Workgroup Financial Mathematics
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Publications

  • Robust Mean-Variance Hedging via G-Expectation
    Biagini, F. , Mancin, J. , Meyer-Brandis, T. ,
    Stochastic Processes and their Applications, accepted, 2018 (PDF, 401 KB)
  • On Fairness of Systemic Risk Measures
    Biagini, F. , Fouque, J. P. , Frittelli, M. , Meyer-Brandis, T. ,
    Preprint, 2018 (PDF, 785KB)
  • Financial asset bubbles in banking networks
    Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
    Preprint, 2018 (PDF, 339KB)
  • A Unified Modeling Framework for Life and Non-Life Insurance
    Biagini, F. , Zhang , Y. ,
    Preprint, 2018

    (PDF, 205 KB)

  • Financial Contagion in a Generalized Stochastic Block Model
    Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
    Preprint, 2018 (PDF, 878 KB)
  • Optional projection in duality
    Perkkiö, A.-P. , Pennanen, T. ,
    Preprint, 2018 (PDF, 364KB)
  • An analytic pricing framework for financial assets with trading suspensions
    Torricelli, L. , Fries, C. ,
    Preprint, 2018 PDF, 700KB
  • Liquidity induced asset bubbles via flows of ELMMs
    Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
    SIAM Journal on Financial Mathematics, accepted, 2018 (PDF, 937 KB)
  • Managing Default Contagion in Large Financial Networks
    Detering, N. , Meyer-Brandis, T. ,
    FIRM Jahrbuch 2018
  • Strongly Consistent Multivariate Conditional Risk Measures
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Mathematics and Financial Economics, DOI 10.1007/s11579-017-0210-3, 2018 (PDF, 780 KB)
  • The Fatou Closedness under Model Uncertainty
    Maggis, M. , Meyer-Brandis, T. , Svindland, G. ,
    Positivity, accepted, 2018. (PDF, 343 KB)
  • Affine HJM framework on S^+_d and long-term yield
    Biagini, F. , Gnoatto, A. , Haertel, M. ,
    Applied Mathematics and Optimization 77(3), 405-441, 2018 (PDF, 445KB)
  • Computing deltas without derivatives
    Banos, D.R. , Duedahl, S. , Meyer-Brandis, T. , Proske, F. ,
    Finance and Stochastics, 21(2), 509-549, 2017 (PDF, 1100KB)
  • Local risk minimisation with multiple assets under illiquidity with applications in energy markets
    Christodoulou, P. , Detering, N. , Meyer-Brandis, T. ,
    IJTAF, accepted, 2017. (PDF, 654.8 KB)
  • Stochastic Automatic Differentiation: Efficient Tapeless Implementation of Automatic Differentiation for Monte-Carlo Simulations
    Fries, C. , Sedlmair, S. ,
    submitted to The Journal of Risk SSRN link
  • Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle
    Banos, D.R. , Duedahl, S. , Meyer-Brandis, T. , Proske, F. ,
    Ann. de l'Inst. Henri Poincare, accepted, 2017 (PDF, 487KB)
  • Conjugates of integral functionals on continuous functions
    Perkkiö, A.-P. ,
    Journal of Mathematical Analysis and Applications, 2017 (DOI: 10.1016/j.jmaa.2017.10.066) (PDF, 316KB)
  • Allocation of Systemic Risk
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Preprint, 2017 (PDF, 333KB)
  • Shadow price of information in discrete time stochastic optimization
    Pennanen, T. , Perkkiö, A.-P. ,
    Mathematical programming, 2017 (DOI: 10.1007/s10107-017-1163-2) (PDF, 298KB)
  • A unified approach to systemic risk measures via acceptance sets
    Biagini, F. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
    Mathematical Finance, accepted, 2017 (PDF, 430KB)
  • Financial Asset Price Bubbles under Model Uncertainty
    Biagini, F. , Mancin, J. ,
    Probability, Uncertainty and Quantitative Risk, 2017 (14) (PDF, 344 KB)
  • Reduced-form framework under model uncertainty
    Biagini, F. , Zhang , Y. ,
    Preprint, 2017 (PDF, 242 KB)
  • Volatility targeting using delayed diffusions
    Torricelli, L. ,
    Preprint, 2017 (PDF, 577 KB)
  • Convex duality in nonlinear optimal transport
    Perkkiö, A.-P. , Pennanen, T. ,
    Preprint, 2017 (PDF, 400KB)
  • Managing Default Contagion in Inhomogeneous Financial Networks
    Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
    Preprint, 2017 (PDF, 2.9 MB)
  • Risk-minimization for life insurance liabilities with dependent mortality risk
    Biagini, F. , Botero, C. , Schreiber, I. ,
    Mathematical Finance, 27 (2), 505-533, 2017 (PDF, 578KB)
  • Employment and Fertility – A Comparison of the Family Survey 2000 and the Pairfam Panel
    Groll, A. , Abedieh, J. ,
    accepted in: "New Trends in Stochastic Modeling and Data Analysis", eds: Raimondo Manca, Sally McClean, Christos H Skiadas, 2016 (PDF, 608KB)
  • Optional and predictable projections of normal integrands and convex-valued processes
    Kiiski, M. , Perkkiö, A.-P. ,
    Set-Valued and Variational Analysis, 2016 (PDF, 367KB)
  • Stochastic programs without duality gaps for objectives without a lower bound
    Perkkiö, A.-P. ,
    Preprint, 2016 (PDF, 366KB)
  • Duality and optimality conditions in stochastic optimization and mathematical finance
    Bigini, S. , Pennanen, T. , Perkkiö, A.-P. ,
    Journal of Convex Analysis, to appear, 2016 (PDF, 370KB)
  • Elements of Probability and Statistics: An Introduction to Probability with de Finettis Approach and to Bayesian Statistics
    Biagini, F. , Campanino, M. ,
    Springer, 2016 (link to book page)
  • Convex integral functionals of processes of bounded variation
    Pennanen, T. , Perkkiö, A.-P. ,
    Journal of Convex Analysis, to appear, 2016 (PDF, 350KB)
  • Regularization in Cox Frailty Models
    Groll, A. , Hastie, T. , Tutz, G. ,
    Technical Report 191, Department of Statistics, LMU Munich, 2016

