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Anzahl der Publikationen: 59

Zeitschriftenartikel

Bollweg, Georg und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (Juni 2025): Mean-field stochastic differential equations driven by G-Brownian motion. In: Probability, Uncertainty and Quantitative Risk, Bd. 10, Nr. 2: S. 241-264

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (Januar 2025): Detecting asset price bubbles using deep learning. In: Mathematical Finance, Bd. 35, Nr. 1: S. 74-110

Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2. November 2024): Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach. In: Stochastics and Dynamics

Baños, David ORCID logoORCID: https://orcid.org/0000-0002-3221-4009; Bauer, Martin; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2024): Restoration of Well-Posedness of Infinite-Dimensional Singular ODE’s via Noise. In: Potential Analysis, Bd. 60, Nr. 2: S. 759-805 [PDF, 2MB]

Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2024): Stability, Uniqueness and Existence of Solutions to McKean–Vlasov Stochastic Differential Equations in Arbitrary Moments. In: Journal of Theoretical Probability [Forthcoming]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Oberpriller, Katharina (2023): Liquidity Based Modeling of Asset Price Bubbles via Random Matching. In: SIAM Journal on Financial Mathematics, Bd. 14, Nr. 4: S. 1304-1342

Detering, Nils ORCID logoORCID: https://orcid.org/0000-0002-5251-5407; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Ritter, Daniel (2022): Suffocating Fire Sales. In: SIAM Journal on Financial Mathematics, Bd. 13, Nr. 1: S. 70-108

Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos und Ritter, Daniel (2022): Suffocating Fire Sales. In: SIAM Journal on Financial Mathematics, Bd. 13, Nr. 1: S. 70-108

Limmer, Yannick und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2021): Large Platonic markets with delays. In: International Journal of Theoretical and Applied Finance, Bd. 24, Nr. 8, 2150043

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2021): Systemic optimal risk transfer equilibrium. In: Mathematics and Financial Economics, Bd. 15, Nr. 2: S. 233-274

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos und Ritter, Daniel (2020): Financial contagion in a stochastic block model. In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 8, 2050053

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2020): On fairness of systemic risk measures. In: Finance and Stochastics, Bd. 24: S. 513-564 [PDF, 1MB]

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Ritter, Daniel (2020): An integrated model for fire sales and default contagion. In: Mathematics and Financial Economics, Bd. 15: S. 59-101 [PDF, 1MB]

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Ritter, Daniel (2019): Managing Default Contagion in Inhomogeneous Financial Networks. In: SIAM Journal on Financial Mathematics, Bd. 10, Nr. 2: S. 578-614

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 (2019): Bootstrap Percolation in Directed Inhomogeneous Random Graphs. In: Electronic Journal of Combinatorics, Bd. 26, Nr. 3, P3.12

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): Financial Asset Bubbles in Banking Networks. In: SIAM Journal on Financial Mathematics, Bd. 10, Nr. 2: S. 430-465

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): A unified approach to systemic risk measures via acceptance sets. In: Mathematical Finance, Bd. 29, Nr. 1: S. 329-367

Banos, David R.; Duedahl, Sindre; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2018): Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada-Watanabe principle. In: Annales de l'Institut Henri Poincaré (B): Probability and Statistics, Bd. 54, Nr. 3: S. 1464-1491

Maggis, Marco; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor (2018): Fatou closedness under model uncertainty. In: Positivity, Bd. 22, Nr. 5: S. 1325-1343

Hoffmann, Hannes; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor (2018): Strongly consistent multivariate conditional risk measures. In: Mathematics and Financial Economics, Bd. 12, Nr. 3: S. 413-444

Bauer, Martin; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2018): Strong solutions of mean-field stochastic differential equations with irregular drift. In: Electronic Journal of Probability, Bd. 23, 132

Christodoulou, Panagiotis; Detering, Nils und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2018): Local Risk-Minimization With Multiple Assets Under Illiquidity With Applications In Energy Markets. In: International Journal of Theoretical and Applied Finance, Bd. 21, Nr. 4, 1850028

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Oksendal, Bernt und Paczka, Krzysztof (2018): Optimal control with delayed information flow of systems driven by G-Brownian motion. In: Probability Uncertainty and Quantitative Risk, Bd. 3

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2018): Liquidity Induced Asset Bubbles via Flows of ELMMs. In: SIAM Journal on Financial Mathematics, Bd. 9, Nr. 2: S. 800-834

Groll, Andreas; Lopez-Cabrera, Brenda und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2016): A consistent two-factor model for pricing temperature derivatives. In: Energy Economics, Bd. 55: S. 112-126

Hoffmann, Hannes; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor (2016): Risk-consistent conditional systemic risk measures. In: Stochastic Processes and their Applications, Bd. 126, Nr. 7: S. 2014-2037

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Julia und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2015): Electricity futures price modeling with Lévy term structure models. In: International Journal of Theoretical and Applied Finance, Bd. 18, Nr. 01, 1550003

Menoukeu Pamen, Olivier; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Proske, Frank und Binti Salleh, Hassilah (2013): Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps. In: Stochastics, Bd. 85, Nr. 3: S. 431-463

Menoukeu-Pamen, Olivier; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Nilssen, Torstein; Proske, Frank und Zhang, Tusheng (2013): A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s. In: Mathematische Annalen, Bd. 357, Nr. 2: S. 761-799

