| Publication | Date of Publication | Type |
|---|
| Portfolio Selection, Periodic Evaluations and Risk Taking | 2024-03-15 | Paper |
| Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders | 2023-11-17 | Paper |
| Duality for optimal consumption with randomly terminating income | 2023-09-28 | Paper |
| Deep neural network solution for finite state mean field game with error estimation | 2023-09-27 | Paper |
| Speculative trading, prospect theory and transaction costs | 2022-12-28 | Paper |
| Stochastic maximum principle for optimal liquidation with control-dependent terminal time | 2022-09-12 | Paper |
| Deep learning for constrained utility maximisation | 2022-07-07 | Paper |
| Obituary | 2022-07-06 | Paper |
| Dynamic convex duality in constrained utility maximization | 2022-07-05 | Paper |
| Effective approximation methods for constrained utility maximization with drift uncertainty | 2022-06-03 | Paper |
| Dynamic equilibrium of market making with price competition | 2021-12-27 | Paper |
| Optimal market-making strategies under synchronised order arrivals with deep neural networks | 2021-11-16 | Paper |
| Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems | 2021-09-22 | Paper |
| Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs | 2021-07-16 | Paper |
| On correlated defaults and incomplete information | 2021-06-09 | Paper |
| A note on - vs. -expected loss portfolio constraints | 2021-06-02 | Paper |
| Optimal Liquidation in a Mean-reverting Portfolio | 2020-10-06 | Paper |
| Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation | 2020-03-25 | Paper |
| Optimal Dividend Strategies of Two Collaborating Businesses in the Diffusion Approximation Model | 2020-03-12 | Paper |
| Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan | 2019-11-06 | Paper |
| Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model | 2019-09-18 | Paper |
| Global Closed-Form Approximation of Free Boundary for Optimal Investment Stopping Problems | 2019-08-30 | Paper |
| Turnpike property and convergence rate for an investment and consumption model | 2019-06-18 | Paper |
| Dynamic Portfolio Optimization with Looping Contagion Risk | 2019-05-14 | Paper |
| Optimal investment of DC pension plan under short-selling constraints and portfolio insurance | 2019-03-28 | Paper |
| On infectious model for dependent defaults | 2019-03-12 | Paper |
| Turnpike property and convergence rate for an investment model with general utility functions | 2018-11-15 | Paper |
| Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations | 2018-04-05 | Paper |
| Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization | 2017-12-06 | Paper |
| Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk | 2017-01-11 | Paper |
| Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact | 2016-09-30 | Paper |
| Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing | 2016-03-09 | Paper |
| Asymptotic analysis for target asset portfolio allocation with small transaction costs | 2016-01-05 | Paper |
| Constrained nonsmooth utility maximization on the positive real line | 2015-07-30 | Paper |
| Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk | 2015-05-30 | Paper |
| Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models | 2015-04-21 | Paper |
| Intensity process for a pure jump Lévy structural model with incomplete information | 2015-02-27 | Paper |
| Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization | 2014-12-17 | Paper |
| On modeling credit defaults: A probabilistic Boolean network approach | 2014-08-22 | Paper |
| LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS | 2014-04-25 | Paper |
| On pricing basket credit default swaps | 2014-03-04 | Paper |
| Contagion models a la carte: which one to choose? | 2014-02-08 | Paper |
| Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems | 2012-04-19 | Paper |
| Approximate basket options valuation for a jump-diffusion model | 2012-02-10 | Paper |
| Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method | 2012-02-10 | Paper |
| THE VALUATION OF THE BASKET CDS IN A PRIMARY-SUBSIDIARY MODEL | 2011-05-11 | Paper |
| Convergence in the Semimartingale Topology and Constrained Portfolios | 2011-03-30 | Paper |
| Basket CDS pricing with interacting intensities | 2010-04-22 | Paper |
| Efficient frontier of utility and CVaR | 2009-09-09 | Paper |
| Constrained nonsmooth utility maximization without quadratic inf convolution | 2009-05-06 | Paper |
| Macaulay durations for nonparallel shifts | 2008-03-31 | Paper |
| Qualitative Sensitivity Analysis in Monotropic Programming | 2001-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4250851 | 1999-09-23 | Paper |
| The Extended Euler--Lagrange Condition for Nonconvex Variational Problems | 1997-08-27 | Paper |
| Epi-Derivatives of Integral Functionals with Applications | 1995-10-17 | Paper |
