| Publication | Date of Publication | Type |
|---|
| Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability | 2024-01-19 | Paper |
| The Measure Preserving Martingale Sinkhorn Algorithm | 2023-10-20 | Paper |
| Calibration of local‐stochastic volatility models by optimal transport | 2023-09-28 | Paper |
| Interior second derivatives estimates for nonlinear diffusions | 2023-06-23 | Paper |
| Filtering time-dependent covariance matrices using time-independent eigenvalues | 2023-03-07 | Paper |
| A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance | 2022-04-28 | Paper |
| Portfolio optimization with a prescribed terminal wealth distribution | 2022-04-05 | Paper |
| Robust utility maximization under model uncertainty via a penalization approach | 2022-04-01 | Paper |
| Joint Modeling and Calibration of SPX and VIX by Optimal Transport | 2022-01-10 | Paper |
| Modelling tail risk with tempered stable distributions: an overview | 2021-11-08 | Paper |
| Path dependent optimal transport and model calibration on exotic derivatives | 2021-11-04 | Paper |
| Weak formulation of the MTW condition and convexity properties of potentials | 2021-09-28 | Paper |
| On the convexity theory of generating functions | 2021-09-09 | Paper |
| Optimal transport with discrete long-range mean-field interactions | 2021-06-30 | Paper |
| On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula | 2021-06-28 | Paper |
| Deep Semi-Martingale Optimal Transport | 2021-03-05 | Paper |
| Weak formulation of the MTW condition and convexity properties of potentials | 2020-07-06 | Paper |
| Second-Order Stochastic Target Problems with Generalized Market Impact | 2019-12-11 | Paper |
| 2017 MATRIX annals | 2019-07-02 | Paper |
| Challenging the robustness of optimal portfolio investment with moving average-based strategies | 2019-03-06 | Paper |
| 2017 MATRIX annals | 2019-01-10 | Paper |
| Pricing bounds for volatility derivatives via duality and least squares Monte Carlo | 2018-11-27 | Paper |
| Forecasting trends with asset prices | 2018-11-19 | Paper |
| Option pricing with linear market impact and nonlinear Black-Scholes equations | 2018-11-07 | Paper |
| Hedging of Covered Options with Linear Market Impact and Gamma Constraint | 2017-11-02 | Paper |
| PERFORMANCE ANALYSIS OF THE OPTIMAL STRATEGY UNDER PARTIAL INFORMATION | 2017-04-13 | Paper |
| Almost-sure hedging with permanent price impact | 2016-09-07 | Paper |
| Mixing Monte-Carlo and Partial Differential Equations for Pricing Options | 2015-07-06 | Paper |
| Mixing Monte-Carlo and partial differential equations for pricing options | 2013-05-29 | Paper |
| Regularity of optimal maps on the sphere: the quadratic cost and the reflector antenna | 2011-10-04 | Paper |
| On the regularity of solutions of optimal transportation problems | 2011-01-14 | Paper |
| Regularity of optimal transport in curved geometry: the nonfocal case | 2010-03-30 | Paper |
| \(C^{1}\) regularity of solutions of the Monge-Ampère equation for optimal transport in dimension two | 2009-08-27 | Paper |
| A mixed PDE/Monte-Carlo method for stochastic volatility models | 2009-05-13 | Paper |
| A Fully Nonlinear Version of the Incompressible Euler Equations: The Semigeostrophic System | 2007-05-22 | Paper |
| Uniqueness of the solution to the Vlasov--Poisson system with bounded density | 2007-02-13 | Paper |
| Gradient estimates for potentials of invertible gradient-mappings on the sphere | 2006-06-16 | Paper |
| The reconstruction problem for the Euler-Poisson system in cosmology | 2006-03-02 | Paper |
| On the regularity of the polar factorization for time dependent maps | 2005-12-08 | Paper |
| Quasi-Neutral Limit of the Euler–Poisson and Euler–Monge–Ampère Systems | 2005-11-25 | Paper |
| CONTRACTIVE METRICS FOR SCALAR CONSERVATION LAWS | 2005-06-07 | Paper |
| Numerical solution of the Monge--Ampère equation by a Newton's algorithm | 2005-05-04 | Paper |
| A geometric approximation to the Euler equations: the Vlasov-Monge-Ampère system | 2005-04-29 | Paper |
| A fully non-linear version of the Euler incompressible equations: the semi-geostrophic system | 2005-04-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4654970 | 2005-03-10 | Paper |
