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Thomas Reitsam

Thomas Reitsam

PhD Student

Contact

LMU Mathematics Institute
Theresienstr. 39
D-80333 Munich

Room: B 235
Phone: +49 (0) 89 2180-4535

Office hours:
By arrangement

Teaching Winter Term 2019/20

Previous Teaching

  • Exercises for Finanzmathematik IV
  • Exercises for Finanzmathematik I
  • Exercises for Finanzmathematik III
  • Übungen zu Mathematik für Naturwissenschafler I
  • Exercises for Finanzmathematik IV
  • Recent Publications & Preprints

    • On Fairness of Systemic Risk Measures
      Biagini, F., Fouque, J. P., Frittelli, M., Meyer-Brandis, T.,
      Finance & Stochastics, DOI 10.1007/s00780-020-00417-4, 2020 (PDF, 785 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)
    • Reservoir Computing Universality With Stochastic Inputs
      Gonon, L., Ortega, J.-P.,
      IEEE Transactions on Neural Networks and Learning Systems, 2020 (PDF, 452 KB)
    • Approximation Bounds for Random Neural Networks and Reservoir Systems
      Gonon, L., Grigoryeva, L., Ortega, J.-P.,
      Preprint, 2020 (PDF, 452 KB)
    • Linearized Filtering of Affine Processes Using Stochastic Riccati Equations
      Gonon, L., Teichmann, J.,
      Stochastic Processes and their Applications, 130 (1), 394-430 (PDF, 716 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, 2020 (PDF, 399 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)
    • Optional projection under equivalent local martingale measures
      Biagini, F., Mazzon, A., Perkkiö, A.-P.,
      Preprint, 2020 (PDF, 444 KB)
    • Markovian Integral Equations
      Kalinin, A.,
      Annales de l’Institut Henri Poincaré, Volume 56 (1), 155-174, 2020 (PDF, 737 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)  
    • 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)
    • 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)
    • Support characterization for regular path-dependent stochastic Volterra integral equations
      Kalinin, A.,
      Preprint, 2019 (PDF, 374 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)
    • 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)
    • 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)
    • Convex duality in nonlinear optimal transport
      Perkkiö, A.-P., Pennanen, T.,
      Journal of Functional Analysis, 277(4), 1029-1060, 2019 (PDF, 400 KB)
    • 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)
    • 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)
    • Trade duration risk in subdiffusive financial models
      Torricelli, L.,
      Preprint, 2019 (PDF, 859 KB)
    • Estimating Extreme Cancellation Rates in Life Insurance
      Biagini, F., Huber, T., Jaspersen, J.G., Mazzon, A.,
      Preprint, 2019 (PDF, 649 KB)
    • Deep Hedging
      Bühler, H.,, Gonon, L., Teichmann, J., Wood, B.,
      Quantitative Finance, 19(8), 1271-1291, 2019 (PDF, 1.9 MB)
    • Asset Pricing with General Transaction Costs: Theory and Numerics
      Gonon, L., Muhle-Karbe, J., Shi, X.,
      Preprint, 2019 (PDF, 1 MB)
    • On existence and uniqueness properties for solutions of stochastic fixed point equations
      Beck, C., Gonon, L., Hutzenthaler, M., Jentzen, A.,
      Preprint, 2019 (PDF, 479 KB)
    • 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.,
      Preprint, 2019 (PDF, 728 KB)
    • Risk bounds for reservoir computing
      Gonon, L., Grigoryeva, L., Ortega, J.-P.,
      Preprint, 2019 (PDF, 688 KB)
    • Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
      Bauer, M., Meyer-Brandis, T.,
      Preprint, 2019 (PDF, 545 KB)
    • Asset Price Bubbles in market models with proportional transaction costs
      Biagini, F., Reitsam, T.,
      Preprint, 2019 (PDF, 503 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)
    • 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)
    • Systemic Optimal Risk Transfer Equilibrium
      Biagini, F., Doldi, A., Fouque, J.P., Frittelli, M., Meyer-Brandis, T.,
      Preprint, 2019 (PDF, 667 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)
    • 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)
    • Managing Default Contagion in Large Financial Networks
      Detering, N., Meyer-Brandis, T.,
      FIRM Jahrbuch 2018
    • Mild and viscosity solutions to semilinear parabolic path-dependent PDEs
