| Publication | Date of Publication | Type |
|---|
| Duality in optimal consumption-investment problems with alternative data | 2024-07-02 | Paper |
| Deep impulse control: application to interest rate intervention | 2024-05-29 | Paper |
| Bond portfolio optimization with long-range dependent credits | 2023-07-21 | Paper |
| Optimal expansion of business opportunity | 2023-07-10 | Paper |
| Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space | 2023-06-01 | Paper |
| Robust retirement and life insurance with inflation risk and model ambiguity | 2023-04-20 | Paper |
| Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate | 2023-03-13 | Paper |
| Irreversible reinsurance: a singular control approach | 2023-02-01 | Paper |
| Duality in optimal consumption--investment problems with alternative data | 2022-10-15 | Paper |
| Pairs trading under delayed cointegration | 2022-09-30 | Paper |
| Optimal Retirement Under Partial Information | 2022-09-26 | Paper |
| Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations | 2022-09-09 | Paper |
| Equilibrium pairs trading under delayed cointegration | 2022-08-23 | Paper |
| Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity | 2022-08-22 | Paper |
| Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty | 2022-07-08 | Paper |
| Robust time-inconsistent stochastic linear-quadratic control with drift disturbance | 2022-06-10 | Paper |
| Variance reduction for risk measures with importance sampling in nested simulation | 2022-05-27 | Paper |
| COVID-19 and credit risk: a long memory perspective | 2022-05-12 | Paper |
| Robust control in a rough environment | 2022-05-05 | Paper |
| Valuation of Discrete Dynamic Fund Protection Under Lévy Processes | 2022-02-11 | Paper |
| Time-Inconsistency with Rough Volatility | 2022-01-10 | Paper |
| Pairs trading with illiquidity and position limits | 2021-11-12 | Paper |
| Robust state-dependent mean-variance portfolio selection: a closed-loop approach | 2021-08-27 | Paper |
| Mean-variance portfolio selection under Volterra Heston model | 2021-08-11 | Paper |
| Time-consistent longevity hedging with long-range dependence | 2021-07-06 | Paper |
| FFT-network for bivariate Lévy option pricing | 2021-05-04 | Paper |
| Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility | 2021-05-03 | Paper |
| Volterra mortality model: actuarial valuation and risk management with long-range dependence | 2021-03-17 | Paper |
| Optimal investment and consumption problems under correlation ambiguity | 2020-09-30 | Paper |
| Lasso-based simulation for high-dimensional multi-period portfolio optimization | 2020-09-30 | Paper |
| Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns | 2020-07-13 | Paper |
| Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy | 2020-02-14 | Paper |
| Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility | 2020-02-03 | Paper |
| Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility | 2019-12-19 | Paper |
| Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration | 2019-11-22 | Paper |
| Simulation-based Value-at-Risk for nonlinear portfolios | 2019-10-11 | Paper |
| Optimal investment for insurers with correlation risk: risk aversion and investment horizon | 2019-09-25 | Paper |
| Robust dynamic pairs trading with cointegration | 2019-06-11 | Paper |
| Variance swaps under the threshold Ornstein–Uhlenbeck model | 2019-02-20 | Paper |
| Optimal investment for insurers with the extended CIR interest rate model | 2019-02-14 | Paper |
| Geometric Asian options: valuation and calibration with stochastic volatility | 2019-01-15 | Paper |
| Non-zero-sum reinsurance games subject to ambiguous correlations | 2019-01-11 | Paper |
| VIX forecast under different volatility specifications | 2018-12-03 | Paper |
| A linear programming model for selection of sparse high-dimensional multiperiod portfolios | 2018-11-19 | Paper |
| Dynamic safety first expected utility model | 2018-07-25 | Paper |
| Dual-curve Hull-White interest rate model with stochastic volatility | 2017-12-12 | Paper |
| FFT network for interest rate derivatives with Lévy processes | 2017-12-12 | Paper |
| Resolution of Degeneracy in Merton's Portfolio Problem | 2017-01-11 | Paper |
| Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration | 2016-12-14 | Paper |
| Variance swap with mean reversion, multifactor stochastic volatility and jumps | 2016-10-06 | Paper |
| Commodity derivatives pricing with cointegration and stochastic covariances | 2016-10-06 | Paper |
| Robust non-zero-sum stochastic differential reinsurance game | 2016-10-06 | Paper |
| Portfolio optimization with ambiguous correlation and stochastic volatilities | 2016-09-14 | Paper |
| Valuation of stock loans using exponential phase-type Lévy models | 2016-01-25 | Paper |
| Dynamic cointegrated pairs trading: mean-variance time-consistent strategies | 2015-08-19 | Paper |
| Simulation Techniques in Financial Risk Management | 2015-06-04 | Paper |
| Robust investment-reinsurance optimization with multiscale stochastic volatility | 2015-05-26 | Paper |
| Mean-variance asset-liability management with asset correlation risk and insurance liabilities | 2015-02-03 | Paper |
| Time-consistent mean-variance hedging of longevity risk: effect of cointegration | 2015-01-28 | Paper |
| Mean-variance asset-liability management: cointegrated assets and insurance liability | 2014-07-27 | Paper |
| Mean-variance portfolio selection with correlation risk | 2014-07-17 | Paper |
| Optimal investment for an insurer with cointegrated assets: CRRA utility | 2014-07-16 | Paper |
| CEV asymptotics of American options | 2014-04-02 | Paper |
| A closed-form solution to American options under general diffusion processes | 2014-01-17 | Paper |
| Handbook of financial risk management. Simulations and case studies | 2013-10-08 | Paper |
| Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility | 2013-09-19 | Paper |
| Mean-variance principle of managing cointegrated risky assets and random liabilities | 2013-06-24 | Paper |
| Structural model of credit migration | 2012-12-30 | Paper |
| Currency option pricing with Wishart process | 2012-11-09 | Paper |
| Stochastic volatility asymptotics of stock loans: valuation and optimal stopping | 2012-08-01 | Paper |
| Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility | 2012-07-13 | Paper |
| Efficient Options Pricing Using the Fast Fourier Transform | 2012-01-10 | Paper |
| Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process | 2011-11-10 | Paper |
| Mean-variance portfolio selection of cointegrated assets | 2011-07-13 | Paper |
| An artificial boundary method for the Hull-White model of American interest rate derivatives | 2011-02-02 | Paper |
| Valuing American options under the CEV model by Laplace-Carson transforms | 2010-12-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656135 | 2010-01-13 | Paper |
| An Artificial Boundary Method for American Option Pricing under the CEV Model | 2009-08-20 | Paper |
| Estimating default barriers from market information | 2009-04-20 | Paper |
| Option pricing with mean reversion and stochastic volatility | 2009-04-08 | Paper |
| Turbo warrants under stochastic volatility | 2009-02-23 | Paper |
| CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS | 2008-09-03 | Paper |
| Reduced-form models with regime switching: An empirical analysis for corporate bonds | 2008-06-11 | Paper |
| Lookback options and dynamic fund protection under multiscale stochastic volatility | 2007-05-23 | Paper |
| Simulation Techniques in Financial Risk Management | 2006-07-10 | Paper |
| Jump Diffusion Models for Risky Debts: Quality Spread Differentials | 2005-10-19 | Paper |
| QUANTO LOOKBACK OPTIONS | 2005-05-09 | Paper |
| Multi‐asset barrier options and occupation time derivatives | 2004-09-06 | Paper |
| Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks | 2004-02-03 | Paper |
| Pricing algorithms of multivariate path dependent options | 2002-11-06 | Paper |
