| Publication | Date of Publication | Type |
|---|
| Numerical methods for SDEs with drift discontinuous on a set of positive reach | 2024-08-14 | Paper |
| Book Reviews | 2023-11-29 | Paper |
| Continuous functions with impermeable graphs | 2023-10-17 | Paper |
| Tractability of \(L_2\)-approximation and integration in weighted Hermite spaces of finite smoothness | 2023-07-11 | Paper |
| Well-posedness and numerical schemes for one-dimensional McKean-Vlasov equations and interacting particle systems with discontinuous drift | 2022-11-22 | Paper |
| Exception sets of intrinsic and piecewise Lipschitz functions | 2022-03-21 | Paper |
| Existence, uniqueness and regularity of the projection onto differentiable manifolds | 2021-09-02 | Paper |
| Change of drift in one-dimensional diffusions | 2021-04-29 | Paper |
| Statistical independence in mathematics -- the key to a Gaussian law | 2021-04-19 | Paper |
| Construction algorithms for plane nets in base $b$ | 2019-06-12 | Paper |
| Approximation methods for piecewise deterministic Markov processes and their costs | 2019-05-10 | Paper |
| On the Optimal Order of Integration in Hermite Spaces with Finite Smoothness | 2018-04-23 | Paper |
| Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient | 2018-01-26 | Paper |
| Utility indifference pricing of insurance catastrophe derivatives | 2018-01-12 | Paper |
| A strong order \(1/2\) method for multidimensional SDEs with discontinuous drift | 2017-11-07 | Paper |
| Numerical methods for SDEs with drift discontinuous on a set of positive reach | 2017-08-21 | Paper |
| On the optimal order of integration in Hermite spaces with finite smoothness | 2016-08-22 | Paper |
| A numerical method for SDEs with discontinuous drift | 2016-05-19 | Paper |
| The FWF-special research area ``Quasi-Monte Carlo methods: theory and applications | 2016-05-03 | Paper |
| Utility indifference pricing of derivatives written on industrial loss indices | 2016-02-29 | Paper |
| Numerical integration in log-Korobov and log-cosine spaces | 2016-01-25 | Paper |
| Fast Orthogonal transforms for pricing derivatives with quasi-Monte Carlo | 2015-08-10 | Paper |
| Fast orthogonal transforms for multi-level quasi-Monte Carlo integration | 2015-08-10 | Paper |
| Integration in Hermite spaces of analytic functions | 2015-06-10 | Paper |
| High-dimensional integration on \(\mathbb{R}^d\), weighted Hermite spaces, and orthogonal transforms | 2015-02-06 | Paper |
| On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion | 2015-02-03 | Paper |
| Component-by-Component Construction of Hybrid Point Sets Based on Hammersley and Lattice Point Sets | 2014-10-31 | Paper |
| A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights | 2014-10-07 | Paper |
| Bayesian Dividend Optimization and Finite Time Ruin Probabilities | 2014-06-25 | Paper |
| Introduction to Quasi-Monte Carlo Integration and Applications | 2014-05-07 | Paper |
| A method for approximate inversion of the hyperbolic CDF | 2012-06-04 | Paper |
| Fast orthogonal transforms and generation of Brownian paths | 2012-05-07 | Paper |
| Efficient calculation of the worst-case error and (fast) component-by-component construction of higher order polynomial lattice rules | 2012-03-02 | Paper |
| On the tractability of the Brownian bridge algorithm | 2011-12-14 | Paper |
| Bounds for the weighted \(L^p\) discrepancy and tractability of integration | 2011-12-14 | Paper |
| Calibration of financial models using quasi-Monte Carlo | 2011-08-02 | Paper |
| On Modelling and Pricing Rainfall Derivatives with Seasonality | 2011-06-03 | Paper |
| Notes on exact and semi-exact Lévy models for the valuation of CDOs | 2010-09-21 | Paper |
| On a class of optimization problems emerging when hedging with short term futures contracts | 2008-04-23 | Paper |
| Constructions of general polynomial lattice rules based on the weighted star discrepancy | 2008-01-21 | Paper |
| Randomized Smolyak algorithms based on digital sequences for multivariate integration | 2008-01-16 | Paper |
| Stratified sampling and quasi-Monte Carlo simulation of Lévy processes | 2007-04-10 | Paper |
| Quasi-Monte Carlo and Monte Carlo methods and their application in finance | 2006-01-17 | Paper |
| Construction Algorithms for Digital Nets with Low Weighted Star Discrepancy | 2005-10-28 | Paper |
| An optimal Strategy for Hedging with Short‐Term Futures Contracts | 2003-01-01 | Paper |
