| Publication | Date of Publication | Type |
|---|
Term structure modeling with overnight rates beyond stochastic continuity
Mathematical Finance | 2024-01-18 | Paper |
DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES
International Journal of Theoretical and Applied Finance | 2022-03-11 | Paper |
Ruin probabilities for a Sparre Andersen model with investments
Stochastic Processes and their Applications | 2022-01-17 | Paper |
Fourier based methods for the management of complex life insurance products
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Variable annuities in a Lévy-based hybrid model with surrender risk
Quantitative Finance | 2021-06-02 | Paper |
Infinite dimensional affine processes
Stochastic Processes and their Applications | 2021-02-18 | Paper |
| Machine learning for multiple yield curve markets: fast calibration in the Gaussian affine framework | 2020-04-16 | Paper |
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics | 2020-03-25 | Paper |
Term structure modelling for multiple curves with stochastic discontinuities
Finance and Stochastics | 2020-03-25 | Paper |
General dynamic term structures under default risk
Stochastic Processes and their Applications | 2018-10-31 | Paper |
A generalized intensity-based framework for single-name credit risk
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Dynamic defaultable term structure modeling beyond the intensity paradigm
Mathematical Finance | 2018-04-13 | Paper |
Shot-noise processes in finance
From Statistics to Mathematical Finance | 2018-03-29 | Paper |
No Arbitrage Theory for Bond Markets
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
Banach Center Publications | 2015-07-28 | Paper |
Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
On Galerkin approximations for the Zakai equation with diffusive and point process observations
SIAM Journal on Numerical Analysis | 2013-10-24 | Paper |
| When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms | 2013-09-30 | Paper |
Shot-noise driven multivariate default models
European Actuarial Journal | 2013-02-05 | Paper |
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Finance and Stochastics | 2012-11-15 | Paper |
Doubly stochastic CDO term structures
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
CDO term structure modelling with Lévy processes and the relation to market models
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
Pricing basket default swaps in a tractable shot noise model
Statistics & Probability Letters | 2011-07-26 | Paper |
Pricing and hedging of CDOs: a top down approach
Contemporary Quantitative Finance | 2011-05-31 | Paper |
Dynamic CDO term structure modeling
Mathematical Finance | 2011-02-02 | Paper |
Mathematical statistics.
Statistik und ihre Anwendungen | 2011-01-10 | Paper |
PRICING CORPORATE SECURITIES UNDER NOISY ASSET INFORMATION
Mathematical Finance | 2009-08-28 | Paper |
Some limit results on the Haar-Fisz transform for inhomogeneous Poisson signals
Zeitschrift für Analysis und ihre Anwendungen | 2008-11-27 | Paper |
Modelling Energy Markets with Extreme Spikes
Mathematical Control Theory and Finance | 2008-10-17 | Paper |
A SHOT NOISE MODEL FOR FINANCIAL ASSETS
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
A Structural Model with Unobserved Default Boundary
Applied Mathematical Finance | 2008-05-22 | Paper |
Shot-noise processes and the minimal martingale measure
Statistics & Probability Letters | 2007-08-23 | Paper |
Credit risk with infinite dimensional Lévy processes
Statistics & Decisions | 2007-08-10 | Paper |
AN INFINITE FACTOR MODEL FOR CREDIT RISK
International Journal of Theoretical and Applied Finance | 2006-04-06 | Paper |
| scientific article; zbMATH DE number 2096687 (Why is no real title available?) | 2004-09-06 | Paper |
