Publications

2024

• Mean-Field SDEs driven by G-Brownian Motion
  Bollweg, G., Meyer-Brandis, T.
  Preprint, 2024 [arXiv]

2023

• Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models
  Biagini F., Gonon L., Walter N.
  Preprint, 2023 [arXiv]
• Multi-dimensional fractional Brownian motion in the G-setting
  Biagini F., Mazzon A., Oberpriller K.
  Preprint, 2023, [arXiv]
• Supplement to Liquidity based modeling of asset price bubbles via random matching
  Biagini F., Mazzon A., Meyer-Brandis T., Oberpriller K.
  Preprint, 2023, [arXiv]
• Liquidity based modeling of asset price bubbles via random matching
  Biagini F., Mazzon A., Meyer-Brandis T., Oberpriller K.
  Forthcoming in SIAM Journal of Financial Mathematics, 2023, [arXiv]
• Non-linear affine processes with jumps
  Biagini F., Bollweg G., Oberpriller K.
  Probability, Uncertainty and Quantitative Risk, 8(2), 235-266, 2023, [arXiv]
• Generalized Feynman-Kac formula under volatility uncertainty
  Akhtari B., Biagini F., Mazzon A., Oberpriller K.
  Stochastic Processes and their Applications, 166, 2023, [arXiv]
• Reduced-form framework for multiple ordered default times under model uncertainty.
  Biagini F., Mazzon A., Oberpriller K.
  Stochastic Processes and their Applications, 156, 1-43, 2023, [arXiv]
• Mild to classical solutions for XVA equations under stochastic volatility
  Brigo, D. , Graceffa, F. , Kalinin, A. ,
  Accepted for publication in SIAM Journal on Financial Mathematics, 2023 [arXiv]
• The oriented derivative
  Kalinin, A. ,
  Preprint, 2023 [arXiv]
• Optimal stopping without Snell envelopes
  Pennanen, T., Perkkiö, A.-P.,
  Proceedings of AMS (to appear), 2023 [arXiv]
• Convex duality for partial hedging of American options: continuous price processes
  Perkkiö, A.-P., Trevino, E.,
  Positivity, 27, 2023 (Link to article)
• Dynamic programming in convex stochastic optimization
  Pennanen, T., Perkkiö, A.-P.,
  Journal of Convex Analysis, 30 (4), 1241-1283, 2023 [arXiv]
• Range Convexity: Probabilities, Risk Measures, and Games
  Amarante, M. , Liebrich, F.-B. , Munari, C. ,
  Preprint, 2023 (PDF, 489 KB)

• Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
  Baños, D. , Bauer, M. , Meyer-Brandis, T. , Proske, F. ,
  Potential Analysis, accepted, 2023 [arXiv]
• Optional projection under equivalent local martingale measures
  Biagini, F. , Mazzon, A. , Perkkiö, A.-P. ,
  To appear in Finance and Stochastics, 2023 [arXiV]
• Dual spaces of cadlag processes
  Pennanen T., Perkkiö, A.-P.,
  Stochastic Processes and Their Applications, 157, 69-93, 2023 [arXiv]
• Michael selections and Castaing representations with cadlag functions
  Perkkiö, A.-P., Trevino, E,
  Set-Valued and Variational Analysis 31, 2023 [arXiv]

2022

• Robust asymptotic insurance-finance arbitrage
  Oberpriller K., Ritter M., Schmidt T.
  Preprint, 2022, [arXiv]
• Classical and deep pricing for path- dependent options in non-linear generalized affine models
  Geuchen B., Oberpriller K., Schmidt T.
  Preprint, 2022, [arXiv]
• Topological duals of locally convex function spaces
  Pennanen, T., Perkkiö, A.-P.,
  Positivity 26 (2), 2022 [arXiv]
• Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments
  Kalinin, A. , Meyer-Brandis, T. , Proske, F. ,
  Preprint, 2022 [arXiv]
• Are reference measures of law-invariant functionals unique?
  Liebrich, F.-B. ,
  Preprint, 2022 (PDF, 441 KB)
• Model uncertainty: A reverse approach
  Liebrich, F.-B. , Maggis, M. , Svindland, G. ,
  SIAM Journal on Financial Mathematics, 13(3), 1230-1269, 2022 (PDF, 368 KB)
• Distorsion Risk Measures: Prudence, Coherence, and the Expected Shortfall
  Amarante, M. , Liebrich, F.-B. ,
  Preprint, 2022 (PDF, 440 KB)
• Risk sharing under heterogeneous beliefs without convexity
  Liebrich, F.-B. ,
  Preprint, 2022 [arXiv]
• Suffocating Fire Sales
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
  SIAM Journal on Financial Mathematics, 13(1), 2022 (PDF, 2,492 KB)
• Separability vs. Robustness of Robust Orlicz Spaces: Financial and Economic Perspectives
  Liebrich, F.-B. , Nendel, M. ,
  SIAM Journal on Financial Mathematics, Vol. 13, No. 4, pp. 1344–1378 (PDF, 518KB) [arXiv]
• Detecting asset price bubbles using deep learning
  Biagini, F. , Gonon, L. , Mazzon, A. , Meyer-Brandis, T. ,
  Preprint, 2022 (PDF, 1.3 MB) [arXiv]
• Law-invariant functionals that collapse to the mean: Beyond convexity
  Liebrich, F.-B. , Munari, C. ,
  Mathematics & Financial Economics, 16, 447–480, 2022 [arXiv]
• Neural network approximation for superhedging prices
  Biagini, F. , Gonon, L. , Reitsam, T. ,
  To appear in Mathematical Finance, 2022 [arXiv]
• Reduced-form framework for multiple default times under model uncertainty
  Biagini, F. , Mazzon, A. , Oberpriller, K. ,
  Stochastic Processes and Their Applications, 156, 1-43, 2022. [arXiv]
• Asset Price Bubbles in market models with proportional transaction costs
  Biagini, F. , Reitsam, T. ,
  Accepted on Frontiers of Mathematical Finance, 2022 [arXiv]
• Strong solutions of mean-field SDEs with irregular expectation functionals in the drift
  Bauer, M. , Berti, L. , Meyer-Brandis, T. ,
  Preprint, 2022 [arXiv]

