| Publication | Date of Publication | Type |
|---|
Indifference Pricing of Pure Endowments in a Regime-Switching Market Model
Applied Mathematical Finance | 2026-05-28 | Paper |
Self-protection and self-insurance for general risk models via a BSDEs approach
SIAM Journal on Control and Optimization | 2026-01-01 | Paper |
Optimal reinsurance in a dynamic contagion model: comparing self-exciting and externally-exciting risks
Quantitative Finance | 2026-01-01 | Paper |
Option pricing in a sentiment-biased stochastic volatility model
Annals of Finance | 2025-04-08 | Paper |
Optimal investment and reinsurance under exponential forward preferences
Mathematics and Financial Economics | 2025-04-02 | Paper |
Self-protection and self-insurance for general risk models via a BSDE approach
(available as arXiv preprint) | 2025-01-01 | Paper |
Existence of nonnegative mild solutions of stochastic evolution inclusions via weak topology
(available as arXiv preprint) | 2025-01-01 | Paper |
Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}
Annals of Operations Research | 2021-11-08 | Paper |
Indifference pricing of pure endowments via BSDEs under partial information
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Market attention and Bitcoin price modeling: theory, estimation and option pricing
Decisions in Economics and Finance | 2020-07-08 | Paper |
Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
Economics Letters | 2020-07-07 | Paper |
A continuous time model for bitcoin price dynamics
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-10-12 | Paper |
The Föllmer–Schweizer decomposition under incomplete information
Stochastics | 2018-09-04 | Paper |
Unit-linked life insurance policies: optimal hedging in partially observable market models
Insurance Mathematics & Economics | 2017-09-19 | Paper |
A sentiment-based model for the BitCoin: theory, estimation and option pricing
(available as arXiv preprint) | 2017-01-01 | Paper |
Local risk-minimization under restricted information on asset prices
Electronic Journal of Probability | 2015-11-27 | Paper |
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Insurance Mathematics & Economics | 2015-03-13 | Paper |
Optimal consumption policies in illiquid markets
Finance and Stochastics | 2014-12-17 | Paper |
A benchmark approach to risk-minimization under partial information
Insurance Mathematics & Economics | 2014-09-22 | Paper |
BSDEs under partial information and financial applications
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Local risk-minimization under the benchmark approach
Mathematics and Financial Economics | 2014-05-30 | Paper |
GKW representation theorem under restricted information. An application to risk-minimization
Stochastics and Dynamics | 2014-05-16 | Paper |
Local risk-minimization for defaultable claims with recovery process
Applied Mathematics and Optimization | 2012-08-01 | Paper |
Local risk minimization for defaultable markets
Mathematical Finance | 2009-12-07 | Paper |
Quadratic hedging methods for defaultable claims
Applied Mathematics and Optimization | 2008-04-03 | Paper |
