| Publication | Date of Publication | Type |
|---|
| Optimal portfolios with sustainable assets: aspects for life insurers | 2023-07-13 | Paper |
| Managing reputational risk in the decumulation phase of a pension fund | 2023-02-22 | Paper |
| Optimal dynamic reinsurance with worst-case default of the reinsurer | 2023-01-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5053248 | 2022-12-06 | Paper |
| A worst-case approach for interest rate stresses and stock crashes | 2022-07-27 | Paper |
| POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS | 2022-04-04 | Paper |
| Optimal portfolios in the presence of stress scenarios a worst-case approach | 2022-04-01 | Paper |
| OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY | 2022-03-29 | Paper |
| Can outstanding dividend payments be estimated by American options? | 2022-02-08 | Paper |
| Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products | 2022-01-14 | Paper |
| A machine learning-based price state prediction model for agricultural commodities using external factors | 2022-01-06 | Paper |
| Correction to: ``Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products | 2021-12-17 | Paper |
| Optimal inflow control penalizing undersupply in transport systems with uncertain demands | 2021-09-14 | Paper |
| Modeling the intraday electricity demand in Germany | 2021-09-03 | Paper |
| Money and Mathematics | 2021-08-25 | Paper |
| Transforming public pensions: a mixed scheme with a credit granted by the state | 2021-03-17 | Paper |
| A guide to Monte Carlo simulation concepts for assessment of risk-return profiles for regulatory purposes | 2021-01-20 | Paper |
| Quant GANs: deep generation of financial time series | 2020-12-07 | Paper |
| Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price | 2020-11-08 | Paper |
| Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products | 2020-11-04 | Paper |
| Portfolio optimization with early announced discrete dividends | 2020-02-10 | Paper |
| Optimal control of electricity input given an uncertain demand | 2019-12-30 | Paper |
| Worst-case portfolio optimization in discrete time | 2019-11-27 | Paper |
| MULTI-ASSET WORST-CASE OPTIMAL PORTFOLIOS | 2019-06-24 | Paper |
| Dynamic hybrid products with guarantees -- an optimal portfolio framework | 2019-01-15 | Paper |
| Constant proportion portfolio insurance in defined contribution pension plan management | 2018-11-12 | Paper |
| A New Variance Reduction Technique for Estimating Value-at-Risk | 2018-09-18 | Paper |
| Stochastic impulse control with regime-switching dynamics | 2018-05-29 | Paper |
| Pricing barrier options in the Heston model using the Heath-Platen estimator | 2018-04-25 | Paper |
| Modern financial mathematics -- theory and practical applications. Vol. 2. Extensions of the Black-Scholes model, interests, credit risk and statistics | 2018-04-11 | Paper |
| Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading | 2018-03-02 | Paper |
| Applications of the central limit theorem for pricing cliquet-style options | 2018-01-12 | Paper |
| Robust worst-case optimal investment | 2015-08-03 | Paper |
| Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees | 2015-07-29 | Paper |
| LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS | 2015-04-15 | Paper |
| Modern financial mathematics -- theory and practical applications. Vol. 1: Option evaluation and portfolio optimization | 2014-02-06 | Paper |
| Continuous-time mean-variance portfolios: a comparison | 2013-12-19 | Paper |
| A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES | 2013-11-15 | Paper |
| OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK | 2013-10-11 | Paper |
| Worst-case-optimal dynamic reinsurance for large claims | 2013-08-05 | Paper |
| GARCH-extended models: theoretical properties and applications | 2013-07-25 | Paper |
| Efficient basket Monte Carlo option pricing via a simple analytical approximation | 2013-02-21 | Paper |
| The optimal-drift model: an accelerated binomial scheme | 2013-02-07 | Paper |
| Continuous-time mean-variance portfolio optimization in a jump-diffusion market | 2011-05-25 | Paper |
| Binomial Trees in Option Pricing—History, Practical Applications and Recent Developments | 2010-12-08 | Paper |
| Financial Mathematics: Between Stochastic Differential Equations and Financial Crisis (Panel Discussion Contribution) | 2010-12-08 | Paper |
| Monte Carlo Methods and Models in Finance and Insurance | 2010-03-22 | Paper |
| Theoretical solution versus industry standard: Optimal leverage function for CPDOs | 2010-01-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656696 | 2010-01-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656697 | 2010-01-13 | Paper |
| The decoupling approach to binomial pricing of multi-asset options | 2009-11-10 | Paper |
| Optimal portfolios: new variations of an old theme | 2009-10-23 | Paper |
| Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis | 2009-06-25 | Paper |
| Solving optimal investment problems with structured products under CVaR constraints | 2009-05-12 | Paper |
| On Worst-Case Portfolio Optimization | 2008-12-05 | Paper |
| Fascination financial mathematics: problems, methods and principles | 2008-07-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3515760 | 2008-07-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3514307 | 2008-07-21 | Paper |
| A GENERAL FRAMEWORK FOR HIGH YIELD BOND INVESTMENT | 2008-05-20 | Paper |
| Optimal management and inflation protection for defined contribution pension plans | 2008-01-11 | Paper |
| Worst-case scenario portfolio optimization: a new stochastic control approach | 2006-02-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5718847 | 2006-01-16 | Paper |
| Optimal portfolios with a positive lower bound on final wealth | 2005-12-09 | Paper |
| OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH | 2005-10-19 | Paper |
| Worst-case scenario investment for insurers | 2005-08-01 | Paper |
| OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH | 2005-06-22 | Paper |
| ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET | 2005-05-09 | Paper |
| THE SWING OPTION ON THE STOCK MARKET | 2005-05-06 | Paper |
| Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach. | 2005-01-11 | Paper |
| The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process | 2004-01-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4406640 | 2003-06-25 | Paper |
| Some applications of L2-hedging with a non-negative wealth process | 2002-09-04 | Paper |
| A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates | 2002-06-23 | Paper |
| A General Framework for Hedging and Speculating with Options | 2001-11-27 | Paper |
| Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4522707 | 2001-01-04 | Paper |
| Optimal Portfolios with Bounded Capital at Risk | 2001-01-01 | Paper |
| On value preserving and growth optimal portfolios | 2000-05-17 | Paper |
| Some applications of impulse control in mathematical finance | 2000-05-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4269338 | 1999-10-31 | Paper |
| Value preserving portfolio strategies and the minimal martingale measure | 1999-10-05 | Paper |
| Optimal control of option portfolios and applications | 1999-06-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4237078 | 1999-03-29 | Paper |
| Optimal Index Tracking Under Transaction Costs and Impulse Control | 1998-12-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4211565 | 1998-09-20 | Paper |
| Portfolio optimisation with strictly positive transaction costs and impulse control | 1998-08-19 | Paper |
| Pricing of european options when the underlying stock price follows a linear birth-death process | 1998-06-11 | Paper |
| Optimal Impulse Control When Control Actions Have Random Consequences | 1997-10-28 | Paper |
| Value preserving portfolio strategies in continuous-time models | 1997-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4860333 | 1996-01-15 | Paper |
| Contingent claim valuation in a market with different interest rates | 1996-01-07 | Paper |
| Continuous-time portfolio optimization under terminal wealth constraints | 1995-10-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839506 | 1995-07-17 | Paper |
