| Publication | Date of Publication | Type |
|---|
| Fractional Ito calculus | 2024-04-14 | Paper |
| Dynamics of market making algorithms in dealer markets: Learning and tacit collusion | 2024-03-14 | Paper |
| Simulation of Arbitrage-Free Implied Volatility Surfaces | 2024-01-11 | Paper |
| Interbank lending with benchmark rates: Pareto optima for a class of singular control games | 2023-09-28 | Paper |
| In memoriam: Marco Avellaneda (1955–2022) | 2023-09-28 | Paper |
| A model‐free approach to continuous‐time finance | 2023-09-28 | Paper |
| Causal functional calculus | 2023-08-01 | Paper |
| Analysis and modeling of client order flow in limit order markets | 2023-06-20 | Paper |
| Quadratic variation and quadratic roughness | 2022-12-19 | Paper |
| Quadratic variation along refining partitions: constructions and examples | 2022-04-06 | Paper |
| Rough volatility: fact or artefact? | 2022-03-24 | Paper |
| A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics | 2021-09-08 | Paper |
| Universal features of price formation in financial markets: perspectives from deep learning | 2019-09-26 | Paper |
| Quadratic variation and quadratic roughness | 2019-07-06 | Paper |
| Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity | 2019-05-06 | Paper |
| On pathwise quadratic variation for càdlàg functions | 2019-02-14 | Paper |
| Empirical properties of asset returns: stylized facts and statistical issues | 2019-01-14 | Paper |
| Dynamics of implied volatility surfaces | 2019-01-14 | Paper |
| Optimal order placement in limit order markets | 2018-11-19 | Paper |
| Pathwise integration with respect to paths of finite quadratic variation | 2017-05-23 | Paper |
| Credit default swaps and systemic risk | 2017-03-03 | Paper |
| FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK | 2016-11-01 | Paper |
| Overview | 2016-06-24 | Paper |
| Pathwise calculus for non-anticipative functionals | 2016-06-24 | Paper |
| The functional Itô formula | 2016-06-24 | Paper |
| Weak functional calculus for square-integrable processes | 2016-06-24 | Paper |
| Functional Kolmogorov equations | 2016-06-24 | Paper |
| RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS | 2016-04-14 | Paper |
| INSTITUTIONAL INVESTORS AND THE DEPENDENCE STRUCTURE OF ASSET RETURNS | 2016-04-14 | Paper |
| Weak approximation of martingale representations | 2016-02-15 | Paper |
| Forward equations for option prices in semimartingale models | 2015-08-04 | Paper |
| Functional calculus and martingale representation formula for integer-valued measures | 2015-07-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5412137 | 2014-04-25 | Paper |
| Central clearing of OTC derivatives: Bilateral vs multilateral netting | 2014-03-17 | Paper |
| Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis | 2014-01-24 | Paper |
| Price Dynamics in a Markovian Limit Order Market | 2014-01-23 | Paper |
| RUNNING FOR THE EXIT: DISTRESSED SELLING AND ENDOGENOUS CORRELATION IN FINANCIAL MARKETS | 2013-10-11 | Paper |
| EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS | 2013-09-04 | Paper |
| Loss-based risk measures | 2013-07-25 | Paper |
| A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES | 2013-04-29 | Paper |
| Functional Itō calculus and stochastic integral representation of martingales | 2013-03-15 | Paper |
| RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES | 2013-02-28 | Paper |
| Nonparametric tests for pathwise properties of semimartingales | 2012-09-19 | Paper |
| RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS | 2012-04-24 | Paper |
| Short-time asymptotics for marginal distributions of semimartingales | 2012-02-06 | Paper |
| A Stochastic Model for Order Book Dynamics | 2011-11-17 | Paper |
| A Reduced Basis for Option Pricing | 2011-05-02 | Paper |
| Dynamic Hedging of Portfolio Credit Derivatives | 2011-02-10 | Paper |
| Social distance, heterogeneity and social interactions | 2010-09-06 | Paper |
| Default Intensities Implied by CDO Spreads: Inversion Formula and Model Calibration | 2010-08-11 | Paper |
| Robustness and sensitivity analysis of risk measurement procedures | 2010-08-05 | Paper |
| Change of variable formulas for non-anticipative functionals on path space | 2010-07-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3549931 | 2010-03-30 | Paper |
| A functional extension of the Ito formula | 2010-02-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3400731 | 2010-02-05 | Paper |
| Mimicking the marginal distributions of a semimartingale | 2009-10-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3396055 | 2009-09-16 | Paper |
| CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES | 2009-08-28 | Paper |
| Small-world graphs: characterization and alternative constructions | 2009-02-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3504635 | 2008-06-11 | Paper |
| MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS | 2008-04-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5436599 | 2008-01-17 | Paper |
| Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem | 2007-03-20 | Paper |
| A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models | 2006-06-02 | Paper |
| Integro-differential equations for option prices in exponential Lévy models | 2006-05-24 | Paper |
| MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH | 2005-07-06 | Paper |
| Financial Modelling with Jump Processes | 2004-10-20 | Paper |
| Phenomenology of the interest rate curve | 2002-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524816 | 2002-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760406 | 2002-01-06 | Paper |
| HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS | 2000-01-01 | Paper |
