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Anzahl der Publikationen auf dieser Ebene: 231

Monographie

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Campanino, M (2006): Elementi di probabilita e statistica. Milano: Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Campanino, Massimo (2016): Elements of Probability and Statistics. An Introduction to Probability with de Finetti’s Approach and to Bayesian Statistics. UNITEXT, Bd. 98. : Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Zhang, Tusheng (2008): Stochastic Calculus for Fractional Brownian Motion and Applications. London: Springer.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2017): Quantitative Network Science (QNetS). CAS Concepts, Bd. 5. München: Ludwig-Maximilians-Universität. [PDF, 849kB]

Fries, Christian (2007): Mathematical Finance: Theory, Modeling, Implementation. Hoboken, NJ: Wiley-Interscience.

Hochschulschrift

Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953 (2017): Markovian integral equations and path-dependent partial differential equations. Dissertation,

Zeitschriftenartikel

Akhtari, Bahar; Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (2023): Generalized Feynman–Kac formula under volatility uncertainty. In: Stochastic Processes and their Applications, Bd. 166, 104083

Bank, Peter; Dolinsky, Yan und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2017): The scaling limit of superreplication prices with small transaction costs in the multivariate case. In: Finance and Stochastics, Bd. 21, Nr. 2: S. 487-508

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

Banos, D.; Meyer-Brandis, T. ORCID logoORCID: https://orcid.org/0000-0002-6374-7983; Proske, F. und Düdahl, S. (2017): Computing deltas without derivatives. In: Finance and Stochastics, Bd. 21, Nr. 2: S. 509-549

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

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]

Beck, Christian; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Hutzenthaler, Martin und Jentzen, Arnulf (2021): On existence and uniqueness properties for solutions of stochastic fixed point equations. In: Discrete and Continuous Dynamical Systems-Series B, Bd. 26, Nr. 9: S. 4927-4962

Benth, Fred Espen und Detering, Nils (2015): Pricing and hedging Asian-style options on energy. In: Finance and Stochastics, Bd. 19, Nr. 4: S. 849-889

Benth, Fred Espen; Kallsen, Jan und Meyer‐Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2007): A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing. In: Applied Mathematical Finance, Bd. 14, Nr. 2: S. 153-169

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, F. und Pratelli, M. (1999): Local risk minimization and numéraire. In: Journal of Applied Probability, Bd. 36, Nr. 4: S. 1126-1139

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2002): Mean-variance hedging for interest rate models with stochastic volatility. In: Decisions in Economics and Finance, Bd. 25, Nr. 1: S. 1-17

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Björk, Tomas (2007): On the timing option in a futures contract. In: Mathematical Finance, Bd. 17, Nr. 2: S. 267-283

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Bollweg, Georg und Oberpriller, Katharina (2023): Non-linear affine processes with jumps. In: Probability, Uncertainty and Quantitative Risk, Bd. 8, Nr. 2: S. 235-266

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

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

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

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Campanino, Massimo und Fuschini, Serena (2008): Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2. In: Stochastics, Bd. 80, Nr. 5: S. 407-426

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2012): Local Risk-Minimization for Defaultable Claims with Recovery Process. In: Applied Mathematics & Optimization, Bd. 65, Nr. 3: S. 293-314

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2009): Local risk minimization for defaultable markets. In: Mathematical Finance, Bd. 19, Nr. 4: S. 669-689

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Cretarola, Alessandra (2007): Quadratic Hedging Methods for Defaultable Claims. In: Applied Mathematics and Optimization, Bd. 56, Nr. 3: S. 425-443

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Cretarola, Alessandra und Platen, Eckhard (2014): Local risk-minimization under the benchmark approach. In: Mathematics and Financial Economics, Bd. 8, Nr. 2: S. 109-134

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fink, Holger und Klüppelberg, Claudia (2013): A fractional credit model with long range dependent default rate. In: Stochastic Processes and their Applications, Bd. 123, Nr. 4: S. 1319-1347

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Föllmer, Hans und Nedelcu, Sorin (2014): Shifting martingale measures and the birth of a bubble as a submartingale. In: Finance and Stochastics, Bd. 18, Nr. 2: S. 297-326

