| Publication | Date of Publication | Type |
|---|
| Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises | 2024-03-16 | Paper |
| Sandwiched SDEs with unbounded drift driven by Hölder noises | 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 | 2023-05-11 | Paper |
| SPDE bridges with observation noise and their spatial approximation | 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 | 2022-10-06 | Paper |
| Copula measures and Sklar's theorem in arbitrary dimensions | 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 | 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 | 2021-12-21 | Paper |
| Sensitivity analysis in the infinite dimensional Heston model | 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 | 2020-07-13 | Paper |
| Utility maximisation and time-change | 2019-12-06 | Paper |
| Kyle equilibrium under random price pressure | 2019-10-23 | Paper |
| On the approximation of Lévy driven Volterra processes and their integrals | 2019-05-10 | Paper |
| Stochastic systems with memory and jumps | 2019-03-26 | Paper |
| Stochastic functional differential equations and sensitivity to their initial path | 2019-03-22 | Paper |
| Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk | 2018-09-18 | Paper |
| KYLE–BACK’S MODEL WITH A RANDOM HORIZON | 2018-04-11 | Paper |
| Representation of convex operators and their static and dynamic sandwich extensions | 2017-12-12 | Paper |
| A maximum principle for mean-field SDEs with time change | 2017-11-17 | Paper |
| A Malliavin–Skorohod calculus inL0andL1for additive and Volterra-type processes | 2017-04-11 | Paper |
| Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises | 2017-01-16 | Paper |
| Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise | 2017-01-09 | Paper |
| Approximations of stochastic partial differential equations | 2016-08-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2787474 | 2016-03-04 | Paper |
| Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps | 2015-12-23 | Paper |
| INFORMATION AND OPTIMAL INVESTMENT IN DEFAULTABLE ASSETS | 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 | 2014-04-17 | Paper |
| BSDEs driven by time-changed Lévy noises and optimal control | 2014-02-26 | Paper |
| On Chaos Representation and Orthogonal Polynomials for the Doubly Stochastic Poisson Process | 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 \(L^\infty\) | 2013-07-18 | Paper |
| A General Maximum Principle for Anticipative Stochastic Control and Applications to Insider Trading | 2011-08-08 | Paper |
| LOWER AND UPPER BOUNDS OF MARTINGALE MEASURE DENSITIES IN CONTINUOUS TIME MARKETS | 2011-06-16 | Paper |
| UNIQUENESS OF DECOMPOSITIONS OF SKOROHOD-SEMIMARTINGALES | 2011-05-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3078233 | 2011-02-18 | Paper |
| Minimal-Variance Hedging in Large Financial Markets: Random Fields Approach | 2010-02-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3397482 | 2009-09-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3397483 | 2009-09-22 | Paper |
| Optimal portfolio, partial information and Malliavin calculus | 2009-09-16 | Paper |
| Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading | 2009-06-05 | Paper |
| Malliavin Calculus for Lévy Processes with Applications to Finance | 2008-05-28 | Paper |
| RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS | 2008-05-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5436602 | 2008-01-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5429938 | 2007-12-04 | Paper |
| Optimal portfolio for an insider in a market driven by Lévy processes§ | 2006-06-16 | Paper |
| Price operators analysis in \(L_p\)-spaces | 2006-06-14 | Paper |
| MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES | 2005-08-01 | Paper |
| Holder Equality for Conditional Expectations with Application to Linear Monotone Operators | 2004-12-16 | Paper |
| White noise analysis for Lévy processes. | 2004-03-15 | Paper |
| Theory and numerical analysis for exact distributions of functionals of a Dirichlet process | 2003-05-26 | Paper |
| Stochastic integral representations, stochastic derivatives and minimal variance hedging | 2003-04-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4791820 | 2003-02-03 | Paper |
| Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes | 2003-01-01 | Paper |
| On Measurable Modification of Stochastic Functions | 2002-04-25 | Paper |
| On stochastic integration and differentiation | 2000-08-08 | Paper |
