| Publication | Date of Publication | Type |
|---|
| No arbitrage and multiplicative special semimartingales | 2023-12-15 | Paper |
| Exploiting arbitrage requires short selling | 2023-09-27 | Paper |
| Quantization methods for stochastic differential equations | 2022-10-07 | Paper |
| Calibration to FX triangles of the 4/2 model under the benchmark approach | 2022-06-17 | Paper |
| No-arbitrage concepts in topological vector lattices | 2021-12-02 | Paper |
| DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH | 2021-09-24 | Paper |
| Recovering the real-world density and liquidity premia from option data | 2021-07-16 | Paper |
| APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES | 2021-03-16 | Paper |
| Existence of equivalent local martingale deflators in semimartingale market models | 2020-06-02 | Paper |
| Empirical evidence on Student-\(t\) log-returns of diversified world stock indices | 2019-09-13 | Paper |
| Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index | 2019-09-13 | Paper |
| On the existence of sure profits via flash strategies | 2019-07-31 | Paper |
| A variance reduction technique based on integral representations | 2019-01-14 | Paper |
| Consistent pricing and hedging for a modified constant elasticity of variance model | 2019-01-14 | Paper |
| Pricing of index options under a minimal market model with log-normal scaling | 2019-01-14 | Paper |
| Recursive marginal quantization of higher-order schemes | 2018-11-14 | Paper |
| Pricing volatility derivatives under the modified constant elasticity of variance model | 2018-09-28 | Paper |
| A Hybrid Model for Pricing and Hedging of Long-dated Bonds | 2018-09-18 | Paper |
| Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach | 2018-05-08 | Paper |
| Credit derivative evaluation and CVA under the benchmark approach | 2017-08-17 | Paper |
| THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS | 2017-03-13 | Paper |
| BENCHMARKED RISK MINIMIZATION | 2016-07-15 | Paper |
| Pricing of long dated equity-linked life insurance contracts | 2016-04-29 | Paper |
| Quasi-exact approximation of hidden Markov chain filters | 2016-03-04 | Paper |
| Exact scenario simulation for selected multi-dimensional stochastic processes | 2016-03-04 | Paper |
| Intraday empirical analysis of electricity price behaviour | 2016-03-04 | Paper |
| Real-World Forward Rate Dynamics With Affine Realizations | 2015-10-23 | Paper |
| Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model | 2014-11-27 | Paper |
| Computing Functionals of Square Root and Wishart Processes Under the Benchmark Approach via Exact Simulation | 2014-10-31 | Paper |
| On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance | 2014-09-29 | Paper |
| Local risk-minimization under the benchmark approach | 2014-05-30 | Paper |
| A tractable model for indices approximating the growth optimal portfolio | 2014-03-21 | Paper |
| On the numerical stability of simulation methods for SDEs under multiplicative noise in finance | 2014-02-08 | Paper |
| Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading | 2013-09-04 | Paper |
| A reading guide for last passage times with financial applications in view | 2013-07-18 | Paper |
| Functionals of multidimensional diffusions with applications to finance | 2013-06-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925779 | 2013-06-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925751 | 2013-06-12 | Paper |
| ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM | 2013-05-14 | Paper |
| THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL | 2013-03-12 | Paper |
| Hedging for the long run | 2013-02-26 | Paper |
| Processes of Class Sigma, Last Passage Times, and Drawdowns | 2013-01-25 | Paper |
| A Visual Criterion for Identifying Itô Diffusions as Martingales or Strict Local Martingales | 2012-08-24 | Paper |
| Estimating the diffusion coefficient function for a diversified world stock index | 2012-07-16 | Paper |
| Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods | 2012-04-05 | Paper |
| On the semimartingale property of discounted asset-price processes | 2011-10-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3010640 | 2011-06-27 | Paper |
| Modelling co-movements and tail dependency in the international stock market via copulae | 2010-10-06 | Paper |
| Numerical solution of stochastic differential equations with jumps in finance | 2010-08-04 | Paper |
| Real-World Pricing for a Modified Constant Elasticity of Variance Model | 2010-05-27 | Paper |
| Real-world jump-diffusion term structure models | 2010-03-11 | Paper |
| Minimizing the Expected Market Time to Reach a Certain Wealth Level | 2010-02-03 | Paper |
| Alternative defaultable term structure models | 2009-09-18 | Paper |
| ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE | 2009-04-21 | Paper |
| CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH | 2009-03-06 | Paper |
| Valuation of FX barrier options under stochastic volatility | 2009-02-06 | Paper |
| Subordinated market index models: A comparison | 2009-02-06 | Paper |
| STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS | 2008-12-11 | Paper |
| Laplace transform identities for diffusions, with applications to rebates and barrier options | 2008-11-04 | Paper |
| Semiparametric diffusion estimation and application to a stock market index | 2008-08-07 | Paper |
| Capital asset pricing for markets with intensity based jumps | 2008-07-11 | Paper |
| SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS | 2008-05-20 | Paper |
| A hardware generator of multi-point distributed random numbers for Monte Carlo simulation | 2008-03-26 | Paper |
| A benchmark approach to portfolio optimization under partial information | 2008-02-18 | Paper |
| Approximation of jump diffusions in finance and economics | 2007-08-17 | Paper |
| Strong approximations of stochastic differential equations with jumps | 2007-06-14 | Paper |
| First Order Strong Approximations of Jump Diffusions | 2007-04-10 | Paper |
| Higher-Order Weak Approximation of Ito Diffusions by Markov Chains | 2007-01-19 | Paper |
| Intraday empirical analysis and modeling of diversified world stock indices | 2006-11-17 | Paper |
| A benchmark approach to quantitative finance | 2006-10-18 | Paper |
| CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING | 2006-10-16 | Paper |
| On the Distributional Characterization of Daily Log‐Returns of a World Stock Index | 2006-09-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5486570 | 2006-09-11 | Paper |
