| Publication | Date of Publication | Type |
|---|
| Optimal surrender policy for reverse mortgage loans | 2025-01-22 | Paper |
| Robust distortion risk measures | 2024-11-20 | Paper |
| Cost-efficient payoffs under model ambiguity | 2024-10-16 | Paper |
| Multivariate option pricing using copulae | 2024-07-10 | Paper |
| Implied value-at-risk and model-free simulation | 2024-06-04 | Paper |
| Model Risk Management | 2023-10-30 | Paper |
| Corrigendum and addendum to: ``Range value-at-risk bounds for unimodal distributions under partial information | 2023-10-12 | Paper |
| The impact of correlation on (Range) Value-at-Risk | 2023-07-12 | Paper |
| Coskewness under dependence uncertainty | 2023-07-12 | Paper |
| Optimal multivariate financial decision making | 2023-07-03 | Paper |
| Cost-efficiency in Incomplete Markets | 2022-06-24 | Paper |
| Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model | 2022-06-17 | Paper |
| Optimization Methods in FinanceGerard Cornuejols and Reha Tütüncü | 2022-01-19 | Paper |
| Development and pricing of a new participating contract | 2021-12-22 | Paper |
| Optimal annuity demand for general expected utility agents | 2021-11-19 | Paper |
| A model-free approach to multivariate option pricing | 2021-08-19 | Paper |
| Bounds on multi-asset derivatives via neural networks | 2021-03-16 | Paper |
| Range value-at-risk bounds for unimodal distributions under partial information | 2020-11-19 | Paper |
| State-dependent fees for variable annuity guarantees | 2020-02-05 | Paper |
| Semi-analytical prices for lookback and barrier options under the Heston model | 2020-01-31 | Paper |
| A new efficiency test for ranking investments: application to hedge fund performance | 2019-07-10 | Paper |
| Impact of flexible periodic premiums on variable annuity guarantees | 2019-05-28 | Paper |
| Optimal strategies under omega ratio | 2019-01-28 | Paper |
| Optimal payoffs under state-dependent preferences | 2018-09-19 | Paper |
| Prices and asymptotics for discrete variance swaps | 2018-09-11 | Paper |
| Dynamic preferences for popular investment strategies in pension funds | 2018-07-11 | Paper |
| Optimal portfolio under state-dependent expected utility | 2018-06-07 | Paper |
| Rearrangement algorithm and maximum entropy | 2018-03-23 | Paper |
| Risk bounds for factor models | 2017-07-21 | Paper |
| On the martingale property in stochastic volatility models based on time-homogeneous diffusions | 2017-03-13 | Paper |
| Algorithms for finding copulas minimizing convex functions of sums | 2016-12-16 | Paper |
| Simplified hedge for path-dependent derivatives | 2016-12-08 | Paper |
| Semi-static hedging of variable annuities | 2016-05-12 | Paper |
| Quantile of a mixture with application to model risk assessment | 2016-01-21 | Paper |
| Rationalizing investors' choices | 2015-08-21 | Paper |
| Conditional quantiles and tail dependence | 2015-06-18 | Paper |
| Optimal claims with fixed payoff structure | 2015-04-14 | Paper |
| Optimal portfolios under worst-case scenarios | 2015-04-01 | Paper |
| Optimal insurance design under rank-dependent expected utility | 2015-02-20 | Paper |
| Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection | 2015-02-03 | Paper |
| Optimal surrender policy for variable annuity guarantees | 2014-09-22 | Paper |
| Impact of counterparty risk on the reinsurance market | 2014-07-19 | Paper |
| Risk aggregation with dependence uncertainty | 2014-06-23 | Paper |
| Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence | 2014-05-21 | Paper |
| Pricing and hedging of cliquet options and locally capped contracts | 2014-01-23 | Paper |
| An optimal insurance design problem under Knightian uncertainty | 2013-11-07 | Paper |
| Correction note for ``The large-maturity smile for the Heston model | 2013-02-07 | Paper |
| Performance regularity: a new class of executive compensation packages | 2013-01-29 | Paper |
| Static portfolio choice under cumulative prospect theory | 2013-01-20 | Paper |
| Nearly exact option price simulation using characteristic functions | 2013-01-16 | Paper |
| A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011) | 2012-10-29 | Paper |
| Protection of a company issuing a certain class of participating policies in a complete market framework | 2011-08-23 | Paper |
| Improving the Design of Financial Products in a Multidimensional Black-Scholes Market | 2011-06-07 | Paper |
| Pricing derivatives with barriers in a stochastic interest rate environment | 2010-01-19 | Paper |
| On the regulator-insurer interaction in a structural model | 2009-10-09 | Paper |
| Market value of life insurance contracts under stochastic interest rates and default risk | 2007-05-24 | Paper |
