| Publication | Date of Publication | Type |
|---|
| Optimal extension to Sobolev rough paths | 2023-10-13 | Paper |
| A Sobolev rough path extension theorem via regularity structures | 2023-08-21 | Paper |
| Ramifications of generalized Feller theory | 2023-08-07 | Paper |
| Signature SDEs from an affine and polynomial perspective | 2023-02-02 | Paper |
| Ergodic robust maximization of asymptotic growth under stochastic volatility | 2022-11-28 | Paper |
| Deep Neural Networks, Generic Universal Interpolation, and Controlled ODEs | 2022-03-01 | Paper |
| A deep learning model for gas storage optimization | 2022-01-06 | Paper |
| Stochastic analysis with modelled distributions | 2021-08-12 | Paper |
| Optimal Stopping via Randomized Neural Networks | 2021-04-28 | Paper |
| Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case | 2021-04-27 | Paper |
| On Sobolev rough paths | 2021-03-03 | Paper |
| A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting | 2020-11-05 | Paper |
| Discrete-time signatures and randomness in reservoir computing | 2020-09-17 | Paper |
| Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering | 2020-06-08 | Paper |
| Markovian lifts of positive semidefinite affine Volterra-type processes | 2020-01-31 | Paper |
| Linearized filtering of affine processes using stochastic Riccati equations | 2020-01-24 | Paper |
| Characterization of nonlinear Besov spaces | 2019-12-18 | Paper |
| A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility | 2018-12-11 | Paper |
| The Gärtner-Ellis Theorem, Homogenization, and Affine Processes | 2018-12-11 | Paper |
| An elementary proof of the reconstruction theorem | 2018-12-07 | Paper |
| Consistent recalibration of yield curve models | 2018-08-16 | Paper |
| CONSISTENT YIELD CURVE PREDICTION | 2018-06-04 | Paper |
| Discrete Time Term Structure Theory and Consistent Recalibration Models | 2018-03-12 | Paper |
| No Arbitrage Theory for Bond Markets | 2017-07-31 | Paper |
| FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES | 2017-05-16 | Paper |
| Parabolic Free Boundary Price Formation Models Under Market Size Fluctuations | 2016-12-13 | Paper |
| A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets | 2016-12-07 | Paper |
| Affine processes on symmetric cones | 2016-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2807982 | 2016-05-25 | Paper |
| A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing | 2015-11-09 | Paper |
| Exotic one-parameter semigroups of endomorphisms of a symmetric cone | 2015-05-06 | Paper |
| Pathwise construction of affine processes | 2014-12-25 | Paper |
| Cubature methods for stochastic (partial) differential equations in weighted spaces | 2014-12-17 | Paper |
| Fourier transform methods for pathwise covariance estimation in the presence of jumps | 2014-11-07 | Paper |
| A heat kernel approach to interest rate models | 2014-08-29 | Paper |
| Invariant manifolds with boundary for jump-diffusions | 2014-06-27 | Paper |
| Efficient Simulation and Calibration of General HJM Models by Splitting Schemes | 2014-01-23 | Paper |
| Regularity of affine processes on general state spaces | 2014-01-17 | Paper |
| Path Properties and Regularity of Affine Processes on General State Spaces | 2013-11-28 | Paper |
| Smooth perfectness for the group of diffeomorphisms | 2013-11-14 | Paper |
| THE AFFINE LIBOR MODELS | 2013-10-11 | Paper |
| When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms | 2013-09-30 | Paper |
| Polynomial processes and their applications to mathematical finance | 2012-12-07 | Paper |
| A new extrapolation method for weak approximation schemes with applications | 2012-07-08 | Paper |
| Affine processes are regular | 2012-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3111561 | 2012-01-18 | Paper |
| ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS | 2011-10-11 | Paper |
| Weak and strong Taylor methods for numerical solutions of stochastic differential equations | 2011-06-09 | Paper |
| Affine processes on positive semidefinite matrices | 2011-05-11 | Paper |
| Jump-diffusions in Hilbert spaces: existence, stability and numerics | 2011-03-11 | Paper |
| A Semigroup Point Of View On Splitting Schemes For Stochastic (Partial) Differential Equations | 2010-11-11 | Paper |
| Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity | 2010-08-11 | Paper |
| Cubature on Wiener space in infinite dimension | 2010-05-19 | Paper |
| Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems | 2010-03-12 | Paper |
| Non-monotone convergence in the quadratic Wasserstein distance | 2009-12-18 | Paper |
| Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance | 2009-09-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3397727 | 2009-09-24 | Paper |
| Characterization of optimal transport plans for the Monge-Kantorovich problem | 2009-02-25 | Paper |
| Affine Models | 2008-09-11 | Paper |
| Ornstein-Uhlenbeck processes on Lie groups | 2008-09-01 | Paper |
| HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? | 2008-05-22 | Paper |
| Calculating the Greeks by cubature formulae | 2008-05-22 | Paper |
| The proof of Tchakaloff’s Theorem | 2006-06-21 | Paper |
| A hyper-geometric approach to the BMV-conjecture | 2006-01-10 | Paper |
| Hypoellipticity in infinite dimensions and an application in interest rate theory | 2005-11-08 | Paper |
| A NOTE ON NONAFFINE SOLUTIONS OF TERM STRUCTURE EQUATIONS WITH APPLICATIONS TO POWER EXCHANGES | 2005-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5461993 | 2005-07-27 | Paper |
| On the geometry of the term structure of interest rates | 2004-08-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4789235 | 2003-12-08 | Paper |
| Hille-Yosida theory in convenient analysis. | 2003-09-23 | Paper |
| A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL | 2003-08-13 | Paper |
| Smooth perfectness through decomposition of diffeomorphisms into fiber preserving ones | 2003-04-27 | Paper |
| Existence of invariant manifolds for stochastic equations in infinite dimension | 2003-04-09 | Paper |
| Regularity of finite-dimensional realizations for evolution equations | 2003-04-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4534687 | 2003-03-18 | Paper |
| Regularity of infinite-dimensional Lie groups by metric space methods | 2003-03-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4796254 | 2003-03-03 | Paper |
| Totally geodesic subgroups of diffeomorphisms | 2002-07-11 | Paper |
| A Frobenius theorem on convenient manifolds | 2002-06-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2730490 | 2001-08-15 | Paper |
