| Publication | Date of Publication | Type |
|---|
Benchmark-neutral pricing
Quantitative Finance | 2026-01-28 | Paper |
No arbitrage and multiplicative special semimartingales
Advances in Applied Probability | 2023-12-15 | Paper |
Exploiting arbitrage requires short selling
Frontiers of Mathematical Finance | 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
Decisions in Economics and Finance | 2022-06-17 | Paper |
No-arbitrage concepts in topological vector lattices
Positivity | 2021-12-02 | Paper |
Dynamic asset allocation for target date funds under the benchmark approach
ASTIN Bulletin | 2021-09-24 | Paper |
Recovering the real-world density and liquidity premia from option data
Quantitative Finance | 2021-07-16 | Paper |
Approximating the growth optimal portfolio and stock price bubbles
International Journal of Theoretical and Applied Finance | 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
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
On the existence of sure profits via flash strategies
Journal of Applied Probability | 2019-07-31 | Paper |
A variance reduction technique based on integral representations
Quantitative Finance | 2019-01-14 | Paper |
Consistent pricing and hedging for a modified constant elasticity of variance model
Quantitative Finance | 2019-01-14 | Paper |
Pricing of index options under a minimal market model with log-normal scaling
Quantitative Finance | 2019-01-14 | Paper |
Recursive marginal quantization of higher-order schemes
Quantitative Finance | 2018-11-14 | Paper |
Pricing volatility derivatives under the modified constant elasticity of variance model
Operations Research Letters | 2018-09-28 | Paper |
A Hybrid Model for Pricing and Hedging of Long-dated Bonds
Applied Mathematical Finance | 2018-09-18 | Paper |
Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach
ANZIAM Journal | 2018-05-08 | Paper |
Credit derivative evaluation and CVA under the benchmark approach
Asia-Pacific Financial Markets | 2017-08-17 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
BENCHMARKED RISK MINIMIZATION
Mathematical Finance | 2016-07-15 | Paper |
Pricing of long dated equity-linked life insurance contracts
Stochastic Analysis and Applications | 2016-04-29 | Paper |
Quasi-exact approximation of hidden Markov chain filters
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Exact scenario simulation for selected multi-dimensional stochastic processes
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Intraday empirical analysis of electricity price behaviour
Communications on Stochastic Analysis | 2016-03-04 | Paper |
Real-world forward rate dynamics with affine realizations
Stochastic Analysis and Applications | 2015-10-23 | Paper |
Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
Journal of Computational and Applied Mathematics | 2014-11-27 | Paper |
Computing functionals of square root and Wishart processes under the benchmark approach via exact simulation
Springer Proceedings in Mathematics & Statistics | 2014-10-31 | Paper |
On weak predictor-corrector schemes for jump-diffusion processes in finance
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
Local risk-minimization under the benchmark approach
Mathematics and Financial Economics | 2014-05-30 | Paper |
A tractable model for indices approximating the growth optimal portfolio
Studies in Nonlinear Dynamics & Econometrics | 2014-03-21 | Paper |
On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
Quantitative Finance | 2014-02-08 | Paper |
Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading
Mathematical Finance | 2013-09-04 | Paper |
A reading guide for last passage times with financial applications in view
Finance and Stochastics | 2013-07-18 | Paper |
A reading guide for last passage times with financial applications in view
Finance and Stochastics | 2013-07-18 | Paper |
Functionals of multidimensional diffusions with applications to finance
Bocconi & Springer Series | 2013-06-13 | Paper |
| Simulation of diversified portfolios in continuous financial markets | 2013-06-12 | Paper |
| A dynamic portfolio approach to asset markets and monetary policy | 2013-06-12 | Paper |
ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
Mathematical Finance | 2013-05-14 | Paper |
The small and large time implied volatilities in the minimal market model
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
Hedging for the long run
Mathematics and Financial Economics | 2013-02-26 | Paper |
Processes of class Sigma, last passage times, and drawdowns
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
A visual criterion for identifying Itô diffusions as martingales or strict local martingales
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Estimating the diffusion coefficient function for a diversified world stock index
Computational Statistics and Data Analysis | 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
Stochastic Processes and their Applications | 2011-10-11 | Paper |
| scientific article; zbMATH DE number 5913352 (Why is no real title available?) | 2011-06-27 | Paper |
Modelling co-movements and tail dependency in the international stock market via copulae
Asia-Pacific Financial Markets | 2010-10-06 | Paper |
Numerical solution of stochastic differential equations with jumps in finance
Stochastic Modelling and Applied Probability | 2010-08-04 | Paper |
Real-world pricing for a modified constant elasticity of variance model
Applied Mathematical Finance | 2010-05-27 | Paper |
Real-world jump-diffusion term structure models