2021

• Reduced-form setting under model uncertainty with non-linear affine intensities
  Biagini F., Oberpriller K.
  Probability, Uncertainty and Quantitative Risk, 6(3), 159-188, 2021, [arXiv]
• Large platonic markets with delays
  Limmer, Y. , Meyer-Brandis, T. ,
  IJTAF, 24(8), 2021 [arXiv]
• Support characterization for regular path-dependent stochastic Volterra integral equations
  Kalinin, A. ,
  Electronic Journal of Probability, Volume 26, Article 29, 2021 [arXiv]
• Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
  Kalinin, A. , Meyer-Brandis, T. , Proske, F. ,
  Preprint, 2021 [arXiv]
• Systemic Optimal Risk Transfer Equilibrium
  Biagini, F. , Doldi, A. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
  Mathematics and Financial Economics, 15(2), 2021 [arXiv]
• Extended Reduced-Form Framework for Life and Non-Life Insurance
  Biagini, F. , Zhang , Y. ,
  To appear in the Journal of Applied Probability, 2021 [arXiv]
• A unified approach to xVA with CSA discounting and initial margin
  Biagini, F. , Gnoatto, A. , Oliva, I. ,
  To appear in the SIAM Journal on Financial Mathematics, 12(3), 1013-1053, 2021 [arXiv]
• An Integrated Model for Fire Sales and Default Contagion
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
  Mathematics and Financial Economics, 15(1), 2021 (PDF, 2,432 KB)
• Estimating Extreme Cancellation Rates in Life Insurance
  Biagini, F. , Huber, T. , Jaspersen, J.G. , Mazzon, A. ,
  Journal of Risk and Insurance, 88(4): 971-1000, 2021 (PDF, 3,363 KB)
• Asset Pricing with General Transaction Costs: Theory and Numerics
  Gonon, L. , Muhle-Karbe, J. , Shi, X. ,
  Mathematical Finance, 31(2), 595–648, 2021 [arXiv]
• Fading memory echo state networks are universal
  Gonon, L. , Ortega, J.-P. ,
  Neural Networks, 138, 10–13, 2021 [arXiv]
• Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
  Gonon, L. , Schwab, C. ,
  To appear in Analysis and Applications, 2022 [arXiv]
• Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality
  Gonon, L. ,
  Preprint, 2021 [arXiv]
• Reduced-form setting under model uncertainty with non-linear affine intensities
  Biagini, F. , Oberpriller, K. ,
  Probability, Uncertainty and Quantitative Risk, 6 (3), 2021 [arXiv]
• A dynamic version of the super-replication theorem under proportional transaction costs
  Biagini, F. , Reitsam, T. ,
  Stochastic Analysis and Applications, 1-22, 2021 [arXiv]

2020

• Financial Contagion in a Generalized Stochastic Block Model
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
  Int. Journ. of Theor. and Appl. Fin., 23 (8), 2020 [arXiv]
• Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
  Gonon, L. , Schwab, C. ,
  Finance and Stochastics, 25(4), 615-657, 2021 [arXiv]
• On Fairness of Systemic Risk Measures
  Biagini, F. , Fouque, J. P. , Frittelli, M. , Meyer-Brandis, T. ,
  Finance & Stochastics, 24(2), 513-564, 2020 [arXiv]
• The long-term swap rate and a general analysis of long-term interest rates
  Biagini, F. , Gnoatto, A. , Haertel, M. ,
  International Journal of Applied and Theoretical Finance, 23(1), 2020 [arXiv]
• Risk bounds for reservoir computing
  Gonon, L. , Grigoryeva, L. , Ortega, J.-P. ,
  Journal of Machine Learning Research, 21(240):1−61, 2020. [arXiv]
• Discrete-time signatures and randomness in reservoir computing
  Cuchiero, C. , Grigoryeva, L. , Gonon, L. , Ortega, J.-P. , Teichmann, J. ,
  To appear in IEEE Transactions on Neural Networks and Learning Systems [arXiv]
• Approximation Bounds for Random Neural Networks and Reservoir Systems
  Gonon, L. , Grigoryeva, L. , Ortega, J.-P. ,
  To appear in Annals of Applied Probability [arXiv]
• Linearized Filtering of Affine Processes Using Stochastic Riccati Equations
  Gonon, L. , Teichmann, J. ,
  Stochastic Processes and their Applications, 130 (1), 394-430, 2020 [arXiv]
• Reservoir Computing Universality With Stochastic Inputs
  Gonon, L. , Ortega, J.-P. ,
  IEEE Transactions on Neural Networks and Learning Systems, 2020 [arXiv]
• On existence and uniqueness properties for solutions of stochastic fixed point equations
  Beck, C. , Gonon, L. , Hutzenthaler, M. , Jentzen, A. ,
  Discrete and Continuous Dynamical Systems - Series B, 26(9): 4963-4998, 2021 [arXiv]
• On the support of solutions to stochastic differential equations with path-dependent coefficients
  Kalinin, A. , Cont, R. ,
  Stochastic Processes and their Applications, Volume 130(5), 2639-2674, 2020 [arXiv]
• Memory and forecasting capacities of nonlinear recurrent networks
  Gonon, L. , Grigoryeva, L. , Ortega, J.-P. ,
  Physica D, 414, 132721, 1-13, 2020 [arXiv]
• Markovian Integral Equations
  Kalinin, A. ,
  Annales de l’Institut Henri Poincaré, Volume 56 (1), 155-174, 2020 [arXiv]

