| Publication | Date of Publication | Type |
|---|
| A note on portfolios of averages of lognormal variables | 2023-10-12 | Paper |
| Annuity and insurance choice under habit formation | 2022-07-15 | Paper |
| Asset Allocation with Hedge Funds on the Menu | 2022-01-10 | Paper |
| Improving Risk Sharing and Borrower Incentives in Mortgage Design | 2019-12-18 | Paper |
| Positive Weights on the Efficient Frontier | 2019-05-28 | Paper |
| Short Positions in the First Principal Component Portfolio | 2018-06-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4568087 | 2018-06-15 | Paper |
| Application of high-precision computing for pricing arithmetic asian options | 2017-02-03 | Paper |
| Pricing Bermudan options using low-discrepancy mesh methods | 2014-02-20 | Paper |
| Optimal design of equity-linked products with a probabilistic constraint | 2011-02-22 | Paper |
| The design of equity-indexed annuities | 2009-01-16 | Paper |
| Computation of optimal portfolios using simulation-based dimension reduction | 2009-01-16 | Paper |
| Prices and sensitivities of Asian options: A survey | 2008-08-22 | Paper |
| Pricing Options Using Lattice Rules | 2008-08-12 | Paper |
| PORTFOLIO MANAGEMENT WITH CONSTRAINTS | 2007-11-21 | Paper |
| Pricing exotic options under regime switching | 2007-09-03 | Paper |
| Derivatives: the tools that changed finance. | 2006-12-21 | Paper |
| Portfolio selection with skewness | 2006-02-13 | Paper |
| Dynamic Fund Protection | 2006-01-13 | Paper |
| Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products | 2006-01-13 | Paper |
| Optimal Portfolio Selection with Transaction Costs | 2006-01-13 | Paper |
| The 1/n Pension Investment Puzzle | 2006-01-06 | Paper |
| Guaranteed Annuity Options | 2005-03-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4453498 | 2004-03-07 | Paper |
| An improved simulation method for pricing high-dimensional American derivatives. | 2003-05-19 | Paper |
| Calibrating the Black-Derman-Toy model: some theoretical results | 2002-09-05 | Paper |
| An explicit finite difference approach to the pricing of barrier options | 2002-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4549498 | 2002-08-28 | Paper |
| Monte Carlo methods for security pricing | 2002-08-25 | Paper |
| The Riccati equation in mathematical finance. | 2002-06-11 | Paper |
| Volatility estimation from observed option prices | 2002-03-11 | Paper |
| Pricing of new securities in an incomplete market: The catch 22 of no-arbitrage pricing | 2001-11-26 | Paper |
| Applications of randomized low discrepancy sequences to the valuation of complex securities | 2000-10-26 | Paper |
| Monte Carlo methods for security pricing | 1998-07-22 | Paper |
| Reserving for maturity guarantees: Two approaches | 1998-03-17 | Paper |
| Asset allocation with time variation in expected returns | 1998-03-17 | Paper |
| Quasi-Monte Carlo Methods in Numerical Finance | 1997-11-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4834783 | 1995-06-12 | Paper |
| Valuation of derivative securities involving several assets using discrete time methods | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3323634 | 1984-01-01 | Paper |
| The poisson-exponential model and the Non-Central Chi-squared distribution | 1978-01-01 | Paper |
