| Publication | Date of Publication | Type |
|---|
| A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment | 2024-02-13 | Paper |
| Equilibrium multi-agent model with heterogeneous views on fundamental risks | 2024-02-13 | Paper |
| Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus | 2023-07-25 | Paper |
| New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion | 2023-06-23 | Paper |
| Asymptotic expansion for forward-backward SDEs with jumps | 2022-07-05 | Paper |
| Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium | 2022-05-31 | Paper |
| A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver | 2022-05-05 | Paper |
| Equilibrium price formation with a major player and its mean field limit | 2022-03-29 | Paper |
| Sup-Inf/Inf-Sup Problem on Choice of a Probability Measure by Forward–Backward Stochastic Differential Equation Approach | 2022-02-24 | Paper |
| A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition | 2022-01-28 | Paper |
| A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver | 2021-01-24 | Paper |
| LESSON STUDY IN MATHEMATICS: CURRENT STATUS AND FURTHER DIRECTIONS | 2020-09-22 | Paper |
| Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models | 2020-03-12 | Paper |
| Term structure models during the global financial crisis: a parsimonious text mining approach | 2019-10-11 | Paper |
| Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs | 2019-10-11 | Paper |
| Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions | 2019-06-27 | Paper |
| Anticipated backward SDEs with jumps and quadratic-exponential growth drivers | 2019-06-25 | Paper |
| Stochastic differential game in high frequency market | 2019-04-24 | Paper |
| An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model | 2019-03-15 | Paper |
| Asymptotic Expansion Approach in Finance | 2018-12-11 | Paper |
| An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach | 2018-12-03 | Paper |
| On the effect of Bank of Japan's outright purchase on the JGB yield curve | 2018-12-03 | Paper |
| Optimal hedging for fund and insurance managers with partially observable investment flows | 2018-09-19 | Paper |
| A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance | 2018-02-16 | Paper |
| Derivatives pricing with market impact and limit order book | 2017-11-17 | Paper |
| An FBSDE approach to American option pricing with an interacting particle method | 2017-08-17 | Paper |
| Perturbative expansion technique for non-linear FBSDEs with interacting particle method | 2017-08-17 | Paper |
| An asymptotic expansion for local-stochastic volatility with jump models | 2017-04-11 | Paper |
| A weak approximation with asymptotic expansion and multidimensional Malliavin weights | 2016-06-09 | Paper |
| On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model | 2015-11-04 | Paper |
| An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets | 2015-09-09 | Paper |
| Making mean-variance hedging implementable in a partially observable market | 2015-04-23 | Paper |
| A semigroup expansion for pricing barrier options | 2014-10-20 | Paper |
| Derivative pricing under asymmetric and imperfect collateralization and CVA | 2014-02-20 | Paper |
| Pricing and hedging of long-term futures and forward contracts by a three-factor model | 2014-01-30 | Paper |
| Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication | 2014-01-23 | Paper |
| NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME | 2013-10-21 | Paper |
| An Asymptotic Expansion with Push-Down of Malliavin Weights | 2013-01-25 | Paper |
| Pricing discrete barrier options under stochastic volatility | 2013-01-07 | Paper |
| A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD | 2012-11-22 | Paper |
| ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME | 2012-10-15 | Paper |
| HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS | 2011-08-10 | Paper |
| A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS | 2011-01-20 | Paper |
| PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT | 2010-05-27 | Paper |
| A remark on a singular perturbation method for option pricing under a stochastic volatility model | 2009-12-11 | Paper |
| Term structure of interest rates under recursive preferences in continuous time | 2009-09-25 | Paper |
| A factor allocation approach to optimal bond portfolio | 2009-09-18 | Paper |
| Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS | 2009-09-09 | Paper |
| An asymptotic expansion approach to pricing financial contingent claims | 2009-02-06 | Paper |
| FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS | 2008-08-26 | Paper |
| An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates | 2008-02-18 | Paper |
| A new computational scheme for computing Greeks by the asymptotic expansion approach | 2006-11-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5486566 | 2006-09-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5482569 | 2006-08-28 | Paper |
| An asymptotic expansion scheme for optimal investment problems | 2005-01-17 | Paper |
| On validity of the asymptotic expansion approach in contingent claim analysis | 2004-03-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4548483 | 2002-08-26 | Paper |
| A Monte Carlo filtering approach for estimating the term structure of interest rates | 2002-04-11 | Paper |
| The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims | 2001-03-29 | Paper |
