| Publication | Date of Publication | Type |
|---|
| Pricing CoCos with equity conversion covenant in a distressed market environment | 2024-12-06 | Paper |
| Sharp bounds on the survival function of exchangeable min-stable multivariate exponential sequences | 2024-05-31 | Paper |
| A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence | 2024-01-15 | Paper |
| Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes | 2023-03-02 | Paper |
| About the exact simulation of bivariate (reciprocal) Archimax copulas | 2022-06-24 | Paper |
| Correction | 2021-11-15 | Paper |
| Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant | 2021-06-22 | Paper |
| The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay | 2021-01-14 | Paper |
| The infinite extendibility problem for exchangeable real-valued random vectors | 2020-11-03 | Paper |
| Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes | 2020-10-07 | Paper |
| On the structure of exchangeable extreme-value copulas | 2020-09-29 | Paper |
| Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case | 2020-05-12 | Paper |
| Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence | 2020-05-06 | Paper |
| Simulating realistic correlation matrices for financial applications: correlation matrices with the Perron–Frobenius property | 2020-04-27 | Paper |
| Canonical spectral representation for exchangeable max-stable sequences | 2020-02-28 | Paper |
| PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE | 2019-11-08 | Paper |
| Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws | 2019-10-11 | Paper |
| Negative Basis Measurement: Finding the Holy Scale | 2018-10-22 | Paper |
| A Multivariate Default Model with Spread and Event Risk | 2018-09-11 | Paper |
| Exact simulation of reciprocal Archimedean copulas | 2018-07-27 | Paper |
| Portfolio selection based on graphs: does it align with Markowitz-optimal portfolios? | 2018-06-27 | Paper |
| Extreme-value copulas associated with the expected scaled maximum of independent random variables | 2018-05-17 | Paper |
| Simulating Copulas | 2017-07-27 | Paper |
| A Survey of Dynamic Representations and Generalizations of the Marshall–Olkin Distribution | 2017-07-05 | Paper |
| The Mean of Marshall–Olkin-Dependent Exponential Random Variables | 2017-07-05 | Paper |
| Two novel characterizations of self-decomposability on the half-line | 2017-04-12 | Paper |
| Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach | 2016-06-09 | Paper |
| An Analytical Characterization of the Exchangeable Wide-Sense Geometric Law | 2016-05-13 | Paper |
| Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law | 2016-05-04 | Paper |
| Exchangeable exogenous shock models | 2016-04-01 | Paper |
| Bivariate extreme-value copulas with discrete Pickands dependence measure | 2016-01-22 | Paper |
| Simulating from the Copula that Generates the Maximal Probability for a Joint Default Under Given (Inhomogeneous) Marginals | 2015-07-03 | Paper |
| On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions | 2015-06-23 | Paper |
| Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time | 2014-12-17 | Paper |
| Extendibility of Marshall-Olkin distributions and inverse Pascal triangles | 2014-11-12 | Paper |
| A note on the Galambos copula and its associated Berstein function | 2014-07-04 | Paper |
| What makes dependence modeling challenging? Pitfalls and ways to circumvent them | 2014-01-22 | Paper |
| CIID Frailty Models and Implied Copulas | 2013-09-20 | Paper |
| Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions | 2013-05-13 | Paper |
| Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws | 2013-03-12 | Paper |
| Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications | 2013-02-21 | Paper |
| Moment-based estimation of extendible Marshall-Olkin copulas | 2013-02-06 | Paper |
| \(H\)-extendible copulas | 2012-08-13 | Paper |
| Simulating Copulas | 2012-03-12 | Paper |
| Reparameterizing Marshall–Olkin copulas with applications to sampling | 2011-02-03 | Paper |
| Constructing hierarchical archimedean copulas with Lévy subordinators | 2010-05-05 | Paper |
| The Pickands representation of survival Marshall-Olkin copulas | 2010-03-01 | Paper |
| Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions | 2009-10-01 | Paper |
| A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE | 2009-08-03 | Paper |
| Lévy-frailty copulas | 2009-06-09 | Paper |