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas und Reitsam, Thomas (2022): Neural network approximation for superhedging prices. In: Mathematical Finance, Bd. 33, Nr. 1: S. 146-184 [PDF, 1MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Groll, Andreas und Widenmann, Jan (2013): Intensity-based premium evaluation for unemployment insurance products. In: Insurance: Mathematics and Economics, Bd. 53, Nr. 1: S. 302-316

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Guasoni, Paolo (2002): Mean–variance hedging with random volatility jumps. In: Stochastic Analysis and Applications, Bd. 20, Nr. 3: S. 471-494

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Guasoni, Paolo und Pratelli, Maurizio (2000): Mean‐Variance Hedging for Stochastic Volatility Models. In: Mathematical Finance, Bd. 10, Nr. 2: S. 109-123

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

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Hu, Yaozhong; Øksendal, Bernt und Sulem, Agnès (2002): A stochastic maximum principle for processes driven by fractional Brownian motion. In: Stochastic Processes and their Applications, Bd. 100, Nr. 1-2: S. 233-253

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Härtel, Maximilian (2014): Behavior of Long-Term Yields in a Lévy Term Structure. In: International Journal of Theoretical and Applied Finance, Bd. 17, Nr. 03, 1450016

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Mancin, Jacopo (2017): Financial asset price bubbles under model uncertainty. In: Probability, Uncertainty and Quantitative Risk, Bd. 2, Nr. 1, 14

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

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (2023): Reduced-form framework for multiple ordered default times under model uncertainty. In: Stochastic Processes and their Applications, Bd. 156: S. 1-43

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2023): Optional projection under equivalent local martingale measures. In: Finance and Stochastics, Bd. 27, Nr. 2: S. 435-465 [PDF, 1MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Nedelcu, Sorin (2015): The Formation of Financial Bubbles in Defaultable Markets. In: SIAM Journal on Financial Mathematics, Bd. 6, Nr. 1: S. 530-558

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Reitsam, Thomas (2023): A dynamic version of the super-replication theorem under proportional transaction costs. In: Stochastic Analysis and Applications, Bd. 41, Nr. 1: S. 80-101

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Reitsam, Thomas (2022): Asset price bubbles in markets with transaction costs. In: Frontiers of Mathematical Finance, Bd. 1, Nr. 3: S. 397

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Rheinländer, Thorsten und Widenmann, Jan (2013): Hedging mortality claims with longevity bonds. In: ASTIN Bulletin, Bd. 43, Nr. 2: S. 123-157

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Rost, Daniel (2013): Money out of nothing? Prinzipien und Grundlagen der Finanzmathematik. In: Mitteilungen der deutschen Mathematiker-Vereinigung, Bd. 21, Nr. 1: S. 18-22

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Schreiber, Irene (2013): Risk-Minimization for Life Insurance Liabilities. In: SIAM Journal on Financial Mathematics, Bd. 4, Nr. 1: S. 243-264

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Ulmer, Sascha (2009): Asymptotics for Operational Risk Quantified with Expected Shortfall. In: ASTIN Bulletin, Bd. 39, Nr. 2: S. 735-752

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Widenmann, Jan (2012): Pricing of unemployement insurance products with doubly stochastic Markov chains. In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 04: S. 1250025

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2005): A General Stochastic Calculus Approach to Insider Trading. In: Applied Mathematics and Optimization, Bd. 52, Nr. 2: S. 167-181

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2008): Forward integrals and an Itô formula for fractional Brownian motion. In: Infinite Dimensional Analysis, Quantum Probability and Related Topics, Bd. 11, Nr. 02: S. 157-177

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2003): Minimal variance hedging for fractional Brownian motion. In: Methods and Applications of Analysis, Bd. 10, Nr. 3: 347 - 362

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Øksendal, Bernt (2006): Minimal variance hedging for insider trading. In: International Journal of Theoretical and Applied Finance, Bd. 09, Nr. 08: S. 1351-1375

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Øksendal, Bernt; Sulem, Agnès und Wallner, Naomi (2004): An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion. In: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences, Bd. 460, Nr. 2041: S. 347-372

Biagini, Sara; Pennanen, Teemu und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2018): Duality and optimality conditions in stochastic optimization and mathematical finance. In: Journal of Convex Analysis, Bd. 25, Nr. 2: S. 403-420

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Botero, Camila und Schreiber, Irene (2017): Risk-minimization for life insurance liabilities with dependent mortality risk. In: Mathematical Finance, Bd. 27, Nr. 2: S. 505-533

