| Publication | Date of Publication | Type |
|---|
Extremal of log-Sobolev functionals and Li-Yau estimate on \(\mathrm{RCD}^* (K,N)\) spaces
Potential Analysis | 2024-03-11 | Paper |
Derivatives risks as costs in a one-period network model
Frontiers of Mathematical Finance | 2023-09-27 | Paper |
On model robustness of the regime switching approach for pegged foreign exchange markets
Quantitative Finance | 2022-07-22 | Paper |
On detecting spoofing strategies in high-frequency trading
Quantitative Finance | 2022-07-22 | Paper |
An FBSDE approach to market impact games with stochastic parameters
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Dual representation of expectile-based expected shortfall and its properties
Probability, Uncertainty and Quantitative Risk | 2021-11-09 | Paper |
\(q\)-moment estimates for the singular \(p\)-Laplace equation and applications
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2021-08-05 | Paper |
Pricing and hedging performance on pegged FX markets based on a regime switching model
Quantitative Finance | 2021-06-02 | Paper |
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Characterization of fully coupled FBSDE in terms of portfolio optimization
Electronic Journal of Probability | 2020-05-29 | Paper |
Characterization of fully coupled FBSDE in terms of portfolio optimization
Electronic Journal of Probability | 2020-05-29 | Paper |
Computational aspects of robust optimized certainty equivalents and option pricing
Mathematical Finance | 2020-05-14 | Paper |
| A Fenchel-Moreau theorem for $\bar L^0$-valued functions | 2019-07-11 | Paper |
A Fenchel-Moreau theorem for $\bar L^0$-valued functions
(available as arXiv preprint) | 2019-07-11 | Paper |
Multivariate Shortfall Risk Allocation and Systemic Risk
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
| Vector duality via conditional extension of dual pairs | 2016-08-30 | Paper |
Stability and Markov property of forward backward minimal supersolutions
Electronic Journal of Probability | 2016-08-22 | Paper |
Stability and Markov property of forward backward minimal supersolutions
Electronic Journal of Probability | 2016-08-22 | Paper |
A note on robust representations of law-invariant quasiconvex functions
Advances in Mathematical Economics | 2016-07-12 | Paper |
Dual representation of minimal supersolutions of convex BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Dual representation of minimal supersolutions of convex BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Complete duality for quasiconvex and convex set-valued functions
Set-Valued and Variational Analysis | 2016-05-25 | Paper |
Dynamic assessment indices
Stochastics | 2016-05-04 | Paper |
Conditional preference orders and their numerical representations
Journal of Mathematical Economics | 2016-04-15 | Paper |
The algebra of conditional sets and the concepts of conditional topology and compactness
Journal of Mathematical Analysis and Applications | 2016-02-12 | Paper |
Minimal supersolutions of BSDEs under volatility uncertainty
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Brouwer fixed point theorem in \((L^0)^d\)
Fixed Point Theory and Applications | 2014-08-27 | Paper |
Risk preferences and their robust representation
Mathematics of Operations Research | 2014-07-11 | Paper |
Minimal supersolutions of convex BSDEs
The Annals of Probability | 2014-01-31 | Paper |
Weak closedness of monotone sets of lotteries and robust representation of risk preferences
EAA Series | 2013-07-30 | Paper |
| A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents | 2012-12-30 | Paper |
A von Neumann-Morgenstern representation result without weak continuity assumption
Journal of Mathematical Economics | 2012-04-18 | Paper |
