| Publication | Date of Publication | Type |
|---|
| An online estimation scheme for a Hull–White model with HMM-driven parameters | 2024-04-30 | Paper |
| A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process | 2024-04-12 | Paper |
| A uniformisation-driven algorithm for inference-related estimation of a phase-type ageing model | 2023-06-20 | Paper |
| Modelling and filtering for dynamic investment in the precious-metals market | 2022-10-24 | Paper |
| Jumping hedges on the strength of the Mellin transform | 2022-05-31 | Paper |
| Valuing guaranteed minimum accumulation benefits by a change of numéraire approach | 2022-03-10 | Paper |
| The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model | 2022-01-19 | Paper |
| The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework | 2021-12-18 | Paper |
| Bond pricing formulas for Markov-modulated affine term structure models | 2021-11-23 | Paper |
| Risk measurement of a guaranteed annuity option under a stochastic modelling framework | 2021-02-19 | Paper |
| Online estimation for a predictive analytics platform with a financial-stability-analysis application | 2021-01-21 | Paper |
| AN EFFECTIVE BIAS-CORRECTED BAGGING METHOD FOR THE VALUATION OF LARGE VARIABLE ANNUITY PORTFOLIOS | 2020-12-13 | Paper |
| Management Mathematics: a retrospective | 2020-09-30 | Paper |
| Inference for a change‐point problem under an OU setting with unequal and unknown volatilities | 2020-04-28 | Paper |
| Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation | 2020-03-06 | Paper |
| Annuity contract valuation under dependent risks | 2020-02-28 | Paper |
| An interest rate model with a Markovian mean reverting level | 2019-01-14 | Paper |
| Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility | 2018-12-21 | Paper |
| Parameter Estimation in a Regime-Switching Model with Non-normal Noise | 2018-12-21 | Paper |
| Putting a price tag on temperature | 2018-11-07 | Paper |
| Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting | 2018-08-10 | Paper |
| An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks | 2018-02-15 | Paper |
| Inference for a mean-reverting stochastic process with multiple change points | 2017-06-08 | Paper |
| Determination of a structural break in a mean-reverting process | 2016-10-10 | Paper |
| A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach | 2016-06-10 | Paper |
| Pricing and risk management of interest rate swaps | 2016-03-15 | Paper |
| Pricing a guaranteed annuity option under correlated and regime-switching risk factors | 2016-01-15 | Paper |
| Mortality modelling with regime-switching for the valuation of a guaranteed annuity option | 2015-08-20 | Paper |
| An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions | 2015-04-23 | Paper |
| A comonotonicity-based valuation method for guaranteed annuity options | 2014-04-30 | Paper |
| A higher-order hidden Markov chain-modulated model for asset allocation | 2014-02-07 | Paper |
| An examination of HMM-based investment strategies for asset allocation | 2013-11-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4925758 | 2013-06-12 | Paper |
| A linear algebraic method for pricing temporary life annuities and insurance policies | 2012-02-10 | Paper |
| A self-tuning model for inflation rate dynamics | 2011-10-13 | Paper |
| A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework | 2011-06-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3068502 | 2011-01-15 | Paper |
| A partially linearized sigma point filter for latent state estimation in nonlinear time series models | 2010-02-12 | Paper |
| Valuation of contingent claims with mortality and interest rate risks | 2009-10-12 | Paper |
| A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE | 2009-02-26 | Paper |
| A new algorithm for latent state estimation in non-linear time series models | 2009-01-16 | Paper |
| A new moment matching algorithm for sampling from partially specified symmetric distributions | 2009-01-09 | Paper |
| Recovery of time-dependent parameters of a Black-Scholes-type equation: an inverse Stieltjes moment approach | 2008-02-20 | Paper |
| Adaptive signal processing of asset price dynamics with predictability analysis | 2008-01-11 | Paper |
| An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market | 2007-11-05 | Paper |
| A streamlined derivation of the Black-Scholes option pricing formula | 2007-09-04 | Paper |
| Valuation of cash flows under random rates of interest: a linear algebraic approach | 2007-07-19 | Paper |
| AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM | 2007-02-07 | Paper |
| An alternative approach to solving the Black-Scholes equation with time-varying parameters | 2006-05-11 | Paper |
| Explicit solutions to European options in a regime-switching economy | 2006-02-02 | Paper |
| A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL | 2005-10-19 | Paper |
| Analytic pricing solutions to term structure derivatives in a Markov chain market | 2005-03-21 | Paper |
| Three ways to solve for bond prices in the Vasiček model | 2005-01-31 | Paper |
| A time-varying Markov chain model of term structure. | 2003-05-07 | Paper |
