| Publication | Date of Publication | Type |
|---|
| Captive jump processes for bounded random systems with discontinuous dynamics | 2024-01-05 | Paper |
| Term rates, multicurve term structures and overnight rate benchmarks: a roll-over risk approach | 2023-09-27 | Paper |
| Stochastic modelling with randomized Markov bridges | 2022-07-06 | Paper |
| Lévy random bridges and the modelling of financial information | 2022-04-29 | Paper |
| Credit Risk, Market Sentiment and Randomly-Timed Default | 2022-04-29 | Paper |
| MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS | 2022-04-29 | Paper |
| INFORMATION-BASED ASSET PRICING | 2022-04-29 | Paper |
| Beyond Hazard Rates: A New Framework for Credit-Risk Modelling | 2022-04-29 | Paper |
| Dam rain and cumulative gain | 2022-04-29 | Paper |
| Modelling Information Flows in Financial Markets | 2022-04-29 | Paper |
| HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES | 2022-04-29 | Paper |
| HEAT KERNEL MODELS FOR ASSET PRICING | 2022-04-29 | Paper |
| Randomised Mixture Models for Pricing Kernels | 2022-04-29 | Paper |
| Stochastic modelling with randomized Markov bridges | 2022-04-29 | Paper |
| Stochastic measure distortions induced by quantile processes for risk quantification and valuation | 2021-12-10 | Paper |
| Captive Jump Processes | 2021-11-13 | Paper |
| Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods | 2021-10-06 | Paper |
| Rational multi-curve models with counterparty-risk valuation adjustments | 2021-07-16 | Paper |
| Rational Models for Inflation-Linked Derivatives | 2021-01-15 | Paper |
| MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS | 2020-08-05 | Paper |
| Quantile Diffusions for Risk Analysis | 2019-12-23 | Paper |
| Inventory management in customised liquidity pools | 2019-09-10 | Paper |
| AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks | 2018-09-13 | Paper |
| Pricing Fixed-Income Securities in an Information-Based Framework | 2017-10-05 | Paper |
| Randomised mixture models for pricing kernels | 2017-08-16 | Paper |
| SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS | 2017-01-04 | Paper |
| Stable-1/2 bridges and insurance | 2015-04-08 | Paper |
| HEAT KERNEL MODELS FOR ASSET PRICING | 2015-01-21 | Paper |
| Continuous equilibrium in affine and information-based capital asset pricing models | 2014-11-12 | Paper |
| Discrete-time interest rate modelling | 2013-05-14 | Paper |
| HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES | 2012-04-24 | Paper |
| CONDITIONAL DENSITY MODELS FOR ASSET PRICING | 2012-04-24 | Paper |
| Modelling Information Flows in Financial Markets | 2011-08-08 | Paper |
| Credit Risk, Market Sentiment and Randomly-Timed Default | 2011-07-13 | Paper |
| Lévy random bridges and the modelling of financial information | 2011-06-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506192 | 2009-01-28 | Paper |
| Dam rain and cumulative gain | 2009-01-06 | Paper |
| Information, Inflation, and Interest | 2008-11-04 | Paper |
| INFORMATION-BASED ASSET PRICING | 2008-08-26 | Paper |
| An Information-Based Framework for Asset Pricing: X-Factor Theory and its Applications | 2008-07-14 | Paper |
