| Publication | Date of Publication | Type |
|---|
| The SIML method without microstructure noise | 2025-01-22 | Paper |
| The SIML method without microstructure noise | 2023-10-03 | Paper |
| On the convergence order of a binary tree approximation of symmetrized diffusion processes | 2023-06-29 | Paper |
| Hedging error as generalized timing risk | 2023-06-20 | Paper |
| Limit theorems for iterates of the Szász-Mirakyan operator in probabilistic view | 2023-06-05 | Paper |
| Higher-order deep solver of non-linear PDEs implied by a non-linear discrete Clark-Ocone formula | 2022-11-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5106540 | 2022-09-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5106607 | 2022-09-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5106610 | 2022-09-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5867786 | 2022-09-19 | Paper |
| Heat kernel interest rate models with time-inhomogeneous Markov processes | 2022-04-29 | Paper |
| An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables | 2021-11-18 | Paper |
| Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model | 2021-03-30 | Paper |
| Generalizations of Ho-Lee's binomial interest rate model II: randomization | 2020-12-18 | Paper |
| The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk | 2020-12-10 | Paper |
| On distributional and asymptotic results for exponential functional of renewal -- reward processes describing risk models | 2020-09-23 | Paper |
| Itô calculus for Cramér-Lundberg model | 2020-09-14 | Paper |
| An efficient weak Euler-Maruyama type approximation scheme of very high dimensional SDEs by orthogonal random variables | 2020-01-15 | Paper |
| \(p\)-conformal maps on the triangular lattice | 2019-09-05 | Paper |
| Phase transitions for edge-reinforced random walks on the half-line | 2019-08-06 | Paper |
| Some results on Parisian walks | 2019-03-18 | Paper |
| Affine term structure as multi-soliton | 2019-03-18 | Paper |
| Bridge representation and modal-path approximation | 2018-12-28 | Paper |
| Asymptotic Static Hedge via Symmetrization | 2018-01-11 | Paper |
| A discrete-time Clark-Ocone formula and its application to an error analysis | 2017-10-23 | Paper |
| Attraction properties for general urn processes and applications to a class of interacting reinforced particle systems | 2016-02-17 | Paper |
| On a symmetrization of diffusion processes | 2015-04-08 | Paper |
| A heat kernel approach to interest rate models | 2014-08-29 | Paper |
| Tau functions of KP solitons realized in Wiener space | 2013-12-11 | Paper |
| An algebraic approach to the Cameron-Martin-Maruyama-Girsanov formula | 2013-07-12 | Paper |
| Some simulation results on the computation of delta of path-dependent options using a discrete version of Clark-Ocone formula | 2012-06-04 | Paper |
| Heat kernel interest rate models with time-inhomogeneous Markov processes | 2012-04-24 | Paper |
| On the pricing of options written on the last exit time | 2009-12-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3633217 | 2009-06-18 | Paper |
| On the quasi Gaussian interest rate models | 2009-04-15 | Paper |
| Calibration of transparency risks: a note | 2008-04-10 | Paper |
| Stochastic equations on compact groups in discrete negative time | 2008-04-03 | Paper |
| What is the natural scale for a Lévy process in modelling term structure of interest rates? | 2007-11-27 | Paper |
| Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor | 2007-08-27 | Paper |
| LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION | 2007-02-22 | Paper |
| A discrete Itō calculus approach to He's framework for multi-factor discrete markets | 2007-02-16 | Paper |
| Local Time in Parisian Walkways | 2006-04-18 | Paper |
| Discrete It\^o Formulas and Their Applications to Stochastic Numerics | 2006-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4408951 | 2003-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4254409 | 2000-02-20 | Paper |
| Some formulae for a new type of path-dependent option | 1996-04-01 | Paper |
| Absolute zeta functions for zeta functions of quantum cellular automata | N/A | Paper |
| A quantization of interacting particle systems | N/A | Paper |
