| Publication | Date of Publication | Type |
|---|
| Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model | 2024-04-12 | Paper |
| A multi-curve HJM factor model for pricing and risk management | 2023-12-14 | Paper |
| Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies | 2023-11-17 | Paper |
| Correction to: ``Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies | 2023-11-17 | Paper |
| Dynamic surplus optimization with performance- and index-linked liabilities | 2023-01-09 | Paper |
| Optimal investment strategies for pension funds with regulation-conform dynamic pension payment management in the absence of guarantees | 2023-01-09 | Paper |
| Expected Utility Theory on General Affine GARCH Models | 2022-10-18 | Paper |
| Decrease of capital guarantees in life insurance products: can reinsurance stop it? | 2022-07-15 | Paper |
| Optimal HARA investments with terminal VaR constraints | 2022-07-13 | Paper |
| Portfolio optimization with wealth-dependent risk constraints | 2022-05-05 | Paper |
| Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation | 2022-04-08 | Paper |
| Hawkes processes in insurance: risk model, application to empirical data and optimal investment | 2021-11-19 | Paper |
| Optimal life-cycle consumption and investment decisions under age-dependent risk preferences | 2021-05-05 | Paper |
| BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION | 2021-03-16 | Paper |
| Portfolio optimization under Solvency II | 2020-01-20 | Paper |
| Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements | 2019-02-08 | Paper |
| The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension | 2018-12-21 | Paper |
| HARA utility maximization in a Markov-switching bond–stock market | 2018-11-19 | Paper |
| Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity | 2018-11-14 | Paper |
| The Markov-switching jump diffusion LIBOR market model | 2018-09-19 | Paper |
| Stochastic Correlation and Volatility Mean-reversion– Empirical Motivation and Derivatives Pricing via Perturbation Theory | 2018-09-12 | Paper |
| Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance | 2018-09-11 | Paper |
| Two asset-barrier option under stochastic volatility | 2018-04-06 | Paper |
| Optimal investment with transaction costs under cumulative prospect theory in discrete time | 2017-12-29 | Paper |
| Algorithm 963 | 2017-06-30 | Paper |
| Stochastic covariance and dimension reduction in the pricing of basket options | 2016-12-02 | Paper |
| Closed-form solutions for guaranteed minimum accumulation and death benefits | 2016-08-22 | Paper |
| Optimal investment in multidimensional Markov-modulated affine models | 2016-01-07 | Paper |
| PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING | 2015-09-22 | Paper |
| PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION | 2015-06-29 | Paper |
| The crash-NIG factor model | 2015-01-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5746585 | 2014-02-07 | Paper |
| An intensity-based approach for equity modeling | 2013-11-15 | Paper |
| CIID Frailty Models and Implied Copulas | 2013-09-20 | Paper |
| Multidimensional structural credit modeling under stochastic volatility | 2013-08-29 | Paper |
| Modeling and managing portfolios including listed private equity | 2012-11-15 | Paper |
| Pricing credit derivatives under stochastic recovery in a hybrid model | 2011-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3097031 | 2011-11-15 | Paper |
| Stochastic dominance of portfolio insurance strategies OBPI versus CPPI | 2011-08-25 | Paper |
| Pricing distressed CDOs with stochastic recovery | 2011-06-07 | Paper |
| A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES | 2011-04-27 | Paper |
| Comparison and robustification of Bayes and Black-Litterman models | 2010-09-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3581635 | 2010-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3581638 | 2010-09-02 | Paper |
| Pricing a CDO on stochastically correlated underlyings | 2010-04-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3551415 | 2010-04-15 | Paper |
| The price of liquidity in constant leverage strategies | 2010-01-27 | Paper |
| Valuation of Mortgage-Backed Securities and Mortgage Derivatives: A Closed-Form Approximation | 2010-01-25 | Paper |
| Pricing of spread options on stochastically correlated underlyings | 2009-11-10 | Paper |
| Empirical Evaluation of Hybrid Defaultable Bond Pricing Models | 2008-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5446112 | 2008-03-06 | Paper |
| Integrated portfolio management with options | 2007-12-10 | Paper |
| Using scenario analysis for risk management | 2005-10-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4660477 | 2005-04-04 | Paper |
| Portfolio optimization under credit risk | 2004-03-16 | Paper |
| Interest-rate management | 2001-08-19 | Paper |
| Portfolio optimization: Volatility constraints versus shortfall constraints | 1999-06-30 | Paper |
| The effect of information in separable Bayesian semi-Markov control models and its application to investment planning | 1996-05-12 | Paper |
| A new form of Jensen's inequality and its application to statistical experiments | 1995-12-12 | Paper |
| Monotonicity and bounds for convex stochastic control models | 1994-06-19 | Paper |
