| Publication | Date of Publication | Type |
|---|
| Protecting pegged currency markets from speculative investors | 2023-09-28 | Paper |
| Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance | 2023-07-05 | Paper |
| On laws absolutely continuous with respect to fractional Brownian motion | 2023-06-20 | Paper |
| A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class | 2022-11-21 | Paper |
| Robust Faber--Schauder approximation based on discrete observations of an antiderivative | 2022-11-21 | Paper |
| Step roots of Littlewood polynomials and the extrema of functions in the Takagi class | 2022-10-21 | Paper |
| An FBSDE approach to market impact games with stochastic parameters | 2022-06-03 | Paper |
| Robustness in the Optimization of Risk Measures | 2022-02-18 | Paper |
| Distributional Transforms, Probability Distortions, and Their Applications | 2022-02-08 | Paper |
| The roughness exponent and its model-free estimation | 2021-11-19 | Paper |
| On the minimizers of energy forms with completely monotone kernel | 2021-04-22 | Paper |
| A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness | 2021-01-06 | Paper |
| A central bank strategy for defending a currency peg | 2021-01-06 | Paper |
| On the $p$th variation of a class of fractal functions | 2020-10-29 | Paper |
| A Market Impact Game Under Transient Price Impact | 2020-03-12 | Paper |
| Pathwise no-arbitrage in a class of delta hedging strategies | 2020-02-17 | Paper |
| On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity | 2019-03-21 | Paper |
| Model-free CPPI | 2018-11-01 | Paper |
| Model-Free Portfolio Theory and Its Functional Master Formula | 2018-10-31 | Paper |
| Price manipulation in a market impact model with dark pool | 2018-04-06 | Paper |
| High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact | 2018-03-12 | Paper |
| A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION | 2017-07-21 | Paper |
| Domains of weak continuity of statistical functionals with a view toward robust statistics | 2017-06-22 | Paper |
| Mild and viscosity solutions to semilinear parabolic path-dependent PDEs | 2016-11-24 | Paper |
| Stochastic finance. An introduction in discrete time. | 2016-09-02 | Paper |
| Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions | 2016-08-10 | Paper |
| The associativity rule in pathwise functional It\^o calculus | 2016-05-28 | Paper |
| Optimal portfolio liquidation in target zone models and catalytic superprocesses | 2016-05-23 | Paper |
| Constructing functions with prescribed pathwise quadratic variation | 2016-05-11 | Paper |
| On a class of generalized Takagi functions with linear pathwise quadratic variation | 2015-09-30 | Paper |
| Quasi-Hadamard differentiability of general risk functionals and its application | 2015-04-17 | Paper |
| Comparative and qualitative robustness for law-invariant risk measures | 2014-11-07 | Paper |
| A control problem with fuel constraint and Dawson-Watanabe superprocesses | 2014-01-17 | Paper |
| Drift dependence of optimal trade execution strategies under transient price impact | 2013-11-06 | Paper |
| Probabilistic aspects of finance | 2013-10-17 | Paper |
| Capacitary Measures for Completely Monotone Kernels via Singular Control | 2013-07-17 | Paper |
| TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS | 2013-02-28 | Paper |
| Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem | 2013-01-25 | Paper |
| Some mathematical aspects of market impact modeling | 2011-12-01 | Paper |
| Qualitative and infinitesimal robustness of tail-dependent statistical functionals | 2011-10-25 | Paper |
| OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK | 2011-06-20 | Paper |
| Optimal Basket Liquidation for CARA Investors is Deterministic | 2010-12-15 | Paper |
| Stochastic Finance | 2010-11-23 | Paper |
| Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models | 2010-08-11 | Paper |
| Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets | 2010-04-22 | Paper |
| Optimal execution strategies in limit order books with general shape functions | 2010-03-12 | Paper |
| Robust Preferences and Robust Portfolio Choice | 2009-06-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3534743 | 2008-11-04 | Paper |
| Robust optimal control for a consumption-investment problem | 2008-04-23 | Paper |
| Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models | 2008-03-07 | Paper |
| Optimal investments for risk- and ambiguity-averse preferences: a duality approach | 2007-12-16 | Paper |
| A control approach to robust utility maximization with logarithmic utility and time-consistent penalties | 2007-07-27 | Paper |
| Risk Measures and Robust Optimization Problems | 2007-02-15 | Paper |
| Robust utility maximization in a stochastic factor model | 2007-01-30 | Paper |
| Duality theory for optimal investments under model uncertainty | 2006-06-29 | Paper |
| Optimal Investments for Robust Utility Functionals in Complete Market Models | 2005-11-11 | Paper |
| Stochastic finance. An introduction in discrete time | 2005-08-26 | Paper |
| On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals. | 2004-09-15 | Paper |
| Convex measures of risk and trading constraints | 2004-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550910 | 2003-10-21 | Paper |
| Stochastic finance. An introduction in discrete time | 2002-09-26 | Paper |
| Geometric analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families | 2002-08-28 | Paper |
| Existence and regularity for a class of infinite-measure \((\xi,\Psi, K)\)-superprocesses | 2001-06-13 | Paper |
| Rademacher's theorem on configuration spaces and applications | 2001-05-07 | Paper |
| Moderate deviations and functional LIL for super-Brownian motion | 2000-03-01 | Paper |
| Cramér's condition and Sanov's theorem | 1999-03-02 | Paper |
| Large deviations for hierarchical systems of interacting jump processes | 1998-11-11 | Paper |
| Geometric aspects of Fleming-Viot and Dawson-Watanabe processes | 1998-09-08 | Paper |
| Sample path large deviations for super-Brownian motion | 1996-11-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4870478 | 1996-03-19 | Paper |
