Current Projects and Publications
- Financial markets with a large trader. With T. Blümmel. Accepted for publication in Annals of Applied Probability (2017)
- Valuation of barrier options via a general self-duality. With E. Alos, Z. Chen. Mathematical Finance. Vol 26, No. 3 (2016), 492--515
- Risk-minimization for life insurance liabilities with basis risk. With F. Biagini, I. Schreiber. Mathematics and Financial Economics. Vol 10, No. 2 (2016), 151--178
- Relative liquidity and future volatility. With M. Valenzuela, I. Zer, P. Fryzlewicz. Journal of Financial Markets. Vol 24, Issue C (2015), 25--48
- Quasi self-dual exponential Lévy processes. With M. Schmutz. SIAM Journal on Financial Mathematics. Vol 5, No. 1 (2014), 656--684
- Self-dual continuous processes. With M. Schmutz. Stochastic Processes and their Applications.
Vol. 123, No. 5 (2013), 1765–1779
- The minimal entropy martingale measure for exponential Markov
chains. With Y. Lee. Journal of Applied Probability. Vol. 50, No. 2 (2013), 344-358
- Hedging mortality claims with longevity bonds. With F. Biagini, J. Widenmann.
ASTIN Bulletin. Vol. 43, No. 2 (2013), 123-157
- Optimal martingale measures for defaultable assets. With Y. Lee.
Stochastic Processes and their Applications 122 (2012), 2870-2884
- Consistent factor models for temperature markets. With P. Hell, T. Meyer-Brandis.
International Journal for Theoretical and Applied Finance Vol. 15, No. 4 (2012), 1250027
- Asymptotic utility-based pricing and hedging for exponential utility.
With J. Kallsen. Statistics & Decisions 28 (2011), 17-36
- Utility indifference hedging with exponential additive processes.
With G. Steiger. Asia-Pacific Financial Markets 17 (2010), 151-169
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models.
With G. Steiger. Annals of Applied Probability Vol. 16, No. 3 (2006),
- Arbitrage opportunities in diverse markets via a
non-equivalent measure change. With J. Osterrieder. Annals of Finance
2 (2006), 287-301
- An entropy approach to the Stein and Stein model with correlation.
Finance and Stochastics 9 (2005), 399-412
- A stochastic version of Zeeman's market model. With M. Steinkamp. Studies in Nonlinear Dynamics & Econometrics. Vol. 8, No. 4 (2004), Article
- On the minimal entropy martingale measure. With P. Grandits. Annals of Probability
- Exponential hedging and entropic penalties. With F. Delbaen, P. Grandits, D. Samperi, M. Schweizer, C. Stricker.
Mathematical Finance 12 (2002),
- Mean-variance hedging for continuous processes: new proofs and examples. With H. Pham, M. Schweizer.
Finance and Stochastics 2 (1998), 173-198
- On L^2-projections on a space of stochastic integrals. With M. Schweizer.
Annals of Probability 25 (1997), 1810-1831.
- Brownian trading excursions and avalanches. With F. Hubalek, P. Krühner. https://arxiv.org/abs/1701.00993 (2017)
- On Margrabe options written on stochastic volatility models. With E. Alos.
Books and Book Contributions
- Hedging Derivatives. With J. Sexton. (2011) World Scientific
- Hedging. In: Encyclopedia for Quantitative Finance. Wiley, 2010
- Equivalent Probability Measures. In: Encyclopedia for Quantitative
Finance. Wiley, 2010
- Stochastic Exponentials. In: Encyclopedia for Quantitative Finance.
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