| Publication | Date of Publication | Type |
|---|
| Optimal periodic dividends with penalty payments under a diffusion model | 2024-11-20 | Paper |
| Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate | 2024-06-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q6099669 | 2023-06-20 | Paper |
| Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model | 2022-04-21 | Paper |
| Valuation on compound power options under double stochastic volatility jump diffusion model | 2021-09-29 | Paper |
| Pricing geometric average trigger reset option with predetermined levels in an affine diffusion model with double jumps | 2021-07-01 | Paper |
| Pricing catastrophe equity put options in a mixed fractional Brownian motion environment | 2021-05-14 | Paper |
| Option pricing under two-factor stochastic volatility jump-diffusion model | 2020-11-05 | Paper |
| A perturbed risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula | 2020-08-12 | Paper |
| Pricing forward-start options in a stochastic interest rate and volatility model with jump risks | 2019-10-02 | Paper |
| Analysis on the ruin time of risk models with phase-type claims under a threshold dividend strategy | 2019-09-20 | Paper |
| Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate | 2019-09-09 | Paper |
| Analysis of the ruin time of threshold dividend strategy risk model under stochastic environment | 2019-02-22 | Paper |
| Valuation on an outside-reset option with multiple resettable levels and dates | 2019-02-18 | Paper |
| Pricing European discrete barrier option based on Bates model | 2018-10-22 | Paper |
| Valuation on American put option in an affine diffusion model with double jumps | 2018-07-18 | Paper |
| Pricing forward-starting power Asian options with floating strike price | 2018-07-18 | Paper |
| The Erlang(2) risk process with dependence under a multi-layer dividend strategy | 2017-10-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5276819 | 2017-07-14 | Paper |
| Pricing of interest rate derivatives based on affine jump diffusion model | 2017-07-14 | Paper |
| Monte Carlo simulations with dual variables pricing of barrier options in a stochastic volatility model | 2017-01-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2994457 | 2016-08-10 | Paper |
| A structural credit risk model with stochastic volatility and jumps | 2016-06-30 | Paper |
| Pricing American put option on zero-coupon bond in a jump-extended CIR model | 2016-01-26 | Paper |
| American continuous-installment options of barrier type | 2015-11-10 | Paper |
| Pricing American continuous-installment options under stochastic volatility model | 2014-12-19 | Paper |
| Pricing an American binary option in a double exponential jump-diffusion model | 2012-01-27 | Paper |
| A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework | 2011-02-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3073111 | 2011-02-05 | Paper |
| Valuation of American option in a double exponential jump-diffusion model with stochastic volatility | 2010-02-12 | Paper |
| Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks | 2010-02-12 | Paper |
| Valuation for an American continuous-installment put option on bond under Vasicek interest rate model | 2009-11-23 | Paper |
| Pathwise uniqueness for solutions of a class of stochastic differential equation and its applications | 2009-11-11 | Paper |
| Forecasting of stock price based on both genetic algorithm and improved Elman neural network | 2009-11-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5318940 | 2009-07-22 | Paper |
| Pricing European options in a bivariate jump-diffusion model | 2009-07-22 | Paper |
| Solution to a class of stochastic optimal control problem with monotone controls | 2009-07-22 | Paper |
| Ruin probabilities with credit risk model under effect of Markov chain interest | 2009-07-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3501842 | 2008-06-03 | Paper |
| Credit spreads in a reduced-form approach with jump risks | 2008-04-04 | Paper |
| Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison | 2008-01-14 | Paper |
| Pricing reload options with stochastic interest rate under Ornstein-Uhlenbeck processes | 2007-12-18 | Paper |
| Dynamic asset allocation with stochastic interest rates in jump-risk | 2006-12-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5475139 | 2006-06-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3159512 | 2005-02-16 | Paper |
