| Publication | Date of Publication | Type |
|---|
| Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal | 2021-07-16 | Paper |
| Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates | 2021-07-16 | Paper |
| The use of power numeraires in option pricing | 2019-02-22 | Paper |
| Rapid and accurate development of prices and Greeks fornth to default credit swaps in the Li model | 2019-01-15 | Paper |
| Bounding Bermudan swaptions in a swap-rate market model | 2019-01-14 | Paper |
| A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation | 2019-01-14 | Paper |
| Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation | 2018-11-01 | Paper |
| Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies | 2018-11-01 | Paper |
| A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds | 2018-09-28 | Paper |
| Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs | 2018-09-19 | Paper |
| THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL | 2018-06-04 | Paper |
| LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS | 2017-01-04 | Paper |
| An exact method for the sensitivity analysis of systems simulated by rejection techniques | 2016-10-07 | Paper |
| Addendum to: ``Multilevel dual approach for pricing American style derivatives | 2015-08-04 | Paper |
| Proof Patterns | 2015-04-07 | Paper |
| THE EFFICIENT COMPUTATION OF PRICES AND GREEKS FOR CALLABLE RANGE ACCRUALS USING THE DISPLACED-DIFFUSION LMM | 2014-04-25 | Paper |
| Truncation and acceleration of the Tian tree for the pricing of American put options | 2014-01-30 | Paper |
| FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS | 2013-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2842206 | 2013-08-13 | Paper |
| Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model | 2013-01-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2919950 | 2012-10-23 | Paper |
| On the analytical/numerical pricing of American put options against binomial tree prices | 2012-06-25 | Paper |
| ACCELERATING PATHWISE GREEKS IN THE LIBOR MARKET MODEL | 2012-05-07 | Paper |
| Monte Carlo Bounds for Game Options Including Convertible Bonds | 2011-07-28 | Paper |
| PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS | 2011-06-10 | Paper |
| Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions | 2011-06-09 | Paper |
| Fast delta computations in the swap-rate market model | 2011-03-31 | Paper |
| FAST SENSITIVITY COMPUTATIONS FOR MONTE CARLO VALUATION OF PENSION FUNDS | 2011-02-01 | Paper |
| FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS | 2010-09-21 | Paper |
| PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER | 2010-09-16 | Paper |
| ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES | 2010-03-12 | Paper |
| Achieving smooth asymptotics for the prices of European options in binomial trees | 2009-04-20 | Paper |
| Effective Implementation of Generic Market Models | 2009-01-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3533738 | 2008-10-24 | Paper |
| New and robust drift approximations for the LIBOR market model | 2008-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3511284 | 2008-07-09 | Paper |
| A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options | 2007-10-11 | Paper |
| A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE | 2005-06-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4673216 | 2005-04-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4821330 | 2004-10-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4821337 | 2004-10-13 | Paper |
| Scattering on stratified media: the microlocal properties of the scattering matrix and recovering asymptotics of perturbations. | 2003-06-26 | Paper |
| The wave group on asymptotically hyperbolic manifolds | 2002-11-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3150062 | 2002-09-29 | Paper |
| Higher Order Scattering on Asymptotically Euclidean Manifolds | 2002-04-30 | Paper |
| Explicitly recovering asymptotics of short range potentials | 2001-06-18 | Paper |
| Recovering asymptotics of metrics from fixed energy scattering data | 2001-01-22 | Paper |
| Inverse scattering on asymptotically hyperbolic manifolds. | 2000-12-06 | Paper |
| A model form for exact 𝑏-metrics | 2000-11-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4262076 | 2000-07-13 | Paper |
| Total determination of material parameters from electromagnetic boundary information | 2000-06-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4719582 | 2000-02-08 | Paper |
| Recovering asymptotics of short range potentials | 1999-09-23 | Paper |
| Recovering Asymptotics of Coulomb-like Potentials from Fixed Energy Scattering Data | 1999-06-27 | Paper |
| The generation of semilinear singularities by a swallowtail caustic | 1999-05-31 | Paper |
| Recovering the total singularity of a conormal potential from backscattering data | 1998-11-29 | Paper |
| A symbolic construction of the forward fundamental solution of the wave operator | 1998-11-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4356429 | 1998-07-19 | Paper |
| A commutator proof of the propagation of polyhomogeneity for semi-linear equations | 1997-10-22 | Paper |
| An intrinsic characterisation of polyhomogeneous Lagrangian distributions | 1997-05-13 | Paper |