Hell, Philipp; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Rheinländer, Thorsten (2012): Consistent factor models for temperature markets. In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 04, 1250027

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Øksendal, Bernt (2012): Insider trading equilibrium in a market with memory. In: Mathematics and Financial Economics, Bd. 6, Nr. 3: S. 229-247

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Zhou, Xun Yu (2012): A mean-field stochastic maximum principle via Malliavin calculus. In: Stochastics, Bd. 84, Nr. 5-6: S. 643-666

Mandrekar, Vidyadhar; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2011): A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise. In: Journal of Probability and Statistics, Bd. 2011: S. 1-15

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2010): Construction of strong solutions of SDE's via Malliavin calculus. In: Journal of Functional Analysis, Bd. 258, Nr. 11: S. 3922-3953

Klüppelberg, Claudia; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Schmidt, Andrea (2010): Electricity spot price modelling with a view towards extreme spike risk. In: Quantitative Finance, Bd. 10, Nr. 9: S. 963-974

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2010): Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes. In: Journal of Theoretical Probability, Bd. 23, Nr. 1: S. 301-314

Cartea, Álvaro und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2009): How Duration Between Trades of Underlying Securities Affects Option Prices. In: Review of Finance, Bd. 14, Nr. 4: S. 749-785

Espen Benth, Fred und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2009): The information premium for non-storable commodities. In: The Journal of Energy Markets, Bd. 2, Nr. 3: S. 111-140

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Yuliya und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Pricing of catastrophe insurance options written on a loss index with reestimation. In: Insurance: Mathematics and Economics, Bd. 43, Nr. 2: S. 214-222

Bernhardt, Christine; Klüppelberg, Claudia und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Estimating high quantiles for electricity prices by stable linear models. In: Journal of Energy Markets, Bd. 1, Nr. 1: S. 3-19

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bregman, Yuliya und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Pricing of Catastrophe Insurance Options Under Immediate Loss Reestimation. In: Journal of Applied Probability, Bd. 45, Nr. 3: S. 831-845

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Tankov, Peter (2008): Multi-factor jump-diffusion models of electricity prices. In: International Journal of Theoretical and Applied Finance, Bd. 11, Nr. 05: S. 503-528

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2008): Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions. In: Stochastics, Bd. 80, Nr. 4: S. 371-396

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2007): Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions. In: Stochastic Analysis and Applications, Bd. 25, Nr. 5: S. 913-932

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2006): On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coefficients. In: Communications in Mathematical Sciences, Bd. 4, Nr. 1: 129 - 154

Nunno, Giulia Di; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank (2006): Optimal portfolio for an insider in a market driven by Lévy processes§. In: Quantitative Finance, Bd. 6, Nr. 1: S. 83-94

Di Nunno, Giulia; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Øksendal, Bernt und Proske, Frank (2005): Malliavin Claculus and Anticipative Itô Formulae for Lévy Processes. In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 08, Nr. 02: S. 235-258

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Proske, Frank (2004): Explicit Solution of a Non-Linear Filtering Problem for Lévy Processes with Application to Finance. In: Applied Mathematics and Optimization, Bd. 50, Nr. 2: S. 119-134

Paper

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2025): Collective Arbitrage and the Value of Cooperation. Finance and Stochastics

Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Weber, Niklas (30. September 2024): Computing Systemic Risk Measures with Graph Neural Networks.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Oberpriller, Katharina (2023): Supplement Liquidity based modeling of asset price bubbles via random matching.

Bauer, Martin und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): Strong Solutions of Mean-Field SDEs with irregular expectation functional in the drift.

Bauer, Martin und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): Existence and Regularity of Solutions to Multi-Dimensional Mean-Field Stochastic Differential Equations with Irregular Drift.

Bauer, Martin und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2019): McKean-Vlasov equations on infinite-dimensional Hilbert spaces with irregular drift and additive fractional noise.

Buchbeitrag

Detering, Nils; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Ritter, Daniel (2019): Systemic Risk in Networks. In: Biagini, Francesca; Kauermann, Göran und Meyer-Brandis, Thilo (Hrsg.): Network Science. Cham: Springer. S. 59-77

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Svindland, Gregor (2014): The Mathematical Concept of Measuring Risk. In: Klüppelberg, Claudia; Straub, Daniel und Welpe, Isabell M. (Hrsg.): Risk - A Multidisciplinary Introduction. Cham: Springer. S. 133-150

Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 und Morgan, Michael (2013): A Dynamic Lévy Copula Model for the Spark Spread. In: Benth, F.; Kholodnyi, V. und Laurence, P. (Hrsg.): Quantitative Energy Finance. New York: Springer. S. 237-257

Benth, Fred Espen und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2010): The Density Process of the Minimal Entropy Martingale Measure in a Stochastic Volatility Model with Jumps (Reprint). In: Lee, Cheng-Few; Lee, Alice C. und Lee, John (Hrsg.): Handbook of Quantitative Finance and Risk Management. Boston, MA: Springer. S. 1567-1575

Sulem, Agnès; Kohatsu-Higa, Arturo; ksendal, Bernt; Proske, Frank; Di Nunno, Giulia und Meyer-Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2009): Anticipative Stochastic Control for Lévy Processes With Application to Insider Trading. In: Du, Qiang (Hrsg.): Special Volume: Mathematical Modeling and Numerical Methods in Finance. Handbook of Numerical Analysis, Bd. 15. Amsterdam: North-Holland. S. 573-593

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