| Publication | Date of Publication | Type |
|---|
| Probabilistic interpretation of black implied volatility | 2024-09-06 | Paper |
| Convex duality in continuous option pricing models | 2024-06-04 | Paper |
| Optionality as a binary operation | 2023-09-27 | Paper |
| Option pricing generators | 2023-07-25 | Paper |
| Decomposing Long Bond Returns: A Decentralized Theory | 2023-06-30 | Paper |
| Static replication of European standard dispersion options | 2022-05-27 | Paper |
| A functional analysis approach to the static replication of European options | 2021-12-01 | Paper |
| Additive logistic processes in option pricing | 2021-11-02 | Paper |
| Spiking the Volatility Punch | 2021-06-21 | Paper |
| Two extensions to barrier option valuation | 2021-06-18 | Paper |
| Why is VIX a fear gauge? | 2019-03-12 | Paper |
| From local volatility to local Lévy models | 2019-01-15 | Paper |
| Optimal positioning in derivative securities | 2019-01-14 | Paper |
| Convex Duality and Financial Mathematics | 2018-06-29 | Paper |
| Randomization and the American Put | 2018-04-06 | Paper |
| LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES | 2017-03-13 | Paper |
| Hedging insurance books | 2016-12-13 | Paper |
| On the hedging of options on exploding exchange rates | 2014-11-14 | Paper |
| Why are quadratic normal volatility models analytically tractable? | 2014-01-23 | Paper |
| Options on realized variance and convex orders | 2013-12-13 | Paper |
| Variation and share-weighted variation swaps on time-changed Lévy processes | 2013-11-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4913890 | 2013-04-17 | Paper |
| Factor models for option pricing | 2013-01-29 | Paper |
| Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles | 2013-01-25 | Paper |
| Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models | 2013-01-11 | Paper |
| Static Hedging under Time-Homogeneous Diffusions | 2012-04-19 | Paper |
| MAXIMUM DRAWDOWN INSURANCE | 2012-03-13 | Paper |
| SEMI-STATIC HEDGING OF BARRIER OPTIONS UNDER POISSON JUMPS | 2011-12-28 | Paper |
| A PDE approach to jump-diffusions | 2011-04-29 | Paper |
| MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS | 2011-02-02 | Paper |
| A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options | 2010-12-20 | Paper |
| TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING | 2010-10-15 | Paper |
| Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case | 2010-09-16 | Paper |
| Local Volatility Enhanced by a Jump to Default | 2010-02-03 | Paper |
| Saddlepoint methods for option pricing | 2009-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506190 | 2009-01-28 | Paper |
| HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT | 2008-08-26 | Paper |
| SELF-DECOMPOSABILITY AND OPTION PRICING | 2007-06-08 | Paper |
| Generating integrable one dimensional driftless diffusions | 2006-12-14 | Paper |
| A jump to default extended CEV model: an application of Bessel processes | 2006-12-08 | Paper |
| Pricing options on realized variance | 2006-05-24 | Paper |
| THE FORWARD PDE FOR EUROPEAN OPTIONS ON STOCKS WITH FIXED FRACTIONAL JUMPS | 2005-05-06 | Paper |
| Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options | 2004-12-16 | Paper |
| Stochastic Volatility for Lévy Processes | 2004-08-23 | Paper |
| Determining volatility surfaces and option values from an implied volatility smile | 2003-06-19 | Paper |
| Towards a theory of volatility trading | 2002-08-19 | Paper |
| Optimal investment in derivative securities | 2001-09-16 | Paper |
| Simulating Bermudan interest rate derivatives | 2001-07-12 | Paper |
| On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited | 2001-02-09 | Paper |
| The Valuation of Executive Stock Options in an Intensity-Based Framework * | 2000-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356583 | 1998-11-01 | Paper |
| The Variance Gamma Process and Option Pricing | 1998-01-01 | Paper |
| ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS | 1997-08-31 | Paper |
