Publications
Preprints
- .
Accepted/Published
- with G. Callegaro, B. Ongarato and C. Sgarra
Semi-static variance-optimal hedging with self-exciting jumps
Mathematics of Operations Research, 2025
SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5022902 - with C. Geiss and A. Steinicke
Product formulas for multiple stochastic integrals associated with Lévy processes
Collectanea Mathematica 2024
arXiv: https://arxiv.org/abs/2309.11150 - with A. Behme and A. Sideris
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes.
Stoch. Proc. Appl. 174, 2024.
arXiv:https://arxiv.org/abs/2207.11093 - with E. Bandini and F. Confortola
On the compensator of step processes in progressively en-
larged filtrations and related control problems
ALEA, Lat. Am. J. Probab. Math. Stat. 21, 95–120 (2024) - On the Propagation of the Weak Representation Property in Independently Enlarged Filtrations: The General Case.
Accepted for publication in
Journal of Theoretical Probability 35, 2194–2216 (2022)
arXiv: https://arxiv.org/abs/2003.11636 - with H.-J. Engelbert
Martingale Representation in Progressively Enlarged Lévy Filtrations.
Stochastics, 2022, 94:2, 311-333
arXiv: http://arxiv.org/abs/2007.14153 - with M. Jeanblanc:
Martingale Representation in the Enlargement of the Filtration Generated by a Point Process.
Stochastic Processes and their Applications , 2021, Vol. 131, p. 103-121
arXiv: https://arxiv.org/abs/1906.01208 - with C. Geiss:
Moments and Multiplication Formulas for Iterated Stochastic Integrals (generated by Lévy Processes).
Stochastics , Vol. 92, No. 6 (2020), 969-1004
arXiv:https://arxiv.org/abs/1808.10670 - On the Weak Representation Property in Progressively Enlarged Filtrations with an Application to Exponential Utility Maximization.
Accepted for publication in
Stochastic Processes and Their Applications, 2020, Volume 130, Issue 2, Pages 760-784
arXiv: https://arxiv.org/abs/1803.10939 - with H.-J. Engelbert
BSDEs and Log-Utility Maximization for Lévy-Processes.
Modern Stochastics:Theory and Applications, 2019, Vol. 6, No. 4, 479-494. - with M. Haubold and M. Keller-Ressel:
Semi-Static and Sparse Variance-Optimal Hedging.
Accepted for publication in:
Mathematical Finance, 2019, Vol. 30, Issue 2, p. 403-425
arXiv: https://arxiv.org/abs/1709.05519Papers - with M. Haubold and M. Keller-Ressel:
Semi-Static Variance Optimal Hedging in Stochastic Volatility Models with Fourier Representation.
Journal of Applied Probability, 2019, Volume 56 / Issue 3 .
arXiv: https://arxiv.org/abs/1709.05527 - with H.-J. Engelbert:
The Chaotic Representation Property of Compensated-Covariation Stable Families of Martingales.
The Annals of Probability, 2016, Volume 44, Number 6, 3965-4005.
https://projecteuclid.org/euclid.aop/1479114268 - with H.-J. Engelbert:
On the Predictable Representation Property of Compensated-Covariation Stable Families of Martingales.
Theory Probab. Appl, 2016, 60(1), 19-44.
https://doi.org/10.1137/S0040585X97T98748X - with H.-J. Engelbert:
On the Predictable Representation Property of Martingales Associated with Lévy Processes.
Stochastics, 2015, Vol. 87,1; S. 170-184.
pdf: http://www.tandfonline.com/doi/pdf/10.1080/17442508.2014.932051 - with A. Barchielli, C. Pellegrini and F. Petruccione:
Stochastic Schrödinger Equations and Memory.
Proceedings of the 30th Conference in Quantum Probability and Related Topics, 2011 Vol. 27, S. 52-67.
arXiv: https://arxiv.org/pdf/1006.3647.pdf