| Publication | Date of Publication | Type |
|---|
Optimal Stopping with Randomly Arriving Opportunities to Stop
| 2023-11-18 | Paper |
Exact solutions and approximations for optimal investment strategies and indifference prices
SIAM Journal on Financial Mathematics | 2022-05-31 | Paper |
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Journal of Econometrics | 2020-05-21 | Paper |
The impact of multiple structural changes on mortality predictions
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
A Bayesian joint model for population and portfolio-specific mortality
ASTIN Bulletin | 2018-06-04 | Paper |
Optimal investment and consumption when allowing terminal debt
European Journal of Operational Research | 2018-02-16 | Paper |
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard
European Actuarial Journal | 2018-01-12 | Paper |
Term structure extrapolation and asymptotic forward rates
Insurance Mathematics & Economics | 2016-05-12 | Paper |
The minimal entropy martingale measure in a market of traded financial and actuarial risks
Journal of Computational and Applied Mathematics | 2015-02-18 | Paper |
Regularity of the exercise boundary for American put options on assets with discrete dividends
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
An integral equation for American put options on assets with general dividend processes
Stochastics | 2012-01-03 | Paper |
Modeling non-monotone risk aversion using SAHARA utility functions
Journal of Economic Theory | 2011-10-28 | Paper |
THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
Mathematical Finance | 2011-03-25 | Paper |
A risk reserve model for hedging in incomplete markets
Journal of Economic Dynamics and Control | 2010-06-11 | Paper |
scientific article; zbMATH DE number 5629429 (Why is no real title available?)
| 2009-11-11 | Paper |
A tree-based method to price American options in the Heston model
The Journal of Computational Finance | 2009-10-26 | Paper |
On option pricing models in the presence of heavy tails
Quantitative Finance | 2007-12-19 | Paper |
Efficient Pricing of Derivatives on Assets with Discrete Dividends
Applied Mathematical Finance | 2007-02-15 | Paper |
Pricing and hedging guaranteed returns on mix funds
Insurance Mathematics & Economics | 2006-08-14 | Paper |
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods
SIAM Review | 2006-06-01 | Paper |
SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Weak convergence of tree methods to price options on defaultable assets
Decisions in Economics and Finance | 2005-04-11 | Paper |
Optimal speed of detection in generalized Wiener disorder problems.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
A Nonlinear Filtering Approach to Changepoint Detection Problems: Direct and Differential-Geometric Methods
SIAM Journal on Control and Optimization | 2004-01-08 | Paper |
A unifying framework for chaos and stochastic stability in discrete population models
Journal of Mathematical Biology | 1999-02-22 | Paper |
scientific article; zbMATH DE number 1225497 (Why is no real title available?)
| 1998-11-22 | Paper |
Adaptive identification of continuous-time systems in the presence of noise
International Journal of Control | 1998-03-16 | Paper |
scientific article; zbMATH DE number 845458 (Why is no real title available?)
| 1996-08-22 | Paper |
On Intervals, Transitivity = Choas
The American Mathematical Monthly | 1994-07-12 | Paper |
