Thorsten Rheinländer

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Importance sampling for option pricing with feedforward neural networks Finance and Stochastics	2025-01-09	Paper
Financial markets with a large trader The Annals of Applied Probability	2018-03-08	Paper
Valuation of barrier options via a general self-duality Mathematical Finance	2016-07-15	Paper
Risk-minimization for life insurance liabilities with basis risk Mathematics and Financial Economics	2016-03-08	Paper
Quasi-self-dual exponential Lévy processes SIAM Journal on Financial Mathematics	2015-01-20	Paper
Quasi-self-dual exponential Lévy processes SIAM Journal on Financial Mathematics	2015-01-20	Paper
HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS ASTIN Bulletin	2014-02-27	Paper
Self-dual continuous processes Stochastic Processes and their Applications	2013-04-22	Paper
Consistent factor models for temperature markets International Journal of Theoretical and Applied Finance	2012-08-30	Paper
Optimal martingale measures for defaultable assets Stochastic Processes and their Applications	2012-07-20	Paper
Arbitrage opportunities in diverse markets via a non-equivalent measure change Annals of Finance	2012-03-06	Paper
Asymptotic utility-based pricing and hedging for exponential utility Statistics & Decisions	2011-03-29	Paper
Utility indifference hedging with exponential additive processes Asia-Pacific Financial Markets	2010-10-06	Paper
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models The Annals of Applied Probability	2007-02-05	Paper
An entropy approach to the Stein and Stein model with correlation Finance and Stochastics	2006-05-24	Paper
A Stochastic Version of Zeeman's Market Model Studies in Nonlinear Dynamics & Econometrics	2006-01-27	Paper
On the minimal entropy martingale measure. The Annals of Probability	2003-05-06	Paper
Exponential Hedging and Entropic Penalties Mathematical Finance	2002-10-28	Paper
Mean-variance hedging for continuous processes: New proofs and examples Finance and Stochastics	1998-09-07	Paper
On \(L^2\)-projections on a space of stochastic integrals The Annals of Probability	1998-09-06	Paper

Research outcomes over time

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