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Daniel Ritter

Daniel Ritter

PhD Student

Contact

LMU Mathematics Institute
Theresienstr. 39
D-80333 Munich

Room: B 235
Phone: +49 (0) 89 2180-4579
Fax: +49 (0) 89 2180-4452

Office hours:
By arrangement

Teaching

Previous Teaching

About me

I am a PhD student supervised by Prof. Meyer-Brandis and working on the modelling of 'Systemic Risk in Financial Networks'.

Areas of interest

  • Systemic risk
  • Default contagion
  • Random graphs
  • Financial mathematics

Academic background

  • Master of Science in Mathematics at the University of Munich, 2014–2016
  • Master of Advanced Study in Pure Mathematics at the University of Cambridge, 2014–2015
  • Bachelor of Science in Physics at the University of Munich, 2012–2014
  • Bachelor of Science in Mathematics at the University of Munich, 2011–2014

For further information please see my academic CV (PDF, 156 KB).

Theses

Recent Publications & Preprints

  • Robust Mean-Variance Hedging via G-Expectation,
    Biagini, F., Mancin, J., Meyer-Brandis, T.,
    Stochastic Processes and their Applications, accepted, 2018. (PDF, 401 KB)
  • Optimal control with delayed information flow of systems driven by G-Brownian motion,
    Biagini, F., Meyer-Brandis, T., Øksendal, B., Paczka, K.,
    accepted in Probability, Uncertainty and Quantitative Risk, 2018.. (PDF, 542KB)
  • 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)
  • An analytic pricing framework for financial assets with trading suspensions,
    Torricelli, L., Fries, C.,
    Submitted to Finance and Stochastics, 2018. PDF, 700KB
  • Managing Default Contagion in Large Financial Networks,
    Detering, N., Meyer-Brandis, T.,
    FIRM Jahrbuch 2018.
  • Optional projection in duality,
    Perkkiö, A.-P., Pennanen, T.,
    Preprint, 2018. (PDF, 364KB)
  • Strong Solutions of Mean-Field Stochastic Differential Equations With Irregular Drift,
    Bauer, M., Meyer-Brandis, T., Proske, F.,
    Preprint, 2018. (PDF, 468 KB)
  • On Fairness of Systemic Risk Measures,
    Biagini, F., Fouque, J. P., Frittelli, M., Meyer-Brandis, T.,
    Preprint, 2018. (PDF, 785KB)
  • A Unified Modeling Framework for Life and Non-Life Insurance,
    Biagini, F., Zhang , Y.,
    Preprint, 2018 . (PDF, 205 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)
  • Financial Contagion in a Generalized Stochastic Block Model,
    Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
    Preprint, 2018. (PDF, 878 KB)
  • 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)
  • Financial asset bubbles in banking networks,
    Biagini, F., Mazzon, A., Meyer-Brandis, T.,
    Preprint, 2018. (PDF, 339KB)
  • 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)
  • Managing Default Contagion in Inhomogeneous Financial Networks,
    Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
    Preprint, 2018. (PDF, 2.9 MB)
  • 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, 298KB)
  • Computing deltas without derivatives,
    Banos, D.R., Duedahl, S., Meyer-Brandis, T., Proske, F.,
    Finance and Stochastics, 21(2), 509-549, 2017. (PDF, 1100KB)
  • Allocation of Systemic Risk,
    Hoffmann, H., Meyer-Brandis, T., Svindland, G.,
    Preprint, 2017. (PDF, 333KB)
  • 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)
  • Reduced-form framework under model uncertainty,
    Biagini, F., Zhang , Y.,
    Preprint, 2017. (PDF, 242 KB)
  • 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)
  • Volatility targeting using delayed diffusions,
    Torricelli, L.,
    Applied Mathematical Finance, accepted, 2017. (PDF, 577 KB)
  • 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)
  • 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
  • Financial Asset Price Bubbles under Model Uncertainty,
    Biagini, F., Mancin, J.,
    Probability, Uncertainty and Quantitative Risk, 2017 (14). (PDF, 344 KB)
  • Convex duality in nonlinear optimal transport,
    Perkkiö, A.-P., Pennanen, T.,
    Preprint, 2017. (PDF, 400KB)
  • 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)
  • Stochastic programs without duality gaps for objectives without a lower bound,
    Perkkiö, A.-P.,
    Preprint, 2016. (PDF, 366KB)
  • 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)
  • 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 regular processes,
    Pennanen, T., Perkkiö, A.-P.,
    Stochastic Processes and Their Applications, 2017 (DOI: 10.1016/j.spa.2017.08.007). (PDF, 435KB)
  • Convex integral functionals of processes of bounded variation,
    Pennanen, T., Perkkiö, A.-P.,
    Journal of Convex Analysis, 25 1, 2018. (PDF, 350KB)
  • 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)
  • Duality and optimality conditions in stochastic optimization and mathematical finance,
    Bigini, S., Pennanen, T., Perkkiö, A.-P.,
    Journal of Convex Analysis, 25 2, 2018. (PDF, 370KB)
  • Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes,
    Torricelli, L.,
    Review of derivatives research 19, 1, 2016. Arxiv preprint
  • Regularization in Cox Frailty Models,
    Groll, A., Hastie, T., Tutz, G.,
    Technical Report 191, Department of Statistics, LMU Munich, 2016.

    (PDF, 332 KB)

  • Convex duality in optimal investment and contingent claim valuation in illiquid markets,
    Pennanen, T., Perkkiö, A.-P.,
    Finance and Stochastics (to appear), 2018. (PDF, 431KB)
  • Polynomial Diffusion Models for Life Insurance Liabilities,
    Biagini, F., Zhang , Y.,
    Insurance: Mathematics and Economics, Vol. 71, Page 114–129, 2016. (PDF, 465 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)
  • Variable Selection in Discrete Survival Models Including Heterogeneity,
    Groll, A., Tutz, G.,
    accepted in: Lifetime Data Analysis, 2016. (PDF, 4.8MB)
  • 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.
  • 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)
  • Bootstrap percolation in directed and inhomogeneous random graphs,
    Detering, N., Meyer-Brandis, T., Panagiotou, K.,
    Preprint, 2015. (PDF, 334 KB)
  • A general HJM framework for multiple yield curve modeling,
    Cuchiero, C., Fontana, C., Gnoatto, A.,
    accepted in: Finance and Stochastics, 2015. (PDF, 909KB)
  • 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)
  • 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)
  • 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)
  • Continuous essential selections and integral functionals,
    Perkkiö, A.-P.,
    Set-Valued and Variational Analysis, 136(1), 45–58, 2014. (PDF, 185 KB)
  • 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)
  • 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
  • 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)
  • 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)
Complete list of Publications & Preprints