| Publication | Date of Publication | Type |
|---|
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
Finance and Stochastics | 2024-10-16 | Paper |
Robustness of Hilbert space-valued stochastic volatility models
Finance and Stochastics | 2024-10-16 | Paper |
Abstract polynomial processes
Electronic Journal of Probability | 2024-10-16 | Paper |
PPA investments of minimal variability
| 2024-09-25 | Paper |
A feasible central limit theorem for realised covariation of SPDEs in the context of functional data
The Annals of Applied Probability | 2024-08-21 | Paper |
Pricing options on flow forwards by neural networks in a Hilbert space
Finance and Stochastics | 2024-01-02 | Paper |
Stochastic Models for Prices Dynamics in Energy and Commodity Markets
Springer Finance | 2023-12-18 | Paper |
Multivariate continuous-time autoregressive moving-average processes on cones
Stochastic Processes and their Applications | 2023-07-12 | Paper |
Pricing energy quanto options in the framework of Markov-modulated additive processes
IMA Journal of Management Mathematics | 2023-02-14 | Paper |
Neural networks in Fréchet spaces
Annals of Mathematics and Artificial Intelligence | 2023-01-20 | Paper |
Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations
Stochastics | 2022-12-08 | Paper |
Robustness of Hilbert space-valued stochastic volatility models
| 2022-11-29 | Paper |
Copula measures and Sklar's theorem in arbitrary dimensions
Scandinavian Journal of Statistics | 2022-10-06 | Paper |
Independent increment processes: a multilinearity preserving property
Stochastics | 2022-07-07 | Paper |
A topological proof of Sklar's theorem in arbitrary dimensions
Dependence Modeling | 2022-06-24 | Paper |
The heat modulated infinite dimensional Heston model and its numerical approximation
| 2022-06-21 | Paper |
Stochastic integrals and Gelfand integration in Fréchet spaces
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2022-06-20 | Paper |
DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
A weak law of large numbers for realised covariation in a Hilbert space setting
Stochastic Processes and their Applications | 2022-02-11 | Paper |
Metatimes, random measures and cylindrical random variables
Modern Stochastics. Theory and Applications | 2021-12-27 | Paper |
Correlators of polynomial processes
SIAM Journal on Financial Mathematics | 2021-12-02 | Paper |
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Quantitative Finance | 2021-12-01 | Paper |
Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
Electronic Journal of Probability | 2021-11-11 | Paper |
Sensitivity analysis in the infinite dimensional Heston model
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2021-10-25 | Paper |
Neural Networks in Fr\'echet spaces
| 2021-09-28 | Paper |
Modelling the joint behaviour of electricity prices in interconnected markets
Quantitative Finance | 2020-12-07 | Paper |
Abstract polynomial processes
| 2020-10-06 | Paper |
Analysis and modelling of wind speed in New York
Journal of Applied Statistics | 2020-09-29 | Paper |
A spatial-temporal model for temperature with seasonal variance
Journal of Applied Statistics | 2020-09-28 | Paper |
Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
International Journal of Theoretical and Applied Finance | 2020-08-05 | Paper |
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Mathematics and Financial Economics | 2019-08-30 | Paper |
Stochastic dynamical modelling of spot freight rates
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
On non-negative modeling with CARMA processes
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Cointegration in continuous time for factor models
Mathematics and Financial Economics | 2019-05-08 | Paper |
Continuous-time autoregressive moving-average processes in Hilbert space
| 2019-03-22 | Paper |
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Applied Mathematical Finance | 2018-12-03 | Paper |
The Heston stochastic volatility model in Hilbert space
Stochastic Analysis and Applications | 2018-10-09 | Paper |
Ambit stochastics
Probability Theory and Stochastic Modelling | 2018-10-02 | Paper |
Pricing of spread options on a bivariate jump market and stability to model risk
Applied Mathematical Finance | 2018-09-18 | Paper |
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Finance and Stochastics | 2018-04-06 | Paper |
Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
Stochastic Processes and their Applications | 2018-01-11 | Paper |
Pricing of commodity derivatives on processes with memory
| 2017-11-01 | Paper |
Laser cooling and stochastics
State of the art in probability and statistics | 2017-10-09 | Paper |
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Representation and approximation of ambit fields in Hilbert space
Stochastics | 2017-04-11 | Paper |
scientific article; zbMATH DE number 6689556 (Why is no real title available?)
