| Publication | Date of Publication | Type |
|---|
| Asymptotics for short maturity Asian options in jump-diffusion models with local volatility | 2024-07-23 | Paper |
| SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS | 2024-02-20 | Paper |
| Explicit solution to the economic index of riskiness | 2024-01-19 | Paper |
| Wasserstein Convergence Guarantees for a General Class of Score-Based Generative Models | 2023-11-18 | Paper |
| Fluctuations and moderate deviations for the mean fields of Hawkes processes | 2023-07-29 | Paper |
| Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion | 2023-07-03 | Paper |
| Large deviations for the mean-field limit of Hawkes processes | 2023-01-18 | Paper |
| A delayed dual risk model | 2023-01-16 | Paper |
| SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL | 2022-12-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5053256 | 2022-12-06 | Paper |
| Global convergence of stochastic gradient Hamiltonian Monte Carlo for nonconvex stochastic optimization: nonasymptotic performance bounds and momentum-based acceleration | 2022-12-01 | Paper |
| Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface | 2022-11-18 | Paper |
| Asymptotic analysis for optimal dividends in a dual risk model | 2022-10-31 | Paper |
| On the optimal design of the randomized unbiased Monte Carlo estimators | 2021-12-13 | Paper |
| Non-convex isotonic regression via the Myersonian approach | 2021-11-12 | Paper |
| Operational risk management: a stochastic control framework with preventive and corrective controls | 2021-01-19 | Paper |
| Precise deviations for Hawkes processes | 2020-12-07 | Paper |
| Decentralized Stochastic Gradient Langevin Dynamics and Hamiltonian Monte Carlo | 2020-07-01 | Paper |
| Optimal unbiased estimation for expected cumulative discounted cost | 2020-05-27 | Paper |
| On the phase transition curve in a directed exponential random graph model | 2020-02-05 | Paper |
| Short maturity forward start Asian options in local volatility models | 2019-11-04 | Paper |
| Asymptotic normality of extensible grid sampling | 2019-10-18 | Paper |
| Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options | 2019-09-16 | Paper |
| Functional central limit theorems for stationary Hawkes processes and application to infinite-server queues | 2019-07-31 | Paper |
| Affine Point Processes: Refinements to Large-Time Asymptotics | 2019-03-15 | Paper |
| Small-noise limit of the quasi-Gaussian log-normal HJM model | 2019-02-21 | Paper |
| Some asymptotic results for nonlinear Hawkes processes | 2018-12-10 | Paper |
| Reciprocity in directed networks | 2018-11-13 | Paper |
| Limit theorems for Markovian Hawkes processes with a large initial intensity | 2018-10-31 | Paper |
| Global Convergence of Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization: Non-Asymptotic Performance Bounds and Momentum-Based Acceleration | 2018-09-12 | Paper |
| Explosion in the quasi-Gaussian HJM model | 2018-07-16 | Paper |
| Large deviations and applications for Markovian Hawkes processes with a large initial intensity | 2018-03-27 | Paper |
| Sensitivities of Asian options in the Black-Scholes model | 2018-03-15 | Paper |
| Asymptotics for the Euler-discretized Hull-White stochastic volatility model | 2018-03-01 | Paper |
| Asymptotic structure of constrained exponential random graph models | 2017-10-16 | Paper |
| Limit theorems for empirical density of greatest common divisors | 2017-09-28 | Paper |
| Asymptotics for sparse exponential random graph models | 2017-06-16 | Paper |
| A delayed dual risk model | 2017-04-13 | Paper |
| Lattice gas models with long range interactions | 2017-03-13 | Paper |
| Short Maturity Asian Options in Local Volatility Models | 2017-01-11 | Paper |
| Discrete sums of geometric Brownian motions, annuities and Asian options | 2016-12-13 | Paper |
| Moderate and large deviations for the Erdős-Kac theorem | 2016-03-10 | Paper |
| On the growth rate of a linear stochastic recursion with Markovian dependence | 2015-10-28 | Paper |
| Limit theorems for marked Hawkes processes with application to a risk model | 2015-10-20 | Paper |
| Asymptotic structure and singularities in constrained directed graphs | 2015-08-24 | Paper |
| Large deviations for one-dimensional random walks on discrete point processes | 2015-05-06 | Paper |
| Large deviations for Markovian nonlinear Hawkes processes | 2015-04-27 | Paper |
| The speed of a biased walk on a Galton-Watson tree without leaves is monotonic with respect to progeny distributions for high values of bias | 2015-03-09 | Paper |
| Asymptotics for a Class of Self-Exciting Point Processes | 2014-12-11 | Paper |
| Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps | 2014-10-15 | Paper |
| Optimal strategies for a long-term static investor | 2014-09-25 | Paper |
| On the large deviations for Engel's, Sylvester's series and Cantor's products | 2014-09-22 | Paper |
| Process-level large deviations for nonlinear Hawkes point processes | 2014-09-05 | Paper |
| Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims | 2014-06-23 | Paper |
| Large deviations for product of sums of random variables | 2014-06-11 | Paper |
| On the Hawkes Process with Different Exciting Functions | 2014-03-04 | Paper |
| Central limit theorem for nonlinear Hawkes processes | 2013-10-17 | Paper |
| Moderate deviations for Hawkes processes | 2013-05-13 | Paper |
| Nonlinear Hawkes Processes | 2013-04-28 | Paper |
| Convergence Analysis for General Probability Flow ODEs of Diffusion Models in Wasserstein Distances | N/A | Paper |
| Euler-Maruyama schemes for stochastic differential equations driven by stable L\'{e}vy processes with i.i.d. stable components | N/A | Paper |
