| Publication | Date of Publication | Type |
|---|
| Risk Valuation of Quanto Derivatives on Temperature and Electricity | 2025-01-27 | Paper |
| A stochastic volatility model for the valuation of temperature derivatives | 2024-11-13 | Paper |
| High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids | 2024-11-01 | Paper |
| Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear | 2024-07-23 | Paper |
| Construction of Boltzmann and McKean-Vlasov type flows (the sewing lemma approach) | 2024-01-15 | Paper |
| Approximation of Stochastic Volterra Equations with kernels of completely monotone type | 2024-01-02 | Paper |
| How many inner simulations to compute conditional expectations with least-square Monte Carlo? | 2023-07-25 | Paper |
| Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation | 2023-02-15 | Paper |
| High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids | 2022-09-27 | Paper |
| Constrained overdamped Langevin dynamics for symmetric multimarginal optimal transportation | 2022-05-10 | Paper |
| Multilevel Monte Carlo for computing the SCR with the standard formula and other stress tests | 2021-10-19 | Paper |
| A generic construction for high order approximation schemes of semigroups using random grids | 2021-08-27 | Paper |
| Sampling of probability measures in the convex order by Wasserstein projection | 2021-02-15 | Paper |
| Approximation of optimal transport problems with marginal moments constraints | 2021-01-20 | Paper |
| A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula | 2021-01-20 | Paper |
| Squared quadratic Wasserstein distance: optimal couplings and Lions differentiability | 2020-12-15 | Paper |
| Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing | 2020-02-14 | Paper |
| SAMPLING OF ONE-DIMENSIONAL PROBABILITY MEASURES IN THE CONVEX ORDER AND COMPUTATION OF ROBUST OPTION PRICE BOUNDS | 2019-05-21 | Paper |
| Optimal Execution and Price Manipulations in Time-varying Limit Order Books | 2018-09-11 | Paper |
| Evolution of the Wasserstein distance between the marginals of two Markov processes | 2018-03-27 | Paper |
| Parametrix methods for one-dimensional reflected SDEs | 2018-03-08 | Paper |
| Maximum likelihood estimation for Wishart processes | 2016-10-12 | Paper |
| Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions | 2016-08-10 | Paper |
| Stochastic local intensity loss models with interacting particle systems | 2016-04-14 | Paper |
| Dynamic optimal execution in a mixed-market-impact Hawkes price model | 2016-03-29 | Paper |
| On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter | 2015-11-17 | Paper |
| A simple proof for the convexity of the Choquet integral | 2015-08-19 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2015-08-07 | Paper |
| Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme | 2014-06-13 | Paper |
| Optimal transport bounds between the time-marginals of a multidimensional diffusion and its Euler scheme | 2014-05-27 | Paper |
| Affine diffusions and related processes: simulation, theory and applications | 2014-05-07 | Paper |
| A remark on the optimal transport between two probability measures sharing the same copula | 2014-04-09 | Paper |
| Capacitary measures for completely monotone kernels via singular control | 2013-07-17 | Paper |
| Strong order one convergence of a drift implicit Euler scheme: application to the CIR process | 2013-05-13 | Paper |
| Exact and high-order discretization schemes for Wishart processes and their affine extensions | 2013-05-10 | Paper |
| A closed-form extension to the Black-Cox model | 2013-03-12 | Paper |
| A mean-reverting SDE on correlation matrices | 2013-03-04 | Paper |
| Order book resilience, price manipulation, and the positive portfolio problem | 2013-01-25 | Paper |
| General duality for perpetual American options | 2011-04-27 | Paper |
| High order discretization schemes for the CIR process: application to affine term structure and heston models | 2010-08-30 | Paper |
| Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models | 2010-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3550879 | 2010-04-07 | Paper |
| Optimal execution strategies in limit order books with general shape functions | 2010-03-12 | Paper |
| Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options | 2009-09-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3534743 | 2008-11-04 | Paper |
| A Call-Put Duality for Perpetual American Options | 2006-12-21 | Paper |
| On the discretization schemes for the CIR (and Bessel squared) processes | 2006-01-24 | Paper |
| Adaptive simulation of hybrid stochastic and deterministic models for biochemical systems | 2005-10-12 | Paper |
| New Families of Copulas Based on Periodic Functions | 2005-09-05 | Paper |
| Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model | 2005-05-20 | Paper |
| On non-negative solutions of stochastic Volterra equations with jumps and non-Lipschitz coefficients | N/A | Paper |
| A pure dual approach for hedging Bermudan options | N/A | Paper |
