| Publication | Date of Publication | Type |
|---|
| Efficient evaluation of double-barrier options | 2024-11-06 | Paper |
| Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum | 2023-12-08 | Paper |
| Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions | 2023-12-06 | Paper |
| Efficient inverse $Z$-transform: sufficient conditions | 2023-05-18 | Paper |
| Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema | 2022-10-30 | Paper |
| Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum | 2022-09-25 | Paper |
| Efficient evaluation of expectations of functions of a L\'evy process and its extremum | 2022-07-06 | Paper |
| Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring | 2022-07-06 | Paper |
| L\'evy models amenable to efficient calculations | 2022-07-05 | Paper |
| SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS | 2022-03-11 | Paper |
| Inefficiency of sponsored research | 2021-09-01 | Paper |
| Conformal accelerations method and efficient evaluation of stable distributions | 2021-05-03 | Paper |
| Static and semistatic hedging as contrarian or conformist bets | 2021-03-23 | Paper |
| Super- and submodularity of stopping games with random observations | 2021-01-15 | Paper |
| Optimal stopping problems in Lévy models with random observations | 2019-11-07 | Paper |
| SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS | 2019-05-21 | Paper |
| Pricing of perpetual Bermudan options | 2019-01-14 | Paper |
| American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations | 2018-07-20 | Paper |
| EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE | 2017-10-24 | Paper |
| Preemption games under Lévy uncertainty | 2015-05-19 | Paper |
| Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks | 2013-07-24 | Paper |
| American options: the EPV pricing model | 2012-03-05 | Paper |
| Optimal Stopping in Lévy Models for Nonmonotone Discontinuous Payoffs | 2012-02-11 | Paper |
| DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS | 2011-12-28 | Paper |
| American Options in Regime-Switching Models | 2010-06-10 | Paper |
| American options in Lévy models with stochastic interest rates | 2010-02-08 | Paper |
| Exit problems in regime-switching models | 2008-02-06 | Paper |
| Irreversible decisions under uncertainty. Optimal stopping made easy | 2007-10-08 | Paper |
| Optimal stopping made easy | 2007-05-04 | Paper |
| Arrow's equivalency theorem in a model with neoclassical firms | 2004-11-05 | Paper |
| Barrier options and touch-and-out options under regular Lévy processes of exponential type | 2003-05-06 | Paper |
| Spectral asymptotics of the Neumann Laplacian on oscillating horns. | 2002-09-03 | Paper |
| Perpetual American Options Under Lévy Processes | 2002-06-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4331490 | 2002-05-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741099 | 2001-11-18 | Paper |
| OPTION PRICING FOR TRUNCATED LÉVY PROCESSES | 2001-07-05 | Paper |
| Spectral asymptotics of Laplacians on horns: The case of a rapidly growing counting function | 1999-10-14 | Paper |
| An asymptotic formula for the number of eigenvalue branches of a divergence form operator A+λB in a spectral gap of A | 1998-10-27 | Paper |
| Spectral asymptotics with a remainder estimate of the Neumann Laplacian on horns: the case of the rapidly growing counting function | 1998-05-04 | Paper |
| Precise spectral asymptotics for perturbed magnetic Schrödinger operator | 1997-07-27 | Paper |
| On affine Yangians | 1995-01-31 | Paper |
| Method of averaging in the problems of stability of elastic plates possessing fine periodic structure | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3922277 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3953292 | 1980-01-01 | Paper |
| Efficient inverse $Z$-transform and Wiener-Hopf factorization | N/A | Paper |
