| Publication | Date of Publication | Type |
|---|
| Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall | 2023-11-26 | Paper |
| Pathwise CVA regressions with oversimulated defaults | 2023-09-28 | Paper |
| Derivatives risks as costs in a one-period network model | 2023-09-27 | Paper |
| Quantitative reverse stress testing, bottom up | 2023-06-20 | Paper |
| Hedging Valuation Adjustment for Callable Claims | 2023-04-04 | Paper |
| A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation | 2023-03-24 | Paper |
| Positive XVAs | 2022-10-19 | Paper |
| Hedging Valuation Adjustment and Model Risk | 2022-05-24 | Paper |
| XVA analysis from the balance sheet | 2021-12-01 | Paper |
| Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints | 2021-11-05 | Paper |
| Rational multi-curve models with counterparty-risk valuation adjustments | 2021-07-16 | Paper |
| Wealth transfers, indifference pricing, and XVA compression schemes | 2020-11-12 | Paper |
| Uncertainty quantification for stochastic approximation limits using chaos expansion | 2020-08-31 | Paper |
| When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments | 2020-05-29 | Paper |
| XVA metrics for CCP optimization | 2020-04-22 | Paper |
| Credit, funding, margin, and capital valuation adjustments for bilateral portfolios | 2020-02-17 | Paper |
| Stochastic approximation schemes for economic capital and risk margin computations | 2019-07-11 | Paper |
| Delta-hedging vega risk? | 2019-01-15 | Paper |
| Dynamic hedging of counterparty exposure | 2018-12-13 | Paper |
| The sustainable Black-Scholes equations | 2018-11-19 | Paper |
| Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives | 2018-10-22 | Paper |
| XVA principles, nested Monte Carlo strategies, and GPU optimizations | 2018-10-10 | Paper |
| A Lévy HJM multiple-curve model with application to CVA computation | 2018-09-19 | Paper |
| Multivariate Shortfall Risk Allocation and Systemic Risk | 2018-04-16 | Paper |
| Invariance properties in the dynamic Gaussian copula model | 2018-03-07 | Paper |
| Invariance times | 2018-02-14 | Paper |
| Central clearing valuation adjustment | 2017-06-02 | Paper |
| Counterparty risk and funding: immersion and beyond | 2016-10-27 | Paper |
| Reduced-Form Modeling of Counterparty Risk on Credit Derivatives | 2015-10-21 | Paper |
| A bottom-up dynamic model of portfolio credit risk. I: Markov copula perspective | 2015-06-19 | Paper |
| A bottom-up dynamic model of portfolio credit risk. II: Common-shock interpretation, calibration and hedging issues | 2015-06-19 | Paper |
| BSDEs of counterparty risk | 2015-05-27 | Paper |
| Bilateral counterparty risk under funding constraints. I: Pricing | 2015-02-20 | Paper |
| Bilateral counterparty risk under funding constraints. II: CVA | 2015-02-20 | Paper |
| Doubly reflected BSDEs with call protection and their approximation | 2015-02-17 | Paper |
| Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo | 2014-07-11 | Paper |
| Dynamic hedging of portfolio credit risk in a Markov copula model | 2014-06-30 | Paper |
| A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries | 2014-06-11 | Paper |
| Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches | 2014-06-11 | Paper |
| Counterparty risk and funding: the four wings of the TVA | 2013-06-24 | Paper |
| INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA | 2013-06-24 | Paper |
| Financial modeling. A backward stochastic differential equations perspective | 2013-04-08 | Paper |
| A multiple-curve HJM model of interbank risk | 2013-02-26 | Paper |
| Convertible bonds in a defaultable diffusion model | 2012-09-07 | Paper |
| Valuation and hedging of CDS counterparty exposure in a Markov copula model | 2012-04-24 | Paper |
| Defaultable options in a Markovian intensity model of credit risk | 2011-06-09 | Paper |
| Up and down credit risk | 2010-12-20 | Paper |
| About the pricing equations in finance | 2010-12-14 | Paper |
| PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS | 2010-08-11 | Paper |
| Defaultable game options in a hazard process model | 2009-11-23 | Paper |
| Arbitrage pricing of defaultable game options with applications to convertible bonds | 2009-02-23 | Paper |
| Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison | 2008-11-27 | Paper |
| Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization | 2003-09-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4530576 | 2003-01-30 | Paper |
| Calibration of the local volatility in a trinomial tree using Tikhonov regularization | 2003-01-01 | Paper |
| Provisions and Economic Capital for Credit Losses | N/A | Paper |
