| Publication | Date of Publication | Type |
|---|
Portfolio optimization under partial information with expert opinions: a dynamic programming approach
Communications on Stochastic Analysis | 2025-09-25 | Paper |
Convergence analysis of the deep splitting scheme: the case of partial integro-differential equations and the associated forward backward SDEs with jumps
SIAM Journal on Scientific Computing | 2025-02-21 | Paper |
Detecting rough volatility: a filtering approach
Quantitative Finance | 2025-02-10 | Paper |
Markov-modulated affine processes
Stochastic Processes and their Applications | 2022-10-07 | Paper |
| Convergence Analysis of the Deep Splitting Scheme: the Case of Partial Integro-Differential Equations and the associated FBSDEs with Jumps | 2022-06-03 | 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 |
| Deep Neural Network Algorithms for Parabolic PIDEs and Applications in Insurance Mathematics | 2021-09-23 | 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 |
Corporate security prices in structural credit risk models with incomplete information
Mathematical Finance | 2019-05-08 | Paper |
Corporate security prices in structural credit risk models with incomplete information
Mathematical Finance | 2019-05-08 | Paper |
EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
Statistics & Risk Modeling | 2018-01-11 | Paper |
| Quantitative risk management. Concepts, techniques and tools | 2015-06-04 | Paper |
Contagion effects and collateralized credit value adjustments for credit default swaps
International Journal of Theoretical and Applied Finance | 2015-01-21 | Paper |
Parameter Estimation in Credit Models Under Incomplete Information
Communications in Statistics: Theory and Methods | 2014-06-11 | Paper |
On Galerkin approximations for the Zakai equation with diffusive and point process observations
SIAM Journal on Numerical Analysis | 2013-10-24 | Paper |
Optimal securitization of credit portfolios via impulse control
Mathematics and Financial Economics | 2013-01-20 | Paper |
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Finance and Stochastics | 2012-11-15 | Paper |
Portfolio optimization under partial information with expert opinions
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Finance and Stochastics | 2011-11-27 | Paper |
| Nonlinear filtering in models for interest-rate and credit risk | 2011-07-13 | Paper |
Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
SIAM Journal on Control and Optimization | 2011-05-17 | Paper |
Pricing and hedging of portfolio credit derivatives with interacting default intensities
International Journal of Theoretical and Applied Finance | 2011-04-27 | Paper |
Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Journal of Economic Dynamics and Control | 2010-04-22 | Paper |
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
Mathematical Finance | 2009-08-28 | Paper |
Mathematics in financial risk management
Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV) | 2008-10-17 | Paper |
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
| Affine credit risk models under incomplete information | 2008-06-11 | Paper |
| Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions | 2007-08-11 | Paper |
| scientific article; zbMATH DE number 2231189 (Why is no real title available?) | 2005-11-21 | Paper |
| scientific article; zbMATH DE number 1795849 (Why is no real title available?) | 2003-01-15 | Paper |
Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
Mathematical Methods of Operations Research | 2002-11-24 | Paper |
A systematic approach to pricing and hedging international derivatives with interest rate risk: analysis of international derivatives under stochastic interest rates
Applied Mathematical Finance | 2002-09-04 | Paper |
| Stochastic processes in insurance and finance | 2002-02-03 | Paper |
Bounds on European option prices under stochastic volatility
Mathematical Finance | 2001-11-26 | Paper |
Risk minimization with incomplete information in a model for high-frequency data
Mathematical Finance | 2001-03-29 | Paper |
Market volatility and feedback effects from dynamic hedging
Mathematical Finance | 2001-03-29 | Paper |
Superreplication in stochastic volatility models and optimal stopping
Finance and Stochastics | 2000-11-01 | Paper |
| scientific article; zbMATH DE number 1234540 (Why is no real title available?) | 1999-01-03 | Paper |
The generalization of the Geske–formula for compound options to stochastic interest rates is not trivial–a note
Journal of Applied Probability | 1998-11-29 | Paper |
Perfect option hedging for a large trader
Finance and Stochastics | 1998-03-17 | 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 |
