| Publication | Date of Publication | Type |
|---|
Efficient drift parameter estimation for ergodic solutions of backward SDEs
Scandinavian Journal of Statistics | 2024-09-19 | Paper |
On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization
Insurance Mathematics & Economics | 2024-07-17 | Paper |
A gradient method for high-dimensional BSDEs
Monte Carlo Methods and Applications | 2024-06-12 | Paper |
| The $C^{0,1}$ It\^o-Ventzell formula for weak Dirichlet processes | 2023-07-31 | Paper |
Robustness of Delta Hedging in a Jump-Diffusion Model
SIAM Journal on Financial Mathematics | 2023-07-04 | Paper |
On the investment strategies in occupational pension plans
Quantitative Finance | 2022-05-27 | Paper |
Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
Insurance Mathematics & Economics | 2021-10-19 | Paper |
| Efficient drift parameter estimation for ergodic solutions of backward SDEs | 2021-09-17 | Paper |
| scientific article; zbMATH DE number 7224244 (Why is no real title available?) | 2020-07-22 | Paper |
| Robust Multiple Stopping -- A Pathwise Duality Approach | 2020-06-02 | Paper |
Optimal stopping under uncertainty in drift and jump intensity
Mathematics of Operations Research | 2020-03-12 | Paper |
| Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing | 2018-11-22 | Paper |
Perfect hedging under endogenous permanent market impacts
Finance and Stochastics | 2018-04-06 | Paper |
On dynamic deviation measures and continuous-time portfolio optimization
The Annals of Applied Probability | 2018-03-08 | Paper |
On dynamic deviation measures and continuous-time portfolio optimization
The Annals of Applied Probability | 2018-03-08 | Paper |
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Finance and Stochastics | 2017-10-23 | Paper |
| A Regress-Later Algorithm for Backward Stochastic Differential Equations | 2017-06-24 | Paper |
Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
Stochastic Processes and their Applications | 2016-04-04 | Paper |
Robust portfolio choice and indifference valuation
Mathematics of Operations Research | 2015-04-24 | Paper |
Entropy coherent and entropy convex measures of risk
Mathematics of Operations Research | 2014-07-11 | Paper |
TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
Mathematical Finance | 2014-04-23 | Paper |
BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
Bernoulli | 2013-08-16 | Paper |
BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
Bernoulli | 2013-08-16 | Paper |
Existence, minimality and approximation of solutions to BSDEs with convex drivers
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
Journal of Applied Probability | 2008-03-07 | Paper |