2019

• Reduced-form framework under model uncertainty
  Biagini, F. , Zhang , Y. ,
  The Annals of Applied Probability, 29(4):2481-2522, 2019 [arXiv]
• A unified approach to systemic risk measures via acceptance sets
  Biagini, F. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
  Mathematical Finance, 29 (1), 329-367, 2019 [arXiv]
• Managing Default Contagion in Inhomogeneous Financial Networks
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
  SIAM Journal on Financial Mathematics, 10(2), 578-614, 2019 [arXiv]
• Bootstrap percolation in directed and inhomogeneous random graphs
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. ,
  Electronic Journal of Combinatorics, 26(2), 2019 [arXiv]
• Trade duration risk in subdiffusive financial models
  Torricelli, L. ,
  Preprint, 2019 (PDF, 595 KB)
• Risk sharing for capital requirements with multidimensional security markets
  Liebrich, F.-B. , Svindland, G. ,
  Finance and Stochastics, 23, 925-973, 2019 [arXiv]
• Efficient allocations under law-invariance: A unifying approach
  Liebrich, F.-B. , Svindland, G. ,
  Journal of Mathematical Economics, 84, 28-45, 2019 (PDF, 489 KB)
• Financial asset bubbles in banking networks
  Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
  SIAM Journal on Financial Mathematics, 10(2), 430-465, 2019 [arXiv]
• Convex duality in nonlinear optimal transport
  Perkkiö, A.-P. , Pennanen, T. ,
  Journal of Functional Analysis, 277(4), 1029-1060, 2019 [arXiv]
• Robust Mean-Variance Hedging via G-Expectation
  Biagini, F. , Mancin, J. , Meyer-Brandis, T. ,
  Stochastic Processes and their Applications, 129(4), 1287-1325, 2019. [arXiv]
• Systemic Risk in Networks
  Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
  Network Science - An Aerial View from Different Perspectives, Springer, 2019 (PDF, 3,302 KB)
• On Skorokhod Embeddings and Poisson Equations
  Döring, L. , Gonon, L. , Prömel, D. , Reichmann, O. ,
  The Annals of Applied Probability, 29(4), 2302-2337, 2019 [arXiv]
• Deep Hedging
  Bühler, H., , Gonon, L. , Teichmann, J. , Wood, B. ,
  Quantitative Finance, 19(8), 1271-1291, 2019 [arXiv]
• Uniform error estimates for artificial neural network approximations for heat equations
  Gonon, L. , Grohs, P. , Jentzen, A. , Kofler, D. , Siska, D. ,
  To appear in IMA Journal of Numerical Analysis, 2019 [arXiv]
• Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
  Bauer, M. , Meyer-Brandis, T. ,
  Preprint, 2019 [arXiv]
• Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations
  Döring, L. , Gonon, L. , Prömel, D. , Reichmann, O. ,
  Journal of Theoretical Probability, 2019 [arXiv]
• Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
  Bauer, M. , Meyer-Brandis, T. ,
  Preprint, 2019 [arXiv]
• McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise
  Bauer, M. , Meyer-Brandis, T. ,
  Preprint, 2019 [arXiv]

2018

• Optimal control with delayed information flow of systems driven by G-Brownian motion
  Biagini, F. , Meyer-Brandis, T. , Øksendal, B. , Paczka, K. ,
  Probability, Uncertainty and Quantitative Risk, 3(4), 2018 [arXiv]
• Managing Default Contagion in Large Financial Networks
  Detering, N. , Meyer-Brandis, T. ,
  FIRM Jahrbuch 2018
• Conjugates of integral functionals on continuous functions
  Perkkiö, A.-P. ,
  Journal of Mathematical Analysis and Applications, 459(1), 1652-1677, 2018 (DOI: 10.1016/j.jmaa.2017.10.066) [arXiv]
• Convex duality in optimal investment and contingent claim valuation in illiquid markets
  Pennanen, T. , Perkkiö, A.-P. ,
  Finance and Stochastics, 22(4), 733–771, 2018 [arXiv]
• Strongly Consistent Multivariate Conditional Risk Measures
  Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
  Mathematics and Financial Economics, DOI 10.1007/s11579-017-0210-3, 2018 [arXiv]
• Mild and viscosity solutions to semilinear parabolic path-dependent PDEs
  Kalinin, A. , Schied, A. ,
  Preprint, 2018 [arXiv]
• Convex Integral Functionals of Cadlag Processes
  Perkkiö, A.-P. , Trevino, E. ,
  Preprint, 2018 [arXiv]
• Duality and optimality conditions in stochastic optimization and mathematical finance
  Biagini, S. , Pennanen, T. , Perkkiö, A.-P. ,
  Journal of Convex Analysis, 25 2, 2018 [arXiv]
• The Fatou Closedness under Model Uncertainty
  Maggis, M. , Meyer-Brandis, T. , Svindland, G. ,
  Positivity, 22, 2018. [arXiv]
• Convex integral functionals of processes of bounded variation
  Pennanen, T. , Perkkiö, A.-P. ,
  Journal of Convex Analysis, 25 1, 2018 [arXiv]
• Liquidity induced asset bubbles via flows of ELMMs
  Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
  SIAM Journal on Financial Mathematics, 9(2), 800-834, 2018 [arXiv]
• Volatility targeting using delayed diffusions
  Torricelli, L. ,
  Applied Mathematical Finance, 25 (3), 213-246.. 2018 (PDF, 969 KB)
• Asset price bubbles in financial networks
  Mazzon, A. ,
  PhD Thesis (PDF, 2,187 KB)
• Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
  Banos, D.R. , Duedahl, S. , Meyer-Brandis, T. , Proske, F. ,
  Ann. de l'Inst. Henri Poincare, 54(3), 2018 [arXiv]
• Optional projection in duality
  Perkkiö, A.-P. , Pennanen, T. ,
  Preprint, 2018 (PDF, 363 KB)
• Convex integral functionals of regular processes
  Pennanen, T. , Perkkiö, A.-P. ,
  Stochastic Processes and Their Applications, 168(1-2), 347-367, 2018 (DOI: 10.1016/j.spa.2017.08.007) [arXiv]
• Strong Solutions of Mean-Field Stochastic Differential Equations With Irregular Drift
  Bauer, M. , Meyer-Brandis, T. , Proske, F. ,
  Electronic Journal of Probability 23, 2018 [arXiv]
• Local risk minimisation with multiple assets under illiquidity with applications in energy markets
  Christodoulou, P. , Detering, N. , Meyer-Brandis, T. ,
  IJTAF, 21, 4, 2018. (PDF, 655 KB)
• An analytic pricing framework for financial assets with trading suspensions
  Torricelli, L. , Fries, C. ,
  Submitted to SIFIN, 2018 (PDF, 510 KB)
• Shadow price of information in discrete time stochastic optimization
  Pennanen, T. , Perkkiö, A.-P. ,
  Mathematical programming, 168 1-2, 2018 (DOI: 10.1007/s10107-017-1163-2) [arXiv]
• Affine HJM framework on S^+_d and long-term yield
  Biagini, F. , Gnoatto, A. , Haertel, M. ,
  Applied Mathematics and Optimization 77(3), 405-441, 2018 (PDF, 449 KB)

