| Publication | Date of Publication | Type |
|---|
Joint calibration to SPX and VIX options with signature-based models
Mathematical Finance | 2025-01-20 | Paper |
Infinite-dimensional Wishart processes
Electronic Journal of Probability | 2024-10-16 | Paper |
Measure-valued affine and polynomial diffusions
Stochastic Processes and their Applications | 2024-09-02 | Paper |
Universal structures in mathematical finance
Internationale Mathematische Nachrichten | 2024-08-14 | Paper |
On the occasion of Walter Schachermayer's 70th birthday: the mathematics of arbitrage
Internationale Mathematische Nachrichten | 2024-08-14 | Paper |
Model‐free portfolio theory: A rough path approach
Mathematical Finance | 2024-01-31 | Paper |
Risk measures under model uncertainty: a Bayesian viewpoint
Frontiers of Mathematical Finance | 2024-01-15 | Paper |
Signature-Based Models: Theory and Calibration
SIAM Journal on Financial Mathematics | 2023-09-14 | Paper |
Ramifications of generalized Feller theory
| 2023-08-07 | Paper |
Propagation of minimality in the supercooled Stefan problem
The Annals of Applied Probability | 2023-06-05 | Paper |
Infinite-dimensional Wishart-processes
| 2023-04-07 | Paper |
Signature SDEs from an affine and polynomial perspective
| 2023-02-02 | Paper |
Joint calibration to SPX and VIX options with signature-based models
| 2023-01-30 | Paper |
Universal approximation theorems for continuous functions of c\`adl\`ag paths and L\'evy-type signature models
| 2022-08-03 | Paper |
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
| 2022-06-29 | Paper |
Deep neural networks, generic universal interpolation, and controlled ODEs
SIAM Journal on Mathematics of Data Science | 2022-03-01 | Paper |
A weak solution theory for stochastic Volterra equations of convolution type
The Annals of Applied Probability | 2022-02-14 | Paper |
Measure-valued affine and polynomial diffusions
| 2021-12-30 | Paper |
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
| 2021-11-02 | Paper |
Infinite-dimensional polynomial processes
Finance and Stochastics | 2021-04-29 | Paper |
Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
Journal of Evolution Equations | 2021-04-27 | Paper |
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
Theory of Probability & Its Applications | 2020-11-05 | Paper |
Discrete-time signatures and randomness in reservoir computing
| 2020-09-17 | Paper |
Markovian lifts of positive semidefinite affine Volterra-type processes
Decisions in Economics and Finance | 2020-01-31 | Paper |
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
Mathematical Finance | 2019-10-31 | Paper |
Polynomial processes in stochastic portfolio theory
Stochastic Processes and their Applications | 2019-06-27 | Paper |
Affine multiple yield curve models
Mathematical Finance | 2019-05-23 | Paper |
Probability measure-valued polynomial diffusions
Electronic Journal of Probability | 2019-05-16 | Paper |
Polynomial jump-diffusions on the unit simplex
The Annals of Applied Probability | 2018-11-07 | Paper |
A new perspective on the fundamental theorem of asset pricing for large financial markets
Theory of Probability & Its Applications | 2016-12-07 | Paper |
Affine processes on symmetric cones
Journal of Theoretical Probability | 2016-06-27 | Paper |
A general HJM framework for multiple yield curve modelling
Finance and Stochastics | 2016-05-23 | Paper |
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Finance and Stochastics | 2015-11-09 | Paper |
Fourier transform methods for pathwise covariance estimation in the presence of jumps
Stochastic Processes and their Applications | 2014-11-07 | Paper |
Path properties and regularity of affine processes on general state spaces
Lecture Notes in Mathematics | 2013-11-28 | Paper |
Polynomial processes and their applications to mathematical finance
Finance and Stochastics | 2012-12-07 | Paper |
Affine processes on positive semidefinite matrices
The Annals of Applied Probability | 2011-05-11 | Paper |
Affine Models
| 2008-09-11 | Paper |
Global universal approximation of functional input maps on weighted spaces
| N/A | Paper |
Polynomial Volterra processes
| N/A | Paper |
Polynomial interacting particle systems and non-linear SPDEs for market capitalization curves
| N/A | Paper |