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

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

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]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Haertel, Maximilian (2020): General analysis of long-term interest rates. In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 1, 2050002

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Härtel, Maximilian (2018): Long-Term Yield in an Affine HJM Framework on S-d(+). In: Applied Mathematics and Optimization, Bd. 77, Nr. 3: S. 405-441

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gnoatto, Alessandro und Oliva, Immacolata (2021): A Unified Approach to xVA with CSA Discounting and Initial Margin. In: SIAM Journal on Financial Mathematics, Bd. 12, Nr. 3: S. 1013-1053

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Groll, Andreas und Widenmann, Jan (2016): Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains. In: Risks, Bd. 4, Nr. 3, 23 [PDF, 521kB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Huber, Tobias ORCID logoORCID: https://orcid.org/0000-0002-9894-9710; Jaspersen, Johannes G. ORCID logoORCID: https://orcid.org/0000-0002-3599-8988 und Mazzon, Andrea (2021): Estimating extreme cancellation rates in life insurance. In: Journal of Risk and Insurance, Bd. 88, Nr. 4: S. 971-1000 [PDF, 3MB]

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mancin, Jacopo und Brandis, Thilo Meyer (2019): Robust mean-variance hedging via G-expectation. In: Stochastic Processes and Their Applications, Bd. 129, Nr. 4: S. 1287-1325

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; 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

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 und Oberpriller, Katharina (2021): Reduced-form setting under model uncertainty with non-linear affine intensities. In: Probability Uncertainty and Quantitative Risk, Bd. 6, Nr. 3: S. 159-188

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Rheinländer, Thorsten und Schreiber, Irene (2016): Risk-minimization for life insurance liabilities with basis risk. In: Mathematics and Financial Economics, Bd. 10, Nr. 2: S. 151-178

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2022): Extended reduced-form framework for non-life insurance. In: Advances in Applied Probability, Bd. 54, Nr. 3: S. 945-973

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2016): Polynomial diffusion models for life insurance liabilities. In: Insurance Mathematics & Economics, Bd. 71: S. 114-129

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 und Zhang, Yinglin (2019): Reduced-form framework under model uncertainty. In: Annals of Applied Probability, Bd. 29, Nr. 4: S. 2481-2522

Brigo, Damiano; Graceffa, Federico und Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953 (2024): Mild to Classical Solutions for XVA Equations under Stochastic Volatility. In: SIAM Journal on Financial Mathematics, Bd. 15, Nr. 1: S. 215-254

Buehler, H.; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Teichmann, J. und Wood, B. (2019): Deep hedging. In: Quantitative Finance, Bd. 19, Nr. 8: S. 1271-1291

Caldana, Ruggero; Fusai, Gianluca; Gnoatto, Alessandro und Grasselli, Martino (2016): General closed-form basket option pricing bounds. In: Quantitative Finance, Bd. 16, Nr. 4: S. 535-554

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

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

Cont, Rama ORCID logoORCID: https://orcid.org/0000-0003-1164-6053 und Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953 (2020): On the support of solutions to stochastic differential equations with path-dependent coefficients. In: Stochastic Processes and their Applications, Bd. 130, Nr. 5: S. 2639-2674

Cuchiero, Christa; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455; Grigoryeva, Lyudmila; Ortega, Juan-Pablo ORCID logoORCID: https://orcid.org/0000-0002-5412-9622 und Teichmann, Josef (2022): Discrete-Time Signatures and Randomness in Reservoir Computing. In: IEEE Transactions on Neural Networks and Learning Systems, Bd. 33, Nr. 11: S. 6321-6330

Cuchiero, Christa; Fontana, Claudio und Gnoatto, Alessandro (2016): A general HJM framework for multiple yield curve modelling. In: Finance and Stochastics, Bd. 20, Nr. 2: S. 267-320

Da Fonseca, José; Gnoatto, Alessandro und Grasselli, Martino (2013): A flexible matrix Libor model with smiles. In: Journal of Economic Dynamics and Control, Bd. 37, Nr. 4: S. 774-793

De Col, Alvise; Gnoatto, Alessandro und Grasselli, Martino (2013): Smiles all around: FX joint calibration in a multi-Heston model. In: Journal of Banking & Finance, Bd. 37, Nr. 10: S. 3799-3818

