| 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 |
| 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 |
| 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 |
| Early exercise boundary and option prices in Lévy driven models | 2019-01-15 | Paper |
| Feller processes of normal inverse Gaussian type | 2019-01-14 | Paper |
| Pricing of perpetual Bermudan options | 2019-01-14 | Paper |
| Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method | 2018-09-19 | Paper |
| Pitfalls of the Fourier transform method in affine models, and remedies | 2018-09-19 | Paper |
| American options in the Heston model with stochastic interest rate and its generalizations | 2018-07-20 | Paper |
| Pricing arithmetic Asian options under Lévy models by backward induction in the dual space | 2018-04-16 | Paper |
| Efficient pricing of barrier options and credit default swaps in Lévy models with stochastic interest rate | 2017-10-24 | Paper |
| Ultra-fast pricing barrier options and CDSs | 2017-09-08 | Paper |
| Preemption games under Lévy uncertainty | 2015-05-19 | Paper |
| Pricing discrete barrier options and credit default swaps under Lévy processes | 2015-04-16 | Paper |
| Method of paired contours and pricing barrier options and CDSs of long maturities | 2014-09-25 | Paper |
| Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks | 2013-07-24 | Paper |
| Valuation of continuously monitored double barrier options and related securities | 2013-02-28 | Paper |
| Efficient pricing and reliable calibration in the Heston model | 2013-01-16 | Paper |
| Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps | 2012-03-06 | Paper |
| American options: the EPV pricing model | 2012-03-05 | Paper |
| Optimal stopping in Lévy models for nonmonotone discontinuous payoffs | 2012-02-11 | Paper |
| Prices of barrier and first-touch digital options in Lévy-driven models, near barrier | 2011-12-28 | Paper |
| Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier | 2011-02-10 | Paper |
| American options in regime-switching models | 2010-06-10 | Paper |
| Fast and accurate pricing of barrier options under Lévy processes | 2010-04-22 | Paper |
| American options in Lévy models with stochastic interest rates | 2010-02-08 | Paper |
| Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models | 2010-02-05 | Paper |
| American and European options in multi-factor jump-diffusion models, near expiry | 2009-08-08 | Paper |
| THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS | 2008-05-22 | Paper |
| Exit problems in regime-switching models | 2008-02-06 | Paper |
| Irreversible decisions under uncertainty. Optimal stopping made easy | 2007-10-08 | Paper |
| Beyond the classical Weyl and Colin de Verdière's formulas for Schrödinger operators with polynomial magnetic and electric fields | 2007-06-30 | Paper |
| ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS | 2007-06-20 | Paper |
| Optimal stopping made easy | 2007-05-04 | Paper |
| Beyond the classical Weyl and Colin de Verdière's formulas for Schrödinger operators with polynomial magnetic and electric fields | 2007-04-24 | Paper |
| PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES | 2006-09-12 | Paper |
| Consistency conditions for affine term structure models. | 2005-11-29 | Paper |
| PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS | 2005-09-28 | Paper |
| PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES | 2005-02-28 | 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 |
| On the structure of spectra of periodic elliptic operators | 2001-12-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741099 | 2001-11-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4524208 | 2001-07-22 | Paper |
| OPTION PRICING FOR TRUNCATED LÉVY PROCESSES | 2001-07-05 | Paper |
| The Floquet theory for the Schrödinger operator with a perturbed periodic potential and precise spectral asymptotics. | 2001-02-13 | Paper |
| Spectral asymptotics of Laplacians on horns: The case of a rapidly growing counting function | 1999-10-14 | Paper |
| Asymptotic formulae with remainder estimates for eigenvalue branches of the Schrödinger operator $H - \lambda W$ in a gap of $H$ | 1999-01-27 | 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 |
| https://portal.mardi4nfdi.de/entity/Q3838380 | 1998-08-09 | 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 |
| Spectral properties of Schrödinger operators with irregular magnetic potentials, for a \(\text{spin }\frac{1}{2}\) particle | 1998-03-03 | Paper |
| Magnetic Floquet theory and spectral asymptotics for Schrödinger operators | 1997-11-05 | Paper |
| Precise spectral asymptotics for perturbed magnetic Schrödinger operator | 1997-07-27 | Paper |
| The asymptotics for the number of eigenvalue branches for the magnetic Schrödinger operator \(H-\lambda W\) in a gap of \(H\) | 1997-07-03 | Paper |
| Spectral asymptotics with a remainder estimate for Schrödinger operators with slowly growing potentials | 1996-11-12 | Paper |
