| Publication | Date of Publication | Type |
|---|
| Detecting asset price bubbles using deep learning | 2025-01-20 | Paper |
| Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach | 2024-12-06 | Paper |
| Stability, uniqueness and existence of solutions to McKean-Vlasov stochastic differential equations in arbitrary moments | 2024-11-05 | Paper |
| 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 |
| Mean-Field SDEs driven by $G$-Brownian Motion | N/A | Paper |
