| Publication | Date of Publication | Type |
|---|
| Sobolev embeddings for kinetic Fokker-Planck equations | 2024-02-20 | Paper |
| Teoria della Probabilità | 2024-01-09 | Paper |
| Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients | 2023-12-02 | Paper |
| Numerical solution of kinetic SPDEs via stochastic Magnus expansion | 2023-06-26 | Paper |
| Backward and forward filtering under the weak Hörmander condition | 2023-06-26 | Paper |
| On the viscosity solutions of a stochastic differential utility problem | 2023-04-04 | Paper |
| Strong regularization by noise for kinetic SDEs | 2022-07-20 | Paper |
| CDS calibration under an extended JDCEV model | 2022-02-16 | Paper |
| On stochastic Langevin and Fokker-Planck equations: the two-dimensional case | 2022-01-05 | Paper |
| On the stochastic Magnus expansion and its application to SPDEs | 2021-11-22 | Paper |
| PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model | 2021-08-16 | Paper |
| Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients | 2021-04-27 | Paper |
| Pricing approximations and error estimates for local Lévy-type models with default | 2020-10-08 | Paper |
| The parametrix method for parabolic SPDEs | 2020-09-03 | Paper |
| Teoria della Probabilità | 2020-09-03 | Paper |
| Local densities for a class of degenerate diffusions | 2020-05-13 | Paper |
| Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model | 2019-05-08 | Paper |
| Asymptotics for $$d$$ -Dimensional Lévy-Type Processes | 2018-12-11 | Paper |
| Bermudan option valuation under state-dependent models | 2018-11-19 | Paper |
| Efficient Computation of Various Valuation Adjustments Under Local Lévy Models | 2018-04-16 | Paper |
| Nash estimates and upper bounds for non-homogeneous Kolmogorov equations | 2017-11-24 | Paper |
| LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS | 2017-10-24 | Paper |
| Pricing Bermudan options under local Lévy models with default | 2017-10-13 | Paper |
| Analytical approximation of the transition density in a local volatility model | 2017-07-21 | Paper |
| EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS | 2017-07-21 | Paper |
| Intrinsic expansions for averaged diffusion processes | 2017-06-30 | Paper |
| The Role of Fundamental Solution in Potential and Regularity Theory for Subelliptic PDE | 2016-04-14 | Paper |
| Intrinsic Taylor formula for Kolmogorov-type homogeneous groups | 2015-12-21 | Paper |
| Dynamic credit investment in partially observed markets | 2015-11-09 | Paper |
| Analytical Expansions for Parabolic Equations | 2015-07-21 | Paper |
| A family of density expansions for Lévy-type processes | 2015-02-26 | Paper |
| Expansions asymptotiques pour équations paraboliques dégénérées | 2014-12-05 | Paper |
| LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS | 2014-04-25 | Paper |
| Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem | 2014-01-28 | Paper |
| Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement | 2014-01-27 | Paper |
| Adjoint Expansions in Local Lévy Models | 2014-01-23 | Paper |
| Approximations for Asian options in local volatility models | 2012-10-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2897845 | 2012-07-16 | Paper |
| Analytical approximation of the transition density in a local volatility model | 2012-07-03 | Paper |
| Financial Mathematics | 2012-02-01 | Paper |
| MATHEMATICAL ANALYSIS AND NUMERICAL METHODS FOR A PARTIAL DIFFERENTIAL EQUATIONS MODEL GOVERNING A RATCHET CAP PRICING IN THE LIBOR MARKET MODEL | 2011-08-17 | Paper |
| Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators | 2010-10-19 | Paper |
| PDE and martingale methods in option pricing. | 2010-08-11 | Paper |
| Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options | 2010-06-16 | Paper |
| Calibration of a path-dependent volatility model: empirical tests | 2010-03-30 | Paper |
| Obstacle problem for arithmetic Asian options | 2009-12-22 | Paper |
| Finanza Matematica | 2009-10-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3602789 | 2009-02-12 | Paper |
| Analysis of an uncertain volatility model | 2008-11-20 | Paper |
| Path dependent volatility | 2008-09-04 | Paper |
| Free boundary and optimal stopping problems for American Asian options | 2008-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5447271 | 2008-03-06 | Paper |
| Pointwise estimates for a class of non-homogeneous Kolmogorov equations | 2008-02-18 | Paper |
| The obstacle problem for a class of hypoelliptic ultraparabolic equations | 2008-01-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5424044 | 2007-11-02 | Paper |
| A continuous dependence result for ultraparabolic equations in option pricing | 2007-09-26 | Paper |
| Harnack inequalities and Gaussian estimates for a class of hypoelliptic operators | 2007-02-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5713276 | 2005-12-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5702829 | 2005-11-08 | Paper |
| THE MOSER'S ITERATIVE METHOD FOR A CLASS OF ULTRAPARABOLIC EQUATIONS | 2005-09-08 | Paper |
| On the complete model with stochastic volatility by Hobson and Rogers | 2005-07-01 | Paper |
| On the Harnack inequality for a class of hypoelliptic evolution equations | 2004-08-13 | Paper |
| On the Cauchy Problem for a Nonlinear Kolmogorov Equation | 2004-01-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4429188 | 2003-09-24 | Paper |
| A Gaussian upper bound for the fundamental solutions of a class of ultraparabolic equations | 2003-07-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407835 | 2003-07-01 | Paper |
| On the regularity of solutions to a nonlinear ultraparabolic equation arising in mathematical finance | 2003-04-01 | Paper |
| Hölder regularity for a Kolmogorov equation | 2003-01-07 | Paper |
| A priori estimates for quasilinear degenerate parabolic equations | 2003-01-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4786640 | 2002-12-17 | Paper |
| Regularity properties of viscosity solutions of a non-Hörmander degenerate equation | 2002-07-24 | Paper |
| On the fundamental solution for hypoelliptic second order partial differential equations with non-negative characteristic form | 2001-08-05 | Paper |
| Fujita type results for a class of degenerate parabolic operators | 2000-08-21 | Paper |
| Superparabolic functions related to second order hypoelliptic operators | 2000-07-10 | Paper |
