| Publication | Date of Publication | Type |
|---|
Portfolio selection and risk sharing via risk budgeting
Insurance Mathematics & Economics | 2025-11-25 | Paper |
The stock implied volatility and the implied dividend volatility
Journal of Economic Dynamics and Control | 2022-03-15 | Paper |
On non-negative equity guarantee calculations with macroeconomic variables related to house prices
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Dividend derivatives
Quantitative Finance | 2021-09-03 | Paper |
Dividend derivatives
Quantitative Finance | 2018-11-14 | Paper |
Extracting market information from equity options with exponential Lévy processes
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
| Entropy concepts applied to option pricing | 2018-10-05 | Paper |
Multiperiod conditional valuation of barrier options with incomplete information
Quantitative Finance | 2018-09-19 | Paper |
An improved least squares Monte Carlo valuation method based on heteroscedasticity
European Journal of Operational Research | 2018-02-06 | Paper |
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
Insurance Mathematics & Economics | 2017-01-31 | Paper |
Pricing and hedging basket options with exact moment matching
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Pricing and hedging basket options with exact moment matching
Insurance Mathematics & Economics | 2016-11-21 | Paper |
An improved method for pricing and hedging long dated American options
European Journal of Operational Research | 2016-10-07 | Paper |
A new method for generating approximation algorithms for financial mathematics applications
Quantitative Finance | 2014-01-30 | Paper |
Constructing discrete approximations algorithms for financial calculus from weak convergence results
Progress in Analysis and Its Applications | 2013-05-14 | Paper |
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
Discrete Algorithms for Multivariate Financial Calculus
Stochastic Analysis 2010 | 2011-07-13 | Paper |
Estimating risk-neutral density with parametric models in interest rate markets
Quantitative Finance | 2009-10-12 | Paper |
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
| Tests for discrimination between two generalized Rayleigh distributions | 2008-04-23 | Paper |
| Tests for discrimination between two alpha distributions | 2008-04-23 | Paper |
Portfolio selection under VaR constraints
Computational Management Science | 2008-03-14 | Paper |
| Estimation functions by confidence regions for inverse Gaussian distribution | 2007-10-08 | Paper |
| Estimation functions and uniformly most powerful tests for inverse Gaussian distribution. | 2006-09-13 | Paper |
| Estimation functions and uniformly most powerful tests for inverse Gaussian distribution. | 2006-09-13 | Paper |
On risk management problems related to a coherence property
Quantitative Finance | 2006-06-16 | Paper |
| scientific article; zbMATH DE number 2217773 (Why is no real title available?) | 2005-10-26 | Paper |
| scientific article; zbMATH DE number 2134122 (Why is no real title available?) | 2005-02-15 | Paper |
| scientific article; zbMATH DE number 2133337 (Why is no real title available?) | 2005-02-11 | Paper |
| scientific article; zbMATH DE number 2098757 (Why is no real title available?) | 2004-09-07 | Paper |
An exploratory statistical analysis of financial measures
IMA Journal of Mathematics Applied in Business and Industry | 2004-03-21 | Paper |
| scientific article; zbMATH DE number 1958527 (Why is no real title available?) | 2003-08-03 | Paper |
| scientific article; zbMATH DE number 1958567 (Why is no real title available?) | 2003-08-03 | Paper |
| scientific article; zbMATH DE number 1923154 (Why is no real title available?) | 2003-06-03 | Paper |
An extension of invertibility of Hammerstein-type operators
Czechoslovak Mathematical Journal | 2000-11-13 | Paper |
Graphical association models for road accident characteristics.
IMA Journal of Mathematics Applied in Business and Industry | 2000-01-01 | Paper |
| scientific article; zbMATH DE number 1309091 (Why is no real title available?) | 1999-06-28 | Paper |
| scientific article; zbMATH DE number 889635 (Why is no real title available?) | 1996-11-04 | Paper |