| Local volatility function models under a benchmark approach | 2006-08-21 | Paper |
| A BENCHMARK APPROACH TO FINANCE | 2006-06-12 | Paper |
| Computational Science - ICCS 2004 | 2005-12-23 | Paper |
| A fair pricing approach to weather derivatives | 2005-12-09 | Paper |
| Diversified portfolios with jumps in a benchmark framework | 2005-12-09 | Paper |
| Understanding the implied volatility surface for options on a diversified index | 2005-12-09 | Paper |
| A benchmark approach to filtering in finance | 2005-12-09 | Paper |
| A two-factor model for low interest rate regimes | 2005-12-09 | Paper |
| AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL | 2005-11-15 | Paper |
| A General Benchmark Model for Stochastic Jump Sizes | 2005-10-18 | Paper |
| PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL | 2005-06-22 | Paper |
| MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX | 2005-06-22 | Paper |
| A Discrete Time Benchmark Approach for Insurance and Finance | 2005-03-30 | Paper |
| Symmetry group methods for fundamental solutions | 2005-02-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160515 | 2005-02-09 | Paper |
| Estimation for discretely observed diffusions using transform functions | 2004-10-25 | Paper |
| A class of complete benchmark models with intensity-based jumps | 2004-09-24 | Paper |
| A comparison of two quadratic approaches to hedging in incomplete markets | 2004-03-16 | Paper |
| A structure for general and specific market risk | 2004-03-16 | Paper |
| Modelling the stochastic dynamics of volatility for equity indices | 2003-12-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4792529 | 2003-02-11 | Paper |
| Numerical comparison of local risk-minimisation and mean-variance hedging | 2003-02-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741121 | 2003-02-03 | Paper |
| Approximating Large Diversified Portfolios | 2003-02-02 | Paper |
| Weak discrete time approximation of stochastic differential equations with time delay | 2002-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2707625 | 2002-08-14 | Paper |
| Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps | 2002-05-14 | Paper |
| Option pricing for a logstable asset price model | 2002-05-05 | Paper |
| Axiomatic principles for a market model | 2002-04-23 | Paper |
| Filtering and parameter estimation for a mean reverting interest rate model | 2002-03-06 | Paper |
| Arbitrage in continuous complete markets | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938228 | 2000-08-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4378664 | 2000-06-14 | Paper |
| A short term interest rate model | 1999-09-14 | Paper |
| On Feedback Effects from Hedging Derivatives | 1998-11-29 | Paper |
| Balanced Implicit Methods for Stiff Stochastic Systems | 1998-05-12 | Paper |
| THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION | 1997-12-04 | Paper |
| Option Pricing Under Incompleteness and Stochastic Volatility | 1997-08-31 | Paper |
| Extrapolation Methods for the Weak Approximation of Ito Diffusions | 1997-07-08 | Paper |
| On effects of discretization on estimators of drift parameters for diffusion processes | 1997-05-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4890533 | 1996-12-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4714065 | 1996-12-04 | Paper |
| Principles for modelling financial markets | 1996-11-19 | Paper |
| On weak implicit and predictor-corrector methods | 1996-05-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848527 | 1996-02-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839865 | 1995-08-14 | Paper |
| Stability of weak numerical schemes for stochastic differential equations | 1995-04-09 | Paper |
| Pricing via anticipative stochastic calculus | 1995-03-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3138644 | 1994-03-14 | Paper |
| Numerical solution of SDE through computer experiments. Including floppy disk | 1994-01-16 | Paper |
| Higher-order implicit strong numerical schemes for stochastic differential equations | 1993-10-27 | Paper |
| The approximation of multiple stochastic integrals | 1993-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4004325 | 1992-09-18 | Paper |
| Relations between multiple ito and stratonovich integrals | 1992-06-27 | Paper |
| Stratonovich and Ito Stochastic Taylor Expansions | 1991-01-01 | Paper |
| Rate of Convergence of the Euler Approximation for Diffusion Processes | 1991-01-01 | Paper |
| A stochastic approach to hopping transport in semiconductors | 1990-01-01 | Paper |
| A survey of numerical methods for stochastic differential equations | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4204941 | 1989-01-01 | Paper |
| A law of large numbers for wide range eclusion processes in random media | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3198862 | 1989-01-01 | Paper |
| Time Discrete Taylor Approximations for It?? Processes with Jump Component | 1988-01-01 | Paper |
| Simulation studies on time discrete diffusion approximations | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3774670 | 1987-01-01 | Paper |
| Weak convergence of semimartingales and discretisation methods | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3687454 | 1985-01-01 | Paper |
| Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3962270 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3308802 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3711409 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3959887 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3917262 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3928751 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3911799 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3884897 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3857522 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3962905 | 1980-01-01 | Paper |
| Weak Convergence of Approximations of I tǒ Integral Equations | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3048010 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3048009 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4184015 | 1978-01-01 | Paper |
| Sequentielle Rangauswahlprobleme - eine Erweiterung des „Secretary Problems” | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4070075 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4066437 | 1974-01-01 | Paper |