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

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 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; Weber, Andreas und Wystup, Uwe (2013): Return distributions of equity-linked retirement plans under jump and interest rate risk. In: European Actuarial Journal, Bd. 3, Nr. 1: S. 203-228

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 und Ritter, Daniel (2020): Financial contagion in a stochastic block model. In: International Journal of Theoretical and Applied Finance, Bd. 23, Nr. 8, 2050053

Di Graziano, Guiseppe und Torricelli, Lorenzo (2012): Target volatility option pricing. In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 01: S. 1250005

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

Döring, Leif; Gonon, Lukas; Prömel, David J. ORCID logoORCID: https://orcid.org/0000-0001-7028-7500 und Reichmann, Oleg (2019): Existence and Uniqueness Results for Time-Inhomogeneous Time-Change Equations and Fokker–Planck Equations. In: Journal of Theoretical Probability, Bd. 34, Nr. 1: S. 173-205

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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

Fontana, Claudio und Montes, Juan Miguel (2014): A unified approach to pricing and risk management of equity and credit risk. In: Journal of Computational and Applied Mathematics, Bd. 259, Nr. Part B: S. 350-361 [PDF, 177kB]

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Fries, Christian P. und Joshi, Mark S. (2011): Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products. In: International Journal of Theoretical and Applied Finance, Bd. 14, Nr. 2: S. 197-219

Fries, Christian P. und Torricelli, Lorenzo ORCID logoORCID: https://orcid.org/0000-0002-7419-2119 (2020): An Analytical Valuation Framework for Financial Assets with Trading Suspensions. In: Siam Journal on Financial Mathematics, Bd. 11, Nr. 2: S. 566-592

Geuchen, Benedikt; Oberpriller, Katharina und Schmidt, Thorsten (21. September 2024): Affine models with path-dependence under parameter uncertainty and their application in finance. In: International Journal of Theoretical and Applied Finance, Bd. 27, Nr. 2

Gnoatto, Alessandro (2012): The Wishart short rate model. In: International Journal of Theoretical and Applied Finance, Bd. 15, Nr. 08, 1250056

Gnoatto, Alessandro und Grasselli, Martino (2014): An Affine Multicurrency Model with Stochastic Volatility and Stochastic Interest Rates. In: SIAM Journal on Financial Mathematics, Bd. 5, Nr. 1: S. 493-531

Gnoatto, Alessandro und Grasselli, Martino (2014): The Explicit Laplace Transform for the Wishart Process. In: Journal of Applied Probability, Bd. 51, Nr. 3: S. 640-656

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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

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

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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

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 (2010): Construction of strong solutions of SDE's via Malliavin calculus. In: Journal of Functional Analysis, Bd. 258, Nr. 11: S. 3922-3953

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

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

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

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

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Montes, Juan Miguel; Prezioso, Valentina und Runggaldier, Wolfgang J. (2014): Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying a Continuous-Time Finite State Markov Process. In: SIAM Journal on Financial Mathematics, Bd. 5, Nr. 1: S. 557-580

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

Oberpriller, Katharina; Ritter, Moritz und Schmidt, Thorsten (8. August 2024): Robust asymptotic insurance-finance arbitrage. In: European Actuarial Journal

Pennanen, Teemu und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2019): Convex duality in nonlinear optimal transport. In: Journal of Functional Analysis, Bd. 277, Nr. 4: S. 1029-1060

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Pennanen, Teemu und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2018): Convex integral functionals of regular processes. In: Stochastic Processes and Their Applications, Bd. 128, Nr. 5: S. 1652-1677

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Pennanen, Teemu und Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2020): Optimal Stopping Without Snell Envelopes. In: Proceedings of the American Mathematical Society, Bd. 152, Nr. 4

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Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2018): Conjugates of integral functionals on continuous functions. In: Journal of Mathematical Analysis and Applications, Bd. 459, Nr. 1: S. 124-134

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Tutz, Gerhard ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 und Groll, Andreas ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 (2013): Likelihood-Based Boosting in Binary and Ordinal Random Effects Models. In: Journal of Computational and Graphical Statistics, Bd. 22, Nr. 2: S. 356-378

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Abedieh, Jasmin; Groll, Andreas ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 und Eugster, Manuel J. A. (8. Februar 2013): Measuring Concentration in Data with an Exogenous Order. Department of Statistics: Technical Reports, Nr. 140 [PDF, 484kB]

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.