2017

• Model spaces for risk measures
  Liebrich, F.-B. , Svindland, G. ,
  Insurance: Mathematics and Economics, 77, 150-165, 2017 [arXiv]
• Markovian integral equations and path-dependent partial differential equations
  Kalinin, A. ,
  Doctoral thesis, University of Mannheim, 2017 (PDF, 1,209 KB)
• Allocation of Systemic Risk
  Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
  Preprint, 2017 (PDF, 333 KB)
• Computing deltas without derivatives
  Banos, D.R. , Duedahl, S. , Meyer-Brandis, T. , Proske, F. ,
  Finance and Stochastics, 21(2), 509-549, 2017 (PDF, 830 KB)
• The forward smile in local-stochastic volatility models
  Mazzon, A. , Pascucci, A. ,
  Journal of Computational Finance, 20(3), 1-29, 2017 (PDF, 403 KB)
• Stochastic Automatic Differentiation: Efficient Tapeless Implementation of Automatic Differentiation for Monte-Carlo Simulations
  Fries, C. , Sedlmair, S. ,
  The Journal of Risk, 2017 SSRN link
• Financial Asset Price Bubbles under Model Uncertainty
  Biagini, F. , Mancin, J. ,
  Probability, Uncertainty and Quantitative Risk, 2017 (14) (PDF, 456 KB)
• The scaling limit of superreplication prices with small transaction costs in the multivariate case
  Bank, P. , Dolinsky, Y. , Perkkiö, A.-P. ,
  Finance and Stochastics, 21(2), 487–508. 2017 [arXiv]
• Risk-minimization for life insurance liabilities with dependent mortality risk
  Biagini, F. , Botero, C. , Schreiber, I. ,
  Mathematical Finance, 27 (2), 505-533, 2017 (PDF, 844 KB)

2016

• Employment and Fertility – A Comparison of the Family Survey 2000 and the Pairfam Panel
  Groll, A. , Abedieh, J. ,
  accepted in: "New Trends in Stochastic Modeling and Data Analysis", eds: Raimondo Manca, Sally McClean, Christos H Skiadas, 2016 (PDF, 593 KB)
• Elements of Probability and Statistics: An Introduction to Probability with de Finettis Approach and to Bayesian Statistics
  Biagini, F. , Campanino, M. ,
  Springer, 2016 (link to book page)
• Regularization in Cox Frailty Models
  Groll, A. , Hastie, T. , Tutz, G. ,
  Technical Report 191, Department of Statistics, LMU Munich, 2016 (PDF, 8,187 KB)
• Longitudinal evaluation of medication underuse in older outpatients and its association with quality of life Meid, A-D. , Quinzler, R. , Freigofas, J. , Groll, A. , Saum, K.-U. , Schöttker, B. , Brenner, H. , Heider, D. , König, H.-H. ,Wild, B. , Haefeli, E. , accepted: European Journal of Clinical Pharmacology, 2016

• Stochastic programs without duality gaps for objectives without a lower bound
  Perkkiö, A.-P. ,
  Preprint, 2016 [arXiv]
• Variable Selection in Discrete Survival Models Including Heterogeneity
  Groll, A. , Tutz, G. ,
  accepted in: Lifetime Data Analysis, 2016 (PDF, 558 KB)
• Polynomial Diffusion Models for Life Insurance Liabilities
  Biagini, F. , Zhang , Y. ,
  Insurance: Mathematics and Economics, Vol. 71, Page 114–129, 2016 [arXiv]
• Optional and predictable projections of normal integrands and convex-valued processes
  Kiiski, M. , Perkkiö, A.-P. ,
  Set-Valued and Variational Analysis, 2016 [arXiv]
• Existence of solutions in non-convex dynamic programming and optimal investment
  Pennanen, T. , Perkkiö, A.-P. , Rásonyi, M. ,
  Mathematical Finance and Economics, 2016 (PDF, 356 KB)
• Risk-consistent conditional systemic risk measures
  Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
  Stochastic Processes and their Applications, 126(7), 2014-2037, 2016. [arXiv]
• Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes
  Torricelli, L. ,
  Review of derivatives research 19, 1, 2016 [arXiv]
• A consistent two-factor model for pricing temperature derivatives
  Groll, A. , Lopez-Cabrera, B. , Meyer-Brandis, T. ,
  Energy Economics, 55, 112-126, 2016 (PDF, 2,538 KB)
• Risk-minimization for life insurance liabilities with basis risk
  Biagini, F. , Rheinländer, T. , Schreiber, I. ,
  Mathematics and Financial Economics, Vol. 10, Issue 2, Page 151-178, 2016 (PDF, 521 KB)
• Risk minimization for insurance products via F-doubly stochastic Markov chains
  Biagini, F. , Groll, A. , Widenmann, J. ,
  Risks, Volume 4, Issue 3, Article number 23, 2016 (PDF, 394 KB)

2015

• Prediction of major international soccer tournaments based on team-specific regularized Poisson regression: an application to the FIFA World Cup 2014
  Groll, A. , Schauberger, G. , Tutz, G. ,
  J. Quant. Anal. Sports 11(2), 97–115, 2015 (PDF, 448 KB)
• The formation of financial bubbles in defaultable markets
  Biagini, F. , Nedelcu, S. ,
  SIAM Journal on Financial Mathematics, Vol. 6, Issue 1, Page 530-558, 2015 (PDF, 486 KB)
• Pricing and hedging asian-style options in energy
  Benth, F.E. , Detering, N. ,
  Finance & Stochastics, Vol. 19(4), Page 849-889, 2015 (PDF, 2,803 KB)
• The Model Risk of Contingent Claims
  Detering, N. , Packham, N. ,
  accepted in: Quantitative Finance, 2015 (PDF, 667 KB)
• Regularization in Cox Frailty Models
  Groll, A. , Hastie, T. , Tutz, G. ,
  Proceedings of the 30th International Workshop on Statistical Modelling, Volume 1, 198 - 203, 2015 (PDF, 233 KB)
• A general HJM framework for multiple yield curve modeling
  Cuchiero, C. , Fontana, C. , Gnoatto, A. ,
  accepted in: Finance and Stochastics, 2015 [arXiv]
• General closed-form basket option pricing bounds
  Caldana, R. , Fusai, G. , Gnoatto, A. , Grasselli, M. ,
  accepted in: Quantitative Finance, 2015 (PDF, 2,036 KB)
• Electricity futures price modeling with Lévy term structure models
  Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
  International Journal of Theoretical and Applied Finance 18 (1), 2015 (PDF, 437 KB)

