| Publication | Date of Publication | Type |
|---|
| A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets | 2024-10-16 | Paper |
| Robustness of Hilbert space-valued stochastic volatility models | 2024-10-16 | Paper |
| Abstract polynomial processes | 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 | 2024-08-21 | Paper |
| Pricing options on flow forwards by neural networks in a Hilbert space | 2024-01-02 | Paper |
| Stochastic Models for Prices Dynamics in Energy and Commodity Markets | 2023-12-18 | Paper |
| Multivariate continuous-time autoregressive moving-average processes on cones | 2023-07-12 | Paper |
| Pricing energy quanto options in the framework of Markov-modulated additive processes | 2023-02-14 | Paper |
| Neural networks in Fréchet spaces | 2023-01-20 | Paper |
| Stochastic Volterra integral equations and a class of first-order stochastic partial differential equations | 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 | 2022-10-06 | Paper |
| Independent increment processes: a multilinearity preserving property | 2022-07-07 | Paper |
| A topological proof of Sklar's theorem in arbitrary dimensions | 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 | 2022-06-20 | Paper |
| DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY | 2022-03-11 | Paper |
| A weak law of large numbers for realised covariation in a Hilbert space setting | 2022-02-11 | Paper |
| Metatimes, random measures and cylindrical random variables | 2021-12-27 | Paper |
| Correlators of Polynomial Processes | 2021-12-02 | Paper |
| Multivariate continuous-time modeling of wind indexes and hedging of wind risk | 2021-12-01 | Paper |
| Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications -- | 2021-11-11 | Paper |
| Sensitivity analysis in the infinite dimensional Heston model | 2021-10-25 | Paper |
| Neural Networks in Fr\'echet spaces | 2021-09-28 | Paper |
| Modelling the joint behaviour of electricity prices in interconnected markets | 2020-12-07 | Paper |
| Abstract polynomial processes | 2020-10-06 | Paper |
| Analysis and modelling of wind speed in New York | 2020-09-29 | Paper |
| A Spatial-temporal Model for Temperature with Seasonal Variance | 2020-09-28 | Paper |
| VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING | 2020-08-05 | Paper |
| Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework | 2019-08-30 | Paper |
| Stochastic dynamical modelling of spot freight rates | 2019-06-18 | Paper |
| On non-negative modeling with CARMA processes | 2019-05-10 | Paper |
| Cointegration in continuous time for factor models | 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 | 2018-12-03 | Paper |
| The Heston stochastic volatility model in Hilbert space | 2018-10-09 | Paper |
| Ambit Stochastics | 2018-10-02 | Paper |
| Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk | 2018-09-18 | Paper |
| Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models | 2018-04-06 | Paper |
| Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility | 2018-01-11 | Paper |
| Pricing of commodity derivatives on processes with memory | 2017-11-01 | Paper |
| Laser cooling and stochastics | 2017-10-09 | Paper |
| Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework | 2017-07-31 | Paper |
| Representation and approximation of ambit fields in Hilbert space | 2017-04-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2965091 | 2017-02-27 | Paper |
| Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion | 2017-01-16 | Paper |
| The forward dynamics in energy markets – infinite-dimensional modelling and simulation | 2016-06-10 | Paper |
| Integration theory for infinite dimensional volatility modulated Volterra processes | 2016-05-12 | Paper |
| Pricing and hedging of energy spread options and volatility modulated Volterra processes | 2016-04-01 | Paper |
| Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations | 2016-04-01 | Paper |
| Robustness of option prices and their deltas in markets modelled by jump-diffusions | 2016-03-04 | Paper |
| Pricing and hedging Asian-style options on energy | 2015-11-09 | Paper |
| Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach | 2015-10-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3195632 | 2015-10-20 | Paper |
| Integrability of multivariate subordinated Lévy processes in Hilbert space | 2015-07-29 | Paper |
| Forward Prices in Markets Driven by Continuous-time Autoregressive Processes | 2015-06-19 | Paper |
| FORWARD PRICES AS FUNCTIONALS OF THE SPOT PATH IN COMMODITY MARKETS MODELED BY LEVY SEMISTATIONARY PROCESSES | 2015-05-11 | Paper |
| Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency | 2015-04-08 | Paper |
| Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets | 2015-01-20 | Paper |
| A Pricing Measure to Explain the Risk Premium in Power Markets | 2015-01-20 | Paper |
| Optimal portfolios in commodity futures markets | 2014-11-07 | Paper |
| Modelling Electricity Futures by Ambit Fields | 2014-09-25 | Paper |
| Representation of infinite-dimensional forward price models in commodity markets | 2014-08-29 | Paper |
| On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis | 2014-07-18 | Paper |
| THE CARMA INTEREST RATE MODEL | 2014-06-19 | Paper |
| Stability of Merton's portfolio optimization problem for Lévy models | 2014-04-17 | Paper |
| A note on convergence of option prices and their Greeks for Lévy models | 2014-04-17 | Paper |
| Representation and approximation of ambit fields in Hilbert space | 2014-02-19 | Paper |
| Lévy process simulation by stochastic step functions | 2014-01-21 | Paper |
| Stochastic Volatility and Dependency in Energy Markets: Multi-Factor Modelling | 2013-09-11 | Paper |
| Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes | 2013-08-16 | Paper |
