| Publication | Date of Publication | Type |
|---|
| Detecting asset price bubbles using deep learning | 2025-01-20 | Paper |
| Approximation rates for deep calibration of (rough) stochastic volatility models | 2024-09-17 | Paper |
| Risk-minimization for life insurance liabilities with dependent mortality risk | 2024-05-06 | Paper |
| Liquidity Based Modeling of Asset Price Bubbles via Random Matching | 2024-01-29 | Paper |
| Generalized Feynman-Kac formula under volatility uncertainty | 2024-01-29 | Paper |
| Multi-dimensional fractional Brownian motion in the G-setting | 2023-12-19 | Paper |
| Non-linear affine processes with jumps | 2023-11-21 | Paper |
| Neural network approximation for superhedging prices | 2023-09-28 | Paper |
| Optional projection under equivalent local martingale measures | 2023-04-12 | Paper |
| A dynamic version of the super-replication theorem under proportional transaction costs | 2023-02-01 | Paper |
| Reduced-form framework for multiple ordered default times under model uncertainty | 2023-01-02 | Paper |
| Extended reduced-form framework for non-life insurance | 2022-12-13 | Paper |
| Asset price bubbles in markets with transaction costs | 2022-10-19 | Paper |
| Reduced-form setting under model uncertainty with non-linear affine intensities | 2022-06-03 | Paper |
| A Unified Approach to xVA with CSA Discounting and Initial Margin | 2021-11-05 | Paper |
| Systemic optimal risk transfer equilibrium | 2021-05-05 | Paper |
| GENERAL ANALYSIS OF LONG-TERM INTEREST RATES | 2020-03-26 | Paper |
| On fairness of systemic risk measures | 2020-03-25 | Paper |
| Financial asset price bubbles under model uncertainty | 2020-02-17 | Paper |
| Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion | 2020-02-17 | Paper |
| Reduced-form framework under model uncertainty | 2019-10-22 | Paper |
| Financial Asset Bubbles in Banking Networks | 2019-07-26 | Paper |
| Robust mean-variance hedging via \(G\)-expectation | 2019-06-04 | Paper |
| A unified approach to systemic risk measures via acceptance sets | 2019-05-08 | Paper |
| Liquidity Induced Asset Bubbles via Flows of ELMMs | 2018-08-10 | Paper |
| Long-term yield in an affine HJM framework on \(S_{d}^{+}\) | 2018-07-20 | Paper |
| Polynomial diffusion models for life insurance liabilities | 2016-12-14 | Paper |
| Risk-minimization for life insurance liabilities with basis risk | 2016-03-08 | Paper |
| The Formation of Financial Bubbles in Defaultable Markets | 2015-08-28 | Paper |
| ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS | 2015-04-15 | Paper |
| Shifting martingale measures and the birth of a bubble as a submartingale | 2014-11-07 | Paper |
| Elements of Probability and Statistics | 2014-09-05 | Paper |
| The Mathematical Concept of Measuring Risk | 2014-06-30 | Paper |
| BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE | 2014-06-13 | Paper |
| Local risk-minimization under the benchmark approach | 2014-05-30 | Paper |
| Intensity-based premium evaluation for unemployment insurance products | 2014-04-15 | Paper |
| HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS | 2014-02-27 | Paper |
| Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets | 2014-02-19 | Paper |
| Risk-minimization for life insurance liabilities | 2014-01-23 | Paper |
| Money out of nothing? Principles and foundations of mathematical finance | 2013-07-10 | Paper |
| A fractional credit model with long range dependent default rate | 2013-03-04 | Paper |
| Insider trading equilibrium in a market with memory | 2013-02-26 | Paper |
| Pricing of unemployment insurance products with doubly stochastic Markov chains | 2012-08-30 | Paper |
| Local risk-minimization for defaultable claims with recovery process | 2012-08-01 | Paper |
| Credit Contagion in a Long Range Dependent Macroeconomic Factor Model | 2011-08-08 | Paper |
| Pricing of catastrophe insurance options written on a loss index with reestimation | 2010-06-08 | Paper |
| Asymptotics for Operational Risk Quantified with Expected Shortfall | 2009-12-22 | Paper |
| LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS | 2009-12-07 | Paper |
| Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2 | 2008-11-25 | Paper |
| Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation | 2008-11-13 | Paper |
| FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION | 2008-08-19 | Paper |
| MINIMAL VARIANCE HEDGING FOR INSIDER TRADING | 2008-05-14 | Paper |
| Quadratic hedging methods for defaultable claims | 2008-04-03 | Paper |
| Stochastic Calculus for Fractional Brownian Motion and Applications | 2008-03-26 | Paper |
| ON THE TIMING OPTION IN A FUTURES CONTRACT | 2007-10-29 | Paper |
| Elementi di Probabilità e Statistica | 2006-06-13 | Paper |
| A general stochastic calculus approach to insider trading | 2006-06-12 | Paper |
| A stochastic maximum principle for processes driven by fractional Brownian motion. | 2005-02-25 | Paper |
| Minimal variance hedging for fractional Brownian motion | 2004-10-25 | Paper |
| An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion | 2004-08-06 | Paper |
| Local risk minimization and numéraire | 2002-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741096 | 2002-01-13 | Paper |
| Mean-variance hedging for interest rate models with stochastic volatility. | 2002-01-01 | Paper |
| Mean–variance hedging with random volatility jumps | 2002-01-01 | Paper |
| Mean-variance hedging for stochastic volatility models | 2001-03-29 | Paper |
