| Publication | Date of Publication | Type |
|---|
| Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion | 2023-09-28 | Paper |
| In memoriam: Mark H. A. Davis and his contributions to mathematical finance | 2023-09-28 | Paper |
| Entropy Regularization for Mean Field Games with Learning | 2023-01-09 | Paper |
| Correction to: Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
| N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction | 2022-11-15 | Paper |
| Competition in Fund Management and Forward Relative Performance Criteria | 2022-11-04 | Paper |
| On the analyticity of the value function in optimal investment and stochastically dominant markets | 2020-02-03 | Paper |
| An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians | 2020-01-10 | Paper |
| Mean field and n‐agent games for optimal investment under relative performance criteria | 2019-12-05 | Paper |
| Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints | 2019-11-22 | Paper |
| An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior | 2019-01-18 | Paper |
| A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility | 2018-12-13 | Paper |
| Dynamically consistent investment under model uncertainty: the robust forward criteria | 2018-10-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4589047 | 2017-11-06 | Paper |
| PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS | 2017-07-21 | Paper |
| Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE | 2017-07-20 | Paper |
| Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations | 2016-09-28 | Paper |
| An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets | 2014-01-23 | Paper |
| Forward indifference valuation of American options | 2012-12-13 | Paper |
| Stochastic Partial Differential Equations and Portfolio Choice | 2011-05-31 | Paper |
| INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA | 2011-03-30 | Paper |
| Credit derivatives and risk aversion | 2010-06-30 | Paper |
| Maturity-Independent Risk Measures | 2010-06-01 | Paper |
| Portfolio Choice under Space-Time Monotone Performance Criteria | 2010-06-01 | Paper |
| Utility valuation of multi-name credit derivatives and application to CDOs | 2010-03-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656701 | 2010-01-13 | Paper |
| Optimal Asset Allocation under Forward Exponential Performance Criteria | 2009-05-22 | Paper |
| Portfolio choice under dynamic investment performance criteria | 2009-04-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613974 | 2009-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506194 | 2009-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5506195 | 2009-01-28 | Paper |
| Pricing early exercise contracts in incomplete markets | 2005-08-25 | Paper |
| A valuation algorithm for indifference prices in incomplete markets | 2005-05-20 | Paper |
| Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random | 2005-02-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3160513 | 2005-02-09 | Paper |
| An example of indifference prices under exponential preferences | 2004-11-24 | Paper |
| Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility | 2004-03-16 | Paper |
| Comment on ‘The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices’ | 2003-07-13 | Paper |
| Numerical schemes for variational inequalities arising in international asset pricing | 2003-07-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2785000 | 2002-10-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2760115 | 2001-12-18 | Paper |
| Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities | 2001-11-26 | Paper |
| Optimal environment management in the presence of irreversibilities | 2001-09-25 | Paper |
| A solution approach to valuation with unhedgeable risks | 2001-09-16 | Paper |
| Optimal investment and consumption models with non-linear stock dynamics | 2001-05-24 | Paper |
| On Level Curves of Value Functions in Optimization Models of Expected Utility | 2001-03-29 | Paper |
| Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences | 2000-03-01 | Paper |
| Computation of distorted probabilities for diffusion processes via stochastic control methods. | 2000-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4495101 | 2000-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4227227 | 1999-02-23 | Paper |
| Hedging in incomplete markets with HARA utility | 1998-07-23 | Paper |
| Optimal consumption and portfolio choice with borrowing constraints | 1998-06-14 | Paper |
| Optimal Investment With Undiversifiable Income Risk | 1998-01-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356592 | 1997-10-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868513 | 1996-04-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4848529 | 1995-09-17 | Paper |
| Numerical schemes for investment models with singular transactions | 1995-05-23 | Paper |
| Consumption-Investment Models with Constraints | 1994-06-23 | Paper |
| European Option Pricing with Transaction Costs | 1993-07-21 | Paper |
| Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters | 1993-01-16 | Paper |
| An Optimal Investment/Consumption Model with Borrowing | 1992-06-28 | Paper |
