| Publication | Date of Publication | Type |
|---|
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Scandinavian Actuarial Journal | 2025-12-03 | Paper |
Implicit incentives for fund managers with partial information
Computational Management Science | 2023-08-04 | Paper |
Some optimisation problems in insurance with a terminal distribution constraint
Scandinavian Actuarial Journal | 2023-07-12 | Paper |
A class of recursive optimal stopping problems with applications to stock trading
Mathematics of Operations Research | 2022-09-26 | Paper |
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Stochastic Processes and their Applications | 2022-07-27 | Paper |
Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Insurance Mathematics & Economics | 2022-07-15 | Paper |
Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds
Insurance Mathematics & Economics | 2021-11-19 | Paper |
The value of knowing the market price of risk
Annals of Operations Research | 2021-11-08 | Paper |
Optimal convergence trading with unobservable pricing errors
Annals of Operations Research | 2021-11-08 | Paper |
Indifference pricing of pure endowments via BSDEs under partial information
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Value adjustments and dynamic hedging of reinsurance counterparty risk
SIAM Journal on Financial Mathematics | 2020-09-28 | Paper |
Optimal liquidation under partial information with price impact
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Portfolio optimization for a large investor controlling market sentiment under partial information
SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
A class of recursive optimal stopping problems with applications to stock trading
(available as arXiv preprint) | 2019-05-07 | Paper |
Pairs trading under drift uncertainty and risk penalization
International Journal of Theoretical and Applied Finance | 2018-11-23 | Paper |
The value of information for optimal portfolio management
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-10-12 | Paper |
The Föllmer–Schweizer decomposition under incomplete information
Stochastics | 2018-09-04 | Paper |
Unit-linked life insurance policies: optimal hedging in partially observable market models
Insurance Mathematics & Economics | 2017-09-19 | Paper |
Local risk-minimization under restricted information on asset prices
Electronic Journal of Probability | 2015-11-27 | Paper |
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Insurance Mathematics & Economics | 2015-03-13 | Paper |
A benchmark approach to risk-minimization under partial information
Insurance Mathematics & Economics | 2014-09-22 | Paper |
The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
Applied Mathematics and Optimization | 2014-07-01 | Paper |
Nonlinear filtering for jump diffusion observations
Advances in Applied Probability | 2012-11-02 | Paper |
A filtering approach for statistical inference in a stochastic SIR model with an application to Covid-19 data
(available as arXiv preprint) | N/A | Paper |