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.

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 (Oktober 2022): Detecting asset price bubbles using deep learning.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Gonon, Lukas und Walter, Niklas (September 2023): Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models.

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.

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Mazzon, Andrea und Oberpriller, Katharina (Dezember 2023): Multi-dimensional fractional Brownian motion in the G-setting.

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Da Fonseca, Joss; Gnoatto, Alessandro und Grasselli, Martino (2014): Analytic Pricing of Volatility-Equity Options within Affine Models: An Efficient Conditioning Technique. SSRN

De Ambroggio, Umberto; Makai, Tamás; Panagiotou, Konstantinos ORCID logoORCID: https://orcid.org/0000-0003-0572-7252 und Steibel, Annika (März 2024): Limit Laws for Critical Dispersion on Complete Graphs.

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Fries, Christian P. (2005): Bumping the Model: Generic Robust Monte-Carlo Sensitivities using the Proxy Simulation Scheme Method. SSRN Electronic Journal

Fries, Christian P. (2010): Discounting Revisited: Valuation Under Funding, Counterparty Risk and Collateralization. SSRN Electronic Journal

Fries, Christian P. (2005): Foresight Bias and Suboptimality Correction in Monte-Carlo Pricing of Options with Early Exercise: Classification, Calculation and Removal. SSRN

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Fries, Christian P. (2011): Funded Replication: Valuing with Stochastic Funding. SSRN

Fries, Christian P. (2007): Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks. SSRN

Fries, Christian P. (2006): Markov Functional Modeling of Equity, Commodity and Other Assets. SSRN

Fries, Christian P. (2010): Portfolio Risk with Selected Revaluation. SSRN

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Fries, Christian P. und Eckstaedt, Fabian (2006): A Hybrid Markov-Functional Model with Simultaneous Calibration to Interest Rate and FX Smile. SSRN

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Fries, Christian P. und Kampen, Joerg (2010): 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. SSRN

Fries, Christian P. und Kampen, Joerg (2005): Proxy Simulation Schemes for Generic Robust Monte-Carlo Sensitivities, Process Oriented Importance Sampling and High Accuracy Drift Approximation. SSRN

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Fries, Christian P. und Lichtner, Mark (2014): Collateralization and Funding Valuation Adjustments (FVA) for Total Return Swaps. SSRN

Fries, Christian P.; Nigbur, Tobias und Seeger, Norman (2012): A Generalized View on Historical Simulation and Extensions (Application to VaR in Times of Negative Interest Rates). SSRN

Fries, Christian P. und Rott, Marius G. (2004): Cross-Currency and Hybrid Markov-Functional Models. SSRN

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.

Gope, Pijush und Fries, Christian P. (2013): Extension of Normed Call Prices for Negative Strikes and Forwards. SSRN

Gope, Pijush und Fries, Christian P. (2011): Volatility Surface Interpolation on Probability Space using Normed Call Prices. SSRN

Groll, Andreas ORCID logoORCID: https://orcid.org/0000-0002-6628-3539; Hastie, Trevor und Tutz, Gerhard ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 (25. Februar 2016): Regularization in Cox Frailty Models. Department of Statistics: Technical Reports, Nr. 191 [PDF, 8MB]

Groll, Andreas ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 und Tutz, Gerhard ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 (3. Juni 2011): Variable Selection for Generalized Linear Mixed Models by L1-Penalized Estimation. Department of Statistics: Technical Reports, Nr. 108 [PDF, 4MB]

Härtel, Maximilian und Orlando, Giuseppe (2013): A Parametric Approach to Counterparty and Credit Risk. SSRN

Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953 (Juli 2023): The oriented derivative.

Kalinin, Alexander ORCID logoORCID: https://orcid.org/0000-0003-4069-1953 und Schied, Alexander (2018): Mild and viscosity solutions to semilinear parabolic path-dependent PDEs.

Liebrich, Felix-Benedikt ORCID logoORCID: https://orcid.org/0000-0003-1491-720X (2021): Risk sharing under heterogeneous beliefs without convexity.

Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 (2014): Stochastic programs without duality gaps for objectives without a lower bound.

