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Nils Detering

Dr. Nils Detering

Contact

LMU Mathematics Institute
Theresienstr. 39
D-80333 Munich

Room: B235
Phone: +49 (0) 89 2180-4579
Fax: +49 (0) 89 2180-4452

Recent Publications & Preprints

  • Brazil or Germany - who will win the trophy? Prediction of the FIFA World Cup 2014
    Groll, A. , Schauberger, G., Tutz, G.,
    Preprint, 2014

    (PDF, 448KB)

  • Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps
    Fries, C. , Lichtner, M.,
    Preprint, 2014

    (PDF, 360KB)

  • A general HJM framework for multiple yield curve modeling
    Cuchiero, C., Fontana, C., Gnoatto, A. ,
    Preprint, 2014

    (PDF, 909KB)

  • An affine multi-currency model with stochastic volatility and stochastic interest rates
    Gnoatto, A. , Grasselli, M.,
    SIAM Journal on Financial Mathematics, Accepted, 2014

    (PDF, 555KB)

  • Analytic pricing of volatility-equity options within affine models: an efficient conditioning technique
    Gnoatto, A. , Grasselli, M.,
    Preprint, 2014

    (PDF, 404KB)

  • Optimal control with delayed information flow of systems driven by G-Brownian motion
    Biagini, F. , Meyer-Brandis, T. , Øksendal, B., Paczka, K.,
    Preprint, LMU and University of Oslo, 2014 (PDF, 542KB)
  • 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 under the benchmark approach
    Biagini, F. , Cretarola, A., Platen, E.,
    Mathematics and Financial Economics: Volume 8, Issue 2, Page 109-134, 2014

    (PDF, 537KB)

  • The formation of financial bubbles in defaultable markets
    Biagini, F. , Nedelcu, S. ,
    Preprint, 2014

    (PDF, 457KB)

  • Pricing and Hedging Asian-Style Options in Energy
    Benth, F.E., Detering, N. ,
    Finance & Stochastics, accepted, 2014 (Link to SSRN pre-print)
  • Shifting Martingale Measures and the 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, 486KB)

  • Monte Carlo Variance Reduction by conditioning for pricing with underlying a continuous-time finite state Markov process
    Prezioso, V., Runggaldier, W.J.,
    SIAM Journal on Financial Mathematics, Accepted, 2014 (PDF, 697KB)
  • Employment and Fertility – A Comparison of the Family Survey 2000 and the Pairfam Panel
    Groll, A. , Abedieh, J.,
    Preprint, 2014

    (PDF, 608KB)

  • Variable Selection in Discrete Survival Models Including Heterogeneity
    Tutz, G., Groll, A. ,
    Technical Report 167, Department of Statistics, LMU Munich.

    (PDF, 4.8MB)

  • Model risk in incomplete markets with jumps
    Detering, N. , Packham, N.,
    accepted: Springer Proceedings in Mathematics & Statistics, Vol. 99, Kathrin Glau et al: INNOVATIONS IN QUANTITATIVE RISK MANAGEMENT

    (link to book page)

  • Variable selection for generalized linear mixed models by L1-penalized estimation
    Groll, A. , Tutz, G.,
    Statistics and Computing, Volume 24, Issue 2, pp 137-154, 2014

    (PDF, 4.8MB)

  • Risk-Consistent Conditional Systemic Risk Measures
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Preprint, 2014

    (PDF, 381 KB)

  • On the lower arbitrage bound of american contingent claims
    Acciaio, B., Svindland, G. ,
    Mathematical Finance, 27, 147-155, 2014

    (PDF, 318KB)

  • A consistent two-factor model for pricing temperature derivatives
    Groll, A. , Lopez-Cabrera, B., Meyer-Brandis, T. ,
    Preprint, 2014

    (PDF, 2.6MB)

  • General closed-form basket option pricing bounds
    Caldana, R., Fusai, G., Gnoatto, A. , Grasselli, M.,
    Preprint, 2014

    (PDF, 2.1MB)

  • The explicit Laplace transform for the Wishart process
    Gnoatto, A. , Grasselli, M.,
    Journal of Applied Probability 51(3), 2014

    (PDF, 370KB)

  • Dilatation monotonicity and convex order
    Svindland, G. ,
    Mathematics and Financial Economics, 8, 241-247, 2014

    (PDF, 243KB)

  • Ambiguity aversion in standard and extended Ellsberg frameworks: \alpha-maxmin versus maxmin preferences
    Ravanelli, C., Svindland, G. ,
    Preprint, 2014

    (PDF, 505KB)

  • Comonotone Pareto optimal allocations for law invariant robust utilities on L^1
    Ravanelli, C., Svindland, G. ,
    Finance and Stochastics, 18, 249-269, 2014

    (PDF, 431KB)

  • Measuring the Model Risk of Contingent Claims
    Detering, N. , Packham, N.,
    Preprint, 2013 (Link to SSRN pre-print)
  • 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), S. 203-228., 2013 (Link to article page)
  • A Study on European Football Championships in the GLMM Framework with an Emphasis on UEFA Champions League Experience
    Groll, A. , Abedieh, J.,
    Proceedings, 15th Applied Stochastic Models and Data Analysis (ASMDA 2013) International Conference, Mataró (Barcelona), Spain 25 - 28 June 2013

    (PDF, 274KB)

  • 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, 3.4MB)

  • Extension of Normed Call Prices for Negative Strikes and Forwards
    Fries, C. , Gopa, P.,
    Preprint, 2013

    (PDF, 417KB)

  • Risk-minimization for life insurance liabilities
    Biagini, F. , Schreiber, I.,
    SIAM Journal on Financial Mathematics 4, 243 - 264.

