• 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)

For more Publications & Preprints see Publications