| Publication | Date of Publication | Type |
|---|
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Mathematical Methods of Operations Research | 2023-10-25 | Paper |
Multivariate Hawkes processes with simultaneous occurrence of excitation events coming from different sources
Stochastic Models | 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
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Wiener-Hopf factorization for arithmetic Brownian motion with time-dependent drift and volatility
Stochastic Processes and their Applications | 2023-01-02 | Paper |
Risk-sensitive Markov decision problems under model uncertainty: finite time horizon case
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Wiener-Hopf factorization technique for time-inhomogeneous finite Markov chains
Stochastics | 2022-07-06 | Paper |
On Function of Evolution of Distribution for Time Homogeneous Markov Processes
| 2022-06-19 | Paper |
Semimartingales and shrinkage of filtration
The Annals of Applied Probability | 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
International Journal of Theoretical and Applied Finance | 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
Mathematics of Operations Research | 2020-03-11 | Paper |
Arbitrage-free pricing of derivatives in nonlinear market models
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Joint densities of hitting times for finite state Markov processes
Turkish Journal of Mathematics | 2019-05-07 | Paper |
Adaptive robust control under model uncertainty
SIAM Journal on Control and Optimization | 2019-03-15 | Paper |
A dynamic model of central counterparty risk
International Journal of Theoretical and Applied Finance | 2019-01-10 | Paper |
Dynamic hedging of counterparty exposure
Inspired by Finance | 2018-12-13 | Paper |
A note on independence copula for conditional Markov chains
Recent Progress and Modern Challenges in Applied Mathematics, Modeling and Computational Science | 2018-03-06 | Paper |
Recursive construction of confidence regions
Electronic Journal of Statistics | 2017-12-08 | Paper |
Modeling of the Defaultable Term Structure: Conditionally Markov Approach
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Risk-Sensitive ICAPM With Application to Fixed-Income Management
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Conditional Markov chains: properties, construction and structured dependence
Stochastic Processes and their Applications | 2017-03-20 | Paper |
Dynamic assessment indices
Stochastics | 2016-05-04 | Paper |
Dynamic conic finance via backward stochastic difference equations
SIAM Journal on Financial Mathematics | 2015-12-09 | Paper |
Dynamic Limit Growth Indices in Discrete Time
Stochastic Models | 2015-10-20 | Paper |
No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Mathematical Finance | 2015-10-20 | Paper |
Valuation and hedging of contracts with funding costs and collateralization
SIAM Journal on Financial Mathematics | 2015-08-28 | Paper |
Conditional Markov chains -- construction and properties
Banach Center Publications | 2015-07-28 | Paper |
A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective
Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues
Recent Advances in Financial Engineering 2012 | 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
Finance and Stochastics | 2014-12-17 | Paper |
Dynamic coherent acceptability indices and their applications to finance
Mathematical Finance | 2014-08-11 | Paper |
Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
| 2014-07-11 | Paper |
Dynamic hedging of portfolio credit risk in a Markov copula model
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries
Communications in Statistics: Theory and Methods | 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
Electronic Journal of Probability | 2014-01-17 | Paper |
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
International Journal of Theoretical and Applied Finance | 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
International Journal of Theoretical and Applied Finance | 2013-04-22 | Paper |
Convertible bonds in a defaultable diffusion model
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Valuation and hedging of CDS counterparty exposure in a Markov copula model
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Study of dependence for some stochastic processes: symbolic Markov copulae
Stochastic Processes and their Applications | 2012-03-22 | Paper |
Defaultable options in a Markovian intensity model of credit risk
Mathematical Finance | 2011-06-09 | Paper |
Up and down credit risk
Quantitative Finance | 2010-12-20 | Paper |
Defaultable game options in a hazard process model
Journal of Applied Mathematics and Stochastic Analysis | 2009-11-23 | Paper |
Indifference pricing of defaultable claims
| 2009-03-16 | Paper |
Arbitrage pricing of defaultable game options with applications to convertible bonds
Quantitative Finance | 2009-02-23 | Paper |
Pricing and trading credit default swaps in a hazard process model
The Annals of Applied Probability | 2009-01-13 | Paper |
Study of Dependence for Some Stochastic Processes
Stochastic Analysis and Applications | 2008-08-07 | Paper |
Completeness of a general semimartingale market under constrained trading
| 2008-07-11 | Paper |
Portfolio optimization with a defaultable security
Asia-Pacific Financial Markets | 2007-08-27 | Paper |
Extended generators of Markov processes and applications
| 2007-07-18 | Paper |
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
Stochastic Models | 2007-02-15 | Paper |
Hedging of Credit Derivatives in Models with Totally Unexpected Default
Stochastic Processes and Applications to Mathematical Finance | 2006-09-18 | Paper |
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Mathematical Finance | 2006-02-08 | Paper |
OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
International Journal of Theoretical and Applied Finance | 2005-12-15 | Paper |
PDE approach to valuation and hedging of credit derivatives
Quantitative Finance | 2005-12-09 | Paper |
scientific article; zbMATH DE number 2144815 (Why is no real title available?)
