| Publication | Date of Publication | Type |
|---|
| Option pricing in the Heston model with physics inspired neural networks | 2024-10-31 | Paper |
| Partial hedging in rough volatility models | 2024-08-12 | Paper |
| Risk management with local least squares Monte Carlo | 2024-07-09 | Paper |
| A recursive method for fractional Hawkes intensities and the potential approach of credit risk | 2024-07-08 | Paper |
| Affine Heston model style with self-exciting jumps and long memory | 2024-05-13 | Paper |
| A mutually exciting rough jump-diffusion for financial modelling | 2024-05-02 | Paper |
| A subdiffusive stochastic volatility jump model | 2023-08-02 | Paper |
| Impact of rough stochastic volatility models on long-term life insurance pricing | 2023-07-13 | Paper |
| A calendar year mortality model in continuous time | 2023-07-13 | Paper |
| Multivariate claim processes with rough intensities: properties and estimation | 2023-02-01 | Paper |
| Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link | 2023-01-02 | Paper |
| Pricing of spread and exchange options in a rough jump-diffusion market | 2022-10-06 | Paper |
| Fractional Hawkes processes | 2022-08-18 | Paper |
| Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics | 2022-07-11 | Paper |
| Valuation of annuity guarantees under a self-exciting switching jump model | 2022-07-07 | Paper |
| PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES | 2022-03-11 | Paper |
| CDS pricing with fractional Hawkes processes | 2021-12-13 | Paper |
| Time-consistent evaluation of credit risk with contagion | 2021-11-24 | Paper |
| Moment generating function of non-Markov self-excited claims processes | 2021-11-19 | Paper |
| A fractional multi-states model for insurance | 2021-06-21 | Paper |
| INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES | 2021-01-29 | Paper |
| WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION | 2020-12-13 | Paper |
| Effective Statistical Learning Methods for Actuaries II | 2020-12-03 | Paper |
| Option pricing in illiquid markets: a fractional jump-diffusion approach | 2020-08-28 | Paper |
| A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices | 2020-05-04 | Paper |
| A self-exciting switching jump diffusion: properties, calibration and hitting time | 2019-09-26 | Paper |
| Effective Statistical Learning Methods for Actuaries I | 2019-09-11 | Paper |
| A self-organizing predictive map for non-life insurance | 2019-09-03 | Paper |
| Effective Statistical Learning Methods for Actuaries III | 2019-08-13 | Paper |
| A switching microstructure model for stock prices | 2019-07-08 | Paper |
| A switching self-exciting jump diffusion process for stock prices | 2019-06-28 | Paper |
| Hedging of crop harvest with derivatives on temperature | 2019-01-15 | Paper |
| A model for interest rates with clustering effects | 2018-11-13 | Paper |
| Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality | 2018-11-01 | Paper |
| How do capital structure and economic regime affect fair prices of bank's equity and liabilities? | 2018-10-31 | Paper |
| A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST | 2018-06-06 | Paper |
| Robust evaluation of SCR for participating life insurances under Solvency II | 2018-04-12 | Paper |
| Contagion modeling between the financial and insurance markets with time changed processes | 2017-05-24 | Paper |
| Clustered Lévy processes and their financial applications | 2017-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2965076 | 2017-02-27 | Paper |
| Impact of volatility clustering on equity indexed annuities | 2016-12-14 | Paper |
| Impulse control of pension fund contributions, in a regime switching economy | 2016-06-27 | Paper |
| Default probabilities of a holding company, with complete and partial information | 2015-08-26 | Paper |
| Evaluation and default time for companies with uncertain cash flows | 2015-05-26 | Paper |
| An intensity model for credit risk with switching Lévy processes | 2015-04-16 | Paper |
| CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION | 2015-01-21 | Paper |
| Strategic asset allocation with switching dependence | 2014-11-12 | Paper |
| Multidimensional Lee-Carter model with switching mortality processes | 2012-04-18 | Paper |
| Optimal design of profit sharing rates by FFT | 2012-02-10 | Paper |
| Dynamic asset allocation under VaR constraint with stochastic interest rates | 2010-03-01 | Paper |
| Life Annuitization: Why and how Much? | 2009-06-15 | Paper |
| Mortality modelling with Lévy processes | 2008-08-22 | Paper |
| Management of a pension fund under mortality and financial risks | 2007-07-19 | Paper |
