| Publication | Date of Publication | Type |
|---|
| Markov-modulated affine processes | 2022-10-07 | Paper |
| Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps | 2022-06-03 | Paper |
| Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds | 2021-11-19 | Paper |
| Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics | 2021-09-23 | Paper |
| Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk | 2020-09-28 | Paper |
| Optimal liquidation under partial information with price impact | 2020-04-07 | Paper |
| Corporate security prices in structural credit risk models with incomplete information | 2019-05-08 | Paper |
| EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies | 2018-01-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5253267 | 2015-06-04 | Paper |
| CONTAGION EFFECTS AND COLLATERALIZED CREDIT VALUE ADJUSTMENTS FOR CREDIT DEFAULT SWAPS | 2015-01-21 | Paper |
| Parameter Estimation in Credit Models Under Incomplete Information | 2014-06-11 | Paper |
| On Galerkin approximations for the Zakai equation with diffusive and point process observations | 2013-10-24 | Paper |
| Optimal securitization of credit portfolios via impulse control | 2013-01-20 | Paper |
| Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering | 2012-11-15 | Paper |
| PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS | 2012-04-24 | Paper |
| Pricing credit derivatives under incomplete information: a nonlinear-filtering approach | 2011-11-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3015768 | 2011-07-13 | Paper |
| Nonlinear Black–Scholes Equations in Finance: Associated Control Problems and Properties of Solutions | 2011-05-17 | Paper |
| PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES | 2011-04-27 | Paper |
| Dynamic hedging of synthetic CDO tranches with spread risk and default contagion | 2010-04-22 | Paper |
| PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION | 2009-08-28 | Paper |
| Mathematics in financial risk management | 2008-10-17 | Paper |
| A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA | 2008-09-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3504637 | 2008-06-11 | Paper |
| Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions | 2007-08-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5706744 | 2005-11-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4550916 | 2003-01-15 | Paper |
| Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times | 2002-11-24 | Paper |
| A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates | 2002-09-04 | Paper |
| Stochastic processes in insurance and finance | 2002-02-03 | Paper |
| Bounds on European option prices under stochastic volatility | 2001-11-26 | Paper |
| Risk minimization with incomplete information in a model for high-frequency data | 2001-03-29 | Paper |
| Market volatility and feedback effects from dynamic hedging | 2001-03-29 | Paper |
| Superreplication in stochastic volatility models and optimal stopping | 2000-11-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4221325 | 1999-01-03 | Paper |
| The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note | 1998-11-29 | Paper |
| Perfect option hedging for a large trader | 1998-03-17 | Paper |
| A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data | N/A | Paper |