    (PDF, 488KB)

  • 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, 462KB)

  • Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models
    Fries, C. ,
    Preprint, 2013

    (PDF, 361KB)

  • A Parametric Approach to Counterparty and Credit Risk
    Haertel, M. , Orlando, G.,
    Journal of Credit Risk, accepted, 2014

    (PDF, 572KB)

  • Affine HJM framework on and long-term yield
    Biagini, F. , Gnoatto, A. , Haertel, M. ,
    Preprint, 2013

    (PDF, 445KB)

  • Risk minimization for insurance products via F-doubly stochastic Markov chains
    Biagini, F. , Widenmann, J.,
    Preprint, 2013

    (PDF, 559KB)

  • Are law-invariant risk functions concave on distributions?
    Acciaio, B., Svindland, G. ,
    Dependence Modeling, 1, 54-64, 2013

    (PDF, 300KB)

  • Hedging mortality claims with longevity bonds
    Biagini, F. , Rheinländer, T., Widenmann, J.,
    ASTIN Bulletin - The Journal of the International Actuarial Association, 43(2), 123-157, 2013

    (PDF, 1.24MB)

  • 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

    (PDF, 4.6MB)

  • Intensity-based premium evaluation for unemployment insurance products
    Biagini, F. , Groll, A. , Widenmann, J.,
    Insurance: Mathematics and Economics 53, 302–316, 2013

    (PDF, 10.2MB)

  • A unified approach to pricing and risk management of equity and credit risk
    Fontana, C.,
    Journal of Computational and Applied Mathematics, 259, 350 - 361, 2013

    (PDF, 519KB)

  • Measuring Concentration in Data with an Exogenous Order
    Abedieh, J., Groll, A. , Eugster, M. J. A.,
    Preprint, 2013

    (PDF, 547KB)

  • 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, 2013

    (PDF, 490KB)

  • Coherent foreign exchange market models
    Gnoatto, A. ,
    Preprint, 2013

    (PDF, 300KB)

  • 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, 1.9MB)

  • 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, 589KB)

  • 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, 2014

    (PDF, 378KB)

  • Volatitlität als Investment: Diversifikationseigenschaften als Volatitilitätsstrategien
    Detering, N. , Zhou, Q., Wystup, U.,
    CPQF Working Paper Series 30, 2012 (link to pre-print)
  • The canonical model space for law-invariant convex risk measures is L^1
    Svindland, G. ,
    Mathematical Finance 22(3), 585-589, 2012

    (PDF, 286KB)

  • Risk-minimization for life insurance liabilities with basis risk
    Biagini, F. , Rheinländer, T., Schreiber, I.,
    Preprint, 2012

    (PDF, 521KB)

  • Risk-minimization for life insurance liabilities with dependent mortality risk
    Biagini, F. , Botero, C., Schreiber, I.,
    Preprint, 2012

    (PDF, 578KB)

  • 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, DOI: 10.1080/17442508.2011.652964, 33 pages, 2012

    (PDF, 430KB)

  • 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, 1.13MB)

  • 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, 5.25MB)

  • Local risk-minimization with recovery process
    Biagini, F. , Cretarola, A.,
    Applied Mathematics & Optimization 65(3), 293-314, 2012

    (PDF, 484KB)

  • 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, 410KB)

  • 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, 530KB)

  • 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, 311KB)

  • The Wishart short rate model
    Gnoatto, A. ,
    International Journal of Theoretical and Applied Finance 15(8), 2012

    (PDF, 6.5MB)

  • 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, 2.24MB)

  • Dual representation of monotone convex functions on L^0
    Kupper, M., Svindland, G. ,
    Proceedings of the AMS 139(11), 4073-4086, 2011

    (PDF, 380KB)

  • 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, 241KB)

  • 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, 201

    (PDF, 307KB)

  • Evaluating hybrid products: the interplay between financial and insurance markets
    Biagini, F. ,
    Proceedings of Ascona 2011: Seventh Seminar on Stochastic Analysis, Random Fields and Applications, 2011

    (PDF, 256KB)

  • Electricity futures price modeling with Lévy term structure models
    Biagini, F. , Bregman, Y., Meyer-Brandis, T. ,
    Preprint, 2011

    (PDF, 372KB)

  • A mean-field stochastic maximum principle via Malliavin calculus
    Meyer-Brandis, T. , Øksendal, B., Zhou, X. Y.,
    Stochastics, DOI:10.1080/17442508.2011.651619, 24 pages, 2011