2014

• Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps
  Fries, C. , Lichtner, M. ,
  Preprint, 2014 (PDF, 352 KB)
• An affine multi-currency model with stochastic volatility and stochastic interest rates
  Gnoatto, A. , Grasselli, M. ,
  accepted in: SIAM Journal on Financial Mathematics, Accepted, 2014 [arXiv]
• Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique
  Da Fonseca, J. , Gnoatto, A. , Grasselli, M. ,
  Preprint, 2014 (PDF, 450 KB)
• The Mathematical Concept of Measuring Risk
  Biagini, F. , Meyer-Brandis, T. , Svindland, G. ,
  Risk - A Multidisciplinary Introduction, Klüppelberg C., Straub D. and Welpe I.M. (Eds.), Springer, 2014 (Link to book webpage)
• Local risk-minimization via the benchmark approach
  Biagini, F. , Cretarola, A. , Platen, E. ,
  Mathematics and Financial Economics: Volume 8, Issue 2, Page 109-134, 2014 (PDF, 525 KB)
• Shifting martingale measures and the slow birth of a bubble as a submartingale
  Biagini, F. , Föllmer, H. , Nedelcu, S. ,
  Finance and Stochastics: Volume 18, Issue 2, Page 297-326, 2014 (PDF, 408 KB)
• Behavior of Long-Term Yields in a Lévy Term Structure
  Biagini, F. , Haertel, M. ,
  International Journal of Theoretical and Applied Finance, Volume 17, Issue 3, 1-24, 2014 (PDF, 369 KB)
• Monte Carlo Variance Reduction by conditioning for pricing with underlying a continuous-time finite state Markov process
  Montes, J.M. , Prezioso, V. , Runggaldier, W.J. ,
  accepted in: SIAM Journal on Financial Mathematics, Accepted, 2014 (PDF, 719 KB)
• Continuous essential selections and integral functionals
  Perkkiö, A.-P. ,
  Set-Valued and Variational Analysis, 136(1), 45–58, 2014 [arXiv]
• Duality in convex problems of Bolza over functions of bounded variation
  Pennanen, T. , Perkkiö, A.-P. ,
  SIAM Journal of Control and Optimization, 52(3), 1481–1498, 2014 [arXiv]
• Variable selection for generalized linear mixed models by L1-penalized estimation
  Groll, A. , Tutz, G. ,
  Statistics and Computing 24(2), 137-154, 2014 (PDF, 4,728 KB)
• Model risk in incomplete markets with jumps
  Detering, N. , Packham, N. ,
  in: Springer Proceedings in Mathematics & Statistics, Vol. 99, Kathrin Glau et al: Innovations in Quantitative Risk Management, 2014 (link to book page)
• The explicit Laplace transform for the Wishart process
  Gnoatto, A. , Grasselli, M. ,
  Journal of Applied Probability 51(3), 2014 [arXiv]
• Evolution of Firm Size
  Gonon, L. , Rogers, L.C.G. ,
  International Journal of Theoretical and Applied Finance, 17(5), 1-15, 2014 (PDF, 351 KB)
• A Parametric Approach to Counterparty and Credit Risk
  Haertel, M. , Orlando, G. ,
  Journal of Credit Risk, Volume 10, Issue 4, 97-133, 2014 (PDF, 559 KB)
• A Gel'fand triple approach to the small noise problem for discontinuous ODE's
  Menoukeu-Pamen, O. P. , Meyer-Brandis, T. , Proske, F. ,
  Preprint, 2014 (PDF, 409 KB)

2013

• A Study on European Football Championships in the GLMM Framework with an Emphasis on UEFA Champions League Experience
  Groll, A. , Abedieh, J. ,
  J. R. Bozeman, V. Girardin and C.H.Skiadas (Eds.), New perspectives on stochastic modeling and data analysis, Athens: ISAST, 313-321, 2014 (PDF, 274 KB)
• Pricing joint claims on an asset and its realised variance in stochastic volatility models
  Torricelli, L. ,
  International Journal of Theoretical and applied Finance, 16, 1, 2013 [arXiv]
• Return distributions of equity- linked retirement plans under jump and interest rate risk
  Detering, N. , Weber, A. , Wystup, U. ,
  European Actuarial Journal Vol. 3(1), Page 203-228., 2013 (PDF, 363 KB)
• A Lévy-copula model for the spark spread
  Meyer-Brandis, T. , Morgan, M. ,
  Quantiative Energy Finance, F. E. Benth, V. A. Kholodnyi, P. Laurence (Ed.), Springer, 2013 (PDF, 3,293 KB)
• Risk-minimization for life insurance liabilities
  Biagini, F. , Schreiber, I. ,
  SIAM Journal on Financial Mathematics 4, 243 - 264, 2013 (PDF, 487 KB)
• Extension of Normed Call Prices for Negative Strikes and Forwards
  Fries, C. , Gopa, P. ,
  Preprint, 2013 (PDF, 407 KB)
• Displaced Historical Simulation is a Solution for Negative-Valued Financial Risk Values: Application to VaR in Times of Negative Government Bond Yields
  Fries, C. , Nigbur, T. , Seeger, N. ,
  Preprint, 2013 (PDF, 451 KB)
• Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models
  Fries, C. ,
  Preprint, 2013 (PDF, 353 KB)
• A fractional credit model with long range dependent default rate
  Biagini, F. , Fink, H. , Klueppelberg, C. ,
  Stochastic Processes and their Applications 123, 1319 - 1347, 2013 (PDF, 253 KB)
• Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps
  Menoukeu-Pamen, O. P. , Meyer-Brandis, T. , Proske, F. , Salleh, H. B. ,
  Stochastics, 85(3), 2013 (PDF, 419 KB)
• Evaluating hybrid products: the interplay between financial and insurance markets
  Biagini, F. ,
  in Stochastic analysis, random fields and applications VII, Progress in Probability 67, R. Dalang, M. Dozzi, F. Russo (Editors), Springer, 2013 (PDF, 257 KB)
• Hedging mortality claims with longevity bonds
  Biagini, F. , Rheinländer, T. , Widenmann, J. ,
  ASTIN Bulletin, 43(2), 123-157, 2013 (PDF, 1,273 KB)
• Smiles all around: FX joint calibration in a multi-Heston model
  De Col, A. , Gnoatto, A. , Grasselli, M. ,
  Journal of Banking and Finance 37(10), 3799–3818, 2013 [arXiv]
• Intensity-based premium evaluation for unemployment insurance products
  Biagini, F. , Groll, A. , Widenmann, J. ,
  Insurance: Mathematics and Economics 53, 302–316, 2013 (PDF, 9,954 KB)
• A unified approach to pricing and risk management of equity and credit risk
  Fontana, C. , Montes, J. M. ,
  Journal of Computational and Applied Mathematics, 259, 350 - 361, 2013 [arXiv]
• Measuring Concentration in Data with an Exogenous Order
  Abedieh, J. , Groll, A. , Eugster, M. J. A. ,
  Preprint, 2013 (PDF, 473 KB)
• A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's
  Meyer-Brandis, T. , Nilssen, T , Proske, F. , Zhang, T. , Menoukeu-Pamen, O. P. ,
  Mathematische Annalen, 357 (2), pp. 761-799, 2013 (PDF, 487 KB)
• Coherent foreign exchange market models
  Gnoatto, A. ,
  Preprint, 2013 (PDF, 352 KB)
• A flexible matrix Libor model with smiles
  Da Fonseca, J. , Gnoatto, A. , Grasselli, M. ,
  Journal of Economic Dynamics and Control 37(4):774-793, 2013 (PDF, 1,902 KB)
• Spain retains its title and sets a new record - generalized linear mixed models on European football championships
  Groll, A. , Abedieh, J. ,
  Journal of Quantitative Analysis in Sports 9(1): 51-66, 2013 (PDF, 575 KB)

