| Publication | Date of Publication | Type |
|---|
Estimating time-varying risk aversion from option prices and realized returns
Quantitative Finance | 2023-06-20 | Paper |
| Canonical Subspaces of Linear Time-Varying Differential-Algebraic Equations and Their Usefulness for Formulating Accurate Initial Conditions | 2023-03-29 | Paper |
On the sensitivity of implementations of a least-squares collocation method for linear higher-index differential-algebraic equations
Numerical Algorithms | 2022-11-22 | Paper |
Towards a reliable implementation of least-squares collocation for higher index differential-algebraic equations. I: Basics and ansatz function choices
Numerical Algorithms | 2022-03-16 | Paper |
Towards a reliable implementation of least-squares collocation for higher index differential-algebraic equations. II: The discrete least-squares problem
Numerical Algorithms | 2022-03-16 | Paper |
On the sensitivity of implementations of a least-squares collocation method for linear higher-index differential-algebraic equations
(available as arXiv preprint) | 2022-02-07 | Paper |
Convergence analysis of least-squares collocation methods for nonlinear higher-index differential-algebraic equations
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
A reliable direct numerical treatment of differential-algebraic equations by overdetermined collocation: an operator approach
Journal of Computational and Applied Mathematics | 2021-02-03 | Paper |
| Towards a reliable implementation of least-squares collocation for higher-index differential-algebraic equations | 2020-11-25 | Paper |
Least-squares collocation for higher-index DAEs: global approach and attempts toward a time-stepping version
Progress in Differential-Algebraic Equations II | 2020-11-12 | Paper |
Basic Characteristics of Differential-Algebraic Operators
Progress in Differential-Algebraic Equations II | 2020-11-12 | Paper |
COVID-19 and market expectations: evidence from option-implied densities
Economics Letters | 2020-11-04 | Paper |
Least-squares collocation for higher-index linear differential-algebraic equations: Estimating the instability threshold
Mathematics of Computation | 2019-03-22 | Paper |
| Questions concerning differential-algebraic operators: Toward a reliable direct numerical treatment of differential-algebraic equations | 2019-03-21 | Paper |
No-arbitrage ROM simulation
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Stability Analysis of a Reduced Heat Exchanger Model
PAMM | 2018-07-26 | Paper |
Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness
European Journal of Operational Research | 2018-02-06 | Paper |
Comparing large-sample maximum Sharpe ratios and incremental variable testing
European Journal of Operational Research | 2017-11-23 | Paper |
| On a variable step size modification of Hines' method in computational neuroscience | 2017-02-20 | Paper |
Least-squares collocation for linear higher-index differential-algebraic equations
Journal of Computational and Applied Mathematics | 2017-02-09 | Paper |
No-arbitrage bounds for financial scenarios
European Journal of Operational Research | 2015-07-29 | Paper |
Scenario tree generation and multi-asset financial optimization problems
Operations Research Letters | 2014-05-15 | Paper |
No-arbitrage conditions, scenario trees, and multi-asset financial optimization
European Journal of Operational Research | 2010-06-11 | Paper |
| Analytical And Numerical Approximation of Effective Diffusivities in The Cytoplasm of Biological Cells | 2010-02-26 | Paper |
Life-cycle asset allocation and consumption using stochastic linear programming
The Journal of Computational Finance | 2010-02-08 | Paper |
A stochastic programming approach for multi-period portfolio optimization
Computational Management Science | 2009-08-04 | Paper |
The perturbation and ADAE index of a degenerated hyperbolic system
Results in Mathematics | 2009-06-17 | Paper |
On the numerical approximation of a degenerated hyperbolic system
Mathematics and Computers in Simulation | 2009-03-09 | Paper |
Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
Journal of Economic Dynamics and Control | 2008-11-06 | Paper |
| scientific article; zbMATH DE number 1909068 (Why is no real title available?) | 2003-05-12 | Paper |
Consistent initialization for nonlinear index-2 differential--algebraic equation: Large sparse systems in MATLAB
Numerical Algorithms | 2003-05-11 | Paper |
| scientific article; zbMATH DE number 1251886 (Why is no real title available?) | 1999-02-21 | Paper |
| scientific article; zbMATH DE number 1067591 (Why is no real title available?) | 1998-11-01 | Paper |
On Asymptotics in Case of Linear Index-2 Differential-Algebraic Equations
SIAM Journal on Numerical Analysis | 1998-09-21 | Paper |
Regularizations of Differential‐Algebraic Equations Revisited
Mathematische Nachrichten | 1996-01-17 | Paper |
Iterative Consistency: A Concept for the Solution of Singular Systems of Linear Equations
SIAM Journal on Matrix Analysis and Applications | 1995-05-02 | Paper |
| scientific article; zbMATH DE number 31749 (Why is no real title available?) | 1992-06-28 | Paper |
| scientific article; zbMATH DE number 31755 (Why is no real title available?) | 1992-06-28 | Paper |
On the Asymptotic Representation of a Regularization Approach to Nonlinear Semiexplicit Higher-Index Differential-Algebraic Equations
IMA Journal of Applied Mathematics | 1992-06-25 | Paper |
On the regularization of index 2 differential-algebraic equations
Journal of Mathematical Analysis and Applications | 1990-01-01 | Paper |
Linear differential-algebraic equations in spaces of integrable functions
Journal of Differential Equations | 1989-01-01 | Paper |
On a least-squares collocation method for linear differential-algebraic equations
Numerische Mathematik | 1988-01-01 | Paper |
On the regularization of a class of nontransferable differential- algebraic equations
Journal of Differential Equations | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4042364 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3913596 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3891731 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3866487 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3862352 (Why is no real title available?) | 1984-01-01 | Paper |
