| Publication | Date of Publication | Type |
|---|
The second-order Esscher martingale densities for continuous-time market models
Frontiers of Mathematical Finance | 2025-11-10 | Paper |
Representation for martingales living after a random time with applications
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
| Optimal stopping problem under random horizon: Mathematical structures and linear RBSDEs | 2023-01-24 | Paper |
Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
Theory of Probability & Its Applications | 2022-08-22 | Paper |
Explicit description of all deflators for market models under random horizon with applications to NFLVR
Stochastic Processes and their Applications | 2022-07-27 | Paper |
Log-optimal and numéraire portfolios for market models stopped at a random time
Finance and Stochastics | 2022-07-05 | Paper |
| Reflected backward stochastic differential equations under stopping with an arbitrary random time | 2021-07-25 | Paper |
Thin times and random times' decomposition
Electronic Journal of Probability | 2021-07-21 | Paper |
A martingale representation theorem and valuation of defaultable securities
Mathematical Finance | 2021-03-23 | Paper |
Structure Conditions under Progressively Added Information
Theory of Probability & Its Applications | 2020-11-05 | Paper |
No-arbitrage under additional information for thin semimartingale models
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Three essays on exponential hedging with variable exit times
Inspired by Finance | 2018-12-13 | Paper |
No-arbitrage under a class of honest times
Finance and Stochastics | 2018-01-16 | Paper |
No-arbitrage under a class of honest times
Finance and Stochastics | 2018-01-16 | Paper |
No-arbitrage up to random horizon for quasi-left-continuous models
Finance and Stochastics | 2017-10-23 | Paper |
Structure condition under initial enlargement of filtration
Science China. Mathematics | 2017-06-29 | Paper |
No-arbitrage for informational discrete time market models
Stochastics | 2017-04-11 | Paper |
Explicit description of HARA forward utilities and their optimal portfolios
Theory of Probability & Its Applications | 2017-03-09 | Paper |
Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
Stochastics | 2016-05-04 | Paper |
On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
Lecture Notes in Mathematics | 2016-04-13 | Paper |
How non-arbitrage, viability and numéraire portfolio are related
Finance and Stochastics | 2015-11-09 | Paper |
Arbitrages in a progressive enlargement setting
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Excess-of-loss reinsurance under taxes and fixed costs
Risk and Decision Analysis | 2011-08-16 | Paper |
The Föllmer-Schweizer decomposition: comparison and description
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Minimal Hellinger martingale measures of order \(q\)
Finance and Stochastics | 2009-02-28 | Paper |
CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
Mathematical Finance | 2006-06-12 | Paper |
MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
Mathematical Finance | 2006-06-12 | Paper |
MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
Mathematical Finance | 2005-09-28 | Paper |
The role of Hellinger processes in mathematical finance
Entropy | 2002-09-10 | Paper |
\(\mathcal E\)-martingales and their applications in mathematical finance
The Annals of Probability | 2000-06-05 | Paper |
On Fefferman and Burkholder-Davis-Gundy inequalities for \({\mathcal E}\)-martingales
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1999-10-05 | Paper |
| scientific article; zbMATH DE number 1210396 (Why is no real title available?) | 1999-05-18 | Paper |
| scientific article; zbMATH DE number 1210396 (Why is no real title available?) | 1999-05-18 | Paper |
| scientific article; zbMATH DE number 926726 (Why is no real title available?) | 1997-11-06 | Paper |
| scientific article; zbMATH DE number 926726 (Why is no real title available?) | 1997-11-06 | Paper |
New Stochastic Fubini Theorems
(available as arXiv preprint) | N/A | Paper |
