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
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]
Non-linear Affine Processes with Jumps Biagini, F. , Bollweg, G. , Oberpriller, K. , Preprint, 2022 [arXiv]
Generalized Feynman-Kac Formula under volatility uncertainty Akhtari, B. , Biagini, F. , Mazzon, A. , Oberpriller, K. , To appear in Stochastic Processes and Their Applications, 2022. DOI 10.1016/j.spa.2022.12.003 [arXiv]
Supplement to “Liquidity based modeling of asset price bubbles via random matching” Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. , Preprint, 2022 (PDF, 370 KB)
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]
Liquidity based modeling of asset price bubbles via random matching Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. , Preprint, 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
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)
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)