Suchergebnisse

Symmetries in Lévy term structure models. International Journal of Theoretical and Applied Finance 9 (6) (2006) 967–986 (with W. Kluge and A. Papapantoleon)

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

Valuation of floating range notes in Lévy term structure models. Mathematical Finance 16 (2006) 237–254 (with W. Kluge)

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)

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

Monge-Kantorovich transportation problem and optimal couplings, Jahresbericht der DMV, 109 (2007), 113–137

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).

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)

On a class of optimal stopping problems for diffusions with discontinuous coefficients. Coauthor: M. Urusov. Ann. Appl. Probability 18 (2008), 847-878

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.