| Publication | Date of Publication | Type |
|---|
| Risk filtering and risk-averse control of Markovian systems subject to model uncertainty | 2023-10-25 | Paper |
| Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources | 2023-08-10 | Paper |
| The two-sided exit problem for an additive functional of a time-inhomogeneous Markov chain | 2023-07-03 | Paper |
| Construction and simulation of generalized multivariate Hawkes processes | 2023-02-17 | Paper |
| Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility | 2023-01-02 | Paper |
| Risk-Sensitive Markov Decision Problems under Model Uncertainty: Finite Time Horizon Case | 2022-11-15 | Paper |
| Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains | 2022-07-06 | Paper |
| On Function of Evolution of Distribution for Time Homogeneous Markov Processes | 2022-06-19 | Paper |
| Semimartingales and shrinkage of filtration | 2021-11-04 | Paper |
| Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application | 2021-07-02 | Paper |
| TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION | 2021-06-01 | Paper |
| Structured Dependence between Stochastic Processes | 2020-05-25 | Paper |
| Generalized Multivariate Hawkes Processes | 2020-04-28 | Paper |
| A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time | 2020-03-11 | Paper |
| Arbitrage-free pricing of derivatives in nonlinear market models | 2020-02-17 | Paper |
| A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective | 2020-02-17 | Paper |
| Joint densities of hitting times for finite state Markov processes | 2019-05-07 | Paper |
| Adaptive Robust Control under Model Uncertainty | 2019-03-15 | Paper |
| A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK | 2019-01-10 | Paper |
| Dynamic Hedging of Counterparty Exposure | 2018-12-13 | Paper |
| A Note on Independence Copula for Conditional Markov Chains | 2018-03-06 | Paper |
| Recursive construction of confidence regions | 2017-12-08 | Paper |
| Modeling of the Defaultable Term Structure: Conditionally Markov Approach | 2017-07-12 | Paper |
| Risk-Sensitive ICAPM With Application to Fixed-Income Management | 2017-07-12 | Paper |
| Conditional Markov chains: properties, construction and structured dependence | 2017-03-20 | Paper |
| Dynamic assessment indices | 2016-05-04 | Paper |
| Dynamic Conic Finance via Backward Stochastic Difference Equations | 2015-12-09 | Paper |
| Dynamic Limit Growth Indices in Discrete Time | 2015-10-20 | Paper |
| NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS | 2015-10-20 | Paper |
| Valuation and Hedging of Contracts with Funding Costs and Collateralization | 2015-08-28 | Paper |
| Conditional Markov chains – construction and properties | 2015-07-28 | Paper |
| A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective | 2015-06-19 | Paper |
| A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part II: Common-Shock Interpretation, Calibration and Hedging Issues | 2015-06-19 | Paper |
| Conditional Markov Chains Revisited Part I: Construction and properties | 2015-01-22 | Paper |
| Conditional Markov Chains Part II: Consistency and Copulae | 2015-01-22 | Paper |
| Hedging of a credit default swaption in the CIR default intensity model | 2014-12-17 | Paper |
| Dynamic coherent acceptability indices and their applications to finance | 2014-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5169724 | 2014-07-11 | Paper |
| Dynamic hedging of portfolio credit risk in a Markov copula model | 2014-06-30 | Paper |
| A Bottom-Up Dynamic Model of Portfolio Credit Risk with Stochastic Intensities and Random Recoveries | 2014-06-11 | Paper |
| Joint Hitting-Time Densities for Finite State Markov Processes | 2014-02-27 | Paper |
| Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae | 2014-01-17 | Paper |
| COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS | 2013-06-24 | Paper |
| Counterparty Risk and the Impact of Collateralization in CDS Contracts | 2013-06-12 | Paper |
| DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES | 2013-04-22 | Paper |
| Convertible Bonds in a Defaultable Diffusion Model | 2012-09-07 | Paper |
| VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL | 2012-04-24 | Paper |
| Study of dependence for some stochastic processes: symbolic Markov copulae | 2012-03-22 | Paper |
| DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK | 2011-06-09 | Paper |
| Up and down credit risk | 2010-12-20 | Paper |
| Defaultable game options in a hazard process model | 2009-11-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613979 | 2009-03-16 | Paper |
| Arbitrage pricing of defaultable game options with applications to convertible bonds | 2009-02-23 | Paper |
| Pricing and trading credit default swaps in a hazard process model | 2009-01-13 | Paper |
| Study of Dependence for Some Stochastic Processes | 2008-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511641 | 2008-07-11 | Paper |
| Portfolio optimization with a defaultable security | 2007-08-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5297383 | 2007-07-18 | Paper |
| Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices | 2007-02-15 | Paper |
| Hedging of Credit Derivatives in Models with Totally Unexpected Default | 2006-09-18 | Paper |
| CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION | 2006-02-08 | Paper |
| OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND | 2005-12-15 | Paper |
| PDE approach to valuation and hedging of credit derivatives | 2005-12-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4657105 | 2005-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160495 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160496 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3158097 | 2005-01-20 | Paper |
| Dependent defaults and credit migrations | 2003-09-09 | Paper |
| Risk-sensitive dynamic asset management | 2002-05-07 | Paper |
| Credit risk modelling: intensity based approach | 2002-02-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792530 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792521 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741097 | 2001-09-09 | Paper |
| Credit risk: Modelling, valuation and hedging | 2001-08-19 | Paper |
| Multiple ratings model of defaultable term structure. | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407993 | 2001-01-01 | Paper |
| Risk sensitive asset allocation | 2000-08-21 | Paper |
| Review of Virtual Distortion Method and Its Applications to Fast Redesign and Sensitivity Analysis | 2000-05-25 | Paper |
| Risk sensitive asset management with transaction costs | 2000-05-24 | Paper |
| Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management | 2000-05-17 | Paper |
| Wavelet representations of general signals | 2000-01-09 | Paper |
| Ergodic control of a singularly perturbed Markov process in discrete time with general state and compact action spaces | 1998-12-07 | Paper |
| Approximations of dynamic Nash games with general state and action spaces and ergodic costs for the players | 1997-03-05 | Paper |
| The linear-Quadratic Control Problem Revisited | 1996-08-15 | Paper |
| Algorithms for singularly perturbed limiting average Markov control problems | 1993-01-16 | Paper |
| Singulary perturbed Markov control problem: Limiting average cost | 1992-06-25 | Paper |
| Adaptive control of continuous-time linear stochastic systems with discounted cost criterion | 1991-01-01 | Paper |
| On ergodic control problems for singularly perturbed Markov processes | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3496273 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3494842 | 1989-01-01 | Paper |
| Optimality of Zero-Inventory Policies for Unreliable Manufacturing Systems | 1988-01-01 | Paper |
| On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators | 1988-01-01 | Paper |
| Adaptive control of a Markov chain over a finite parameter set without continuity assumptions on the control laws | 1986-01-01 | Paper |
