Andrea Mazzon - Workgroup Financial Mathematics

Support characterization for regular path-dependent stochastic Volterra integral equations
Kalinin, A.,
Electronic Journal of Probability, Volume 26, Article 29, 2021 (PDF, 374 KB)

Systemic Optimal Risk Transfer Equilibrium
Biagini, F., Doldi, A., Fouque, J.P., Frittelli, M., Meyer-Brandis, T.,
Mathematics and Financial Economics, 15(2), 2021 (PDF, 597 KB)

An Integrated Model for Fire Sales and Default Contagion
Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
Mathematics and Financial Economics, 15(1), 2021 (PDF, 4.9 MB)

Asset Pricing with General Transaction Costs: Theory and Numerics
Gonon, L., Muhle-Karbe, J., Shi, X.,
Mathematical Finance, 31(2), 595– 648, 2021 (PDF, 1 MB)

Fading memory echo state networks are universal
Gonon, L., Ortega, J.-P.,
Neural Networks, 138, 10–13, 2021 (PDF, 157 KB)

Deep ReLU Neural Network Approximation for Stochastic Differential Equations with Jumps
Gonon, L., Schwab, C.,
Preprint, 2021 (PDF, 466 KB)

Financial Contagion in a Generalized Stochastic Block Model
Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
Int. Journ. of Theor. and Appl. Fin., 23 (8), 2020 (PDF, 3.7 MB)

Discrete-time signatures and randomness in reservoir computing
Cuchiero, C., Grigoryeva, L., Gonon, L., Ortega, J.-P., Teichmann, J.,
To appear in IEEE Transactions on Neural Networks and Learning Systems (PDF, 377 KB)

On Fairness of Systemic Risk Measures
Biagini, F., Fouque, J. P., Frittelli, M., Meyer-Brandis, T.,
Finance & Stochastics, 24(2), 513-564, 2020 (PDF, 785 KB)

Risk bounds for reservoir computing
Gonon, L., Grigoryeva, L., Ortega, J.-P.,
Journal of Machine Learning Research, 21(240):1−61, 2020. (PDF, 688 KB)

General analysis of long-term interest rates
Biagini, F., Gnoatto, A., Haertel, M.,
International Journal of Applied and Theoretical Finance, 23(1), 2020 (PDF, 377 KB )

Estimating Extreme Cancellation Rates in Life Insurance
Biagini, F., Huber, T., Jaspersen, J.G., Mazzon, A.,
To appear in the Journal of Risk and Insurance, 2020 (PDF, 871 KB)

Linearized Filtering of Affine Processes Using Stochastic Riccati Equations
Gonon, L., Teichmann, J.,
Stochastic Processes and their Applications, 130 (1), 394-430, 2020 (PDF, 716 KB)

Approximation Bounds for Random Neural Networks and Reservoir Systems
Gonon, L., Grigoryeva, L., Ortega, J.-P.,
Preprint, 2020 (PDF, 452 KB)

Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, L., Schwab, C.,
Preprint, 2020 (PDF, 599 KB)

Reservoir Computing Universality With Stochastic Inputs
Gonon, L., Ortega, J.-P.,
IEEE Transactions on Neural Networks and Learning Systems, 2020 (PDF, 452 KB)

Optional projection under equivalent local martingale measures
Biagini, F., Mazzon, A., Perkkiö, A.-P.,
Preprint, 2020 (PDF, 417 KB)

Memory and forecasting capacities of nonlinear recurrent networks
Gonon, L., Grigoryeva, L., Ortega, J.-P.,
Physica D, 414, 132721, 1-13, 2020 (PDF, 416 KB)

Generalized Feynman-Kac Formula under volatility uncertainty
Akhtari, B., Biagini, F., Mazzon, A., Oberpriller, K.,
Preprint, 2020 (PDF, 1,1 MB)