| 2017-02-27 | Paper |
Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
The forward dynamics in energy markets – infinite-dimensional modelling and simulation
Stochastics | 2016-06-10 | Paper |
Integration theory for infinite dimensional volatility modulated Volterra processes
Bernoulli | 2016-05-12 | Paper |
Pricing and hedging of energy spread options and volatility modulated Volterra processes
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
Bernoulli | 2016-04-01 | Paper |
Robustness of option prices and their deltas in markets modelled by jump-diffusions
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Pricing and hedging Asian-style options on energy
Finance and Stochastics | 2015-11-09 | Paper |
Derivatives pricing in energy markets: an infinite-dimensional approach
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
A change of measure preserving the affine structure in the Barndorff-Nielsen and Shephard model for commodity markets
| 2015-10-20 | Paper |
Integrability of multivariate subordinated Lévy processes in Hilbert space
Stochastics | 2015-07-29 | Paper |
Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
Recent Advances in Financial Engineering 2012 | 2015-06-19 | Paper |
Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
International Journal of Theoretical and Applied Finance | 2015-05-11 | Paper |
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
Banach Center Publications | 2015-04-08 | Paper |
Approximating Lévy semistationary processes via Fourier methods in the context of power markets
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
A pricing measure to explain the risk premium in power markets
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Optimal portfolios in commodity futures markets
Finance and Stochastics | 2014-11-07 | Paper |
Modelling electricity futures by ambit fields
Advances in Applied Probability | 2014-09-25 | Paper |
Representation of infinite-dimensional forward price models in commodity markets
Communications in Mathematics and Statistics | 2014-08-29 | Paper |
On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2014-07-18 | Paper |
THE CARMA INTEREST RATE MODEL
International Journal of Theoretical and Applied Finance | 2014-06-19 | Paper |
Stability of Merton's portfolio optimization problem for Lévy models
Stochastics | 2014-04-17 | Paper |
A note on convergence of option prices and their Greeks for Lévy models
Stochastics | 2014-04-17 | Paper |
Stochastic modeling of power markets using stationary processes
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
Lévy process simulation by stochastic step functions
SIAM Journal on Scientific Computing | 2014-01-21 | Paper |
Stochastic volatility and dependency in energy markets: multi-factor modelling
Lecture Notes in Mathematics | 2013-09-11 | Paper |
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
Bernoulli | 2013-08-16 | Paper |
Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets
Advances in Applied Probability | 2013-07-11 | Paper |
Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets
Advances in Applied Probability | 2013-07-11 | Paper |
Computing optimal recovery policies for financial markets
Operations Research | 2013-03-12 | Paper |
Modeling the forward surface of mortality
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Modeling and pricing in financial markets for weather derivatives
Advanced Series on Statistical Science & Applied Probability | 2013-01-16 | Paper |
The risk premium and the Esscher transform in power markets
Stochastic Analysis and Applications | 2012-03-07 | Paper |
The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets
Mathematical Finance | 2011-11-21 | Paper |
Weather derivatives and stochastic modelling of temperature
International Journal of Stochastic Analysis | 2011-09-08 | Paper |
Ambit processes and stochastic partial differential equations
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Hedging of Spatial Temperature Risk with Market-Traded Futures
Applied Mathematical Finance | 2011-06-03 | Paper |
Pricing of basket options using univariate normal inverse Gaussian approximations
Journal of Forecasting | 2011-05-10 | Paper |
scientific article; zbMATH DE number 5853093 (Why is no real title available?)
| 2011-02-18 | Paper |
Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
Stochastics | 2010-08-19 | Paper |
The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model
Stochastic Analysis and Applications | 2009-10-08 | Paper |
PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
Putting a price on temperature
| 2009-02-28 | Paper |
A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Stochastic modeling of electricity and related markets.
