| Publication | Date of Publication | Type |
|---|
| Accelerated Share Repurchases Under Stochastic Volatility | 2023-08-07 | Paper |
| A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption | 2022-11-03 | Paper |
| Power Mixture Forward Performance Processes | 2022-08-22 | Paper |
| Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets | 2022-02-15 | Paper |
| American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics | 2021-07-16 | Paper |
| Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model | 2021-03-11 | Paper |
| Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem | 2020-11-11 | Paper |
| Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation | 2019-03-12 | Paper |
| Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon | 2019-02-01 | Paper |
| Trend-following hedge funds and multi-period asset allocation | 2019-01-14 | Paper |
| Implied Volatility of Leveraged ETF Options | 2018-09-18 | Paper |
| Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio | 2018-08-10 | Paper |
| Technology ladders and R\&D in dynamic Cournot markets | 2018-08-09 | Paper |
| Time-Inconsistent Portfolio Investment Problems | 2018-04-09 | Paper |
| Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon | 2017-12-11 | Paper |
| Fracking, Renewables, and Mean Field Games | 2017-08-15 | Paper |
| PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS | 2017-07-21 | Paper |
| Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions | 2017-05-24 | Paper |
| Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations | 2016-09-28 | Paper |
| Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration | 2016-09-07 | Paper |
| Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio | 2016-08-17 | Paper |
| A Feedback Model for the Financialization of Commodity Markets | 2015-10-21 | Paper |
| Bertrand and Cournot mean field games | 2015-07-22 | Paper |
| Filtering and portfolio optimization with stochastic unobserved drift in asset returns | 2015-06-12 | Paper |
| FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES | 2015-04-24 | Paper |
| A regime-switching Heston model for VIX and S&P 500 implied volatilities | 2015-04-23 | Paper |
| Oligopoly games under asymmetric costs and an application to energy production | 2013-02-26 | Paper |
| Forward indifference valuation of American options | 2012-12-13 | Paper |
| A Framework for Dynamic Hedging under Convex Risk Measures | 2012-08-24 | Paper |
| Exploration and exhaustibility in dynamic Cournot games | 2012-06-04 | Paper |
| Non-linear flexural vibration of thin rectangular plate on a non-linear elastic foundation under harmonic excitation | 2012-04-05 | Paper |
| Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives | 2011-10-27 | Paper |
| Games with Exhaustible Resources | 2011-04-08 | Paper |
| Dynamic Bertrand oligopoly | 2011-02-18 | Paper |
| Credit derivatives and risk aversion | 2010-06-30 | Paper |
| Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation | 2010-06-10 | Paper |
| Utility valuation of multi-name credit derivatives and application to CDOs | 2010-03-12 | Paper |
| Multiname and Multiscale Default Modeling | 2009-12-21 | Paper |
| Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives | 2009-12-16 | Paper |
| Optimal static-dynamic hedges for exotic options under convex risk measures | 2009-10-13 | Paper |
| A general framework for evaluating executive stock options | 2009-07-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613978 | 2009-03-16 | Paper |
| ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS | 2009-03-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506194 | 2009-01-28 | Paper |
| MEAN-REVERTING STOCHASTIC VOLATILITY | 2008-09-03 | Paper |
| A Limit Theorem for Financial Markets with Inert Investors | 2008-05-27 | Paper |
| Multiscale Intensity Models for Single Name Credit Derivatives | 2008-05-22 | Paper |
| Queueing Theoretic Approaches to Financial Price Fluctuations | 2007-03-28 | Paper |
| Stochastic Volatility Effects on Defaultable Bonds | 2007-02-15 | Paper |
| OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS | 2006-09-25 | Paper |
| Optimal investment with derivative securities | 2006-05-24 | Paper |
| Maturity cycles in implied volatility | 2005-05-20 | Paper |
| Multiscale Stochastic Volatility Asymptotics | 2005-03-08 | Paper |
| Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random | 2005-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160509 | 2005-02-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3154981 | 2005-01-14 | Paper |
| Singular Perturbations for Boundary Value Problems Arising from Exotic Options | 2004-12-13 | Paper |
| Stochastic Volatility Corrections for Interest Rate Derivatives | 2004-11-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4823125 | 2004-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4462042 | 2004-05-18 | Paper |
| Singular Perturbations in Option Pricing | 2003-09-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741103 | 2001-09-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3820132 | 1987-01-01 | Paper |
| Vibration of rectilinear plates on Vlasov's foundation at large amplitude | 1986-01-01 | Paper |
| Dynamic buckling of a thin rectangular plate on elastic foundation | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3702606 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3704996 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3944141 | 1981-01-01 | Paper |
| Fundamental frequency of vibration of a rectangular plate on a nonlinear elastic foundation | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4166340 | 1978-01-01 | Paper |
| Dynamic response of circular plates on elastic foundation subjected to sonic booms | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4047213 | 1974-01-01 | Paper |
