| Publication | Date of Publication | Type |
|---|
| Distributed energy resources flexibility as volumetric options on electricity | 2024-01-15 | Paper |
| From local volatility to local Lévy models | 2019-01-15 | Paper |
| Intraday pairs trading strategies on high frequency data: the case of oil companies | 2018-11-19 | Paper |
| Tail risk constraints and maximum entropy | 2016-06-15 | Paper |
| Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared | 2014-08-28 | Paper |
| Options on realized variance and convex orders | 2013-12-13 | Paper |
| Correlation and the pricing of risks | 2012-03-06 | Paper |
| Modelling Electricity Prices with Forward Looking Capacity Constraints | 2009-09-13 | Paper |
| Stochastic Clock and Financial Markets | 2009-06-05 | Paper |
| A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model | 2009-03-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506191 | 2009-01-28 | Paper |
| Stochastic Clock and Financial Markets | 2008-09-29 | Paper |
| Valuation of default-sensitive claims under imperfect information | 2008-06-18 | Paper |
| Analysis and Modelling of Electricity Futures Prices | 2008-04-04 | Paper |
| Seasonal and stochastic effects in commodity forward curves | 2007-12-05 | Paper |
| Probing option prices for information | 2007-08-17 | Paper |
| SELF-DECOMPOSABILITY AND OPTION PRICING | 2007-06-08 | Paper |
| Pricing options on realized variance | 2006-05-24 | Paper |
| Options on Hedge Funds under the High Water Mark Rule | 2005-10-24 | Paper |
| Stochastic Volatility for Lévy Processes | 2004-08-23 | Paper |
| Stochastic volatility, jumps and hidden time changes | 2002-11-21 | Paper |
| Time changes, Laplace transforms and path-dependent options | 2002-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524250 | 2002-02-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213494 | 2001-11-25 | Paper |
| On the role of state variables in interest rates models | 2001-10-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725577 | 2001-07-12 | Paper |
| Time Changes for Lévy Processes | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407997 | 2001-01-01 | Paper |
| Learning about Risk: Some Lessons from Insurance | 2000-05-25 | Paper |
| PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH | 1999-07-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218372 | 1999-02-14 | Paper |
| Stochastic time changes in catastrophe option pricing | 1998-03-17 | Paper |
| BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES | 1998-01-21 | Paper |
| No arbitrage between economies and correlation risk management | 1997-10-05 | Paper |
| Portfolio optimization and contingent claim pricing with differential information | 1997-08-07 | Paper |
| Changes of numéraire, changes of probability measure and option pricing | 1996-01-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4001128 | 1992-09-26 | Paper |