Perkkiö, Ari-Pekka ORCID logoORCID: https://orcid.org/0000-0002-9787-0330 und Treviño-Aguilar, Erick ORCID logoORCID: https://orcid.org/0000-0002-2543-8469 (2018): Convex integral functionals of cadlag processes.

Rott, Marius G. und Fries, Christian P. (2005): Fast and Robust Monte Carlo CDO Sensitivities and their Efficient Object Oriented Implementation. SSRN Electronic Journal

Buchbeitrag

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

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2010): Second Fundamental Theorem of Asset Pricing. 4. R - XYZ. In: Cont, Rama (Hrsg.): Encyclopedia of Quantitative Finance. Chichester [u.a.]: Wiley. S. 1623-1628

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259; Fuschini, Serena und Klüppelberg, Claudia (2011): Credit Contagion in a Long Range Dependent Macroeconomic Factor Model. In: Di Nunno, Giulia und Øksendal, Bernt (Hrsg.): Advanced Mathematical Methods for Finance. Heidelberg: Springer. S. 105-132

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

Croitoru, Christian; Fries, Christian; Jäger, Willi; Kampen, Jörg und Nonnenmacher, Dirk-Jens (2008): On the Dynamics of the Forward Interest Rate Curve and the Evaluation of Interest Rate Derivatives and their Sensitivities. In: Krebs, Hans-Joachim und Jäger, Willi (Hrsg.): Mathematics – Key Technology for the Future. Joint Projects between Universities and Industry 2004 -2007. Springer Berlin, Heidelberg: Springer. S. 343-357

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

Detering, Nils und Packham, Natalie (2015): Model Risk in Incomplete Markets with Jumps. In: Glau, Kathrin; Scherer, Matthias und Zagst, Rudi (Hrsg.): Innovations in Quantitative Risk Management. Springer Proceedings in Mathematics & Statistics ((PROMS), Bd. 99. Cham: Springer. S. 39-56 [PDF, 351kB]

Detering, Nils ORCID logoORCID: https://orcid.org/0000-0002-5251-5407; Weber, Andreas und Wystup, Uwe (2011): Return distributions of equity-linked retirement plans. In: Statistical Tools for Finance and Insurance. Berlin ; Heidelberg: Springer. S. 393-413

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

Meyer‐Brandis, Thilo ORCID logoORCID: https://orcid.org/0000-0002-6374-7983 (2010): Electricity Markets. In: Cont, Rama (Hrsg.): Encyclopedia of Quantitative Finance. 2. E - J. Chichester [u.a.]: Wiley.

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

Tutz, Gerhard ORCID logoORCID: https://orcid.org/0000-0002-6628-3539 und Groll, Andreas (2010): Generalized linear mixed models based on boosting. In: Kneib, Thomas (Hrsg.): Statistical Modelling and Regression Structures - Festschrift in Honour of Ludwig Fahrmeir. Heidelberg: Physica-Verlag, Springer. S. 197-215

Konferenzbeitrag

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2013): Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets. Seminar on Stochastic Analysis, Random Fields and Applications, Ascona, Schweiz, Mai 2011. Dalang, Robert C.; Dozzi, Marco und Russo, Francesco (Hrsg.): In: Seminar on Stochastic Analysis, Random Fields and Applications VII, Basel: Birkhäuser. S. 285-304

Biagini, Francesca ORCID logoORCID: https://orcid.org/0000-0001-9801-5259 (2001): A Quadratic Approach To Interest Rates Models In Incomplete Markets. Workshop of the Mathematical Finance Research Project, Konstanz, Deutschland, 5. – 7. Oktober 2000. Kohlmann, Michael und Tang, Shanjian (Hrsg.): In: Mathematical Finance. Workshop of the Mathematical Finance Research Project, Konstanz, Germany, October 5–7, 2000, Basel: Birkhäuser. S. 89-98

Prorok, Amanda; Gonon, Lukas ORCID logoORCID: https://orcid.org/0000-0003-3367-2455 und Martinoli, Alcherio (2012): Online model estimation of ultra-wideband TDOA measurements for mobile robot localization. 2012 IEEE International Conference on Robotics and Automation, Saint Paul, USA, 14. - 18. Mai 2012. In: 2012 IEEE International Conference on Robotics and Automation, Piscataway, NJ, USA: IEEE. S. 807-814

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