| Yangian construction of the Virasoro algebra | 1996-09-01 | Paper |
| Lower bounds for the number of eigenvalue branches for the schrödinger operator H - λ W In a Gap of H: The Case of Indefinite W | 1995-05-23 | Paper |
| On affine Yangians | 1995-01-31 | Paper |
| On generators and defining relations of Yangians | 1994-04-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4273988 | 1993-12-12 | Paper |
| The quantum Weyl group and the universal quantum \(R\)-matrix for affine Lie algebra \(A^{(1)}_ 1\) | 1993-12-05 | Paper |
| On PBW bases for Yangians | 1993-06-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4692963 | 1993-06-05 | Paper |
| On a class of elliptic operators with nonpolynomial degeneracy on a boundary | 1993-03-28 | Paper |
| AN ALGEBRA OF BOUNDARY VALUE PROBLEMS FOR A CLASS OF PSEUDODIFFERENTIAL OPERATORS OF VARIABLE ORDER | 1992-09-26 | Paper |
| Quantum group \(A_ \infty\) | 1992-06-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3979836 | 1992-06-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3977167 | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4713127 | 1992-06-25 | Paper |
| Twisted function algebras on a compact quantum group and their representations | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3356795 | 1991-01-01 | Paper |
| Quantum Weyl group and a multiplicative formula for the R-matrix of a simple Lie algebra | 1991-01-01 | Paper |
| Algebras of functions on compact quantum groups, Schubert cells and quantum tori | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3363398 | 1991-01-01 | Paper |
| Degenerate elliptic equations and boundary problems | 1990-01-01 | Paper |
| Some applications of the quantum Weyl groups | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5749444 | 1990-01-01 | Paper |
| ON TYPES OF DEGENERATE ELLIPTIC OPERATORS | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5758587 | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3488563 | 1989-01-01 | Paper |
| ON THE SYMBOLS OF DEGENERATE ELLIPTIC DIFFERENTIAL AND HYPOELLIPTIC PSEUDODIFFERENTIAL OPERATORS | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4730161 | 1988-01-01 | Paper |
| Asymptotics of the discrete spectrum of the Dirac operator with decreasing potential | 1988-01-01 | Paper |
| Non-classical spectral asymptotics | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3832973 | 1988-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3209693 | 1988-01-01 | Paper |
| ASYMPTOTICS OF THE SPECTRUM OF PROBLEMS WITH CONSTRAINTS | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3800456 | 1987-01-01 | Paper |
| Asymptotic behavior of the spectra of weakly elliptic systems of pseudodifferential operators | 1986-01-01 | Paper |
| The approximate spectral projection method | 1986-01-01 | Paper |
| THE METHOD OF APPROXIMATE SPECTRAL PROJECTION | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3779127 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3041643 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3752145 | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4724187 | 1985-01-01 | Paper |
| ASYMPTOTICS OF THE SPECTRUM OF LINEAR OPERATOR PENCILS | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3029479 | 1985-01-01 | Paper |
| Asymptotics of the spectra of degenerate elliptic systems in unbounded regions | 1985-01-01 | Paper |
| Asymptotic distribution of the eigenvalues of systems of Navier-Stokes type | 1984-01-01 | Paper |
| Asymptotic behavior of the spectrum of problems of the form \(Au=tBu\) for operators that are elliptic in the Douglis-Nirenberg sense | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3346691 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3041642 | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3041644 | 1984-01-01 | Paper |
| ASYMPTOTIC DISTRIBUTION OF EIGENVALUES | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3322522 | 1983-01-01 | Paper |
| Distribution of eigenvalues of systems of the form \(Au=tBu\) | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3333452 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3688835 | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4751096 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3924603 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3930133 | 1981-01-01 | Paper |
| BOUNDARY VALUE PROBLEMS IN A HALF-SPACE FOR QUASIELLIPTIC PSEUDODIFFERENTIAL OPERATORS DEGENERATING ON THE BOUNDARY | 1981-01-01 | Paper |
| General calculus of pseudodifferential operators and asymptotic properties of the spectrum | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3874613 | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3871375 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3872894 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4199233 | 1979-01-01 | Paper |
| Efficient inverse $Z$-transform and Wiener-Hopf factorization | N/A | Paper |