    (PDF, 332 KB)

  • Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes
    Torricelli, L. ,
    Review of derivatives research 19, 1, 2016 Arxiv preprint
  • Variable Selection in Discrete Survival Models Including Heterogeneity
    Groll, A. , Tutz, G. ,
    accepted in: Lifetime Data Analysis, 2016 (PDF, 4.8MB)
  • Convex integral functionals of regular processes
    Pennanen, T. , Perkkiö, A.-P. ,
    Stochastic Processes and Their Applications, 2017 (DOI: 10.1016/j.spa.2017.08.007) (PDF, 435KB)
  • Polynomial Diffusion Models for Life Insurance Liabilities
    Biagini, F. , Zhang , Y. ,
    Insurance: Mathematics and Economics, Vol. 71, Page 114–129, 2016 (PDF, 465 KB)
  • Longitudinal evaluation of medication underuse in older outpatients and its association with quality of life
    Meid, A-D. , Quinzler, R. , Freigofas, J. , Groll, A. , Saum, K.-U. , Schöttker, B. , Brenner, H. , Heider, D. , König, H.-H. , Wild, B. , Haefeli, E. ,
    accepted: European Journal of Clinical Pharmacology, 2016
  • Existence of solutions in non-convex dynamic programming and optimal investment
    Pennanen, T. , Perkkiö, A.-P. , Rásonyi, M. ,
    Mathematical Finance and Economics, 2016 (PDF, 356KB)
  • Risk-consistent conditional systemic risk measures
    Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
    Stochastic Processes and their Applications, 126(7), 2014-2037, 2016. (PDF, 381 KB)
  • Convex duality in optimal investment and contingent claim valuation in illiquid markets
    Pennanen, T. , Perkkiö, A.-P. ,
    Preprint, 2016 (PDF, 431KB)
  • The scaling limit of superreplication prices with small transaction costs in the multivariate case
    Bank, P. , Dolinsky, Y. , Perkkiö, A.-P. ,
    Finance and Stochastics, 21(2), 487–508. 2017 (PDF, 338KB)
  • A consistent two-factor model for pricing temperature derivatives
    Groll, A. , Lopez-Cabrera, B. , Meyer-Brandis, T. ,
    Energy Economics, 55, 112-126, 2016 (PDF, 2.6MB)
  • Risk-minimization for life insurance liabilities with basis risk
    Biagini, F. , Rheinländer, T. , Schreiber, I. ,
    Mathematics and Financial Economics, Vol. 10, Issue 2, Page 151-178, 2016 (PDF, 521KB)
  • Risk minimization for insurance products via F-doubly stochastic Markov chains
    Biagini, F. , Groll, A. , Widenmann, J. ,
    Risks, Volume 4, Issue 3, Article number 23, 2016 (PDF, 559KB)
  • Prediction of major international soccer tournaments based on team-specific regularized Poisson regression: an application to the FIFA World Cup 2014
    Groll, A. , Schauberger, G. , Tutz, G. ,
    J. Quant. Anal. Sports 11(2), 97–115, 2015 (PDF, 448KB)
  • The formation of financial bubbles in defaultable markets
    Biagini, F. , Nedelcu, S. ,
    SIAM Journal on Financial Mathematics, Vol. 6, Issue 1, Page 530-558, 2015 (PDF, 457KB)
  • Pricing and hedging asian-style options in energy
    Benth, F.E. , Detering, N. ,
    Finance & Stochastics, Vol. 19(4), Page 849-889, 2015 (PDF, 598KB)
  • The Model Risk of Contingent Claims
    Detering, N. , Packham, N. ,
    accepted in: Quantitative Finance, 2015 (PDF, 598KB)
  • Regularization in Cox Frailty Models
    Groll, A. , Hastie, T. , Tutz, G. ,
    Proceedings of the 30th International Workshop on Statistical Modelling, Volume 1, 198 - 203, 2015 (PDF, 233KB)
  • The long-term swap rate and a general analysis of long-term interest rates
    Biagini, F. , Gnoatto, A. , Haertel, M. ,
    Preprint, 2015 (PDF, 378 KB)
  • A general HJM framework for multiple yield curve modeling
    Cuchiero, C. , Fontana, C. , Gnoatto, A. ,
    accepted in: Finance and Stochastics, 2015 (PDF, 909KB)
  • Bootstrap percolation in directed and inhomogeneous random graphs
    Detering, N. , Meyer-Brandis, T. , Panagiotou, K. ,
    Preprint, 2015 (PDF, 334 KB)
  • General closed-form basket option pricing bounds
    Caldana, R. , Fusai, G. , Gnoatto, A. , Grasselli, M. ,
    accepted in: Quantitative Finance, 2015 (PDF, 2.1MB)
  • Electricity futures price modeling with Lévy term structure models