| 2008-08-21 | Paper |
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Applied Mathematical Finance | 2008-04-29 | Paper |
Analytical Approximation for the Price Dynamics of Spark Spread Options
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
The volatility of temperature and pricing of weather derivatives
Quantitative Finance | 2007-12-19 | Paper |
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Applied Mathematical Finance | 2007-07-16 | Paper |
A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Finance and Stochastics | 2006-05-24 | Paper |
QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets
Stochastics | 2005-08-25 | Paper |
A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
Stochastic Analysis and Applications | 2005-08-25 | Paper |
Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives
Applied Mathematical Finance | 2005-07-18 | Paper |
THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
A semilinear Black and Scholes partial differential equation for valuing American options
Finance and Stochastics | 2005-05-20 | Paper |
A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
Interfaces and Free Boundaries | 2005-03-21 | Paper |
Anticipative calculus for Lévy processes and stochastic differential equations*
Stochastics and Stochastic Reports | 2004-10-21 | Paper |
A connection between singular stochastic control and optimal stopping
Applied Mathematics and Optimization | 2004-09-22 | Paper |
A note on arbitrage‐free pricing of forward contracts in energy markets
Applied Mathematical Finance | 2004-09-06 | Paper |
On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion
Applied Mathematical Finance | 2004-09-06 | Paper |
THE GROSS DERIVATIVE AND GENERALIZED RANDOM VARIABLES
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-09-03 | Paper |
scientific article; zbMATH DE number 1971717 (Why is no real title available?)
| 2004-02-20 | Paper |
Option theory with stochastic analysis. An introduction to mathematical finance.
Universitext | 2003-12-08 | Paper |
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
Mathematical Finance | 2003-08-25 | Paper |
Kriging with inequality constraints
Mathematical Geology | 2003-03-11 | Paper |
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
Mathematical Finance | 2003-01-01 | Paper |
Donsker's Delta Function and the Covariance between Generalized Functionals
Journal of the London Mathematical Society | 2002-10-22 | Paper |
scientific article; zbMATH DE number 1790434 (Why is no real title available?)
| 2002-08-28 | Paper |
ON WEIGHTEDL2(Ω)-SPACES, THEIR DUALS AND ITÔ INTEGRATION
Stochastic Analysis and Applications | 2002-06-30 | Paper |
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Finance and Stochastics | 2002-03-13 | Paper |
Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
Stochastics and Stochastic Reports | 2002-01-01 | Paper |
SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE
Stochastic Analysis and Applications | 2002-01-01 | Paper |
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Finance and Stochastics | 2001-12-12 | Paper |
scientific article; zbMATH DE number 1642334 (Why is no real title available?)
| 2001-11-18 | Paper |
Markov jump processes with a singularity
Advances in Applied Probability | 2001-10-16 | Paper |
A nonlinear parabolic equation with noise
Potential Analysis | 2001-05-13 | Paper |
Smoothed Langevin proposals in Metropolis-Hastings algorithms.
Statistics & Probability Letters | 2000-12-03 | Paper |
A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations
Potential Analysis | 1999-11-18 | Paper |
scientific article; zbMATH DE number 1256057 (Why is no real title available?)
| 1999-03-01 | Paper |
Explicit strong solutions of SPDE's with applications to nonlinear filtering
Acta Applicandae Mathematicae | 1999-02-02 | Paper |
scientific article; zbMATH DE number 1121858 (Why is no real title available?)
| 1998-12-10 | Paper |
Convergence rates for finite elementapproximations of stochastic partial differential equations
Stochastics and Stochastic Reports | 1998-12-02 | Paper |
A white noise approach to a class of non-linear stochastic heat equations
Journal of Functional Analysis | 1998-08-31 | Paper |
Nonlinear evolution equations with gradient coupled noise
Letters in Mathematical Physics | 1998-05-24 | Paper |
scientific article; zbMATH DE number 1121859 (Why is no real title available?)
| 1998-02-25 | Paper |
On the positivity of the stochastic heat equation
Potential Analysis | 1997-11-02 | Paper |
On the martingale property for generalized stochastic processes
Stochastics and Stochastics Reports | 1997-07-08 | Paper |
scientific article; zbMATH DE number 850214 (Why is no real title available?)
| 1996-09-16 | Paper |
Topological aspects of the characterization of hida distributions — a remark matthias timpel
Stochastics and Stochastic Reports | 1996-08-21 | Paper |
An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering
Stochastics and Stochastic Reports | 1996-07-15 | Paper |
scientific article; zbMATH DE number 850212 (Why is no real title available?)
| 1996-05-21 | Paper |
scientific article; zbMATH DE number 850213 (Why is no real title available?)
| 1996-03-04 | Paper |
scientific article; zbMATH DE number 780872 (Why is no real title available?)
| 1995-08-01 | Paper |
