Current Projects and Publications
- Importance sampling for option pricing with feedforward neural networks. With A. Arandjelovic, P. V. Shevchenko. arXiv:2112.14247 (2022)
- Comparing two different option pricing methods. With A. Bondi, D. Radojicic. Risks, Volume 8, Issue 4, 108, Special issue: Interplay between Financial and Actuarial Mathematics. (2020)
- An approach to reconstruction of data set via supervised and unsupervised learning. With D. Radojicic, S. Kredatus. 2018 IEEE 18th International Symposium on Computational Intelligence and Informatics (CINTI),
IEEE, Budapest, Hungary, (2019), ISBN: 9781728111186, 53 -- 58
- Financial markets with a large trader. With T. Blümmel. Annals of Applied Probability Vol 27, No 6 (2017), 3735--3786
- Valuation of barrier options via a general self-duality. With E. Alos, Z. Chen. Mathematical Finance. Vol 26, No. 3 (2016), 492--515
- Risk-minimization for life insurance liabilities with basis risk. With F. Biagini, I. Schreiber. Mathematics and Financial Economics. Vol 10, No. 2 (2016), 151--178
- Relative liquidity and future volatility. With M. Valenzuela, I. Zer, P. Fryzlewicz. Journal of Financial Markets. Vol 24, Issue C (2015), 25--48
- Quasi self-dual exponential Lévy processes. With M. Schmutz. SIAM Journal on Financial Mathematics. Vol 5, No. 1 (2014), 656--684
- Self-dual continuous processes. With M. Schmutz. Stochastic Processes and their Applications.
Vol. 123, No. 5 (2013), 1765–1779
- The minimal entropy martingale measure for exponential Markov
chains. With Y. Lee. Journal of Applied Probability. Vol. 50, No. 2 (2013), 344-358
- Hedging mortality claims with longevity bonds. With F. Biagini, J. Widenmann.
ASTIN Bulletin. Vol. 43, No. 2 (2013), 123-157
- Optimal martingale measures for defaultable assets. With Y. Lee.
Stochastic Processes and their Applications 122 (2012), 2870-2884
- Consistent factor models for temperature markets. With P. Hell, T. Meyer-Brandis.
International Journal for Theoretical and Applied Finance Vol. 15, No. 4 (2012), 1250027
- Asymptotic utility-based pricing and hedging for exponential utility.
With J. Kallsen. Statistics & Decisions 28 (2011), 17-36
- Utility indifference hedging with exponential additive processes.
With G. Steiger. Asia-Pacific Financial Markets 17 (2010), 151-169
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models.
With G. Steiger. Annals of Applied Probability Vol. 16, No. 3 (2006),
- Arbitrage opportunities in diverse markets via a
non-equivalent measure change. With J. Osterrieder. Annals of Finance
2 (2006), 287-301
- An entropy approach to the Stein and Stein model with correlation.
Finance and Stochastics 9 (2005), 399-412
- A stochastic version of Zeeman's market model. With M. Steinkamp. Studies in Nonlinear Dynamics & Econometrics. Vol. 8, No. 4 (2004), Article
- On the minimal entropy martingale measure. With P. Grandits. Annals of Probability
- Exponential hedging and entropic penalties. With F. Delbaen, P. Grandits, D. Samperi, M. Schweizer, C. Stricker.
Mathematical Finance 12 (2002),
- Mean-variance hedging for continuous processes: new proofs and examples. With H. Pham, M. Schweizer.
Finance and Stochastics 2 (1998), 173-198
- On L^2-projections on a space of stochastic integrals. With M. Schweizer.
Annals of Probability 25 (1997), 1810-1831.
- Brownian trading excursions and avalanches. With F. Hubalek, P. Krühner. https://arxiv.org/abs/1701.00993 (2017)
- On Margrabe options written on stochastic volatility models. With E. Alos.
Books and Book Contributions
- Hedging Derivatives. With J. Sexton. (2011) World Scientific
- Hedging. In: Encyclopedia for Quantitative Finance. Wiley, 2010
- Equivalent Probability Measures. In: Encyclopedia for Quantitative
Finance. Wiley, 2010
- Stochastic Exponentials. In: Encyclopedia for Quantitative Finance.
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