2012

• Target volatility option pricing
  Di Graziano, G. , Torricelli, L. ,
  International Journal of Theoretical and Applied Finance, 15, 1, 2012 Eprint
• Stochastic programs without duality gaps
  Perkkiö, A.-P. , Pennanen, T. ,
  Mathematical Programming, 136(1), pages 91–110, 2012 [arXiv]
• Volatitlität als Investment: Diversifikationseigenschaften als Volatitilitätsstrategien
  Detering, N. , Zhou, Q. , Wystup, U. ,
  CPQF Working Paper Series 30, 2012 (PDF, 874 KB)
• Online Model Estimation of Ultra-Wideband TDOA Measurements for Mobile Robot Localization
  Gonon, L. , Martinolli, A. , Prorok, A. ,
  IEEE International Conference on Robotics and Automation (ICRA), 807-814, 2012 (PDF, 703 KB)
• Likelihood-based boosting in binary and ordinal random effects models
  Tutz, G. , Groll, A. ,
  Journal of Computational and Graphical Statistics, 22(2): 356-378, 2012 (PDF, 1,158 KB)
• Regularization for generalized additive mixed models by likelihood-based boosting
  Groll, A. , Tutz, G. ,
  Methods of Information in Medicine 51(2), 168-177, 2012 (PDF, 5,370 KB)
• Local risk-minimization with recovery process
  Biagini, F. , Cretarola, A. ,
  Applied Mathematics & Optimization 65(3), 293-314, 2012 (PDF, 473 KB)
• Pricing of unemployement insurance products with doubly stochastic Markov chains
  Biagini, F. , Widenmann, J. ,
  International Journal of Theoretical and Applied Finance 15(4), 1-32, 2012 (PDF, 410 KB)
• Insider trading equilibrium in a market with memory
  Biagini, F. , Hu, Y. , Meyer-Brandis, T. , Øksendal, B. ,
  Mathematics and Financial Economics 6(3), 229-247, 2012 (PDF, 514 KB)
• Consistent factor models for temperature markets
  Hell, P. , Meyer-Brandis, T. , Rheinländer, T. ,
  International Journal of Theoretical and Applied Finance 15(4), 24 pages, 2012 (PDF, 304 KB)
• The Wishart short rate model
  Gnoatto, A. ,
  International Journal of Theoretical and Applied Finance 15(8), 2012 (PDF, 6,767 KB)

2011

• Volatility surface interpolation on probability space using normed call prices
  Gope, P. , Fries, C. ,
  Preprint, 2011 (Link to SSRN pre-print)
• Return distributions of equity-linked retirement plans
  Detering, N. , Weber, A. , Wystup, U. ,
  in: Statistical Tools for Finance and Insurance, 2.Ed., Berlin: Springer, S. 393-413., 2011 (Link to book page)
• Funded replication: Valuing with stochastic funding
  Fries, C. ,
  Preprint, 2011 (Link to SSRN pre-print)
• Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
  Fries, C. , Mark, J. ,
  International Journal of Theoretical and Applied Finance 14(2), 197-219, 2011 (Link to SSRN pre-print)
• A hybrid Markov-functional model with simultaneous calibration to interest rate and FX smile
  Fries, C. , Eckstädt, F. ,
  Quantitative Finance 11(4), 587-597, 2011 (Link to SSRN pre-print)
• Stressed in Monte-Carlo
  Fries, C. ,
  Risk Magazine, March 2011 (Link to article)
• Variable selection for generalized additive mixed models by likelihood-based boosting
  Groll, A. , Tutz, G. ,
  Organizing Commitee (Eds.), Proceedings ASMDA, Sapienza Università di Roma, 2011 (PDF, 2,299 KB)
• Credit contagion in a long range dependent macroeconomic factor model
  Biagini, F. , Fuschini, S. , Klueppelberg, C. ,
  Advanced Mathematical Methods in Finance, 105-132, Springer, Berlin, 2011 (PDF, 241 KB)
• A Bayes formula for non-linear filtering with Gaussian and Cox noise
  Mandrekar, V. , Meyer-Brandis, T. , Proske, F. ,
  Journal of Probability and Statistics, Vol. 2011, 15 pages, 2011 (PDF, 299 KB)
• A mean-field stochastic maximum principle via Malliavin calculus
  Meyer-Brandis, T. , Øksendal, B. , Zhou, X. Y. ,
  Stochastics, 84 (5-6), 2012 (PDF, 360 KB)