| Cross-commodity spot price modeling with stochastic volatility and leverage for energy markets | 2013-07-11 | Paper |
| Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets | 2013-07-11 | Paper |
| Computing optimal recovery policies for financial markets | 2013-03-12 | Paper |
| Modeling the forward surface of mortality | 2013-01-25 | Paper |
| Modeling and pricing in financial markets for weather derivatives | 2013-01-16 | Paper |
| The risk premium and the Esscher transform in power markets | 2012-03-07 | Paper |
| The stochastic volatility model of Barndorff-Nielsen and shephard in commodity markets | 2011-11-21 | Paper |
| Weather derivatives and stochastic modelling of temperature | 2011-09-08 | Paper |
| Ambit processes and stochastic partial differential equations | 2011-08-08 | Paper |
| Hedging of Spatial Temperature Risk with Market-Traded Futures | 2011-06-03 | Paper |
| Pricing of basket options using univariate normal inverse Gaussian approximations | 2011-05-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3078233 | 2011-02-18 | Paper |
| Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model | 2010-08-19 | Paper |
| The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model | 2009-10-08 | Paper |
| PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS | 2009-08-10 | Paper |
| UTILITY INDIFFERENCE PRICING OF INTEREST-RATE GUARANTEES | 2009-06-23 | Paper |
| Putting a price on temperature | 2009-02-28 | Paper |
| A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS | 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 | 2008-04-29 | Paper |
| Analytical Approximation for the Price Dynamics of Spark Spread Options | 2008-04-04 | Paper |
| The volatility of temperature and pricing of weather derivatives | 2007-12-19 | Paper |
| A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing | 2007-07-16 | Paper |
| A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES | 2006-09-12 | Paper |
| The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps | 2006-05-24 | Paper |
| QUASI MONTE–CARLO EVALUATION OF SENSITIVITIES OF OPTIONS IN COMMODITY AND ENERGY MARKETS | 2005-10-19 | Paper |
| A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets | 2005-08-25 | Paper |
| A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model | 2005-08-25 | Paper |
| Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives | 2005-07-18 | Paper |
| THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS | 2005-06-22 | Paper |
| A semilinear Black and Scholes partial differential equation for valuing American options | 2005-05-20 | Paper |
| A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence | 2005-03-21 | Paper |
| Anticipative calculus for Lévy processes and stochastic differential equations* | 2004-10-21 | Paper |
| A connection between singular stochastic control and optimal stopping | 2004-09-22 | Paper |
| A note on arbitrage‐free pricing of forward contracts in energy markets | 2004-09-06 | Paper |
| On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion | 2004-09-06 | Paper |
| THE GROSS DERIVATIVE AND GENERALIZED RANDOM VARIABLES | 2004-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4421364 | 2004-02-20 | Paper |
| Option theory with stochastic analysis. An introduction to mathematical finance. | 2003-12-08 | Paper |
| Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type | 2003-08-25 | Paper |
| Kriging with inequality constraints | 2003-03-11 | Paper |
| Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes | 2003-01-01 | Paper |
| Donsker's Delta Function and the Covariance between Generalized Functionals | 2002-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4549500 | 2002-08-28 | Paper |
| ON WEIGHTEDL2(Ω)-SPACES, THEIR DUALS AND ITÔ INTEGRATION | 2002-06-30 | Paper |
| Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution | 2002-03-13 | Paper |
| Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs | 2002-01-01 | Paper |
| SOME REGULARITY RESULTS FOR THE STOCHASTIC PRESSURE EQUATION OF WICK-TYPE | 2002-01-01 | Paper |
| Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach | 2001-12-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741095 | 2001-11-18 | Paper |
| Markov jump processes with a singularity | 2001-10-16 | Paper |
| A nonlinear parabolic equation with noise | 2001-05-13 | Paper |
| Smoothed Langevin proposals in Metropolis-Hastings algorithms. | 2000-12-03 | Paper |
| A remark on the equivalence between Poisson and Gaussian stochastic partial differential equations | 1999-11-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4229940 | 1999-03-01 | Paper |
| Explicit strong solutions of SPDE's with applications to nonlinear filtering | 1999-02-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4379372 | 1998-12-10 | Paper |
| Convergence rates for finite elementapproximations of stochastic partial differential equations | 1998-12-02 | Paper |
| A white noise approach to a class of non-linear stochastic heat equations | 1998-08-31 | Paper |
| Nonlinear evolution equations with gradient coupled noise | 1998-05-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4379373 | 1998-02-25 | Paper |
| On the positivity of the stochastic heat equation | 1997-11-02 | Paper |
| On the martingale property for generalized stochastic processes | 1997-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4866233 | 1996-09-16 | Paper |
| Topological aspects of the characterization of hida distributions — a remark matthias timpel | 1996-08-21 | Paper |
| An explicit functional process solution to a stochastic partial differential equation with applications to nonlinear filtering | 1996-07-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4866231 | 1996-05-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4866232 | 1996-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4840791 | 1995-08-01 | Paper |
