| Publication | Date of Publication | Type |
|---|
Constant proportion performance participation
Quantitative Finance | 2026-04-15 | Paper |
Value-at-risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Annals of Operations Research | 2025-05-15 | Paper |
Optimal consumption and investment in general affine GARCH models
OR Spectrum | 2024-10-09 | Paper |
The power of derivatives in portfolio optimization under affine GARCH models
Decisions in Economics and Finance | 2024-08-01 | Paper |
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
ASTIN Bulletin | 2024-04-30 | Paper |
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
Quantitative Finance | 2024-04-12 | Paper |
A multi-curve HJM factor model for pricing and risk management
Quantitative Finance | 2023-12-14 | Paper |
Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies
Decisions in Economics and Finance | 2023-11-17 | Paper |
Correction to: ``Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies''
Decisions in Economics and Finance | 2023-11-17 | Paper |
Dynamic surplus optimization with performance- and index-linked liabilities
European Actuarial Journal | 2023-01-09 | Paper |
Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees
European Actuarial Journal | 2023-01-09 | Paper |
Expected utility theory on general affine GARCH models
Applied Mathematical Finance | 2022-10-18 | Paper |
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Optimal HARA investments with terminal VaR constraints
Advances in Operations Research | 2022-07-13 | Paper |
Portfolio optimization with wealth-dependent risk constraints
Scandinavian Actuarial Journal | 2022-05-05 | Paper |
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Mathematical Methods of Operations Research | 2022-04-08 | Paper |
Hawkes processes in insurance: risk model, application to empirical data and optimal investment
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Mathematics and Financial Economics | 2021-05-05 | Paper |
Behavioral portfolio choice under hyperbolic absolute risk aversion
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
Portfolio optimization under Solvency II
Annals of Operations Research | 2020-01-20 | Paper |
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
The LIBOR market model: a Markov-switching jump diffusion extension
International Series in Operations Research & Management Science | 2018-12-21 | Paper |
HARA utility maximization in a Markov-switching bond-stock market
Quantitative Finance | 2018-11-19 | Paper |
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Quantitative Finance | 2018-11-14 | Paper |
The Markov-switching jump diffusion LIBOR market model
Quantitative Finance | 2018-09-19 | Paper |
Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
Applied Mathematical Finance | 2018-09-12 | Paper |
Closed-form pricing of two-asset barrier options with stochastic covariance
Applied Mathematical Finance | 2018-09-11 | Paper |
Two asset-barrier option under stochastic volatility
Applied Mathematical Finance | 2018-04-06 | Paper |
Optimal investment with transaction costs under cumulative prospect theory in discrete time
Mathematics and Financial Economics | 2017-12-29 | Paper |
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
ACM Transactions on Mathematical Software | 2017-06-30 | Paper |
Stochastic covariance and dimension reduction in the pricing of basket options
Review of Derivatives Research | 2016-12-02 | Paper |
Closed-form solutions for guaranteed minimum accumulation and death benefits
European Actuarial Journal | 2016-08-22 | Paper |
Optimal investment in multidimensional Markov-modulated affine models
Annals of Finance | 2016-01-07 | Paper |
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
Pricing two-asset barrier options under stochastic correlation via perturbation
International Journal of Theoretical and Applied Finance | 2015-06-29 | Paper |
The crash-NIG factor model
European Actuarial Journal | 2015-01-22 | Paper |
| Lévy-based Heath-Jarrow-Morton interest rate derivatives: change of time method and PIDEs | 2014-02-07 | Paper |
An intensity-based approach for equity modeling
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
CIID frailty models and implied copulas
Copulae in Mathematical and Quantitative Finance | 2013-09-20 | Paper |
Multidimensional structural credit modeling under stochastic volatility
ISRN Probability and Statistics | 2013-08-29 | Paper |
Modeling and managing portfolios including listed private equity
Computers & Operations Research | 2012-11-15 | Paper |
Pricing credit derivatives under stochastic recovery in a hybrid model
Applied Stochastic Models in Business and Industry | 2011-11-26 | Paper |
| Option on a CPPI | 2011-11-15 | Paper |
Stochastic dominance of portfolio insurance strategies OBPI versus CPPI
Annals of Operations Research | 2011-08-25 | Paper |
Pricing distressed CDOs with stochastic recovery
Review of Derivatives Research | 2011-06-07 | Paper |
A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
International Journal of Theoretical and Applied Finance | 2011-04-27 | Paper |
Comparison and robustification of Bayes and Black-Litterman models
Mathematical Methods of Operations Research | 2010-09-08 | Paper |
| Modeling and pricing credit derivatives | 2010-09-02 | Paper |
| Hedge funds as knock-out options | 2010-09-02 | Paper |
Pricing a CDO on stochastically correlated underlyings
Quantitative Finance | 2010-04-23 | Paper |
| Fit for leverage -- modelling of hedge fund returns in view of risk management purposes | 2010-04-15 | Paper |
The price of liquidity in constant leverage strategies
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
Valuation of mortgage-backed securities and mortgage derivatives: a closed-form approximation
Applied Mathematical Finance | 2010-01-25 | Paper |
Pricing of spread options on stochastically correlated underlyings
The Journal of Computational Finance | 2009-11-10 | Paper |
Empirical Evaluation of Hybrid Defaultable Bond Pricing Models
Applied Mathematical Finance | 2008-09-05 | Paper |
| Portfolio optimization under liquidity costs | 2008-03-06 | Paper |
Integrated portfolio management with options
European Journal of Operational Research | 2007-12-10 | Paper |
Using scenario analysis for risk management
AStA. Allgemeines Statistisches Archiv | 2005-10-11 | Paper |
| scientific article; zbMATH DE number 2150980 (Why is no real title available?) | 2005-04-04 | Paper |
Portfolio optimization under credit risk
Computational Statistics | 2004-03-16 | Paper |
Interest-rate management
Springer Finance | 2001-08-19 | Paper |
Portfolio optimization: Volatility constraints versus shortfall constraints
OR Spektrum | 1999-06-30 | Paper |
The effect of information in separable Bayesian semi-Markov control models and its application to investment planning
ZOR Zeitschrift f�r Operations Research Mathematical Methods of Operations Research | 1996-05-12 | Paper |
A new form of Jensen's inequality and its application to statistical experiments
The Journal of the Australian Mathematical Society. Series B. Applied Mathematics | 1995-12-12 | Paper |
Monotonicity and bounds for convex stochastic control models
ZOR Zeitschrift f� Operations Research Methods and Models of Operations Research | 1994-06-19 | Paper |
