Thilo Meyer-Brandis

Available identifiers

zbMath Open meyer-brandis.thiloMaRDI QIDQ271874

List of research outcomes

Publication	Date of Publication	Type
Restoration of well-posedness of infinite-dimensional singular ODE's via noise	2024-02-21	Paper
Liquidity Based Modeling of Asset Price Bubbles via Random Matching	2024-01-29	Paper
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments	2022-05-04	Paper
LARGE PLATONIC MARKETS WITH DELAYS	2022-03-11	Paper
Suffocating Fire Sales	2022-02-15	Paper
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach	2021-07-16	Paper
An integrated model for fire sales and default contagion	2021-05-05	Paper
Systemic optimal risk transfer equilibrium	2021-05-05	Paper
FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL	2021-03-16	Paper
On fairness of systemic risk measures	2020-03-25	Paper
Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion	2020-02-17	Paper
McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise	2019-12-16	Paper
Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift	2019-12-13	Paper
Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift	2019-12-12	Paper
Managing Default Contagion in Inhomogeneous Financial Networks	2019-11-22	Paper
Bootstrap percolation in directed inhomogeneous random graphs	2019-08-05	Paper
Financial Asset Bubbles in Banking Networks	2019-07-26	Paper
Robust mean-variance hedging via \(G\)-expectation	2019-06-04	Paper
Correction to: ``Fatou closedness under model uncertainty	2019-05-10	Paper
A unified approach to systemic risk measures via acceptance sets	2019-05-08	Paper
Strong solutions of mean-field stochastic differential equations with irregular drift	2019-02-14	Paper
Fatou closedness under model uncertainty	2018-11-15	Paper
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle	2018-11-09	Paper
Liquidity Induced Asset Bubbles via Flows of ELMMs	2018-08-10	Paper
Strongly consistent multivariate conditional risk measures	2018-07-05	Paper
LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS	2018-06-29	Paper
Computing deltas without derivatives	2017-04-13	Paper
Risk-consistent conditional systemic risk measures	2016-04-20	Paper
ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS	2015-04-15	Paper
The Mathematical Concept of Measuring Risk	2014-06-30	Paper
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps	2014-04-25	Paper
A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs	2013-11-18	Paper
Insider trading equilibrium in a market with memory	2013-02-26	Paper
CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS	2012-08-30	Paper
A Bayes formula for nonlinear filtering with Gaussian and Cox noise	2012-03-13	Paper
Electricity spot price modelling with a view towards extreme spike risk	2011-04-29	Paper
How Duration Between Trades of Underlying Securities Affects Option Prices*	2010-12-17	Paper
Pricing of catastrophe insurance options written on a loss index with reestimation	2010-06-08	Paper
Construction of strong solutions of SDE's via Malliavin calculus	2010-05-17	Paper
Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes	2010-04-23	Paper
Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation	2008-11-13	Paper
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES	2008-09-29	Paper
Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions	2008-08-08	Paper
Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions	2007-10-24	Paper
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing	2007-07-16	Paper
On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients	2006-07-11	Paper
Optimal portfolio for an insider in a market driven by Lévy processes§	2006-06-16	Paper
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps	2006-05-24	Paper
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES	2005-08-01	Paper
Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance	2004-11-05	Paper

Research outcomes over time

Doctoral students

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