| Publication | Date of Publication | Type |
|---|
Option pricing in sandwiched Volterra volatility model
SIAM Journal on Financial Mathematics | 2024-10-23 | Paper |
Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
Springer Proceedings in Mathematics & Statistics | 2024-03-16 | Paper |
Sandwiched SDEs with unbounded drift driven by Hölder noises
Advances in Applied Probability | 2023-12-15 | Paper |
| Power law in Sandwiched Volterra Volatility model | 2023-11-02 | Paper |
| From constant to rough: A survey of continuous volatility modeling | 2023-09-02 | Paper |
| Lifting of Volterra processes: optimal control in UMD Banach spaces | 2023-06-25 | Paper |
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
Numerical Algorithms | 2023-05-11 | Paper |
SPDE bridges with observation noise and their spatial approximation
Stochastic Processes and their Applications | 2023-03-14 | Paper |
| Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs | 2023-01-12 | Paper |
On stochastic control for time changed Lévy dynamics
S\(\vec{\text{e}}\)MA Journal | 2022-10-06 | Paper |
Copula measures and Sklar's theorem in arbitrary dimensions
Scandinavian Journal of Statistics | 2022-10-06 | Paper |
| Option pricing in Sandwiched Volterra Volatility model | 2022-09-21 | Paper |
A topological proof of Sklar's theorem in arbitrary dimensions
Dependence Modeling | 2022-06-24 | Paper |
| The heat modulated infinite dimensional Heston model and its numerical approximation | 2022-06-21 | Paper |
SPDE bridges with observation noise and their spatial approximation
(available as arXiv preprint) | 2021-12-21 | Paper |
Sensitivity analysis in the infinite dimensional Heston model
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2021-10-25 | Paper |
| Maximum principles for stochastic time-changed Volterra games | 2020-12-11 | Paper |
| Stochastic Volterra equations with time-changed L\'evy noise and maximum principles | 2020-11-14 | Paper |
Fully-dynamic risk-indifference pricing and no-good-deal bounds
SIAM Journal on Financial Mathematics | 2020-07-13 | Paper |
| Utility maximisation and time-change | 2019-12-06 | Paper |
Kyle equilibrium under random price pressure
Decisions in Economics and Finance | 2019-10-23 | Paper |
On the approximation of Lévy driven Volterra processes and their integrals
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Stochastic systems with memory and jumps
Journal of Differential Equations | 2019-03-26 | Paper |
Stochastic systems with memory and jumps
Journal of Differential Equations | 2019-03-26 | Paper |
Stochastic functional differential equations and sensitivity to their initial path
(available as arXiv preprint) | 2019-03-22 | Paper |
Pricing of spread options on a bivariate jump market and stability to model risk
Applied Mathematical Finance | 2018-09-18 | Paper |
KYLE–BACK’S MODEL WITH A RANDOM HORIZON
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
| Representation of convex operators and their static and dynamic sandwich extensions | 2017-12-12 | Paper |
Representation of convex operators and their static and dynamic sandwich extensions
(available as arXiv preprint) | 2017-12-12 | Paper |
A maximum principle for mean-field SDEs with time change
Applied Mathematics and Optimization | 2017-11-17 | Paper |
A maximum principle for mean-field SDEs with time change
Applied Mathematics and Optimization | 2017-11-17 | Paper |
A Malliavin-Skorohod calculus in \(L^{0}\) and \(L^{1}\) for additive and Volterra-type processes
Stochastics | 2017-04-11 | Paper |
Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
Fractional Calculus \ Applied Analysis | 2017-01-09 | Paper |
Approximations of stochastic partial differential equations
The Annals of Applied Probability | 2016-08-23 | Paper |
Approximations of stochastic partial differential equations
The Annals of Applied Probability | 2016-08-23 | Paper |
Robustness of option prices and their deltas in markets modelled by jump-diffusions
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Applied Mathematics and Optimization | 2015-12-23 | Paper |
Information and optimal investment in defaultable assets
International Journal of Theoretical and Applied Finance | 2015-01-23 | Paper |
| A continuous auction model with insiders and random time of information release | 2014-11-11 | Paper |
A note on convergence of option prices and their Greeks for Lévy models
Stochastics | 2014-04-17 | Paper |
BSDEs driven by time-changed Lévy noises and optimal control
Stochastic Processes and their Applications | 2014-02-26 | Paper |
On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
| Sensitivity analysis in a market with memory | 2013-12-18 | Paper |
Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\)
Finance and Stochastics | 2013-07-18 | Paper |
A general maximum principle for anticipative stochastic control and applications to insider trading
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Lower and upper bounds of martingale measure densities in continuous time markets
Mathematical Finance | 2011-06-16 | Paper |
Uniqueness of decompositions of Skorohod-semimartingales
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2011-05-04 | Paper |
| scientific article; zbMATH DE number 5853093 (Why is no real title available?) | 2011-02-18 | Paper |
Minimal-variance hedging in large financial markets: random fields approach
Stochastic Analysis and Applications | 2010-02-10 | Paper |
| scientific article; zbMATH DE number 5606167 (Why is no real title available?) | 2009-09-22 | Paper |
| scientific article; zbMATH DE number 5606168 (Why is no real title available?) | 2009-09-22 | Paper |
Optimal portfolio, partial information and Malliavin calculus
Stochastics | 2009-09-16 | Paper |
Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
Malliavin Calculus for Lévy Processes with Applications to Finance
Universitext | 2008-05-28 | Paper |
RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2008-05-20 | Paper |
| Stochastic integrals and adjoint derivatives | 2008-01-17 | Paper |
| A representation theorem and a sensitivity result for functionals of jump diffusions | 2007-12-04 | Paper |
Optimal portfolio for an insider in a market driven by Lévy processes§
Quantitative Finance | 2006-06-16 | Paper |
Price operators analysis in \(L_p\)-spaces
Acta Applicandae Mathematicae | 2006-06-14 | Paper |
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2005-08-01 | Paper |
Holder Equality for Conditional Expectations with Application to Linear Monotone Operators
Theory of Probability & Its Applications | 2004-12-16 | Paper |
White noise analysis for Lévy processes.
Journal of Functional Analysis | 2004-03-15 | Paper |
Theory and numerical analysis for exact distributions of functionals of a Dirichlet process
The Annals of Statistics | 2003-05-26 | Paper |
Stochastic integral representations, stochastic derivatives and minimal variance hedging
Stochastics and Stochastic Reports | 2003-04-07 | Paper |
| scientific article; zbMATH DE number 1862959 (Why is no real title available?) | 2003-02-03 | Paper |
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
Mathematical Finance | 2003-01-01 | Paper |
On Measurable Modification of Stochastic Functions
Theory of Probability & Its Applications | 2002-04-25 | Paper |
On stochastic integration and differentiation
Acta Applicandae Mathematicae | 2000-08-08 | Paper |
Cash non-additive risk measures: horizon risk and generalized entropy
(available as arXiv preprint) | N/A | Paper |
