- Restoration of Well-Posedness of Infinite-dimensional Singular ODE's via Noise
Baños, D. , Bauer, M. , Meyer-Brandis, T. , Proske, F. ,
Potential Analysis, DOI 10.1007/s11118-023-10069-6, 2023 [arXiv] - Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs in arbitrary moments
Kalinin, A. , Meyer-Brandis, T. , Proske, F. ,
Preprint, 2022 [arXiv] - Suffocating Fire Sales
Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
SIAM Journal on Financial Mathematics, 13(1), 2022 [arXiv] - Detecting asset price bubbles using deep learning
Biagini, F. , Gonon, L. , Mazzon, A. , Meyer-Brandis, T. ,
Preprint, 2022 [arXiv] - Supplement to “Liquidity based modeling of asset price bubbles via random matching”
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. ,
Preprint, 2022 (PDF, 370 KB) - Liquidity based modeling of asset price bubbles via random matching
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. , Oberpriller, K. ,
Preprint, 2022 [arXiv] - Strong solutions of mean-field SDEs with irregular expectation functionals in the drift
Bauer, M. , Berti, L. , Meyer-Brandis, T. ,
Preprint, 2022 [arXiv] - Large platonic markets with delays
Limmer, Y. , Meyer-Brandis, T. ,
IJTAF, 24(8), 2021 [arXiv] - Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Kalinin, A. , Meyer-Brandis, T. , Proske, F. ,
Preprint, 2021 [arXiv] - Systemic Optimal Risk Transfer Equilibrium
Biagini, F. , Doldi, A. , Fouque, J.P. , Frittelli, M. , Meyer-Brandis, T. ,
Mathematics and Financial Economics, 15(2), 2021 [arXiv] - 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, 2,432 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 [arXiv] - On Fairness of Systemic Risk Measures
Biagini, F. , Fouque, J. P. , Frittelli, M. , Meyer-Brandis, T. ,
Finance & Stochastics, 24(2), 513-564, 2020 [arXiv] - 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 [arXiv] - 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 [arXiv] - Bootstrap percolation in directed and inhomogeneous random graphs
Detering, N. , Meyer-Brandis, T. , Panagiotou, K. ,
Electronic Journal of Combinatorics, 26(2), 2019 [arXiv] - Financial asset bubbles in banking networks
Biagini, F. , Mazzon, A. , Meyer-Brandis, T. ,
SIAM Journal on Financial Mathematics, 10(2), 430-465, 2019 [arXiv] - Robust Mean-Variance Hedging via G-Expectation
Biagini, F. , Mancin, J. , Meyer-Brandis, T. ,
Stochastic Processes and their Applications, 129(4), 1287-1325, 2019. [arXiv] - Systemic Risk in Networks
Detering, N. , Meyer-Brandis, T. , Panagiotou, K. , Ritter, D. ,
Network Science - An Aerial View from Different Perspectives, Springer, 2019 (PDF, 3,302 KB) - Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift
Bauer, M. , Meyer-Brandis, T. ,
Preprint, 2019 [arXiv] - Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift
Bauer, M. , Meyer-Brandis, T. ,
Preprint, 2019 [arXiv] - McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise
Bauer, M. , Meyer-Brandis, T. ,
Preprint, 2019 [arXiv] - 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 [arXiv] - Managing Default Contagion in Large Financial Networks
Detering, N. , Meyer-Brandis, T. ,
FIRM Jahrbuch 2018 - Strongly Consistent Multivariate Conditional Risk Measures
Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
Mathematics and Financial Economics, DOI 10.1007/s11579-017-0210-3, 2018 [arXiv] - The Fatou Closedness under Model Uncertainty
Maggis, M. , Meyer-Brandis, T. , Svindland, G. ,
Positivity, 22, 2018. [arXiv] - 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 [arXiv] - 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 [arXiv] - Strong Solutions of Mean-Field Stochastic Differential Equations With Irregular Drift
Bauer, M. , Meyer-Brandis, T. , Proske, F. ,
Electronic Journal of Probability 23, 2018 [arXiv] - 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, 655 KB) - Allocation of Systemic Risk
Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
Preprint, 2017 (PDF, 333 KB) - Computing deltas without derivatives
Banos, D.R. , Duedahl, S. , Meyer-Brandis, T. , Proske, F. ,
Finance and Stochastics, 21(2), 509-549, 2017 (PDF, 830 KB) - Risk-consistent conditional systemic risk measures
Hoffmann, H. , Meyer-Brandis, T. , Svindland, G. ,
Stochastic Processes and their Applications, 126(7), 2014-2037, 2016. [arXiv] - A consistent two-factor model for pricing temperature derivatives
Groll, A. , Lopez-Cabrera, B. , Meyer-Brandis, T. ,
Energy Economics, 55, 112-126, 2016 (PDF, 2,538 KB) - 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, 437 KB) - 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) - 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, 409 KB) - 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, 3,293 KB) - 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, 419 KB) - 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, 487 KB) - 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, 514 KB) - 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, 304 KB) - 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, 299 KB) - A mean-field stochastic maximum principle via Malliavin calculus
Meyer-Brandis, T. , Øksendal, B. , Zhou, X. Y. ,
Stochastics, 84 (5-6), 2012 (PDF, 360 KB) - 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, 251 KB) - Electricity markets
Meyer-Brandis, T. ,
Encyclopedia of Quantitative Finance, John Wiley and Sons, 2010 (PDF, 311 KB) - How duration between trades of underlying securities affects option prices
Cartea, A. , Meyer-Brandis, T. ,
Review of Finance 14(4), 749-785, 2010 (PDF, 1,009 KB) - 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, 890 KB) - 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, 199 KB) - The information premium for non-storable commodities
Benth, F. E. , Meyer-Brandis, T. ,
Journal of Energy Markets 2(3), 111-140, 2009 (PDF, 208 KB) - 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) - 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, 193 KB) - Pricing interest rate guarantee in a defined benefit pension setting
Henriksen, P. A. , Hove, A. , Meyer-Brandis, T. , Proske, F. ,
Preprint, 2009 (PDF, 396 KB) - 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, 395 KB) - 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, 224 KB) - 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, 287 KB) - Differential equations driven by Lévy white noise in spaces of Hilbert-space-valued distributions
Meyer-Brandis, T. ,
Stochastics 80(4), 371-396, 2008 (PDF, 263 KB) - 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, 476 KB) - 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, 251 KB) - Stochastic Feynman-Kac equations associated to Lévy-Itô diffusions
Meyer-Brandis, T. ,
Stochastic Analysis and Applications 25(5), 913-932, 2007 (PDF, 231 KB) - 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, 283 KB) - 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, 351 KB) - 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, 230 KB) - 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, 278 KB) - 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, 217 KB)
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