness
Mathematics and Financial Economics | 2016-09-30 | Paper |
Joint asymptotic distribution of certain path functionals of the reflected process
Electronic Communications in Probability | 2016-08-22 | Paper |
Joint asymptotic distribution of certain path functionals of the reflected process
Electronic Communications in Probability | 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
Stochastic Processes and their Applications | 2016-04-04 | Paper |
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
Journal of Applied Probability | 2016-03-11 | Paper |
Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
Journal of Applied Probability | 2016-03-11 | Paper |
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
The Annals of Applied Probability | 2015-10-20 | Paper |
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
The Annals of Applied Probability | 2015-10-20 | Paper |
The distribution of the supremum for spectrally asymmetric Lévy processes
Electronic Communications in Probability | 2015-08-17 | Paper |
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
The Annals of Applied Probability | 2015-07-27 | Paper |
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
The Annals of Applied Probability | 2015-07-27 | Paper |
American Option Valuation under Continuous-Time Markov Chains
Advances in Applied Probability | 2015-07-15 | Paper |
Buffer-overflows: joint limit laws of undershoots and overshoots of reflected processes
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Asymptotic independence of three statistics of maximal segmental scores
Statistics & Probability Letters | 2015-05-18 | Paper |
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
Insurance Mathematics & Economics | 2015-02-03 | Paper |
Two price economies in continuous time
Annals of Finance | 2014-11-13 | Paper |
Bid and ask prices as non-linear continuous time G-expectations based on distortions
Mathematics and Financial Economics | 2014-11-06 | Paper |
The valuation of structured products using Markov chain models
Quantitative Finance | 2014-02-08 | Paper |
On additive time-changes of Feller processes
Progress in Analysis and Its Applications | 2013-05-14 | Paper |
Continuously monitored barrier options under Markov processes
Mathematical Finance | 2013-02-28 | Paper |
Optimal dividend distribution under Markov regime switching
Finance and Stochastics | 2012-11-15 | Paper |
On the drawdown of completely asymmetric Lévy processes
Stochastic Processes and their Applications | 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
International Journal of Theoretical and Applied Finance | 2012-08-30 | Paper |
Equity quantile upper and lower swaps
Quantitative Finance | 2012-06-25 | Paper |
| scientific article; zbMATH DE number 5994711 (Why is no real title available?) | 2012-01-05 | Paper |
Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
International Journal of Theoretical and Applied Finance | 2011-12-28 | Paper |
Exotic derivatives under stochastic volatility models with jumps
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Pricing and hedging barrier options in a hyper-exponential additive model
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
Quantitative Finance | 2010-08-05 | Paper |
Cramér asymptotics for finite time first passage probabilities of general Lévy processes
Statistics & Probability Letters | 2009-09-14 | Paper |
On an explicit Skorokhod embedding for spectrally negative Lévy processes
Journal of Theoretical Probability | 2009-07-06 | Paper |
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Finance and Stochastics | 2009-02-28 | Paper |
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
The Annals of Applied Probability | 2009-01-13 | Paper |
A two-dimensional ruin problem on the positive quadrant
Insurance Mathematics & Economics | 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
Journal of Applied Probability | 2008-02-15 | Paper |
On the optimal dividend problem for a spectrally negative Lévy process
The Annals of Applied Probability | 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
Lecture Notes in Mathematics | 2007-10-31 | Paper |
| A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman-Kac formula, Laplace transform and its inversion | 2007-06-08 | Paper |
On Maxima and Ladder Processes for a Dense Class of Lévy Process
Journal of Applied Probability | 2006-09-25 | Paper |
On Maxima and Ladder Processes for a Dense Class of Lévy Process
Journal of Applied Probability | 2006-09-25 | Paper |
Russian and American put options under exponential phase-type Lévy models.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
On doubly reflected completely asymmetric Lévy processes.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
| scientific article; zbMATH DE number 2217836 (Why is no real title available?) | 2005-10-26 | Paper |
| scientific article; zbMATH DE number 2149874 (Why is no real title available?) | 2005-03-30 | Paper |
On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
Journal of Theoretical Probability | 2004-08-06 | Paper |
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
The Annals of Applied Probability | 2004-06-10 | Paper |
Perpetual options and Canadization through fluctuation theory
The Annals of Applied Probability | 2004-03-21 | Paper |
On an optimal consumption problem for \(p\)-integrable consumption plans
Economic Theory | 2001-08-09 | Paper |