      Kalinin, A., Schied, A.,
      Preprint, 2018 (PDF, 323 KB)
    • 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)
    • Convex integral functionals of processes of bounded variation
      Pennanen, T., Perkkiö, A.-P.,
      Journal of Convex Analysis, 25 1, 2018 (PDF, 350 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, 54(3), 2018 (PDF, 487KB)
    • 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)
    • 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)
    • An Integrated Model for Fire Sales and Default Contagion
      Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
      Preprint 2018 (PDF, 3.5 MB)
    • 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)
    • 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)
    • 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)
    • The Fatou Closedness under Model Uncertainty
      Maggis, M., Meyer-Brandis, T., Svindland, G.,
      Positivity, 22, 2018. (PDF, 343 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)
    • Optional projection in duality
      Perkkiö, A.-P., Pennanen, T.,
      Preprint, 2018 (PDF, 364 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)
    • Optimal Stopping Without Snell Envelopes
      Pennanen, T., Perkkiö, A.-P.,
      Preprint, 2018 (PDF, 250 KB)
    • Financial Contagion in a Generalized Stochastic Block Model
      Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
      Preprint, 2018 (PDF, 3.7 MB)
    • Convex Integral Functionals of Cadlag Processes
      Perkkiö, A.-P., Trevino, E.,
      Preprint, 2018 (PDF, 399 KB)
    • Volatility targeting using delayed diffusions
      Torricelli, L.,
      Applied Mathematical Finance, 25 (3), 213-246.. 2018 (PDF, 577 KB)
    • Suffocating Fire Sales
      Detering, N., Meyer-Brandis, T., Panagiotou, K., Ritter, D.,
      Preprint 2018 (PDF, 2.6 MB)
    • Extended Reduced-Form Framework for Life and Non-Life Insurance
      Biagini, F., Zhang , Y.,
      Preprint, 2018 (PDF, 205 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)
    • Markovian integral equations and path-dependent partial differential equations
      Kalinin, A.,
      Doctoral thesis, University of Mannheim (PDF, 1.2 MB)
    • 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)
    • 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
    • Computing deltas without derivatives
      Banos, D.R., Duedahl, S., Meyer-Brandis, T., Proske, F.,
      Finance and Stochastics, 21(2), 509-549, 2017 (PDF, 1100KB)
    • The forward smile in local-stochastic volatility models
      Mazzon, A., Pascucci, A.,
      Journal of Computational Finance, 20(3), 1-29 (PDF, 412 KB)
    • Financial Asset Price Bubbles under Model Uncertainty
      Biagini, F., Mancin, J.,
      Probability, Uncertainty and Quantitative Risk, 2017 (14) (PDF, 344 KB)
    • 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)
    • Polynomial Diffusion Models for Life Insurance Liabilities
      Biagini, F., Zhang , Y.,
      Insurance: Mathematics and Economics, Vol. 71, Page 114–129, 2016 (PDF, 465 KB)
    • Regularization in Cox Frailty Models
      Groll, A., Hastie, T., Tutz, G.,
      Technical Report 191, Department of Statistics, LMU Munich, 2016

      (PDF, 332 KB)

    • Optional and predictable projections of normal integrands and convex-valued processes
      Kiiski, M., Perkkiö, A.-P.,
      Set-Valued and Variational Analysis, 2016 (PDF, 367KB)
    • Valuation of asset and volatility derivatives using decoupled time- changed Lévy processes
      Torricelli, L.,
      Review of derivatives research 19, 1, 2016 Arxiv preprint
    • 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)
    • 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)
    • 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
    • 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)
    • 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)
    • 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)
    • 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)
    • 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)
    • 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)
    • 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)
    • 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)
    Complete list of Publications & Preprints