Suchergebnisse

The Lévy Libor model with default risk. Journal of Credit Risk 2 (2) (2006) 3–42 (with W. Kluge, P. J. Schönbucher)

The Lévy swap market model. Applied Mathematical Finance 14 (2) (2007) 171–196 (with J. Liinev) This is the author's version of the work. It is posted here by permission of Taylor & Francis for personal use, not for redistribution. The definitive version was published in Applied Mathematical Finance, Volume 14 Issue 2, May 2007. doi:10.1080/13504860600724950 (http://dx.doi.org/10.1080/13504860600724950).

On the duality principle in option pricing: semimartingale setting. Finance and Stochastics 12 (2) (2008), 265–292 (with A. Papapantoleon, A. N. Shiryaev) The original publication is available at www.springerlink.com.

Calibration of Lévy term structure models. In Advances in Mathematical Finance: In Honor of D. B. Madan, M. Fu, R. A. Jarrow, J.-Y. Yen, and R. J. Elliott (eds.), Birkhäuser (2007), pp. 147–172 (joint with W. Kluge)

Sato processes and the valuation of structured products. Quantitative Finance 9 (1) (2009), 27–42 (with D. B. Madan)

Mathematics in financial risk management. Jahresbericht der Deutschen Mathematiker Vereinigung 109 (2007), pp. 165–193 (with R. Frey, M. Kalkbrener, L. Overbeck)

Jump-type Lévy processes. In Handbook of Financial Time Series, T. G. Andersen, R. A. Davis, J.-P. Kreiß, T. Mikosch, Springer Verlag (2009), pp 439–455

Jump processes. In Encyclopedia of Quantitative Finance, R. Cont (ed.), John Wiley & Sons Ltd. (2010), pp 990–994 The definitive version is available at www.wileyinterscience.com.

Advanced credit portfolio modeling and CDO pricing. In Mathematics – Key Technology for the Future, W. Jäger and H.-J. Krebs (eds.), Springer (2008), pp 253–280 (with R. Frey, E. A. von Hammerstein)

Esscher transform and the duality principle for multidimensional semimartingales. The Annals of Applied Probability 19 (2009), 1944–1971 (with A. Papapantoleon and A. N. Shiryaev)