On existence and uniqueness properties for solutions of stochastic fixed point equations
Beck, C., Gonon, L., Hutzenthaler, M., Jentzen, A.,
Discrete and Continuous Dynamical Systems - Series B, 2020 (PDF, 479 KB)

On the support of solutions to stochastic differential equations with path-dependent coefficients
Kalinin, A., Cont, R.,
Stochastic Processes and their Applications, Volume 130(5), 2639-2674, 2020 (PDF, 468 KB)

Reduced-form setting under model uncertainty with non-linear affine intensities
Biagini, F., Oberpriller, K.,
Preprint, 2020 (PDF, 902 KB)

Markovian Integral Equations
Kalinin, A.,
Annales de l’Institut Henri Poincaré, Volume 56 (1), 155-174, 2020 (PDF, 737 KB)

Reduced-form framework under model uncertainty
Biagini, F., Zhang , Y.,
The Annals of Applied Probability, 29(4):2481-2522, 2019 (PDF, 242 KB)

A unified approach to systemic risk measures via acceptance sets
Biagini, F., Fouque, J.P., Frittelli, M., Meyer-Brandis, T.,
Mathematical Finance, 29 (1), 329-367, 2019 (PDF, 430KB)

Managing Default Contagion in Inhomogeneous Financial Networks
Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
SIAM Journal on Financial Mathematics, 10(2), 578-614, 2019 (PDF, 1.8 MB)

Bootstrap percolation in directed and inhomogeneous random graphs
Detering, N., Meyer-Brandis, T., Panagiotou, K.,
Electronic Journal of Combinatorics, 26(2), 2019 (PDF, 334 KB)

Financial asset bubbles in banking networks
Biagini, F., Mazzon, A., Meyer-Brandis, T.,
SIAM Journal on Financial Mathematics, 10(2), 430-465, 2019 (PDF, 530 KB)

Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin
Biagini, F., Gnoatto, A., Oliva, I.,
Preprint, 2019 (PDF, 603 KB)

Trade duration risk in subdiffusive financial models
Torricelli, L.,
Preprint, 2019 (PDF, 859 KB)

Convex duality in nonlinear optimal transport
Perkkiö, A.-P., Pennanen, T.,
Journal of Functional Analysis, 277(4), 1029-1060, 2019 (PDF, 400 KB)

Robust Mean-Variance Hedging via G-Expectation
Biagini, F., Mancin, J., Meyer-Brandis, T.,
Stochastic Processes and their Applications, 129(4), 1287-1325, 2019. (PDF, 401 KB)

Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
Baños, D., Bauer, M., Meyer-Brandis, T., Proske, F.,
Preprint, 2019. (PDF, 648 KB)

Systemic Risk in Networks
Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
To appear in Network Science - An Aerial View from Different Perspectives, Springer, 2019 (PDF, 5.7 MB)

On Skorokhod Embeddings and Poisson Equations
Döring, L., Gonon, L., Prömel, D., Reichmann, O.,
The Annals of Applied Probability, 29(4), 2302-2337, 2019 (PDF, 394 KB)

Uniform error estimates for artificial neural network approximations for heat equations
Gonon, L., Grohs, P., Jentzen, A., Kofler, D., Siska, D.,
To appear in IMA Journal of Numerical Analysis, 2019 (PDF, 728 KB)

Deep Hedging
Bühler, H.,, Gonon, L., Teichmann, J., Wood, B.,
Quantitative Finance, 19(8), 1271-1291, 2019 (PDF, 1.9 MB)

Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
Bauer, M., Meyer-Brandis, T.,
Preprint, 2019 (PDF, 545 KB)

Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations
Döring, L., Gonon, L., Prömel, D., Reichmann, O.,
Journal of Theoretical Probability, 2019 (PDF, 399 KB)

McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise
Bauer, M., Meyer-Brandis, T.,
Preprint, 2019 (PDF, 536 KB)

