| Publication | Date of Publication | Type |
|---|
| Penalization schemes for BSDEs and reflected BSDEs with generalized driver | 2024-09-30 | Paper |
| Generalized BSDE and reflected BSDE with random time horizon | 2023-07-04 | Paper |
| Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs | 2022-12-24 | Paper |
| Reflected and doubly reflected BSDEs driven by RCLL martingales | 2022-09-30 | Paper |
| Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales | 2022-06-03 | Paper |
| American options in nonlinear markets | 2021-07-21 | Paper |
| Generalized BSDEs with random time horizon in a progressively enlarged filtration | 2021-05-14 | Paper |
| Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales | 2021-03-16 | Paper |
| Arbitrage-free pricing of derivatives in nonlinear market models | 2020-02-17 | Paper |
| Integral representations of martingales for progressive enlargements of filtrations | 2019-06-04 | Paper |
| Funding, repo and credit inclusive valuation as modified option pricing | 2019-02-22 | Paper |
| Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates | 2018-12-13 | Paper |
| Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model | 2018-09-18 | Paper |
| Fair bilateral pricing under funding costs and exogenous collateralization | 2018-05-25 | Paper |
| Modeling of the Defaultable Term Structure: Conditionally Markov Approach | 2017-07-12 | Paper |
| Arbitrage-free pricing of multi-person game claims in discrete time | 2017-01-12 | Paper |
| BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs | 2016-12-07 | Paper |
| A BSDE approach to fair bilateral pricing under endogenous collateralization | 2016-10-27 | Paper |
| FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION | 2016-01-08 | Paper |
| Discrete time stochastic multi-player competitive games with affine payoffs | 2015-12-08 | Paper |
| Discrete-Time Multi-Player Stopping and Quitting Games with Redistribution of Payoffs | 2015-10-21 | Paper |
| REGULATORY CAPITAL MODELING FOR CREDIT RISK | 2015-09-22 | Paper |
| Valuation and Hedging of Contracts with Funding Costs and Collateralization | 2015-08-28 | Paper |
| Hedging of a credit default swaption in the CIR default intensity model | 2014-12-17 | Paper |
| Admissibility of generic market models of forward swap rates | 2014-11-05 | Paper |
| Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection | 2014-08-28 | Paper |
| Progressive enlargements of filtrations with pseudo-honest times | 2014-08-06 | Paper |
| Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates | 2014-02-20 | Paper |
| CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK | 2014-02-11 | Paper |
| A zero-sum competitive multi-player game | 2013-01-03 | Paper |
| Convertible Bonds in a Defaultable Diffusion Model | 2012-09-07 | Paper |
| Market Models of Forward CDS Spreads | 2012-09-07 | Paper |
| Random times and multiplicative systems | 2012-06-01 | Paper |
| DEFAULTABLE OPTIONS IN A MARKOVIAN INTENSITY MODEL OF CREDIT RISK | 2011-06-09 | Paper |
| Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives | 2011-05-31 | Paper |
| Static Replication of Forward-Start Claims and Realized Variance Swaps | 2010-05-27 | Paper |
| Valuation of credit default swaptions and credit default index swaptions | 2010-01-08 | Paper |
| Defaultable game options in a hazard process model | 2009-11-23 | Paper |
| ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY | 2009-08-10 | Paper |
| FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES | 2009-08-03 | 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 |
| Completeness of a general semimartingale market under constrained trading | 2008-07-11 | Paper |
| PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES | 2008-05-20 | Paper |
| AN EXTENSION OF THE BRODY–HUGHSTON–MACRINA APPROACH TO MODELING OF DEFAULTABLE BONDS | 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 |
| 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 |
| Martingale methods in financial modelling. | 2005-01-11 | Paper |
| Dependent defaults and credit migrations | 2003-09-09 | Paper |
| Modelling of forward Libor and swap rates | 2003-02-06 | Paper |
| A note on the Flesaker-Hughston model of the term structure of interest rates | 2002-09-04 | Paper |
| Models of forward Libor and swap rates | 2002-09-04 | Paper |
| Credit risk modelling: intensity based approach | 2002-02-14 | Paper |
| A note on the Flesaker-Hughston model of the term structure of interest rates. | 2002-01-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782358 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792521 | 2002-01-01 | Paper |
| Self-financing trading strategies for sliding, rolling-horizon, and consol bonds | 2001-11-26 | Paper |
| Credit risk: Modelling, valuation and hedging | 2001-08-19 | Paper |
| Multiple ratings model of defaultable term structure. | 2001-03-29 | Paper |
| Optimality of replication in the CRR model with transaction costs | 1999-06-27 | Paper |
| Dynamics of Spot, Forward, and Futures Libor Rates | 1998-12-28 | Paper |
| Valuation and hedging of contingent claims in the HJM model with deterministic volatilities | 1998-01-25 | Paper |
| THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS1 | 1998-01-21 | Paper |
| Continuous-time term structure models: Forward measure approach | 1997-12-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4350437 | 1997-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3126060 | 1997-05-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4718261 | 1996-12-01 | Paper |
| Left and right linear innovations for a multivariate \(\text{S} \alpha \text{S}\) random variable | 1996-03-14 | Paper |
| Local times of functions of continuous semimartingales | 1995-06-21 | Paper |
| Optimal linear filtering and smoothing for a discrete-time stable linear model | 1995-02-14 | Paper |
| A simple proof for the Kalman-Bucy smoothed estimate formula | 1993-12-12 | Paper |
| On solutions of stochastic differential equations with drift | 1990-01-01 | Paper |
| Stochastic differential equations with singular drift | 1990-01-01 | Paper |
| Strong comparison of solutions of one-dimensional stochastic differential equations | 1990-01-01 | Paper |
| Fundamental solutions of stochastic differential equations with drift | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4204901 | 1989-01-01 | Paper |
| Strong solutions of stochastic differential equations involving local times | 1987-01-01 | Paper |
| A NOTE ON THE HARRISON-SHEPP STOCHASTIC EQUATION | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3732673 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3339055 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3893062 | 1980-01-01 | Paper |
| SOME PROPERTIES OF STOCHASTIC INTEGRAL EQUATION OF A MIXED VOLTERRA-STIELTJES AND ITO TYPE | 1979-01-01 | Paper |
| THE OPTIMAL STOPPING PROBLEM WITH INCOMPLETE INFORMATION | 1978-01-01 | Paper |
