| Publication | Date of Publication | Type |
|---|
| Tail risk monotonicity in GARCH(1,1) models | 2024-11-27 | Paper |
| Buy rough, sell smooth | 2024-09-06 | Paper |
| Maximum Entropy Distributions with Applications to Graph Simulation | 2024-03-12 | Paper |
| Total positivity and relative convexity of option prices | 2023-06-26 | Paper |
| W-shaped implied volatility curves and the Gaussian mixture model | 2023-06-20 | Paper |
| Buy rough, sell smooth | 2021-06-02 | Paper |
| Estimating a covariance matrix for market risk management and the case of credit default swaps | 2019-03-06 | Paper |
| Market-Triggered Changes in Capital Structure: Equilibrium Price Dynamics | 2019-01-31 | Paper |
| Stress scenario selection by empirical likelihood | 2018-09-19 | Paper |
| BOUNDING WRONG‐WAY RISK IN CVA CALCULATION | 2018-04-13 | Paper |
| Hidden Illiquidity with Multiple Central Counterparties | 2016-12-20 | Paper |
| OR Forum—Design of Risk Weights | 2015-08-28 | Paper |
| Gamma expansion of the Heston stochastic volatility model | 2014-12-17 | Paper |
| Robust risk measurement and model risk | 2014-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5168842 | 2014-07-21 | Paper |
| Robust Portfolio Control with Stochastic Factor Dynamics | 2014-06-26 | Paper |
| RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT | 2013-02-28 | Paper |
| Quadratic Transform Approximation for CDO Pricing in Multifactor Models | 2013-01-25 | Paper |
| Importance Sampling for Portfolio Credit Risk | 2012-02-21 | Paper |
| Variance Reduction Techniques for Estimating Value-at-Risk | 2012-02-19 | Paper |
| Sensitivity Estimates from Characteristic Functions | 2011-11-17 | Paper |
| FORWARD AND FUTURE IMPLIED VOLATILITY | 2011-06-20 | Paper |
| MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS | 2010-03-12 | Paper |
| Sensitivity Estimates for Compound Sums | 2010-02-15 | Paper |
| Fast Pricing of Basket Default Swaps | 2009-08-13 | Paper |
| Fast Simulation of Multifactor Portfolio Credit Risk | 2009-08-13 | Paper |
| Sensitivity estimates for portfolio credit derivatives using Monte Carlo | 2009-08-08 | Paper |
| Saddlepoint approximations for affine jump-diffusion models | 2009-08-07 | Paper |
| Resource Allocation Among Simulation Time Steps | 2009-07-09 | Paper |
| Conditioning on One-Step Survival for Barrier Option Simulations | 2009-07-03 | Paper |
| Perwez Shahabuddin, 1962--2005 | 2008-12-21 | Paper |
| Uniformly Efficient Importance Sampling for the Tail Distribution of Sums of Random Variables | 2008-05-27 | Paper |
| Malliavin Greeks without Malliavin calculus | 2007-12-17 | Paper |
| Additive and multiplicative duals for American option pricing | 2007-12-16 | Paper |
| LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK | 2007-11-21 | Paper |
| A conversation with Chris Heyde | 2007-09-18 | Paper |
| Estimating Derivatives Via Poisson's Equation | 2007-01-19 | Paper |
| Optimal couplings are totally positive and more | 2004-10-25 | Paper |
| The Term Structure of Simple Forward Rates with Jump Risk | 2004-08-23 | Paper |
| Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities | 2004-08-06 | Paper |
| Numerical solution of jump-diffusion LIBOR market models | 2004-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4433608 | 2003-11-02 | Paper |
| Pricing American options by simulation using a stochastic mesh with optimized weights | 2003-07-13 | Paper |
| Portfolio Value-at-Risk with Heavy-Tailed Risk Factors | 2003-03-13 | Paper |
| Discretization of deflated bond prices | 2002-11-24 | Paper |
| Shortfall risk in long-term hedging with short-term futures contracts | 2002-10-21 | Paper |
| Monte Carlo methods for security pricing | 2002-08-25 | Paper |
| Leadtime-inventory trade-offs in assemble-to-order systems | 2002-03-18 | Paper |
| Multilevel splitting for estimating rare event probabilities | 2002-02-07 | Paper |
| Asymptotically optimal importance sampling and stratification for pricing path-dependent options | 2001-11-26 | Paper |
