| Publication | Date of Publication | Type |
|---|
| General transfer formula for stochastic integral with respect to multifractional Brownian motion | 2024-04-02 | Paper |
| Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization | 2024-02-27 | Paper |
| Superhedging Supermartingales | 2023-12-22 | Paper |
| Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps | 2023-12-20 | Paper |
| A segment-wise dynamic programming algorithm for BSDEs | 2023-07-13 | Paper |
| Stochastic solutions of generalized time-fractional evolution equations | 2022-12-23 | Paper |
| Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations | 2022-12-21 | Paper |
| Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations | 2022-02-03 | Paper |
| ``Regression anytime with brute-force SVD truncation | 2021-11-04 | Paper |
| Conditional Non-Lattice Integration, Pricing and Superhedging | 2021-05-25 | Paper |
| Model-Free Finance and Non-Lattice Integration | 2021-05-21 | Paper |
| Itô's formula for Gaussian processes with stochastic discontinuities | 2020-05-29 | Paper |
| Arbitrage-free interpolation of call option prices | 2020-04-22 | Paper |
| Pathwise Dynamic Programming | 2020-03-12 | Paper |
| `Regression Anytime' with Brute-Force SVD Truncation | 2019-08-22 | Paper |
| Discretizing Malliavin calculus | 2018-06-13 | Paper |
| A PRIMAL–DUAL ALGORITHM FOR BSDES | 2017-07-21 | Paper |
| A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS | 2017-07-21 | Paper |
| Iterative Improvement of Lower and Upper Bounds for Backward SDEs | 2017-05-31 | Paper |
| A general non-existence result for linear BSDEs driven by Gaussian processes | 2017-03-20 | Paper |
| A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING | 2016-07-15 | Paper |
| Pathwise Iteration for Backward SDEs | 2016-05-24 | Paper |
| Maximal Inequalities for Fractional Lévy and Related Processes | 2015-10-23 | Paper |
| Sticky Continuous Processes have Consistent Price Systems | 2015-10-02 | Paper |
| Solving Stochastic Dynamic Programs by Convex Optimization and Simulation | 2015-06-18 | Paper |
| A generalised Itō formula for Lévy-driven Volterra processes | 2015-05-27 | Paper |
| DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS | 2015-04-24 | Paper |
| Dual pricing of multi-exercise options under volume constraints | 2014-12-17 | Paper |
| Backward SDEs driven by Gaussian processes | 2014-09-02 | Paper |
| A Posteriori Estimates for Backward SDEs | 2014-02-25 | Paper |
| Discretization of backward stochastic Volterra integral equations | 2013-09-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925737 | 2013-06-12 | Paper |
| Simple arbitrage | 2012-11-29 | Paper |
| Least-Squares Monte Carlo for Backward SDEs | 2012-09-28 | Paper |
| Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus | 2012-09-19 | Paper |
| Finite variation of fractional Lévy processes | 2012-06-26 | Paper |
| Primal and Dual Pricing of Multiple Exercise Options in Continuous Time | 2012-04-19 | Paper |
| Fractional Processes as Models in Stochastic Finance | 2011-08-08 | Paper |
| Importance Sampling for Backward SDEs | 2010-03-19 | Paper |
| Integrating Volatility Clustering Into Exponential Lévy Models | 2009-10-08 | Paper |
| Pricing by hedging and no-arbitrage beyond semimartingales | 2009-08-08 | Paper |
| TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO | 2009-03-06 | Paper |
| Stochastic calculus for convoluted Lévy processes | 2009-03-02 | Paper |
| On \(q\)-optimal martingale measures in exponential Lévy models | 2009-02-28 | Paper |
| OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH | 2008-08-26 | Paper |
| Enhanced policy iteration for American options via scenario selection | 2008-05-15 | Paper |
| Time discretization and Markovian iteration for coupled FBSDEs | 2008-03-19 | Paper |
| A forward scheme for backward SDEs | 2007-12-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5430704 | 2007-12-16 | Paper |
| Policy iteration for american options: overview | 2007-08-24 | Paper |
| An iterative method for multiple stopping: convergence and stability | 2006-11-02 | Paper |
| Explicit solutions of a class of linear fractional BSDEs | 2006-09-25 | Paper |
| An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter. | 2005-11-29 | Paper |
| Arbitrage in a Discrete Version of the Wick-Fractional Black-Scholes Market | 2005-11-11 | Paper |
| THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE | 2005-03-30 | Paper |
| An \(S\)-transform approach to integration with respect to a fractional Brownian motion | 2004-06-10 | Paper |
| On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half | 2004-05-27 | Paper |
