| Publication | Date of Publication | Type |
|---|
| Multivariate Hawkes-based models in limit order book: European and spread option pricing | 2024-11-27 | Paper |
| Large deviations for the Yule-Walker estimator of near critical autoregressive processes | 2024-09-16 | Paper |
| A two-factor structural model for valuing corporate securities | 2024-08-29 | Paper |
| Central limit theorems for martingales. I: Continuous limits | 2024-04-10 | Paper |
| Tests of independence and randomness for arbitrary data using copula-based covariances | 2024-03-25 | Paper |
| A random walk through Canadian contributions on empirical processes and their applications in probability and statistics | 2023-11-02 | Paper |
| A stochastic analysis of a SIQR epidemic model with short and long-term prophylaxis | 2023-11-01 | Paper |
| Option pricing and hedging for regime-switching geometric Brownian motion models | 2023-09-13 | Paper |
| Central limit theorems for martingales-II: convergence in the weak dual topology | 2023-04-10 | Paper |
| A conversation with Don Dawson | 2022-02-15 | Paper |
| Change-point problems for multivariate time series using pseudo-observations | 2021-12-07 | Paper |
| Goodness‐of‐fit for regime‐switching copula models with application to option pricing | 2020-04-28 | Paper |
| A level-1 limit order book with time dependent arrival rates | 2020-01-13 | Paper |
| Pricing European options in a discrete time model for the limit order book | 2020-01-13 | Paper |
| Semi-parametric copula-based models under non-stationarity | 2019-10-01 | Paper |
| Detecting periodicity from the trajectory of a random walk in random environment | 2019-09-25 | Paper |
| Semi-parametric copula-based models under non-stationarity | 2019-09-01 | Paper |
| Copula-based dynamic models for multivariate time series | 2019-07-02 | Paper |
| Copula-based dynamic models for multivariate time series | 2019-07-01 | Paper |
| Testing for independence in arbitrary distributions | 2019-05-08 | Paper |
| On one-dimensional Riccati diffusions | 2019-04-24 | Paper |
| On explicit local solutions of Itô diffusions | 2019-03-21 | Paper |
| On the monotonicity of copula-based conditional distributions | 2019-01-31 | Paper |
| Comparison of specification tests for GARCH models | 2018-11-23 | Paper |
| American-style options in jump-diffusion models: estimation and evaluation | 2018-11-13 | Paper |
| The payoff distribution model: an application to dynamic portfolio insurance | 2018-09-19 | Paper |
| Serial independence tests for innovations of conditional mean and variance models | 2018-03-23 | Paper |
| On copula-based conditional quantile estimators | 2017-10-06 | Paper |
| Asymptotic behavior of the empirical multilinear copula process under broad conditions | 2017-08-03 | Paper |
| Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals | 2017-07-05 | Paper |
| On explicit solutions to Ito diffusions | 2016-08-18 | Paper |
| A martingale representation for the maximum of a Lévy process | 2016-03-04 | Paper |
| Combining losing games into a winning game | 2015-07-28 | Paper |
| Forecasting time series with multivariate copulas | 2015-06-23 | Paper |
| On the empirical multilinear copula process for count data | 2014-08-08 | Paper |
| Optimal hedging in discrete time | 2014-02-20 | Paper |
| On signed measure valued solutions of stochastic evolution equations | 2014-02-06 | Paper |
| On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data | 2014-01-10 | Paper |
| On testing for independence between the innovations of several time series | 2013-10-29 | Paper |
| Optimal Hedging of American Options in Discrete Time | 2012-09-28 | Paper |
| Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity | 2012-09-28 | Paper |
| Copula-based semiparametric models for multivariate time series | 2012-08-13 | Paper |
| On the Robustness of the Snell Envelope | 2012-04-19 | Paper |
| Statistical Methods for Financial Engineering | 2011-11-30 | Paper |
| A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing | 2010-11-14 | Paper |
| Discussion of: Brownian distance covariance | 2010-04-21 | Paper |
| Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models | 2009-10-08 | Paper |
| Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test | 2009-06-12 | Paper |
| Goodness-of-fit tests for copulas: A review and a power study | 2009-05-12 | Paper |
| Goodness-of-fit tests for copulas: A review and a power study | 2009-04-01 | Paper |
| Testing for equality between two copulas | 2009-02-09 | Paper |
| Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations | 2008-08-05 | Paper |
| Linnik related distributions | 2008-04-23 | Paper |
| Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging | 2007-09-21 | Paper |
| Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process | 2007-07-25 | Paper |
| Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence | 2007-07-23 | Paper |
| Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation | 2006-12-08 | Paper |
| On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model | 2006-04-28 | Paper |
| Nonparametric weighted symmetry tests | 2006-03-31 | Paper |
| Local efficiency of a Cramér\,-\,von Mises test of independence | 2006-01-10 | Paper |
| Tests of independence and randomness based on the empirical copula process | 2005-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4663820 | 2005-04-04 | Paper |
| Tests of serial independence based on Kendall's process | 2003-08-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4801565 | 2003-06-24 | Paper |
| A nonparametric test of serial independence for time series and residuals | 2003-02-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4955462 | 2001-07-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4246894 | 2001-04-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4529159 | 2001-02-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4267577 | 2001-01-11 | Paper |
| Between Strassen and Chung normalizations for Lévy's area process | 1998-10-11 | Paper |
| On Kendall's process | 1997-05-25 | Paper |
| A note on tightness | 1997-04-09 | Paper |
| Large deviations for the three-dimensional super-Brownian motion | 1996-12-02 | Paper |
| On Chung's law of the iterated logarithm for some stochastic integrals | 1996-06-18 | Paper |
| Relating quantiles and expectiles under weighted-symmetry | 1995-11-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4307501 | 1994-10-03 | Paper |
| Occupation times in systems of null recurrent Markov processes | 1994-07-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4277658 | 1994-03-14 | Paper |
| A remark on a variational problem in probability | 1994-03-03 | Paper |
| A Limit Theorem for Brownian Motion in a Random Scenery | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4008060 | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3972737 | 1992-06-26 | Paper |
| Laws of the iterated logarithm and large deviations for a class of diffusionl processes | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3777161 | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4721319 | 1986-01-01 | Paper |
