Correction to: Fatou closedness under model uncertainty.
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- 2019
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- Publication type:
- Correction Notice
Works matching AU Meyer-Brandis, Thilo
Results: 26
1
2
Fatou closedness under model uncertainty.
- Published in:
- Positivity, 2018, v. 22, n. 5, p. 1325, doi. 10.1007/s11117-018-0578-1
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- Publication type:
- Article
3
How Duration Between Trades of Underlying Securities Affects Option Prices*.
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- Review of Finance, 2010, v. 14, n. 4, p. 749, doi. 10.1093/rof/rfp013
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- Publication type:
- Article
4
A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise.
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- Journal of Probability & Statistics, 2011, p. 1, doi. 10.1155/2011/259091
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- Publication type:
- Article
5
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s.
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- Mathematische Annalen, 2013, v. 357, n. 2, p. 761, doi. 10.1007/s00208-013-0916-3
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- Publication type:
- Article
6
Stochastic Feynman-Kac Equations Associated to Lévy-Itô Diffusions.
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- Stochastic Analysis & Applications, 2007, v. 25, n. 5, p. 913, doi. 10.1080/07362990701540287
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- Article
7
Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps.
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- Stochastics: An International Journal of Probability & Stochastic Processes, 2013, v. 85, n. 3, p. 431, doi. 10.1080/17442508.2011.652964
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- Publication type:
- Article
8
A mean-field stochastic maximum principle via Malliavin calculus.
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- Stochastics: An International Journal of Probability & Stochastic Processes, 2012, v. 84, n. 5/6, p. 643, doi. 10.1080/17442508.2011.651619
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- Publication type:
- Article
9
Differential equations driven by Levy white noise in spaces of Hilbert space-valued stochastic distributions.
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- Stochastics: An International Journal of Probability & Stochastic Processes, 2008, v. 80, n. 4, p. 371, doi. 10.1080/17442500701661729
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- Publication type:
- Article
10
Explicit Solution of a Non-Linear Filtering Problem for Lévy Processes with Application to Finance.
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- Applied Mathematics & Optimization, 2004, v. 50, n. 2, p. 119, doi. 10.1007/s00245-004-0798-6
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- Publication type:
- Article
11
A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing.
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- Applied Mathematical Finance, 2007, v. 14, n. 2, p. 153, doi. 10.1080/13504860600725031
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- Publication type:
- Article
12
FINANCIAL CONTAGION IN A STOCHASTIC BLOCK MODEL.
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- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 8, p. N.PAG, doi. 10.1142/S0219024920500533
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- Publication type:
- Article
13
LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 4, p. N.PAG, doi. 10.1142/S0219024918500280
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- Publication type:
- Article
14
ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 1, p. -1, doi. 10.1142/S021902491550003X
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- Publication type:
- Article
15
CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 4, p. 1250027-1, doi. 10.1142/S0219024912500276
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- Publication type:
- Article
16
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES.
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- International Journal of Theoretical & Applied Finance, 2008, v. 11, n. 5, p. 503, doi. 10.1142/S0219024908004907
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- Publication type:
- Article
17
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES.
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- Infinite Dimensional Analysis, Quantum Probability & Related Topics, 2005, v. 8, n. 2, p. 235, doi. 10.1142/S0219025705001950
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- Article
18
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps.
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- Finance & Stochastics, 2005, v. 9, n. 4, p. 563, doi. 10.1007/s00780-005-0161-z
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- Publication type:
- Article
19
PRICING OF CATASTROPHE INSURANCE OPTIONS UNDER IMMEDIATE LOSS REESTIMATION.
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- Journal of Applied Probability, 2008, v. 45, n. 3, p. 831, doi. 10.1239/jap/1222441832
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- Publication type:
- Article
20
LARGE PLATONIC MARKETS WITH DELAYS.
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- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 8, p. 1, doi. 10.1142/S0219024921500436
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- Article
21
On fairness of systemic risk measures.
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- Finance & Stochastics, 2020, v. 24, n. 2, p. 513, doi. 10.1007/s00780-020-00417-4
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- Publication type:
- Article
22
Stability, uniqueness and existence of solutions to McKean–Vlasov SDEs: a multidimensional Yamada–Watanabe approach.
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- Stochastics & Dynamics, 2024, v. 24, n. 5, p. 1, doi. 10.1142/S0219493724500394
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- Article
23
Electricity spot price modelling with a view towards extreme spike risk.
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- Quantitative Finance, 2010, v. 10, n. 9, p. 963, doi. 10.1080/14697680903150496
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- Article
24
Optimal portfolio for an insider in a market driven by Lévy processes§.
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- Quantitative Finance, 2006, v. 6, n. 1, p. 83, doi. 10.1080/14697680500467905
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- Article
25
Detecting asset price bubbles using deep learning.
- Published in:
- Mathematical Finance, 2025, v. 35, n. 1, p. 74, doi. 10.1111/mafi.12443
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- Publication type:
- Article
26
A unified approach to systemic risk measures via acceptance sets.
- Published in:
- Mathematical Finance, 2019, v. 29, n. 1, p. 329, doi. 10.1111/mafi.12170
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- Publication type:
- Article