Asset Price Bubbles in market models with proportional transaction costs
Biagini, F., Reitsam, T.,
Preprint, 2019 (PDF, 272 KB)

Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
Bauer, M., Meyer-Brandis, T.,
Preprint, 2019 (PDF, 446 KB)

Optimal control with delayed information flow of systems driven by G-Brownian motion
Biagini, F., Meyer-Brandis, T., Øksendal, B., Paczka, K.,
Probability, Uncertainty and Quantitative Risk, 3(4), 2018 (PDF, 542KB)

Managing Default Contagion in Large Financial Networks
Detering, N., Meyer-Brandis, T.,
FIRM Jahrbuch 2018

Shadow price of information in discrete time stochastic optimization
Pennanen, T., Perkkiö, A.-P.,
Mathematical programming, 168 1-2, 2018 (DOI: 10.1007/s10107-017-1163-2) (PDF, 298 KB)

Strong Solutions of Mean-Field Stochastic Differential Equations With Irregular Drift
Bauer, M., Meyer-Brandis, T., Proske, F.,
Electronic Journal of Probability 23, 2018 (PDF, 468 KB)

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)

Conjugates of integral functionals on continuous functions
Perkkiö, A.-P.,
Journal of Mathematical Analysis and Applications, 459(1), 1652-1677, 2018 (DOI: 10.1016/j.jmaa.2017.10.066) (PDF, 316 KB)

Local risk minimisation with multiple assets under illiquidity with applications in energy markets
Christodoulou, P., Detering, N., Meyer-Brandis, T.,
IJTAF, 21, 4, 2018. (PDF, 654.8 KB)

Convex integral functionals of regular processes
Pennanen, T., Perkkiö, A.-P.,
Stochastic Processes and Their Applications, 168(1-2), 347-367, 2018 (DOI: 10.1016/j.spa.2017.08.007) (PDF, 435 KB)

Convex duality in optimal investment and contingent claim valuation in illiquid markets
Pennanen, T., Perkkiö, A.-P.,
Finance and Stochastics, 22(4), 733–771, 2018 (PDF, 431 KB)

Asset price bubbles in financial networks
Mazzon, A.,
PhD Thesis (PDF, 2.0 MB)

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, 54(3), 2018 (PDF, 487KB)

Optional projection in duality
Perkkiö, A.-P., Pennanen, T.,
Preprint, 2018 (PDF, 364 KB)

Convex Integral Functionals of Cadlag Processes
Perkkiö, A.-P., Trevino, E.,
Preprint, 2018 (PDF, 399 KB)

Duality and optimality conditions in stochastic optimization and mathematical finance
Biagini, S., Pennanen, T., Perkkiö, A.-P.,
Journal of Convex Analysis, 25 2, 2018 (PDF, 370KB)

Mild and viscosity solutions to semilinear parabolic path-dependent PDEs
Kalinin, A., Schied, A.,
Preprint, 2018 (PDF, 323 KB)

An analytic pricing framework for financial assets with trading suspensions
Torricelli, L., Fries, C.,
Submitted to SIFIN, 2018 PDF, 700 KB

Liquidity induced asset bubbles via flows of ELMMs
Biagini, F., Mazzon, A., Meyer-Brandis, T.,
SIAM Journal on Financial Mathematics, 9(2), 800-834, 2018 (PDF, 937 KB)

Volatility targeting using delayed diffusions
Torricelli, L.,
Applied Mathematical Finance, 25 (3), 213-246.. 2018 (PDF, 577 KB)

The Fatou Closedness under Model Uncertainty
Maggis, M., Meyer-Brandis, T., Svindland, G.,
Positivity, 22, 2018. (PDF, 343 KB)

Convex integral functionals of processes of bounded variation
Pennanen, T., Perkkiö, A.-P.,
Journal of Convex Analysis, 25 1, 2018 (PDF, 350 KB)

