| Publication | Date of Publication | Type |
|---|
Collective arbitrage and the value of cooperation
Finance and Stochastics | 2025-12-30 | Paper |
Detecting asset price bubbles using deep learning
Mathematical Finance | 2025-01-20 | Paper |
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Stochastics and Dynamics | 2024-12-06 | Paper |
Stability, uniqueness and existence of solutions to McKean-Vlasov stochastic differential equations in arbitrary moments
Journal of Theoretical Probability | 2024-11-05 | Paper |
Restoration of well-posedness of infinite-dimensional singular ODE's via noise
Potential Analysis | 2024-02-21 | Paper |
Liquidity Based Modeling of Asset Price Bubbles via Random Matching
SIAM Journal on Financial Mathematics | 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
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
Suffocating Fire Sales
SIAM Journal on Financial Mathematics | 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
Mathematics and Financial Economics | 2021-05-05 | Paper |
Systemic optimal risk transfer equilibrium
Mathematics and Financial Economics | 2021-05-05 | Paper |
Financial contagion in a stochastic block model
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
On fairness of systemic risk measures
Finance and Stochastics | 2020-03-25 | Paper |
Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
Probability, Uncertainty and Quantitative Risk | 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
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Managing Default Contagion in Inhomogeneous Financial Networks
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Bootstrap percolation in directed inhomogeneous random graphs
The Electronic Journal of Combinatorics | 2019-08-05 | Paper |
Bootstrap percolation in directed inhomogeneous random graphs
The Electronic Journal of Combinatorics | 2019-08-05 | Paper |
Financial asset bubbles in banking networks
SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
Robust mean-variance hedging via \(G\)-expectation
Stochastic Processes and their Applications | 2019-06-04 | Paper |
Correction to: ``Fatou closedness under model uncertainty''
Positivity | 2019-05-10 | Paper |
A unified approach to systemic risk measures via acceptance sets
Mathematical Finance | 2019-05-08 | Paper |
Strong solutions of mean-field stochastic differential equations with irregular drift
Electronic Journal of Probability | 2019-02-14 | Paper |
Strong solutions of mean-field stochastic differential equations with irregular drift
Electronic Journal of Probability | 2019-02-14 | Paper |
Fatou closedness under model uncertainty
Positivity | 2018-11-15 | Paper |
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
Liquidity induced asset bubbles via flows of ELMMs
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Strongly consistent multivariate conditional risk measures
Mathematics and Financial Economics | 2018-07-05 | Paper |
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
International Journal of Theoretical and Applied Finance | 2018-06-29 | Paper |
Computing deltas without derivatives
Finance and Stochastics | 2017-04-13 | Paper |
Risk-consistent conditional systemic risk measures
Stochastic Processes and their Applications | 2016-04-20 | Paper |
Electricity futures price modeling with Lévy term structure models
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
The Mathematical Concept of Measuring Risk
Risk - A Multidisciplinary Introduction | 2014-06-30 | Paper |
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
Stochastics | 2014-04-25 | Paper |
A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs
Mathematische Annalen | 2013-11-18 | Paper |
Insider trading equilibrium in a market with memory
Mathematics and Financial Economics | 2013-02-26 | Paper |
Consistent factor models for temperature markets
International Journal of Theoretical and Applied Finance | 2012-08-30 | Paper |
A Bayes formula for nonlinear filtering with Gaussian and Cox noise
Journal of Probability and Statistics | 2012-03-13 | Paper |
Electricity spot price modelling with a view towards extreme spike risk
Quantitative Finance | 2011-04-29 | Paper |
How Duration Between Trades of Underlying Securities Affects Option Prices*
Review of Finance | 2010-12-17 | Paper |
Pricing of catastrophe insurance options written on a loss index with reestimation
Insurance Mathematics & Economics | 2010-06-08 | Paper |
Construction of strong solutions of SDE's via Malliavin calculus
Journal of Functional Analysis | 2010-05-17 | Paper |
Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
Journal of Theoretical Probability | 2010-04-23 | Paper |
Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation
Journal of Applied Probability | 2008-11-13 | Paper |
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
International Journal of Theoretical and Applied Finance | 2008-09-29 | Paper |
Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions
Stochastics | 2008-08-08 | Paper |
Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions
Stochastic Analysis and Applications | 2007-10-24 | Paper |
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Applied Mathematical Finance | 2007-07-16 | Paper |
On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
Communications in Mathematical Sciences | 2006-07-11 | Paper |
Optimal portfolio for an insider in a market driven by Lévy processes§
Quantitative Finance | 2006-06-16 | Paper |
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Finance and Stochastics | 2006-05-24 | Paper |
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2005-08-01 | Paper |
Explicit solution of a nonlinear filtering problem for Lévy processes with application to finance
Applied Mathematics and Optimization | 2004-11-05 | Paper |
Mean-Field SDEs driven by $G$-Brownian Motion
(available as arXiv preprint) | N/A | Paper |
