| Publication | Date of Publication | Type |
|---|
Ruin probabilities for a Sparre Andersen model with investments
Stochastic Processes and their Applications | 2022-01-17 | Paper |
Fourier based methods for the management of complex life insurance products
Insurance Mathematics & Economics | 2021-11-19 | Paper |
A multiple curve Lévy swap market model
Applied Mathematical Finance | 2021-06-21 | Paper |
Variable annuities in a Lévy-based hybrid model with surrender risk
Quantitative Finance | 2021-06-02 | Paper |
Multiple curve Lévy forward price model allowing for negative interest rates
Mathematical Finance | 2020-05-14 | Paper |
Portfolio theory for squared returns correlated across time
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Mathematical finance
Springer Finance | 2019-09-11 | Paper |
Hybrid Lévy models: design and computational aspects
Applied Mathematical Finance | 2019-05-15 | Paper |
Time consistency of Lévy models
Quantitative Finance | 2019-01-14 | Paper |
Maximally acceptable portfolios
Inspired by Finance | 2018-12-13 | Paper |
A multiple-curve Lévy forward rate model in a two-price economy
Quantitative Finance | 2018-11-14 | Paper |
Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Variational solutions of the pricing PIDEs for European options in Lévy models
Applied Mathematical Finance | 2018-09-12 | Paper |
Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
Applied Mathematical Finance | 2018-09-06 | Paper |
A Simple Stochastic Rate Model for Rate Equity Hybrid Products
Applied Mathematical Finance | 2018-09-05 | Paper |
A Lévy-driven asset price model with bankruptcy and liquidity risk
From Statistics to Mathematical Finance | 2018-03-29 | Paper |
Obituary: Konrad Jacobs (1928--2015)
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2017-10-11 | Paper |
Two price economies in continuous time
Annals of Finance | 2014-11-13 | Paper |
Bid and ask prices as non-linear continuous time G-expectations based on distortions
Mathematics and Financial Economics | 2014-11-06 | Paper |
Basic ideas of modern financial mathematics
Mitteilungen der Deutschen Mathematiker-Vereinigung (DMV) | 2014-06-03 | Paper |
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Unbounded liabilities, capital reserve requirements and the taxpayer put option
Quantitative Finance | 2014-01-17 | Paper |
Correlations in Lévy interest rate models
Quantitative Finance | 2013-12-13 | Paper |
Rating based Lévy Libor model
Mathematical Finance | 2013-10-11 | Paper |
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Analysis of Fourier transform valuation formulas and applications
Applied Mathematical Finance | 2010-09-21 | Paper |
Esscher transform and the duality principle for multidimensional semimartingales
The Annals of Applied Probability | 2010-07-13 | Paper |
Short positions, rally fears and option markets
Applied Mathematical Finance | 2010-05-27 | Paper |
Erratum
Quantitative Finance | 2010-02-05 | Paper |
Jump–Type Lévy Processes
Handbook of Financial Time Series | 2009-11-27 | Paper |
Sato processes and the valuation of structured products
Quantitative Finance | 2009-10-12 | Paper |
HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
International Journal of Theoretical and Applied Finance | 2009-07-14 | Paper |
Calibration of Lévy term structure models
| 2009-01-28 | Paper |
Mathematics in financial risk management
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2008-10-17 | Paper |
On the duality principle in option pricing: semimartingale setting
Finance and Stochastics | 2008-06-18 | Paper |
The Lévy Swap Market Model
Applied Mathematical Finance | 2007-07-16 | Paper |
A cross-currency Lévy market model
Quantitative Finance | 2007-05-09 | Paper |
VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM‐STRUCTURE MODELS
Mathematical Finance | 2006-09-25 | Paper |
SYMMETRIES IN LÉVY TERM STRUCTURE MODELS
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
The Lévy LIBOR model
Finance and Stochastics | 2006-05-24 | Paper |
Equivalence of floating and fixed strike Asian and lookback options
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Lévy term structure models: no-arbitrage and completeness
Finance and Stochastics | 2005-05-20 | Paper |
scientific article; zbMATH DE number 2127973 (Why is no real title available?)
| 2005-01-14 | Paper |
The Defaultable Lévy Term Structure: Ratings and Restructuring
Mathematical Finance | 2003-01-01 | Paper |
scientific article; zbMATH DE number 1724296 (Why is no real title available?)
| 2002-04-03 | Paper |
Term structure models driven by general Lévy processes
Mathematical Finance | 2001-11-26 | Paper |
scientific article; zbMATH DE number 1639859 (Why is no real title available?)
| 2001-09-12 | Paper |
scientific article; zbMATH DE number 1538082 (Why is no real title available?)
| 2001-08-29 | Paper |
scientific article; zbMATH DE number 1944678 (Why is no real title available?)
| 2001-01-01 | Paper |
On the range of options prices
Finance and Stochastics | 1998-06-04 | Paper |
On Modeling Questions In Security Valuation
Mathematical Finance | 1997-08-31 | Paper |
Strong approximation of semimartingales and statistical processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-05-13 | Paper |
Hyperbolic distributions in finance
Bernoulli | 1996-05-06 | Paper |
Strong approximation of continuous time stochastic processes
Journal of Multivariate Analysis | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4119333 (Why is no real title available?)
| 1987-01-01 | Paper |
On strong invariance principles under dependence assumptions
The Annals of Probability | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3980141 (Why is no real title available?)
| 1986-01-01 | Paper |
Weak convergence of partial sums of absolutely regular sequences
Statistics & Probability Letters | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3921605 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3814659 (Why is no real title available?)
| 1983-01-01 | Paper |
Strong approximation of very weak Bernoulli processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
An invariance principle for lattices of dependent random variables
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1979-01-01 | Paper |
A note on strongly mixing lattices of random variables
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3529118 (Why is no real title available?)
| 1977-01-01 | Paper |
Random sheets
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
Ergodic flows are strictly ergodic
Advances in Mathematics | 1974-01-01 | Paper |
A generator theorem for flows
Boletim da Sociedade Brasileira de Matemática | 1974-01-01 | Paper |
[https://portal.mardi4nfdi.de/wiki/Publication:3213374 Einbettung von Str�mungen in Funktionenr�ume durch Erzeuger vom endlichen Typ]
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1973-01-01 | Paper |
Toeplitz-Folgen und Gruppentranslationen
Archiv der Mathematik | 1971-01-01 | Paper |