Extended Reduced-Form Framework for Life and Non-Life Insurance
Biagini, F., Zhang , Y.,
Preprint, 2018 (PDF, 205 KB)

Optimal Stopping Without Snell Envelopes
Pennanen, T., Perkkiö, A.-P.,
Preprint, 2018 (PDF, 250 KB)

Suffocating Fire Sales
Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
Preprint 2018 (PDF, 2.6 MB)

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)

Stochastic Automatic Differentiation: Efficient Tapeless Implementation of Automatic Differentiation for Monte-Carlo Simulations
Fries, C., Sedlmair, S.,
The Journal of Risk, 2017 SSRN link

Computing deltas without derivatives
Banos, D.R., Duedahl, S., Meyer-Brandis, T., Proske, F.,
Finance and Stochastics, 21(2), 509-549, 2017 (PDF, 1100KB)

Financial Asset Price Bubbles under Model Uncertainty
Biagini, F., Mancin, J.,
Probability, Uncertainty and Quantitative Risk, 2017 (14) (PDF, 344 KB)

Markovian integral equations and path-dependent partial differential equations
Kalinin, A.,
Doctoral thesis, University of Mannheim, 2017 (PDF, 1.2 MB)

The forward smile in local-stochastic volatility models
Mazzon, A., Pascucci, A.,
Journal of Computational Finance, 20(3), 1-29, 2017 (PDF, 412 KB)

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)

Allocation of Systemic Risk
Hoffmann, H., Meyer-Brandis, T., Svindland, G.,
Preprint, 2017 (PDF, 333KB)

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)

Regularization in Cox Frailty Models
Groll, A., Hastie, T., Tutz, G.,
Technical Report 191, Department of Statistics, LMU Munich, 2016

(PDF, 332 KB)

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)

Optional and predictable projections of normal integrands and convex-valued processes
Kiiski, M., Perkkiö, A.-P.,
Set-Valued and Variational Analysis, 2016 (PDF, 367KB)

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)

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

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)

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)

Stochastic programs without duality gaps for objectives without a lower bound
Perkkiö, A.-P.,
Preprint, 2016 (PDF, 366KB)

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)

A general HJM framework for multiple yield curve modeling
Cuchiero, C., Fontana, C., Gnoatto, A.,
accepted in: Finance and Stochastics, 2015 (PDF, 909KB)

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)

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)

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)

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)

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)

Continuous essential selections and integral functionals
Perkkiö, A.-P.,
Set-Valued and Variational Analysis, 136(1), 45–58, 2014 (PDF, 185 KB)

The explicit Laplace transform for the Wishart process
Gnoatto, A., Grasselli, M.,
Journal of Applied Probability 51(3), 2014 (PDF, 370KB)

Evolution of Firm Size
Gonon, L., Rogers, L.C.G.,
International Journal of Theoretical and Applied Finance, 17(5), 1-15, 2014 (PDF, 360 KB)

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)

A Gel'fand triple approach to the small noise problem for discontinuous ODE's
Menoukeu-Pamen, O. P., Meyer-Brandis, T., Proske, F.,
Preprint, 2014 (PDF, 412KB)

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)

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)

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 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)

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, 85(3), 2013 (PDF, 430KB)

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)

Stochastic programs without duality gaps
Perkkiö, A.-P., Pennanen, T.,
Mathematical Programming, 136(1), pages 91–110, 2012 (PDF, 348KB)

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)

Online Model Estimation of Ultra-Wideband TDOA Measurements for Mobile Robot Localization
Gonon, L., Martinolli, A., Prorok, A.,
IEEE International Conference on Robotics and Automation (ICRA), 807-814, 2012 (PDF, 721 KB)

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, 84 (5-6), 2012 (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)

Electricity markets
Meyer-Brandis, T.,
Encyclopedia of Quantitative Finance, John Wiley and Sons, 2010 (PDF, 318KB)

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)

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)

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)

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