Quantitative Finance | 2010-03-11 | Paper |
Minimizing the Expected Market Time to Reach a Certain Wealth Level
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
Alternative defaultable term structure models
Asia-Pacific Financial Markets | 2009-09-18 | Paper |
ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
International Journal of Theoretical and Applied Finance | 2009-04-21 | Paper |
CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH
Mathematical Finance | 2009-03-06 | Paper |
Valuation of FX barrier options under stochastic volatility
Financial Engineering and the Japanese Markets | 2009-02-06 | Paper |
Subordinated market index models: A comparison
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
STRONG PREDICTOR–CORRECTOR EULER METHODS FOR STOCHASTIC DIFFERENTIAL EQUATIONS
Stochastics and Dynamics | 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
Quantitative Finance | 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
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
A hardware generator of multi-point distributed random numbers for Monte Carlo simulation
Mathematics and Computers in Simulation | 2008-03-26 | Paper |
A benchmark approach to portfolio optimization under partial information
Asia-Pacific Financial Markets | 2008-02-18 | Paper |
Approximation of jump diffusions in finance and economics
Computational Economics | 2007-08-17 | Paper |
Strong approximations of stochastic differential equations with jumps
Journal of Computational and Applied Mathematics | 2007-06-14 | Paper |
First Order Strong Approximations of Jump Diffusions
Monte Carlo Methods and Applications | 2007-04-10 | Paper |
Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
Probability in the Engineering and Informational Sciences | 2007-01-19 | Paper |
Intraday empirical analysis and modeling of diversified world stock indices
Asia-Pacific Financial Markets | 2006-11-17 | Paper |
A benchmark approach to quantitative finance
Springer Finance | 2006-10-18 | Paper |
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING
International Journal of Theoretical and Applied Finance | 2006-10-16 | Paper |
On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
Applied Mathematical Finance | 2006-09-25 | Paper |
| scientific article; zbMATH DE number 5052232 (Why is no real title available?) | 2006-09-11 | Paper |
Local volatility function models under a benchmark approach
Quantitative Finance | 2006-08-21 | Paper |
A BENCHMARK APPROACH TO FINANCE
Mathematical Finance | 2006-06-12 | Paper |
Computational Science - ICCS 2004
Lecture Notes in Computer Science | 2005-12-23 | Paper |
A fair pricing approach to weather derivatives
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
Diversified portfolios with jumps in a benchmark framework
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
Understanding the implied volatility surface for options on a diversified index
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
A benchmark approach to filtering in finance
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
A two-factor model for low interest rate regimes
Asia-Pacific Financial Markets | 2005-12-09 | Paper |
AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
International Journal of Theoretical and Applied Finance | 2005-11-15 | Paper |
A General Benchmark Model for Stochastic Jump Sizes
Stochastic Analysis and Applications | 2005-10-18 | Paper |
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
A Discrete Time Benchmark Approach for Insurance and Finance
ASTIN Bulletin | 2005-03-30 | Paper |
Symmetry group methods for fundamental solutions
Journal of Differential Equations | 2005-02-23 | Paper |
| scientific article; zbMATH DE number 2133123 (Why is no real title available?) | 2005-02-09 | Paper |
Estimation for discretely observed diffusions using transform functions
Journal of Applied Probability | 2004-10-25 | Paper |
A class of complete benchmark models with intensity-based jumps
Journal of Applied Probability | 2004-09-24 | Paper |
A comparison of two quadratic approaches to hedging in incomplete markets
Mathematical Finance | 2004-03-16 | Paper |
A structure for general and specific market risk
Computational Statistics | 2004-03-16 | Paper |
Modelling the stochastic dynamics of volatility for equity indices
Asia-Pacific Financial Markets | 2003-12-09 | Paper |
| scientific article; zbMATH DE number 1867095 (Why is no real title available?) | 2003-02-11 | Paper |
| Numerical comparison of local risk-minimisation and mean-variance hedging | 2003-02-03 | Paper |
| scientific article; zbMATH DE number 1642354 (Why is no real title available?) | 2003-02-03 | Paper |
Approximating Large Diversified Portfolios
Mathematical Finance | 2003-02-02 | Paper |
Weak discrete time approximation of stochastic differential equations with time delay
Mathematics and Computers in Simulation | 2002-09-03 | Paper |
| scientific article; zbMATH DE number 1583960 (Why is no real title available?) | 2002-08-14 | Paper |
Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
Monte Carlo Methods and Applications | 2002-05-14 | Paper |
Option pricing for a logstable asset price model
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Axiomatic principles for a market model
Journal of Applied Probability | 2002-04-23 | Paper |
Filtering and parameter estimation for a mean reverting interest rate model
The Canadian Applied Mathematics Quarterly | 2002-03-06 | Paper |
Arbitrage in continuous complete markets
Advances in Applied Probability | 2002-01-01 | Paper |
