| Publication | Date of Publication | Type |
|---|
| Corporate debt value under transition scenario uncertainty | 2025-01-20 | Paper |
| Energy transition under scenario uncertainty: a mean-field game of stopping with common noise | 2024-11-01 | Paper |
| A mean-field game model of electricity market dynamics | 2024-09-25 | Paper |
| Implied volatility asymptotics: Black-Scholes and beyond | 2024-09-06 | Paper |
| Stochastic optimization with dynamic probabilistic forecasts | 2024-06-04 | Paper |
| Importance sampling for McKean-Vlasov SDEs | 2023-06-27 | Paper |
| Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption | 2023-05-25 | Paper |
| Price formation and optimal trading in intraday electricity markets | 2022-10-24 | Paper |
| Energy transition under scenario uncertainty: a mean-field game of stopping with common noise | 2022-10-07 | Paper |
| Price formation and optimal trading in intraday electricity markets | 2022-04-01 | Paper |
| Control and optimal stopping mean field games: a linear programming approach | 2022-02-22 | Paper |
| The entry and exit game in the electricity markets: a mean-field game approach | 2022-01-20 | Paper |
| Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models | 2022-01-18 | Paper |
| Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach | 2020-11-03 | Paper |
| Volatility Options in Rough Volatility Models | 2020-06-08 | Paper |
| The entry and exit game in the electricity markets: a mean-field game approach | 2020-04-29 | Paper |
| Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing | 2020-02-14 | Paper |
| Optimal importance sampling for Lévy processes | 2020-01-24 | Paper |
| Regression Monte Carlo for microgrid management | 2019-07-11 | Paper |
| Implied Volatility of Basket Options at Extreme Strikes | 2018-12-11 | Paper |
| Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing | 2018-09-17 | Paper |
| Approximate indifference pricing in exponential Lévy models | 2018-09-06 | Paper |
| Arbitrage and utility maximization in market models with an insider | 2018-09-05 | Paper |
| Asymptotic optimal tracking: feedback strategies | 2018-09-04 | Paper |
| Optimal Trading Policies for Wind Energy Producer | 2018-04-16 | Paper |
| Asymptotic lower bounds for optimal tracking: a linear programming approach | 2017-11-07 | Paper |
| Approximate Option Pricing in the Lévy Libor Model | 2017-07-31 | Paper |
| Hedging under multiple risk constraints | 2017-04-13 | Paper |
| Lévy Copulas: Review of Recent Results | 2017-01-16 | Paper |
| Optimal discretization of hedging strategies with directional views | 2016-03-31 | Paper |
| Tails of weakly dependent random vectors | 2016-02-29 | Paper |
| A new look at short-term implied volatility in asset price models with jumps | 2016-02-22 | Paper |
| Tail behavior of sums and differences of log-normal random variables | 2016-02-22 | Paper |
| Market Models with Optimal Arbitrage | 2015-05-15 | Paper |
| Finite-dimensional representations for controlled diffusions with delay | 2015-04-21 | Paper |
| Optimal consumption policies in illiquid markets | 2014-12-17 | Paper |
| Optimal simulation schemes for Lévy driven stochastic differential equations | 2014-09-10 | Paper |
| Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias | 2014-08-08 | Paper |
| Asymptotically optimal discretization of hedging strategies with jumps | 2014-06-13 | Paper |
| Pricing and hedging gap risk | 2014-04-23 | Paper |
| High Order Weak Approximation Schemes for Lévy-Driven SDEs | 2013-07-31 | Paper |
| Swing Options Valuation: A BSDE with Constrained Jumps Approach | 2012-09-28 | Paper |
| A Finite-Dimensional Approximation for Pricing Moving Average Options | 2012-04-19 | Paper |
| Portfolio insurance under a risk-measure constraint | 2011-12-21 | Paper |
| TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS | 2011-11-22 | Paper |
| Asymptotic results for time-changed Lévy processes sampled at hitting times | 2011-07-08 | Paper |
| Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options | 2011-07-08 | Paper |
| Arbitrage Opportunities in Misspecified Stochastic Volatility Models | 2011-06-21 | Paper |
| A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES | 2011-06-09 | Paper |
| Pricing and Hedging in Exponential Lévy Models: Review of Recent Results | 2010-12-14 | Paper |
| Jump-adapted discretization schemes for Lévy-driven SDEs | 2010-11-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3563048 | 2010-05-28 | Paper |
| CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES | 2009-08-28 | Paper |
| A coupled system of integrodifferential equations arising in liquidity risk model | 2009-08-06 | Paper |
| Asymptotic analysis of hedging errors in models with jumps | 2009-06-04 | Paper |
| MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES | 2008-09-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5436599 | 2008-01-17 | Paper |
| Monte Carlo option pricing for tempered stable (CGMY) processes | 2007-11-27 | Paper |
| Retrieving Lévy Processes from Option Prices: Regularization of an Ill-posed Inverse Problem | 2007-03-20 | Paper |
| Characterization of dependence of multidimensional Lévy processes using Lévy copulas | 2006-08-14 | Paper |
| Financial Modelling with Jump Processes | 2004-10-20 | Paper |
| A mean-field game model of electricity market dynamics | N/A | Paper |
