| Publication | Date of Publication | Type |
|---|
A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes
Journal of Applied Probability | 2024-11-15 | Paper |
Constrained optimal stopping under a regime-switching model
Journal of Applied Probability | 2024-11-15 | Paper |
Monte Carlo simulation for Barndorff-Nielsen and Shephard model under change of measure
Mathematics and Computers in Simulation | 2024-04-16 | Paper |
| Constrained optimal stopping under a regime-switching model | 2022-04-16 | Paper |
Approximate option pricing formula for Barndorff-Nielsen and Shephard model
International Journal of Theoretical and Applied Finance | 2022-03-29 | Paper |
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models
International Journal of Theoretical and Applied Finance | 2020-01-16 | Paper |
| A Clark-Ocone type formula via Ito calculus and its application to finance | 2019-06-16 | Paper |
Optimal initial capital induced by the optimized certainty equivalent
Insurance Mathematics & Economics | 2019-03-28 | Paper |
Comparison of local risk minimization and delta hedging strategy for exponential Lévy models
JSIAM Letters | 2019-03-18 | Paper |
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Applied Mathematical Finance | 2018-12-18 | Paper |
Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models
(available as arXiv preprint) | 2018-11-27 | Paper |
Local risk-minimization for Barndorff-Nielsen and Shephard models with volatility risk premium
Advances in Mathematical Economics Volume 20 | 2018-03-05 | Paper |
On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
Japan Journal of Industrial and Applied Mathematics | 2017-12-12 | Paper |
Local risk-minimization for Barndorff-Nielsen and Shephard models
Finance and Stochastics | 2017-04-13 | Paper |
GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
Numerical analysis on local risk-minimization for exponential Lévy models
International Journal of Theoretical and Applied Finance | 2016-04-14 | Paper |
Convex risk measures for càdlàg processes on Orlicz hearts
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Convex risk measures for good deal bounds
Mathematical Finance | 2014-08-11 | Paper |
Convex risk measures on Orlicz spaces: inf-convolution and shortfall
Mathematics and Financial Economics | 2013-01-20 | Paper |
How much can investors discount?
Advances in Mathematical Economics | 2011-05-18 | Paper |
Good deal bounds induced by shortfall risk
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
Optimal hedging strategies on asymmetric functions
Advances in Mathematical Economics | 2010-01-18 | Paper |
\(q\)-optimal martingale measures for discrete time models
Asia-Pacific Financial Markets | 2009-09-25 | Paper |
$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
International Journal of Theoretical and Applied Finance | 2009-04-21 | Paper |
AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION
International Journal of Theoretical and Applied Finance | 2007-07-18 | Paper |
Some properties of the variance-optimal martingale measure for discontinuous semimartingales
Statistics & Probability Letters | 2005-09-28 | Paper |
SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES
International Journal of Theoretical and Applied Finance | 2005-08-03 | Paper |
An extension of mean-variance hedging to the discontinuous case
Finance and Stochastics | 2005-05-20 | Paper |
Minimal martingale measures for jump diffusion processes
Journal of Applied Probability | 2004-09-24 | Paper |
The relations between minimal martingale measure and minimal entropy martingale measure
Asia-Pacific Financial Markets | 2003-12-04 | Paper |
A class of semi-selfsimilar processes related to random walks in random scenery
Tokyo Journal of Mathematics | 2003-02-04 | Paper |
The \(p\)-optimal martingale measure in continuous trading models
Statistics & Probability Letters | 2002-07-10 | Paper |
Mean-variance hedging for discontinuous semimartingales.
Tokyo Journal of Mathematics | 2002-01-01 | Paper |