2010

• Portfolio risk with selected revaluation
  Fries, C. ,
  Preprint, 2010 (Link to SSRN pre-print)
• Discounting revisited. Valuation under funding, counterparty risk and collateralization
  Fries, C. ,
  Preprint, 2010 (Link to SSRN pre-print)
• Monte-Carlo simulation with boundary conditions (with applications to stress testing, CEV and variance-gamma simulation
  Fries, C. , Kienitz, J. ,
  Preprint, 2010 (Link to SSRN pre-print)
• On a class of semi-elliptic diffusion models - Part I: a constructive analytical approach for global solutions, densities and numerical schemes with applications to the LIBOR market model
  Fries, C. , Kampen, J. ,
  Preprint, 2010 (Link to SSRN pre-print)
• Generalized linear mixed models based on boosting
  Tutz, G. , Groll, A. ,
  T. Kneib and G. Tutz (Eds.), Statistical Modelling and Regression Structures - Festschrift in the Honour of Ludwig Fahrmeir, Physica, 2010 (PDF, 379 KB)
• The second fundamental asset pricing theorem
  Biagini, F. ,
  Encyclopedia of Quantitative Finance, Cont R. (Ed.) John Wiley & Sons Ltd. Chichester, UK, 1623-1628, 2010 (PDF, 155 KB)
• Money out of nothing? - Prinzipien und Grundlagen der Finanzmathematik
  Biagini, F. , Rost, D. ,
  Beiträge zum Mathematikunterricht 2010, WTM Verlag, Münster, 41-48, 2010 (PDF, 94 KB)
• Construction of strong solutions of SDE's via Malliavin calculus
  Meyer-Brandis, T. , Proske, F. ,
  Journal of Functional Analysis 258(11), 3922-3953, 2010 (PDF, 251 KB)
• Electricity markets
  Meyer-Brandis, T. ,
  Encyclopedia of Quantitative Finance, John Wiley and Sons, 2010 (PDF, 311 KB)
• How duration between trades of underlying securities affects option prices
  Cartea, A. , Meyer-Brandis, T. ,
  Review of Finance 14(4), 749-785, 2010 (PDF, 1,009 KB)
• Electricity spot price modelling with a view towards extreme spike risk
  Klueppelberg, C. , Meyer-Brandis, T. , Schmidt, A. ,
  Quantitative Finance 10(9), 963-974, 2010 (PDF, 890 KB)
• Explicit representation of strong solutions of SDE's driven by infinite dimensional Lévy processes
  Meyer-Brandis, T. , Proske, F. ,
  Journal of Theoretical Probability 23(1), 301-314, 2010 (PDF, 199 KB)

2009

• Stable Monte-Carlo sensitivities for bermudan callable products
  Fries, C. ,
  Preprint, 2009 (Link to SSRN pre-print)
• The information premium for non-storable commodities
  Benth, F. E. , Meyer-Brandis, T. ,
  Journal of Energy Markets 2(3), 111-140, 2009 (PDF, 208 KB)
• The density process of the minimal entropy martingale measure in a stochastic volatility model
  Benth, F. E. , Meyer-Brandis, T. ,
  Handbook of Quantitative Finance and Risk Management, Springer, Berlin, 2009 (Link to article)
• Local risk minimization for defaultable markets
  Biagini, F. , Cretarola, A. ,
  Mathematical Finance 19(4), 669-689, 2009 (PDF, 334 KB)
• Asymptotics for operational risk quantified with expected shortfall
  Biagini, F. , Ulmer, S. ,
  ASTIN Bulletin 39, 735-752, 2009 (PDF, 257 KB)
• Anticipative stochastic control for Lévy processes with application to insider trading
  Di Nunno, G. , Kohatsu-Higa, A. , Meyer-Brandis, T. , Øksendal, B. , Proske, F. , Sulem, A. ,
  Mathematical Modeling and Numerical Methods in Finance - Handbook of Numerical Analysis 15, 573-594, 2009 (PDF, 193 KB)
• Pricing interest rate guarantee in a defined benefit pension setting
  Henriksen, P. A. , Hove, A. , Meyer-Brandis, T. , Proske, F. ,
  Preprint, 2009 (PDF, 396 KB)

2008

• On the dynamics of the forward interest rate curve and the evaluation of interest rate derivatives and their sensitivities
  Croitoru, C. , Fries, C. , Jaeger, W. , Kampen, J. , Nonnenmacher, D. ,
  Mathematics - Key Technology for the Future, 343 - 357, Springer, Berlin, 2008 (Link to article)
• Foresight bias and suboptimality correction in Monte-Carlo pricing of options with early exercise
  Fries, C. ,
  In: Bonilla, L.L.; Moscoso, M.; Platero, G.; Vega, J.M. (Eds.): Progress in Industrial Mathematics at ECMI 2006. Springer, 2008 (Link to article)
• Partial proxy simulation schemes for generic and robust Monte-Carlo greeks
  Fries, C. , Mark, J. ,
  Journal of Computational Finance, 12-1, 2008 (Link to SSRN pre-print)
• Discrete approximations for stochastic integrals with respect to fractional Brownian motion with Hurst index H > 1/2
  Biagini, F. , Campanino, M. , Fuschini, S. ,
  Stochastics 80(5), 407-426, 2008 (PDF, 235 KB)
• Estimating high quantiles for electricity prices by stable linear models
  Bernhardt, C. , Klueppelberg, C. , Meyer-Brandis, T. ,
  Journal of Energy Markets 1(1), 3-19, 2008 (PDF, 395 KB)
• Pricing of catastrophe insurance options under immediate loss reestimation
  Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
  Journal of Applied Probability 45(3), 831-845, 2008 (PDF, 224 KB)
• Pricing of catastrophe insurance options written on a loss index with reestimation
  Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
  Insurance: Mathematics and Economics 43(2), 214-222, 2008 (PDF, 287 KB)
• Stochastic Calculus for Fractional Brownian Motion and Applications
  Biagini, F. , Hu, Y. , Øksendal, B. , Zhang, T. ,
  Springer, Berlin, 2008 (Link to book page)
• Forward integrals and an Ito formula for fractional Brownian motion
  Biagini, F. , Øksendal, B. ,
  Infinite Dimensional Analysis, Quantum Probability and Related Topics 11(2), 157-177, 2008 (PDF, 142 KB)
• Differential equations driven by Lévy white noise in spaces of Hilbert-space-valued distributions
  Meyer-Brandis, T. ,
  Stochastics 80(4), 371-396, 2008 (PDF, 263 KB)
• Multi-factor jump-diffusion models of electricity prices
  Meyer-Brandis, T. , Tankov P. ,
  International Journal of Theoretical and Applied Finance 11(5), 503-528, 2008 (PDF, 476 KB)

