Publications
Publications
For more information, please visit the individual pages of our professors:
Anita Behme, Dietmar Ferger, Martin Keller-Ressel und René L. Schilling
and other teaching staff.
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158 Entries
2020
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A comparison principle between rough and non-rough Heston models-with applications to the volatility surface , 2 Jun 2020, In: Quantitative finance. 20, 6, p. 919-933, 15 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Semistatic and sparse variance-optimal hedging , Apr 2020, In: Mathematical finance. 30, 2, p. 403-425, 23 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Hydra - a method for strain-minimizing hyperbolic embedding of network- and distance-based data , Feb 2020, In: Journal of complex networks. 8, 1, 18 p., 002Electronic (full-text) versionResearch output: Contribution to journal > Research article
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On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization , Feb 2020, In: Stochastic Processes and their Applications. 2020, 130(2), p. 760-784Research output: Contribution to journal > Research article
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A unified approach to coupling SDEs driven by Lévy noise and some applications , 2020, In: Bernoulli. 26, 1, p. 664-693, 30 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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Exponential functionals of Markov additive processes , 2020, In: Electronic Journal of Probability. 25, 37, p. 1-25Research output: Contribution to journal > Research article
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Moments and Multiplication Formulas for Iterated Stochastic Integrals (generated by Lévy Processes) , 2020, In: Stochastics : an international journal of probability and stochastic processes. p. 969-1004Research output: Contribution to journal > Research article
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Ruin probabilities for risk processes in a bipartite network , 2020, In: Stochastic models : affiliated publication of the Institute for Operations Research and the Management Sciences. 36, p. 548-573Research output: Contribution to journal > Research article
2019
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AFFINE PROCESSES BEYOND STOCHASTIC CONTINUITY , Dec 2019, In: Annals of Applied Probability. 29, 6, p. 3387-3437, 51 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
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DISTANCE MULTIVARIANCE - NEW DEPENDENCE MEASURES FOR RANDOM VECTORS , Oct 2019, In: Annals of statistics. 47, 5, p. 2757-2789, 33 p.Electronic (full-text) versionResearch output: Contribution to journal > Research article
Preprints
Dresdner Schriften zur Mathematischen Stochastik
(Dresden Publications on Mathematical Stochastics, 1994 - 2021)
Dresdner Schriften zur Versicherungsmathematik
(Dresden Publications on Insurance Mathematics, 1994 - 2016)