    (PDF, 368KB)

  • 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, 380KB)

  • 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, 155KB)

  • A fractional credit model with long range dependent default rate
    Biagini, F. , Fink, H., Klueppelberg, C.,
    accepted for publication in Stochastic Processes and their Applications, 2010

    (PDF, 256KB)

  • Money out of nothing? - Prinzipien und Grundlagen der Finanzmathematik
    Biagini, F. , Rost, D. ,
    Beiträge zum Mathematikunterricht 2010, WTM Verlag, Münster, 41-48, 2010

    (PDF, 96KB)

  • 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, 203KB)

  • How duration between trades of underlying securities affects option prices
    Cartea, A., Meyer-Brandis, T. ,
    Review of Finance 14(4), 749-785, 2010

    (PDF, 1MB)

  • 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, 910KB)

  • A Gel'fand triple approach to the small noise problem for discontinuous ODE's
    Menoukeu-Pamen, O. P., Meyer-Brandis, T. , Proske, F.,
    Preprint, 2010

    (PDF, 412KB)

  • 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, 203KB)

  • Continuity properties of law-invariant (quasi-)convex risk functions
    Svindland, G. ,
    Mathematics and Financial Economics 3(1), 39-43, 2010

    (PDF, 290KB)

  • Subgradients of law-invariant convex risk measures on L^1
    Svindland, G. ,
    Statistics & Decisions 27(2), 169-199, 2010

    (PDF, 471KB)

  • Stable Monte-Carlo sensitivities for bermudan callable products
    Fries, C. ,
    Preprint, 2009 (Link to SSRN pre-print )
  • Optimal risk sharing with different reference probabilities
    Acciaio, B., Svindland, G. ,
    Insurance: Mathematics and Economics 44(3), 426-433, 2009

    (PDF, 247KB)

  • The information premium for non-storable commodities
    Benth, F. E., Meyer-Brandis, T. ,
    Journal of Energy Markets 2(3), 111-140, 2009

    (PDF, 250KB)

  • 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, 334KB)

  • Asymptotics for operational risk quantified with expected shortfall
    Biagini, F. , Ulmer, S.,
    ASTIN Bulletin 39, 735-752, 2009

    (PDF, 257KB)

  • 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, 198KB)

  • Pricing interest rate guarantee in a defined benefit pension setting
    Henriksen, P. A., Hove, A., Meyer-Brandis, T. , Proske, F.,
    Preprint, 2009

    (PDF, 405KB)

  • Electricity markets
    Meyer-Brandis, T. ,
    Encyclopedia of Quantitative Finance, John Wiley and Sons, 2009

    (PDF, 318KB)

  • 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, 236KB)

  • A note on natural risk statistics
    Ahmend, S., Svindland, G. ,
    Operations Research Letters 36(6), Issue 6, 662-664, 2008

    (PDF, 267KB)

  • 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, 404KB)

  • 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, 229KB)

  • 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, 293KB)

  • 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, 143KB)

  • Optimal capital and risk allocations for law- and cash-invariant convex functions
    Svindland, G. ,
    Finance and Stochastics 12(3), 423-439, 2008

    (PDF, 371KB)

  • Differential equations driven by Lévy white noise in spaces of Hilbert-space-valued distributions
    Meyer-Brandis, T. ,
    Stochastics 80(4), 371-396, 2008

    (PDF, 267KB)

  • 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, 475KB)

  • 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, 257KB)

  • Quadratic hedging methods for defaultable claims
    Biagini, F. , Cretarola, A.,
    Applied Mathematics and Optimization 56(3), 425-443, 2007

    (PDF, 172KB)

  • On the timing option in a futures contract
    Biagini, F. , Bjoerk, T.,
    Mathematical Finance 17(2), 267-283, 2007

    (PDF, 127KB)

  • Stochastic Feynman-Kac equations associated to Lévy-Itô diffusions
    Meyer-Brandis, T. ,
    Stochastic Analysis and Applications 25(5), 913-932, 2007

    (PDF, 236KB)

  • 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, 323KB)

  • 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, 290KB)

  • 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, 360KB)

  • 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, 235KB)

  • 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, 191KB)

  • 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, 284KB)

  • 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, 288KB)

  • 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, 221KB)

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

    (PDF, 135KB)

  • 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, 134KB)

  • Mean-variance hedging for interest rate models with stochastic volatility
    Biagini, F. ,
    Decisions in Economics and Finance 25(1), 1-17, 2002

    (PDF, 130KB)

  • Mean-variance hedging with random volatility jumps
    Biagini, F. , Guasoni, P.,
    Stochastic Analysis and Applications 20(3), 471-494, 2002

    (PDF, 244KB)

  • A quadratic approach for interest rates models in incomplete markets
    Biagini, F. ,
    Proceedings of Workshop on Mathematical Finance, Konstanz, Germany, October 2000, 2001

    (PDF, 181KB)

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

    (PDF, 255KB)

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