| Publication | Date of Publication | Type |
|---|
Pricing of geometric Asian options in the Volterra-Heston model
Review of Derivatives Research | 2026-01-14 | Paper |
Exact simulation of the first-passage time of diffusions to time-dependent thresholds
SIAM Journal on Scientific Computing | 2025-11-13 | Paper |
American option pricing using generalised stochastic hybrid systems
Journal of Stochastic Analysis | 2025-10-15 | Paper |
Erratum to integral representation of generalized grey Brownian motion
Stochastics | 2025-09-25 | Paper |
Scalarized utility-based multi-asset risk measures
Scandinavian Actuarial Journal | 2025-04-11 | Paper |
Book review of: S. Calogero, A first course in options pricing theory
SIAM Review | 2024-11-12 | Paper |
Equilibrium investment with random risk aversion
Mathematical Finance | 2024-01-31 | Paper |
| Worst-Case Optimal Investment in Incomplete Markets | 2023-11-16 | Paper |
Utility Maximization in Multivariate Volterra Models
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Dynamic surplus optimization with performance- and index-linked liabilities
European Actuarial Journal | 2023-01-09 | Paper |
On the valuation of discrete Asian options in high volatility environments
Applied Mathematical Finance | 2022-10-18 | Paper |
Integral representation of generalized grey Brownian motion
Stochastics | 2022-07-05 | Paper |
A mean-field extension of the LIBOR market model
International Journal of Theoretical and Applied Finance | 2022-03-29 | Paper |
Can outstanding dividend payments be estimated by American options?
Quantitative Finance | 2022-02-08 | Paper |
Utility maximization in multivariate Volterra models
(available as arXiv preprint) | 2021-11-03 | Paper |
Change of drift in one-dimensional diffusions
Finance and Stochastics | 2021-04-29 | Paper |
Portfolio Optimization in Fractional and Rough Heston Models
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
Portfolio optimization with early announced discrete dividends
Operations Research Letters | 2020-02-10 | Paper |
Severity modeling of extreme insurance claims for tariffication
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Estimating discrete dividends by no-arbitrage
Quantitative Finance | 2018-11-19 | Paper |
Generalized Pareto processes and fund liquidity risk
Quantitative Finance | 2018-11-14 | Paper |
Optimal asset allocation with fixed-term securities
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Modern financial mathematics -- theory and practical applications. Vol. 2. Extensions of the Black-Scholes model, interests, credit risk and statistics
Studienbücher Wirtschaftsmathematik | 2018-04-11 | Paper |
Robust worst-case optimal investment
OR Spectrum | 2015-08-03 | Paper |
Lifetime consumption and investment for worst-case crash scenarios
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
Optimal investment for executive stockholders with exponential utility
Decisions in Economics and Finance | 2013-02-25 | Paper |
Work effort, consumption, and portfolio selection: When the occupational choice matters
Mathematical Methods of Operations Research | 2011-09-20 | Paper |
Own-company stockholding and work effort preferences of an unconstrained executive
Mathematical Methods of Operations Research | 2010-12-03 | Paper |
Pricing of geometric Asian options in the Volterra-Heston model
(available as arXiv preprint) | N/A | Paper |