| scientific article; zbMATH DE number 1405267 (Why is no real title available?) | 2000-08-02 | Paper |
| scientific article; zbMATH DE number 1124634 (Why is no real title available?) | 2000-06-14 | Paper |
A short term interest rate model
Finance and Stochastics | 1999-09-14 | Paper |
On Feedback Effects from Hedging Derivatives
Mathematical Finance | 1998-11-29 | Paper |
Balanced Implicit Methods for Stiff Stochastic Systems
SIAM Journal on Numerical Analysis | 1998-05-12 | Paper |
THE NUMERICAL SOLUTION OF NONLINEAR STOCHASTIC DYNAMICAL SYSTEMS: A BRIEF INTRODUCTION
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering | 1997-12-04 | Paper |
Option Pricing Under Incompleteness and Stochastic Volatility
Mathematical Finance | 1997-08-31 | Paper |
Extrapolation Methods for the Weak Approximation of Ito Diffusions
SIAM Journal on Numerical Analysis | 1997-07-08 | Paper |
On effects of discretization on estimators of drift parameters for diffusion processes
Journal of Applied Probability | 1997-05-04 | Paper |
| scientific article; zbMATH DE number 919682 (Why is no real title available?) | 1996-12-05 | Paper |
| scientific article; zbMATH DE number 939851 (Why is no real title available?) | 1996-12-04 | Paper |
Principles for modelling financial markets
Journal of Applied Probability | 1996-11-19 | Paper |
On weak implicit and predictor-corrector methods
Mathematics and Computers in Simulation | 1996-05-20 | Paper |
| scientific article; zbMATH DE number 797367 (Why is no real title available?) | 1996-02-18 | Paper |
| scientific article; zbMATH DE number 775661 (Why is no real title available?) | 1995-08-14 | Paper |
Stability of weak numerical schemes for stochastic differential equations
Computers & Mathematics with Applications | 1995-04-09 | Paper |
Pricing via anticipative stochastic calculus
Advances in Applied Probability | 1995-03-20 | Paper |
| scientific article; zbMATH DE number 431865 (Why is no real title available?) | 1994-03-14 | Paper |
Numerical solution of SDE through computer experiments. Including floppy disk
Universitext | 1994-01-16 | Paper |
Higher-order implicit strong numerical schemes for stochastic differential equations
Journal of Statistical Physics | 1993-10-27 | Paper |
The approximation of multiple stochastic integrals
Stochastic Analysis and Applications | 1993-01-16 | Paper |
| scientific article; zbMATH DE number 54145 (Why is no real title available?) | 1992-09-18 | Paper |
Relations between multiple ito and stratonovich integrals
Stochastic Analysis and Applications | 1992-06-27 | Paper |
Stratonovich and Ito Stochastic Taylor Expansions
Mathematische Nachrichten | 1991-01-01 | Paper |
Rate of Convergence of the Euler Approximation for Diffusion Processes
Mathematische Nachrichten | 1991-01-01 | Paper |
A stochastic approach to hopping transport in semiconductors
Journal of Statistical Physics | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4124778 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4174307 (Why is no real title available?) | 1989-01-01 | Paper |
A survey of numerical methods for stochastic differential equations
Stochastic Hydrology and Hydraulics | 1989-01-01 | Paper |
A law of large numbers for wide range eclusion processes in random media
Stochastic Processes and their Applications | 1989-01-01 | Paper |
Time Discrete Taylor Approximations for It?? Processes with Jump Component
Mathematische Nachrichten | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4034798 (Why is no real title available?) | 1987-01-01 | Paper |
Simulation studies on time discrete diffusion approximations
Mathematics and Computers in Simulation | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3911425 (Why is no real title available?) | 1985-01-01 | Paper |
Weak convergence of semimartingales and discretisation methods
Stochastic Processes and their Applications | 1985-01-01 | Paper |
Approximation of First Exit Times of Diffusions and Approximate Solution of Parabolic Equations
Mathematische Nachrichten | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3784039 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3839062 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3940334 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3782130 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3729205 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3744234 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3723622 (Why is no real title available?) | 1981-01-01 | Paper |
Weak Convergence of Approximations of I tǒ Integral Equations
ZAMM - Journal of Applied Mathematics and Mechanics / Zeitschrift für Angewandte Mathematik und Mechanik | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3690380 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3690380 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3658779 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3784776 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3642444 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3642443 (Why is no real title available?) | 1978-01-01 | Paper |
| scientific article; zbMATH DE number 3620813 (Why is no real title available?) | 1978-01-01 | Paper |
Sequentielle Rangauswahlprobleme - eine Erweiterung des „Secretary Problems”
ZAMM - Zeitschrift für Angewandte Mathematik und Mechanik | 1977-01-01 | Paper |
| scientific article; zbMATH DE number 3488370 (Why is no real title available?) | 1975-01-01 | Paper |
| scientific article; zbMATH DE number 3483423 (Why is no real title available?) | 1974-01-01 | Paper |