2007

• Mathematical Finance: Theory, Modeling, Implementation
  Fries, C. ,
  John Wiley & Sons, 2007 (Link to book page)
• Localized proxy simulation schemes for generic and robust Monte-Carlo greeks
  Fries, C. ,
  Preprint, 2007 (Link to SSRN pre-print)
• A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modelling and derivates pricing
  Benth, F. E. , Meyer-Brandis, T. , Kallsen, J. ,
  Applied Mathematical Finance 14(2), 153-169, 2007 (PDF, 251 KB)
• Quadratic hedging methods for defaultable claims
  Biagini, F. , Cretarola, A. ,
  Applied Mathematics and Optimization 56(3), 425-443, 2007 (PDF, 172 KB)
• On the timing option in a futures contract
  Biagini, F. , Bjoerk, T. ,
  Mathematical Finance 17(2), 267-283, 2007 (PDF, 128 KB)
• Stochastic Feynman-Kac equations associated to Lévy-Itô diffusions
  Meyer-Brandis, T. ,
  Stochastic Analysis and Applications 25(5), 913-932, 2007 (PDF, 231 KB)

2006

• Proxy simulation schemes for generic robust Monte-Carlo sensitivities, process oriented importance sampling and high accuracy drift approximation.
  Fries, C. , Kampen, J. ,
  Journal of Computational Finance 10(2), 200 (Link to article)
• Markov functional modeling of equity, commodity and other assets
  Fries, C. ,
  Preprint, 2006 (Link to pre-print)
• Minimal variance hedging for insider trading
  Biagini, F. , Øksendal, B. ,
  International Journal of Theoretical and Applied Finance 9(8), 1351-1375, 2006 (PDF, 322 KB)
• Optimal portfolio for an insider in a market driven by Lévy processes
  Di Nunno, G. , Meyer-Brandis, T. , Øksendal, B. , Proske, F. ,
  Quantitative Finance 6(1), 83-94, 2006 (PDF, 283 KB)
• On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients
  Meyer-Brandis, T. , Proske, F. ,
  Communications in Mathematical Sciences 4(1) , 129-154, 2006 (PDF, 351 KB)

2005

• Bumping the model: Generic robust Monte-Carlo sensitivities using the proxy simulation scheme method
  Fries, C. ,
  Preprint, 2005 (Link to pre-print)
• The foresight bias in Monte-Carlo pricing of options with early exercise: Classification, calculation and removal
  Fries, C. ,
  Preprint, 2005 (Link to pre-print)
• Fast and robust Monte-Carlo CDO sensitivities and their efficient object oriented implementation
  Rott, M. , Fries, C. ,
  Preprint, 2005 (Link to pre-print)
• The density process of the minimal entropy martingale measure in a stochastic volatility model
  Benth, F. E. , Meyer-Brandis, T. ,
  Finance and Stochastics 9(4), 563-575, 2005 (PDF, 230 KB)
• Elementi di probabilita e statistica
  Biagini, F. , Campanino, M. ,
  Springer, Berlin, 2005 (Link to book page)
• A general stochastic calculus approach to insider trading
  Biagini, F. , Øksendal, B. ,
  Applied Mathematics and Optimization 52(2), 167-181, 2005 (PDF, 190 KB)
• Malliavin calculus and anticipative Itô formulae for Lévy processes
  Di Nunno, G. , Meyer-Brandis, T. , Øksendal, B. , Proske, F. ,
  Infinite Dimensional Analysis, Quantum Probability and Related Topics 8, 235-258, 2005 (PDF, 278 KB)

2004

• Cross currency and hybrid Markov functional models
  Fries, C. , Rott, M. ,
  Preprint, 2004 (Link to SSRN pre-print)
• An introduction to White noise theory and Malliavin calculus for fractional Brownian motion
  Biagini, F. , Øksendal, B. , Sulem, A. , Wallner, N. ,
  The Proceedings of the Royal Society 460, 347-372, 2004 (PDF, 288 KB)
• Explicit solution of a non-linear filtering problem for Lévy processes with application to finance
  Meyer-Brandis, T. , Proske, F. ,
  Applied Mathematics and Optimization 50, 119-134, 2004 (PDF, 217 KB)

2003

• Minimal variance hedging for fractional Brownian motion
  Biagini, F. , Øksendal, B. ,
  Methods and Applications of Analysis 10(3), 347-362, 2003 (PDF, 135 KB)

2002

• A stochastic maximum principle for processes driven by fractional Brownian motion
  Biagini, F. , Hu, Y. , Øksendal, B. , Sulem, A. ,
  Stochastic Processes and their Applications 100(1), 233-253, 2002 (PDF, 134 KB)
• Mean-variance hedging for interest rate models with stochastic volatility
  Biagini, F. ,
  Decisions in Economics and Finance 25(1), 1-17, 2002 (PDF, 129 KB)
• Mean-variance hedging with random volatility jumps
  Biagini, F. , Guasoni, P. ,
  Stochastic Analysis and Applications 20(3), 471-494, 2002 (PDF, 243 KB)

2001

• A quadratic approach for interest rates models in incomplete markets
  Biagini, F. ,
  Proceedings of Workshop on Mathematical Finance, Konstanz, Germany, 2001 (PDF, 182 KB)

2000

• Mean-variance hedging for stochastic volatility models
  Biagini, F. , Guasoni, P. , Pratelli, M. ,
  Mathematical Finance 10(2), 109-123, 2000 (PDF, 255 KB)

1999

• Local Risk Minimization and Numéraire
  Biagini, F. , Pratelli, M. ,
  Journal of Applied Probability 36 (4),1-14, 1999 (PDF, 181 KB)