| Publication | Date of Publication | Type |
|---|
| Extending the Merton model with applications to credit value adjustment | 2023-07-31 | Paper |
| Identifying household finance heterogeneity via deep clustering | 2023-07-13 | Paper |
| Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks | 2023-06-20 | Paper |
| Computational aspects of portfolio risk estimation in volatile markets: a survey | 2023-03-13 | Paper |
| Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data | 2023-03-13 | Paper |
| Statistical arbitrage in jump-diffusion models with compound Poisson processes | 2022-07-05 | Paper |
| Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis | 2022-05-16 | Paper |
| Multiple subordinated modeling of asset returns: Implications for option pricing | 2022-03-04 | Paper |
| Intertemporal defaulted bond recoveries prediction via machine learning | 2021-12-13 | Paper |
| Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules | 2020-04-20 | Paper |
| PRICING DERIVATIVES IN HERMITE MARKETS | 2019-11-08 | Paper |
| Market implied volatilities for defaultable bonds | 2019-10-15 | Paper |
| Probability metrics with applications in finance | 2019-09-13 | Paper |
| Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions | 2019-08-27 | Paper |
| A Three-Factor Model for Mortality Modeling | 2019-05-28 | Paper |
| A methodology for index tracking based on time-series clustering | 2019-01-15 | Paper |
| Effects of Spot Market Short-Sale Constraints on Index Futures Trading | 2018-11-20 | Paper |
| Extracting market information from equity options with exponential Lévy processes | 2018-11-01 | Paper |
| Multiperiod conditional valuation of barrier options with incomplete information | 2018-09-19 | Paper |
| Local volatility and the recovery rate of credit default swaps | 2018-08-13 | Paper |
| Improving corporate bond recovery rate prediction using multi-factor support vector regressions | 2018-07-25 | Paper |
| An improved least squares Monte Carlo valuation method based on heteroscedasticity | 2018-02-06 | Paper |
| FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET | 2018-01-11 | Paper |
| Fuzzy decision fusion approach for loss-given-default modeling | 2017-12-06 | Paper |
| Tempered stable Ornstein– Uhlenbeck processes: A practical view | 2017-03-03 | Paper |
| Intensity-based framework for surrender modeling in life insurance | 2017-01-31 | Paper |
| An improved method for pricing and hedging long dated American options | 2016-10-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2825434 | 2016-10-07 | Paper |
| RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL | 2016-06-22 | Paper |
| Discussion of `On simulation and properties of the stable law' by Devroye and James | 2016-03-17 | Paper |
| Smooth monotone covariance for elliptical distributions and applications in finance | 2015-04-16 | Paper |
| Bayesian estimation of truncated data with applications to operational risk measurement | 2015-04-08 | Paper |
| 60 years of portfolio optimization: practical challenges and current trends | 2015-02-03 | Paper |
| Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments | 2014-08-07 | Paper |
| Mathematical Methods for Finance | 2014-02-27 | Paper |
| A new method for generating approximation algorithms for financial mathematics applications | 2014-01-30 | Paper |
| PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS | 2013-10-21 | Paper |
| FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? | 2013-08-15 | Paper |
| Sensitivity of portfolio VaR and CVaR to portfolio return characteristics | 2013-08-07 | Paper |
| The Methods of Distances in the Theory of Probability and Statistics | 2012-09-12 | Paper |
| METRIZATION OF STOCHASTIC DOMINANCE RULES | 2012-05-07 | Paper |
| A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates | 2012-04-18 | Paper |
| Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration | 2012-03-06 | Paper |
| COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” | 2011-08-16 | Paper |
| Calibrating affine stochastic mortality models using term assurance premiums | 2011-08-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3003679 | 2011-05-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5392722 | 2011-04-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3083935 | 2011-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3083937 | 2011-03-14 | Paper |
| Approximation of aggregate and extremal losses within the very heavy tails framework | 2010-12-20 | Paper |
| Multi-tail generalized elliptical distributions for asset returns | 2010-10-15 | Paper |
| Robust portfolios: contributions from operations research and finance | 2010-09-20 | Paper |
| Stochastic models for risk estimation in volatile markets: a survey | 2010-09-20 | Paper |
| Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market | 2010-07-02 | Paper |
| Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model | 2010-07-02 | Paper |
| Portfolio selection with uncertain exit time: a robust CVaR approach | 2010-01-19 | Paper |
| Construction of probability metrics on classes of investors | 2009-12-21 | Paper |
| Portfolio selection under distributional uncertainty: a relative robust CVaR approach | 2009-12-07 | Paper |
| Estimating risk-neutral density with parametric models in interest rate markets | 2009-10-12 | Paper |
| Orderings and Probability Functionals Consistent with Preferences | 2009-09-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5324619 | 2009-08-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5324636 | 2009-08-03 | Paper |
| Introduction to special issue: Studies in mathematical and empirical finance | 2009-07-06 | Paper |
| Black swans and white eagles: On mathematics and finance | 2009-07-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3615201 | 2009-03-17 | Paper |
| Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns | 2009-02-26 | Paper |
| Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research | 2009-02-26 | Paper |
| DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY | 2008-08-26 | Paper |
| ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS | 2008-05-20 | Paper |
| Optimal Financial Portfolios | 2008-01-31 | Paper |
| Robust portfolio selection with uncertain exit time using worst-case VaR strategy | 2008-01-11 | Paper |
| Stable distributions in the Black–Litterman approach to asset allocation | 2007-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3433875 | 2007-04-20 | Paper |
| An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve | 2006-12-07 | Paper |
| THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY | 2006-10-16 | Paper |
| On risk management problems related to a coherence property | 2006-06-16 | Paper |
| AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES | 2005-03-18 | Paper |
| A Portfolio Approach to Capital Budgeting: An Application to the Expansion to Additional Product Lines | 1978-01-01 | Paper |
