UB Paderborn / Katalog / Suche / in CDI

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Finance and stochastics, 2020-10, Vol.24 (4), p.981-1011

2020

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

1, 2011

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Accelerated Share Repurchases Under Stochastic Volatility

Applied mathematical finance., 2022-09, Vol.29 (5), p.331-365

2022

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American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Quantitative finance, 2016-01, Vol.16 (1), p.17-30

2016

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Fracking, Renewables, and Mean Field Games

SIAM review, 2017-09, Vol.59 (3), p.588-615

2017

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A model for hedging load and price risk in the Texas electricity market

Energy economics, 2013-11, Vol.40, p.976-988

2013

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ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

Mathematical finance, 2009-01, Vol.19 (1), p.99-128

2009

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FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

Mathematical finance, 2015-04, Vol.25 (2), p.400-425

2015

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Implied Volatility of Leveraged ETF Options

Applied mathematical finance., 2015-03, Vol.22 (2), p.162-188

2015

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Bertrand and Cournot Mean Field Games

Applied mathematics & optimization, 2015-06, Vol.71 (3), p.533-569

2015

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Master equation for Cournot mean field games of control with absorption

Journal of Differential Equations, 2023-01, Vol.343, p.816-909

2023

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Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

SIAM journal on control and optimization, 2019-01, Vol.57 (1), p.437-467

2019

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A regime-switching Heston model for VIX and S&P 500 implied volatilities

Quantitative finance, 2014-10, Vol.14 (10), p.1811-1827

2014

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A Mean Field Games Model for Cryptocurrency Mining

Management science, 2024-04, Vol.70 (4), p.2188-2208

2024

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Commodities, Energy and Environmental Finance

1, 2015

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Bounds and asymptotic approximations for utility prices when volatility is random

SIAM journal on control and optimization, 2004-01, Vol.43 (4), p.1328-1353

2004

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Power Mixture Forward Performance Processes

SIAM journal on financial mathematics, 2022-01, Vol.13 (3), p.1040-1062

2022

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A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption

SIAM journal on control and optimization, 2022-01, Vol.60 (5), p.3173-3190

2022

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A general framework for evaluating executive stock options

Journal of economic dynamics & control, 2007-07, Vol.31 (7), p.2317-2349

2007

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Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

SIAM journal on control and optimization, 2017-01, Vol.55 (6), p.3799-3832

2017

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Technology ladders and R&D in dynamic Cournot markets

Journal of economic dynamics & control, 2016-08, Vol.69, p.127-151

2016

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When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance

Journal of econometrics, 2024-02, p.105654, Article 105654

2024

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Multiscale Stochastic Volatility Asymptotics

Multiscale modeling & simulation, 2003-01, Vol.2 (1), p.22-42

2003

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PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

Mathematical finance, 2017-07, Vol.27 (3), p.704-745

2017

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Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio

SIAM journal on financial mathematics, 2018-01, Vol.9 (2), p.435-464

2018

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Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Accelerated Share Repurchases Under Stochastic Volatility

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics

Fracking, Renewables, and Mean Field Games

A model for hedging load and price risk in the Texas electricity market

ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS

FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

Implied Volatility of Leveraged ETF Options

Bertrand and Cournot Mean Field Games

Master equation for Cournot mean field games of control with absorption

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon

A regime-switching Heston model for VIX and S&P 500 implied volatilities

A Mean Field Games Model for Cryptocurrency Mining

Commodities, Energy and Environmental Finance

Bounds and asymptotic approximations for utility prices when volatility is random

Power Mixture Forward Performance Processes

A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption

A general framework for evaluating executive stock options

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon

Technology ladders and R&D in dynamic Cournot markets

When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance

Multiscale Stochastic Volatility Asymptotics

PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio

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