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Andreas Groll

Dr. Andreas Groll

Contact

LMU Mathematics Institute
Theresienstr. 39, Room B232
D-80333 Munich

Phone: +49 (0) 89 2180-4697
Fax: +49 (0) 89 2180-4452

Office hours:
By arrangement

  • Current Work: Prediction model for the FIFA World Cup 2014 (PDF, 171KB)
  • CV (PDF, 681KB), including talks on conferences
  • Research emphases: Random effects and mixed models, Boosting technics, Intensity based models, Survival analysis, Pricing

Teaching Summer Term 2014

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 via 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

    (PDF, 598KB)

  • 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, 486KB)

  • 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.,
    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, 2014

    (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)

  • Risk-minimization for life insurance liabilities with dependent mortality risk
    Biagini, F., Botero, C., Schreiber, I.,
    accepted in Mathematical Finance

    (PDF, 578KB)

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

    (PDF, 243KB)

  • Electricity futures price modeling with Lévy term structure models
    Biagini, F., Bregman, Y., Meyer-Brandis, T.,
    accepted in International Journal of Theoretical and Applied Finance, 2014

    (PDF, 372KB)

  • 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

    (PDF, 598KB)

  • 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)

  • 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), Birkhäuser Verlag, 2013

    (PDF, 256KB)

  • Hedging mortality claims with longevity bonds
    Biagini, F., Rheinländer, T., Widenmann, J.,
    ASTIN Bulletin, 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., Montes, J. M.,
    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, 1-24, 2014

    (PDF, 378KB)

  • Volatitlität als Investment: Diversifikationseigenschaften als Volatitilitätsstrategien
    Detering, N., Zhou, Q., Wystup, U.,
    CPQF Working Paper Series 30, 2012

    (PDF, 897 KB)

  • The canonical model space for law-invariant convex risk measures is L^1
    Filipovic, D., 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)

  • 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)

  • 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, 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)

  • Local Risk Minimization and Numéraire
    Biagini, F., Pratelli, M.,
    Journal of Applied Probability 36 (4),1-14, 1999

    (PDF, 188KB)

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