    Biagini, F. , Bregman, Y. , Meyer-Brandis, T. ,
    International Journal of Theoretical and Applied Finance 18 (1), 2015 (PDF, 372KB)
  • Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps
    Fries, C. , Lichtner, M. ,
    Preprint, 2014 (PDF, 360KB)
  • An affine multi-currency model with stochastic volatility and stochastic interest rates
    Gnoatto, A. , Grasselli, M. ,
    accepted in: 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, 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)
  • 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)
  • 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)
  • 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. ,
    accepted in: SIAM Journal on Financial Mathematics, Accepted, 2014 (PDF, 697KB)
  • Continuous essential selections and integral functionals
    Perkkiö, A.-P. ,
    Set-Valued and Variational Analysis, 136(1), 45–58, 2014 (PDF, 185 KB)
  • Model risk in incomplete markets with jumps
    Detering, N. , Packham, N. ,
    in: 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 24(2), 137-154, 2014 (PDF, 4.8MB)
  • Duality in convex problems of Bolza over functions of bounded variation
    Pennanen, T. , Perkkiö, A.-P. ,
    SIAM Journal of Control and Optimization, 52(3), 1481–1498, 2014 (PDF, 369 kB)
  • The explicit Laplace transform for the Wishart process
    Gnoatto, A. , Grasselli, M. ,
    Journal of Applied Probability 51(3), 2014 (PDF, 370KB)
  • A Parametric Approach to Counterparty and Credit Risk
    Haertel, M. , Orlando, G. ,
    Journal of Credit Risk, Volume 10, Issue 4, 97-133, 2014 (PDF, 572KB)
  • 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), Page 203-228., 2013 (PDF, 363 KB)
  • Pricing joint claims on an asset and its realised variance in stochastic volatility models
    Torricelli, L. ,
    International Journal of Theoretical and applied Finance, 16, 1, 2013 Arxiv preprint
  • A Study on European Football Championships in the GLMM Framework with an Emphasis on UEFA Champions League Experience
    Groll, A. , Abedieh, J. ,
    J. R. Bozeman, V. Girardin and C.H.Skiadas (Eds.), New perspectives on stochastic modeling and data analysis, Athens: ISAST, 313-321, 2014 (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)
  • Risk-minimization for life insurance liabilities
    Biagini, F. , Schreiber, I. ,
    SIAM Journal on Financial Mathematics 4, 243 - 264, 2013 (PDF, 488KB)
  • Extension of Normed Call Prices for Negative Strikes and Forwards
    Fries, C. , Gopa, P. ,
    Preprint, 2013 (PDF, 417KB)
  • 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 fractional credit model with long range dependent default rate
    Biagini, F. , Fink, H. , Klueppelberg, C. ,
    Stochastic Processes and their Applications 123, 1319 - 1347, 2013 (PDF, 256KB)
  • 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), Springer, 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 (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)
  • Target volatility option pricing
    Di Graziano, G. , Torricelli, L. ,
    International Journal of Theoretical and Applied Finance, 15, 1, 2012 Eprint
  • Volatitlität als Investment: Diversifikationseigenschaften als Volatitilitätsstrategien
    Detering, N. , Zhou, Q. , Wystup, U. ,
    CPQF Working Paper Series 30, 2012 (PDF, 897 KB)
  • Stochastic programs without duality gaps
    Perkkiö, A.-P. , Pennanen, T. ,
    Mathematical Programming, 136(1), pages 91–110, 2012 (PDF, 348KB)
  • 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)
  • 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, 2011 (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)
  • 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)
  • Stable Monte-Carlo sensitivities for bermudan callable products
    Fries, C. ,
    Preprint, 2009 (Link to SSRN pre-print )
  • 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)
  • 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)
  • 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)