Preprints
- Equilibrium pricing in incomplete markets under translation invariant preferences
(with Ulrich Horst,
Michael Kupper,
Traian Pirvu)
SSRN Preprint
Publications
- BSΔEs and BSDEs with non-Lipschitz drivers:
comparison, convergence and robustness
(with Mitja Stadje)
pdf-file
forthcoming in Bernoulli
- Existence, minimality and approximation of solutions to BSDEs with convex drivers
(with Mitja Stadje)
pdf-file
Stochastic
Processes and their Applications, 122, 2012.
- Pricing and hedging in affine models with possibility of default
(with Alexander Wugalter)
pdf-file
SIAM Journal on Financial Mathematics 3(1), 2012.
- Processes of class Sigma, last passage times and drawdowns
(with Ashkan Nikeghbali
and Eckhard Platen)
pdf-file
SIAM Journal on Financial Mathematics 3(1), 2012.
- Ordered contribution allocations: theoretical properties and applications
(with Eduard Kromer)
pdf-file
The Journal of Risk 14(1), 2011.
- Optimal consumption and investment in incomplete markets
with general constraints
(with Ying Hu)
arXiv Preprint 1010.0080
Stochastics and Dynamics
11(2), 2011, p. 283-299.
- Composition of time-consistent dynamic
monetary risk measures in discrete time (with Michael Kupper)
pdf-file
International
Journal of Theoretical and Applied Finance 14(1), 2011, p. 137-162.
- A note on the Dai--Singleton canonical representation of
affine term structure models (with Damir
Filipovic and Bob Kimmel)
pdf-file
Mathematical Finance
20(3), 2010, p. 509-519.
- Recursiveness of indifference prices and translation-invariant preferences (with Michael Kupper)
pdf-file
Mathematics and Financial Economics, 2(3), 2009, p. 173-188.
- Time-inconsistency of VaR and time-consistent alternatives
(with Mitja Stadje)
pdf-file
Finance
Research Letters, 6(1), 2009, p. 40-46.
- Dual characterization of properties of risk measures on Orlicz hearts
(with Tianhui Li)
pdf-file
Mathematics and Financial Economics 2(1), 2008, p. 29-55.
- Risk measures on Orlicz hearts (with Tianhui Li)
pdf-file
(more general version of an earlier paper called
Monetary risk measures on maximal subspaces of Orlicz classes)
Mathematical Finance
19(2), 2009, p. 189-214.
- Second order backward stochastic differential
equations and fully non-linear parabolic PDEs (with H. Mete Soner,
Nizar
Touzi and Nicolas
Victoir)
pdf-file
Communications
on Pure and Applied Mathematics 60(7), 2007, p. 1081-1110.
- Market price of risk specifications for affine
models: theory and evidence (with Damir
Filipovic
and Bob Kimmel)
pdf-file
Journal
of Financial Economics 83(1), 2007, p. 123-170.
- Dynamic monetary risk measures for bounded
discrete-time processes (with Freddy Delbaen
and Michael Kupper)
pdf-file
Electronic Journal
of Probability, 11, 2006, p. 57-106.
- Coherent and convex monetary risk measures for
unbounded càdlàg processes (with Freddy Delbaen
and Michael Kupper)
pdf-file
Finance
and Stochastics, 10(3), 2006, p. 427-448.
- Utility maximization under increasing risk aversion
in one-period models (with Christopher Summer) pdf-file
Finance
and Stochastics, 10(1), 2006, p. 147-158.
- Equivalent and absolutely continuous measure changes
for jump-diffusion processes (with Damir Filipovic and Marc
Yor)
pdf-file
Annals
of Applied Probability, 15(3), 2005, p. 1713-1732.
- The multi-dimensional super-replication problem under
gamma constraints (with H. Mete Soner and Nizar
Touzi) pdf-file
Annales
de l'Institute Henri Poincaré (C) Non Linear Analysis,
22(5), 2005, p. 633-666.
- Small time path behavior of double stochastic
integrals and applications to stochastic control (with H. Mete Soner and Nizar
Touzi) pdf-file
Annals
of Applied Probability, 15(4), 2005, p. 2472--2495.
- Stochastic integral of divergence type with respect
to fractional Brownian motion with Hurst parameter H in
(0,1/2) (with David Nualart) pdf-file
Annales
de l'Institute Henri Poincaré (B) Probability and
Statistics, 41(6), 2005, p. 1049-1081.
- Coherent and convex monetary risk measures for bounded
càdlàg processes (with Freddy Delbaen and Michael Kupper) pdf-file
Stochastic
Processes and their Applications, 112(1), 2004, p. 1-22.
- Gaussian moving averages, semimartingales and option
pricing pdf-file
Stochastic
Processes and their Applications, 109(1), 2003, p. 47-68.
- Fractional Ornstein-Uhlenbeck processes
(with Hideyuki Kawaguchi and Makoto
Maejima) pdf-file
Electronic Journal
of Probability, 8(3), 2003, p. 1-14.
- Arbitrage in fractional Brownian motion
models pdf-file
Finance
and Stochastics, 7(4), 2003, p. 533-553.
- Representations of Gaussian measures that are
equivalent to Wiener measure pdf-file
Séminaire de Probabilités , Vol. XXXVII, 2003,
p. 81-89. Springer
Lecture Notes in Mathematics, Vol. 1832.
- Sensitivity of the Black-Scholes option price to the
local path behavior of the stochastic process modeling the
underlying asset pdf-file
Proceedings of the Steklov Institute of Mathematics, Vol. 237,
2002, p. 225-239.
- Mixed fractional Brownian motion pdf-file
Bernoulli, 7(6), 2001,
p. 913-934.
- Regularizing fractional Brownian motion with a view
towards stock price modelling pdf-file
Diss. ETH No. 14051, 2001.
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