| A continuity correction for discrete barrier options | 2001-03-29 | Paper |
| A large deviations perspective on the efficiency of multilevel splitting | 2000-10-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4499896 | 2000-09-04 | Paper |
| Arbitrage-free discretization of lognormal forward Libor and swap rate models | 2000-05-24 | Paper |
| Connecting discrete and continuous path-dependent options | 1999-09-14 | Paper |
| Monte Carlo methods for security pricing | 1998-07-22 | Paper |
| Pricing American-style securities using simulation | 1998-07-22 | Paper |
| Rare-Event Simulation for Multistage Production-Inventory Systems | 1998-02-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4369767 | 1998-01-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4369771 | 1998-01-12 | Paper |
| Bounds and Asymptotics for Planning Critical Safety Stocks | 1997-11-25 | Paper |
| Estimating Security Price Derivatives Using Simulation | 1997-11-12 | Paper |
| Counterexamples in importance sampling for large deviations probabilities | 1997-10-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5687897 | 1997-08-25 | Paper |
| Allocating Production Capacity Among Multiple Products | 1997-07-23 | Paper |
| Corrected Diffusion Approximations for a Multistage Production-Inventory System | 1997-06-09 | Paper |
| Analysis of an importance sampling estimator for tandem queues | 1996-07-15 | Paper |
| Subadditivity and stability of a class of discrete-event systems | 1996-06-23 | Paper |
| Structured buffer-allocation problems | 1996-06-06 | Paper |
| Stochastic vector difference equations with stationary coefficients | 1996-05-28 | Paper |
| Sensitivity Analysis for Base-Stock Levels in Multiechelon Production-Inventory Systems | 1996-03-05 | Paper |
| Limits of first passage times to rare sets in regenerative processes | 1996-01-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4851772 | 1995-10-12 | Paper |
| Hedging-point production control with multiple failure modes | 1995-08-06 | Paper |
| The Stability of a Capacitated, Multi-Echelon Production-Inventory System Under a Base-Stock Policy | 1995-01-12 | Paper |
| Monotone Optimal Control of Permutable GSMPs | 1994-11-21 | Paper |
| Structural conditions for perturbation analysis of queueing systems | 1994-08-21 | Paper |
| Filtered Monte Carlo | 1994-01-23 | Paper |
| Regenerative derivatives of regenerative sequences | 1993-06-29 | Paper |
| Stochastic monotonicity and conditional Monte Carlo for likelihood ratios | 1993-06-29 | Paper |
| Smoothing complements and randomized score functions | 1993-05-16 | Paper |
| Stationary waiting time derivatives | 1993-04-01 | Paper |
| Some Guidelines and Guarantees for Common Random Numbers | 1993-01-16 | Paper |
| Generalized Semi-Markov Processes: Antimatroid Structure and Second-Order Properties | 1993-01-16 | Paper |
| Monotonicity in Generalized Semi-Markov Processes | 1993-01-16 | Paper |
| Processes with associated increments | 1993-01-16 | Paper |
| Derivative Estimates from Simulation of Continuous-Time Markov Chains | 1992-09-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4000306 | 1992-09-18 | Paper |
| Structural Conditions for Perturbation Analysis Derivative Estimation: Finite-Time Performance Indices | 1992-06-28 | Paper |
| Algebraic structure of some stochastic discrete event systems, with applications | 1992-06-27 | Paper |
| Time-changing and truncating K-capacity queues from one K to another | 1992-06-26 | Paper |
| The limiting value of derivative estimators based on perturbation analysis | 1992-06-25 | Paper |
| Smoothed perturbation analysis for a class of discrete-event systems | 1990-01-01 | Paper |
| Discrete-time ``inversion and derivative estimation for Markov chains | 1990-01-01 | Paper |
| Infinitesimal perturbation analysis of birth and death process | 1988-01-01 | Paper |
| Sensitivity of sample values not generated by inversion | 1987-01-01 | Paper |
