| Publication | Date of Publication | Type |
|---|
A martingale representation theorem and valuation of defaultable securities
Mathematical Finance | 2021-03-23 | Paper |
An RBF-FD method for pricing American options under jump-diffusion models
Computers & Mathematics with Applications | 2020-10-01 | Paper |
Utility maximisation and time-change
| 2019-12-06 | Paper |
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
Stochastic Analysis and Applications | 2019-05-15 | Paper |
Pricing of commodity derivatives on processes with memory
| 2017-11-01 | Paper |
Uncertainty quantification of derivative instruments
East Asian Journal on Applied Mathematics | 2017-10-24 | Paper |
Model risk and discretisation of locally risk-minimising strategies
Journal of Computational and Applied Mathematics | 2016-12-28 | Paper |
Quantification of model risk in quadratic hedging in finance
Stochastics of Environmental and Financial Economics | 2016-04-22 | Paper |
Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
Applied Mathematics and Optimization | 2015-12-23 | Paper |
Analytical approximation for distorted expectations
Statistics & Probability Letters | 2015-12-23 | Paper |
Robustness of quadratic hedging strategies in finance via Fourier transforms
Journal of Computational and Applied Mathematics | 2015-12-21 | Paper |
Discretisation of FBSDEs driven by càdlàg martingales
Journal of Mathematical Analysis and Applications | 2015-11-18 | Paper |
On an optimization problem related to static super-replicating strategies
Journal of Computational and Applied Mathematics | 2014-11-27 | Paper |
Convex order approximations in the case of cash flows of mixed signs
Insurance Mathematics & Economics | 2014-04-14 | Paper |
An overview of comonotonicity and its applications in finance and insurance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
The Föllmer-Schweizer decomposition: comparison and description
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Moment matching approximation of Asian basket option prices
Journal of Computational and Applied Mathematics | 2010-05-17 | Paper |
Pricing and hedging Asian basket spread options
Journal of Computational and Applied Mathematics | 2010-03-04 | Paper |
Explicit portfolio for unit-linked life insurance contracts with surrender option
Journal of Computational and Applied Mathematics | 2009-10-09 | Paper |
Bounds for Asian basket options
Journal of Computational and Applied Mathematics | 2008-07-11 | Paper |
Static super-replicating strategies for a class of exotic options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Risk management of a bond portfolio using options
Insurance Mathematics & Economics | 2007-12-14 | Paper |
Managing value-at-risk for a bond using bond put options
Computational Economics | 2007-08-17 | Paper |
Bounds for the price of discrete arithmetic Asian options
Journal of Computational and Applied Mathematics | 2005-10-26 | Paper |
Bounds for the price of a European-style Asian option in a binary tree model
European Journal of Operational Research | 2005-10-17 | Paper |
Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
Insurance Mathematics & Economics | 2005-01-13 | Paper |
Pricing of arithmetic basket options by conditioning.
Insurance Mathematics & Economics | 2004-05-27 | Paper |
Mathematical modelling and analysis for low frequency design of transformers, in cables, transmission lines
| 2002-07-02 | Paper |
scientific article; zbMATH DE number 1623013 (Why is no real title available?)
| 2001-11-19 | Paper |
Multilevel Solution of Cell Vertex Cauchy--Riemann Equations
SIAM Journal on Scientific Computing | 1998-04-02 | Paper |
Analysis of the Cell Vertex Finite Volume Method for the Cauchy--Riemann Equations
SIAM Journal on Numerical Analysis | 1998-02-10 | Paper |
On a variational approximation method for a class of elliptic eigenvalue problems in composite structures
Mathematics of Computation | 1997-02-20 | Paper |
Applicability of the Bramble-Hilbert lemma in interpolation problems of narrow quadrilateral isoparametric finite elements
Journal of Computational and Applied Mathematics | 1996-07-15 | Paper |
The interpolation theorem for narrow quadrilateral isoparametric finite elements
Numerische Mathematik | 1996-06-16 | Paper |
The combined effect of numerical integration and approximation of the boundary in the finite element method for eigenvalue problems
Numerische Mathematik | 1996-05-06 | Paper |
An operator method for a numerical quadrature finite element approximation for a class of second-order elliptic eigenvalue problems in composite structures
ESAIM: Mathematical Modelling and Numerical Analysis | 1996-05-06 | Paper |
On an external finite element method for a second-order eigenvalue problem on a concave 2D-domain with Dirichlet boundary conditions
Applied Mathematics and Computation | 1996-04-29 | Paper |
External finite-element approximations of eigenfunctions in the case of multiple eigenvalues
Journal of Computational and Applied Mathematics | 1994-09-22 | Paper |
scientific article; zbMATH DE number 614398 (Why is no real title available?)
| 1994-08-17 | Paper |
External finite element approximations of eigenvalue problems
ESAIM: Mathematical Modelling and Numerical Analysis | 1994-01-26 | Paper |
scientific article; zbMATH DE number 67177 (Why is no real title available?)
| 1992-09-27 | Paper |
scientific article; zbMATH DE number 15812 (Why is no real title available?)
| 1992-06-25 | Paper |
scientific article; zbMATH DE number 4199547 (Why is no real title available?)
| 1991-01-01 | Paper |
