| Publication | Date of Publication | Type |
|---|
| Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products | 2025-01-22 | Paper |
| Consistent asset modelling with random coefficients and switches between regimes | 2025-01-09 | Paper |
| Accelerated computations of sensitivities for xVA* | 2024-10-28 | Paper |
| A multi-curve HJM factor model for pricing and risk management | 2023-12-14 | Paper |
| Randomization and the valuation of guaranteed minimum death benefits | 2023-07-10 | Paper |
| Pricing energy quanto options in the framework of Markov-modulated additive processes | 2023-02-14 | Paper |
| SENSITIVITIES AND HEDGING OF THE COLLATERAL CHOICE OPTION | 2022-11-16 | Paper |
| Cheapest-to-deliver collateral: a common factor approach | 2022-05-27 | Paper |
| Optimal annuitisation in a deterministic financial environment | 2021-08-10 | Paper |
| VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD | 2020-12-13 | Paper |
| A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices | 2020-05-04 | Paper |
| On barrier option pricing by Erlangization in a regime-switching model with jumps | 2020-02-18 | Paper |
| A self-exciting switching jump diffusion: properties, calibration and hitting time | 2019-09-26 | Paper |
| Explosion time for some Laplace transforms of the Wishart process | 2019-05-15 | Paper |
| Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps | 2019-03-07 | Paper |
| Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality | 2018-11-01 | Paper |
| Multivariate FX models with jumps: triangles, quantos and implied correlation | 2018-05-29 | Paper |
| Multivariate European option pricing in a Markov-modulated Lévy framework | 2017-02-09 | Paper |
| The role of the dependence between mortality and interest rates when pricing guaranteed annuity options | 2016-12-14 | Paper |
| Default probabilities of a holding company, with complete and partial information | 2015-08-26 | Paper |
| On an optimization problem related to static super-replicating strategies | 2014-11-27 | Paper |
| Pricing variable annuity guarantees in a local volatility framework | 2014-06-23 | Paper |
| USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS | 2014-06-11 | Paper |
| Risk theory and reinsurance. Translated from the French by Urmie Ray | 2013-10-09 | Paper |
| An Overview of Comonotonicity and Its Applications in Finance and Insurance | 2011-08-08 | Paper |
| VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE | 2011-01-20 | Paper |
| Moment matching approximation of Asian basket option prices | 2010-05-17 | Paper |
| Pricing and hedging Asian basket spread options | 2010-03-04 | Paper |
| Optimal design of the guarantee for defined contribution funds | 2008-11-06 | Paper |
| Bounds for Asian basket options | 2008-07-11 | Paper |
| Static super-replicating strategies for a class of exotic options | 2008-06-25 | Paper |
| Risk management of a bond portfolio using options | 2007-12-14 | Paper |
| Managing value-at-risk for a bond using bond put options | 2007-08-17 | Paper |
| Bounds for the price of discrete arithmetic Asian options | 2005-10-26 | Paper |
| Bounds for the price of a European-style Asian option in a binary tree model | 2005-10-17 | Paper |
| Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables | 2005-01-13 | Paper |
| Pricing of arithmetic basket options by conditioning. | 2004-05-27 | Paper |
| Optimal investment strategies in the presence of a minimum guarantee. | 2003-11-16 | Paper |
| Long-Term Returns in Stochastic Interest Rate Models: Applications | 2003-09-12 | Paper |
| Dual formulation of the utility maximization problem under transaction costs | 2003-05-06 | Paper |
| Optimal investment strategies in a CIR framework | 2002-07-18 | Paper |
| Conditional dominance criteria: Definition and application to risk-management | 2000-05-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4258746 | 1999-09-14 | Paper |
| Convergence of discretized stochastic (interest rate) processes with stochastic drift term | 1999-03-14 | Paper |
| Long-term returns in stochastic interest rate models: different convergence results | 1999-03-14 | Paper |
| Long-term returns in stochastic interest rate models: convergence in law | 1998-05-04 | Paper |
| Long-term returns in stochastic interest rate models | 1996-01-15 | Paper |
| Remarks on “boundary crossing result for brownian motion” | 1995-06-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4836332 | 1995-06-14 | Paper |
| Remarks on the methodology introduced by Goovaerts et al | 1993-05-16 | Paper |
