| Publication | Date of Publication | Type |
|---|
| Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps | 2024-06-17 | Paper |
| Simulation schemes for the Heston model with Poisson conditioning | 2024-04-16 | Paper |
| Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models | 2024-03-21 | Paper |
| Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps | 2024-01-31 | Paper |
| Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps | 2024-01-25 | Paper |
| Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications | 2022-03-01 | Paper |
| Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees | 2021-07-16 | Paper |
| EFFICIENT RISK MEASURES CALCULATIONS FOR GENERALIZED CREDITRISK+ MODELS | 2021-06-18 | Paper |
| REAL OPTION SIGNALING GAMES OF DEBT FINANCING USING EQUITY GUARANTEE SWAPS UNDER ASYMMETRIC INFORMATION | 2021-01-29 | Paper |
| Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models | 2019-10-11 | Paper |
| Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes | 2018-11-14 | Paper |
| Enhanced equity-credit modelling for contingent convertibles | 2018-11-13 | Paper |
| Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products | 2018-11-01 | Paper |
| Pricing options on discrete realized variance with partially exact and bounded approximations | 2018-09-19 | Paper |
| Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models | 2018-09-18 | Paper |
| Game Options Analysis of the Information Role of Call Policies in Convertible Bonds | 2018-09-18 | Paper |
| Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance | 2018-09-11 | Paper |
| Real options signaling game models for dynamic acquisition under information asymmetry | 2018-06-13 | Paper |
| Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals | 2018-03-12 | Paper |
| Saddlepoint Approximation Methods in Financial Engineering | 2018-03-09 | Paper |
| NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD | 2017-11-29 | Paper |
| Real options game models of R\&D competition between asymmetric firms with spillovers | 2017-04-27 | Paper |
| Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes | 2016-04-14 | Paper |
| FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS | 2016-01-08 | Paper |
| Stochastic control model for R\&D race in a mixed duopoly with spillovers and knowledge stocks | 2015-11-27 | Paper |
| Closed form pricing formulas for discretely sampled generalized variance swaps | 2014-11-05 | Paper |
| Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach | 2014-09-05 | Paper |
| Patent-investment games under asymmetric information | 2014-07-27 | Paper |
| Pricing guaranteed minimum withdrawal benefits under stochastic interest rates | 2014-01-17 | Paper |
| Effects of callable feature on early exercise policy | 2013-10-29 | Paper |
| Efficient Options Pricing Using the Fast Fourier Transform | 2012-01-10 | Paper |
| GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES | 2011-06-09 | Paper |
| Real options game analysis of sleeping patents | 2011-05-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3575341 | 2010-07-27 | Paper |
| Optimal multiple stopping models of reload options and shout options | 2010-01-19 | Paper |
| Counterparty risk for credit default swaps: Markov chain interacting intensities model with stochastic intensity | 2009-09-09 | Paper |
| Intensity-based framework and penalty formulation of optimal stopping problems | 2009-07-01 | Paper |
| Options with combined reset rights on strike and maturity | 2008-11-25 | Paper |
| Employee stock option valuation with repricing features | 2008-11-18 | Paper |
| ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE | 2008-09-03 | Paper |
| CURRENCY-TRANSLATED FOREIGN EQUITY OPTIONS WITH PATH DEPENDENT FEATURES AND THEIR MULTI-ASSET EXTENSIONS | 2008-09-03 | Paper |
| Finite-time dividend-ruin models | 2008-08-22 | Paper |
| Mathematical models of financial derivatives | 2008-05-29 | Paper |
| Optimal policies of call with notice period requirement | 2007-07-25 | Paper |
| VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS | 2007-06-20 | Paper |
| Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options | 2007-05-18 | Paper |
| Real options in strategic investment games between two asymmetric firms | 2007-04-19 | Paper |
| Reset and withdrawal rights in dynamic fund protection | 2007-03-02 | Paper |
| PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES | 2006-08-14 | Paper |
| Optimal execution strategy of liquidation | 2006-07-14 | Paper |
| Integral price formulas for lookback options | 2006-06-30 | Paper |
| CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS | 2006-06-12 | Paper |
| American Options with Lookback Payoff | 2005-10-28 | Paper |
| Options with Multiple Reset Rights | 2005-10-19 | Paper |
| Jump Diffusion Models for Risky Debts: Quality Spread Differentials | 2005-10-19 | Paper |
| VALUATION OF EMPLOYEE RELOAD OPTIONS USING UTILITY MAXIMIZATION APPROACH | 2005-10-18 | Paper |
| Valuing employee reload options under the time vesting requirement | 2005-10-17 | Paper |
| QUANTO LOOKBACK OPTIONS | 2005-05-09 | Paper |
| OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT | 2005-05-09 | Paper |
| Multi‐asset barrier options and occupation time derivatives | 2004-09-06 | Paper |
| Early exercise policies of American floating strike and fixed strike lookback options. | 2004-08-26 | Paper |
| Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks | 2004-02-03 | Paper |
| Numerical simulation of electrochemical diffusion-migration model with reaction at electrodes | 2003-01-08 | Paper |
| Pricing algorithms of multivariate path dependent options | 2002-11-06 | Paper |
| Pricing multi-asset options with an external barrier | 2002-06-20 | Paper |
| Applied complex variables for scientists and engineers | 2002-03-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4781781 | 2002-01-01 | Paper |
| Numerical quadrature formulas through the theory of analytic functions | 1997-10-20 | Paper |
| Convergence analysis of a staggered pressure correction scheme for viscous incompressible flows | 1997-09-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4349551 | 1997-08-24 | Paper |
| Fourier analysis of iterative schemes for solving the biharmonic equation | 1997-03-16 | Paper |
| Linear hydrodynamical stability of two-layer inclined flow with viscosity and density stratifications | 1996-08-04 | Paper |
| Accuracy and stability analysis of numerical schemes for the shallow water model | 1996-07-10 | Paper |
| Fractional step algorithm for solving a multi‐dimensional diffusion‐migration equation | 1996-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4307584 | 1994-10-03 | Paper |
| Stability analysis of three-level difference schemes for initial-boundary problems for multidimensional convective-diffusion equations | 1993-10-06 | Paper |
| Modified quadrature formula for integrand with nearby poles | 1993-08-19 | Paper |
| Linearized stability analysis of staggered‐grid difference schemes for multidimensional viscous incompressible flows | 1993-06-29 | Paper |
| Stability analysis of six-point finite difference schemes for the constant coefficient convective-diffusion equation | 1993-04-01 | Paper |
| Application of MACSYMA to solutions of ordinary differential equations | 1992-09-27 | Paper |
| Padé and upwinding finite difference schemes for the quantum mechanical equation of motion | 1992-06-27 | Paper |
| An algorithm for the numerical inversion of Laplace transforms | 1992-06-25 | Paper |
| Location and structure of the nearest singularity of a perturbation series | 1991-01-01 | Paper |
| The use of the Euler functions for error estimates of the trapezoidal and Simpson's quadratures | 1990-01-01 | Paper |
| A Regular Perturbation Method for Subcritical Flow over a Two-Dimensional Airfoil | 1989-01-01 | Paper |
| On Some Aspects of the Transonic Controversy | 1987-01-01 | Paper |
