| Publication | Date of Publication | Type |
|---|
| Multivariate fractional Brownian motion and generalizations of SABR model | 2024-09-06 | Paper |
Stochastic Partial Differential Equations and Portfolio Choice
Contemporary Quantitative Finance | 2011-05-31 | Paper |
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Portfolio choice under space-time monotone performance criteria
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Optimal Asset Allocation under Forward Exponential Performance Criteria
Institute of Mathematical Statistics Collections | 2009-05-22 | Paper |
Portfolio choice under dynamic investment performance criteria
Quantitative Finance | 2009-04-20 | Paper |
| scientific article; zbMATH DE number 5529012 (Why is no real title available?) | 2009-03-16 | Paper |
| scientific article; zbMATH DE number 5499205 (Why is no real title available?) | 2009-01-28 | Paper |
Correlations and bounds for stochastic volatility models
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2007-04-19 | Paper |
Correlations and bounds for stochastic volatility models
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2007-04-19 | Paper |
Convexity of solutions of parabolic equations
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-08-14 | Paper |
| Some properties of diffusion processes with singular coefficients | 2006-06-19 | Paper |
A valuation algorithm for indifference prices in incomplete markets
Finance and Stochastics | 2005-05-20 | Paper |
| scientific article; zbMATH DE number 2133121 (Why is no real title available?) | 2005-02-09 | Paper |
Martingale methods in financial modelling.
Stochastic Modelling and Applied Probability | 2005-01-11 | Paper |
An example of indifference prices under exponential preferences
Finance and Stochastics | 2004-11-24 | Paper |
| Infinite dimensional diffusions, Kolmogorov equations and interest rate models | 2003-02-06 | Paper |
| scientific article; zbMATH DE number 1222801 (Why is no real title available?) | 1999-05-25 | Paper |
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
Mathematical Finance | 1998-01-21 | Paper |
Continuous-time term structure models: Forward measure approach
Finance and Stochastics | 1997-12-11 | Paper |
| scientific article; zbMATH DE number 1055921 (Why is no real title available?) | 1997-09-02 | Paper |
The Market Model of Interest Rate Dynamics
Mathematical Finance | 1997-01-01 | Paper |
General framework for pricing derivative securities
Stochastic Processes and their Applications | 1995-03-20 | Paper |
A generalization of the Kalman filter to models with infinite variance
Stochastic Processes and their Applications | 1994-07-14 | Paper |
On the existence and characterization of arbitrage–free measure in contingent claim valuation
Stochastic Analysis and Applications | 1994-04-06 | Paper |
Laws of large numbers for semimartingales with applications to stochastic regression
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4113782 (Why is no real title available?) | 1989-01-01 | Paper |
Order of convergence of regression parameter estimates in models with infinite variance
Journal of Multivariate Analysis | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4046791 (Why is no real title available?) | 1988-01-01 | Paper |
A strong law of large numbers for vector Gaussian martingales and a statistical application in linear regression
Statistics & Probability Letters | 1987-01-01 | Paper |
Strong consistency of least squares estimates in linear regression models driven by semimartingales
Journal of Multivariate Analysis | 1987-01-01 | Paper |
On Kac functionals of one-dimensional diffusions
Stochastic Processes and their Applications | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3980139 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3938373 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3883354 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3967672 (Why is no real title available?) | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 4078573 (Why is no real title available?) | 1985-01-01 | Paper |
Divergence, convergence and moments of some integral functionals of diffusions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3901748 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3892414 (Why is no real title available?) | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3883343 (Why is no real title available?) | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3772802 (Why is no real title available?) | 1982-01-01 | Paper |
| scientific article; zbMATH DE number 3720098 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3806779 (Why is no real title available?) | 1981-01-01 | Paper |
| scientific article; zbMATH DE number 3727454 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3727455 (Why is no real title available?) | 1980-01-01 | Paper |
| scientific article; zbMATH DE number 3684745 (Why is no real title available?) | 1979-01-01 | Paper |
| scientific article; zbMATH DE number 3546654 (Why is no real title available?) | 1977-01-01 | Paper |
Sequential estimation of parameters of a staochastic differential equation
Series Statistics | 1977-01-01 | Paper |