| 2005-03-14 | Paper |
scientific article; zbMATH DE number 2133104 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2133105 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2130502 (Why is no real title available?)
| 2005-01-20 | Paper |
Dependent defaults and credit migrations
Applicationes Mathematicae | 2003-09-09 | Paper |
Risk-sensitive dynamic asset management
Applied Mathematics and Optimization | 2002-05-07 | Paper |
Credit risk modelling: intensity based approach
| 2002-02-14 | Paper |
scientific article; zbMATH DE number 1867096 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 1867087 (Why is no real title available?)
| 2002-01-01 | Paper |
scientific article; zbMATH DE number 1642336 (Why is no real title available?)
| 2001-09-09 | Paper |
Credit risk: Modelling, valuation and hedging
Springer Finance | 2001-08-19 | Paper |
Multiple ratings model of defaultable term structure.
Mathematical Finance | 2001-03-29 | Paper |
scientific article; zbMATH DE number 1944676 (Why is no real title available?)
| 2001-01-01 | Paper |
Risk sensitive asset allocation
Journal of Economic Dynamics and Control | 2000-08-21 | Paper |
Review of Virtual Distortion Method and Its Applications to Fast Redesign and Sensitivity Analysis
International Journal of Nonlinear Sciences and Numerical Simulation | 2000-05-25 | Paper |
Risk sensitive asset management with transaction costs
Finance and Stochastics | 2000-05-24 | Paper |
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Mathematical Methods of Operations Research | 2000-05-17 | Paper |
Wavelet representations of general signals
Nonlinear Analysis: Theory, Methods & Applications | 2000-01-09 | Paper |
Ergodic control of a singularly perturbed Markov process in discrete time with general state and compact action spaces
Applied Mathematics and Optimization | 1998-12-07 | Paper |
Approximations of dynamic Nash games with general state and action spaces and ergodic costs for the players
Applicationes Mathematicae | 1997-03-05 | Paper |
The linear-Quadratic Control Problem Revisited
SIAM Journal on Control and Optimization | 1996-08-15 | Paper |
Algorithms for singularly perturbed limiting average Markov control problems
IEEE Transactions on Automatic Control | 1993-01-16 | Paper |
Singulary perturbed Markov control problem: Limiting average cost
Annals of Operations Research | 1992-06-25 | Paper |
Adaptive control of continuous-time linear stochastic systems with discounted cost criterion
Journal of Optimization Theory and Applications | 1991-01-01 | Paper |
On ergodic control problems for singularly perturbed Markov processes
Applied Mathematics and Optimization | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4170818 (Why is no real title available?)
| 1989-01-01 | Paper |
scientific article; zbMATH DE number 4168248 (Why is no real title available?)
| 1989-01-01 | Paper |
Optimality of Zero-Inventory Policies for Unreliable Manufacturing Systems
Operations Research | 1988-01-01 | Paper |
On some problems arising in asymptotic analysis of Markov processes with singularly perturbed generators
Stochastic Analysis and Applications | 1988-01-01 | Paper |
Adaptive control of a Markov chain over a finite parameter set without continuity assumptions on the control laws
IEEE Transactions on Automatic Control | 1986-01-01 | Paper |
