Published or accepted by peer reviewed
journals :
·
A new method for the calibration of stochastic volatility
models : The Malliavin gradient method ( joint with Aihua Zhang ); Quantitative
Finance , Vol.6 No.2, April 2006
·
The Malliavin gradient method for the calibration
of stochastic dynamical models; Applied
Mathematics and Computation, Vol 175, Issue 2, April 2006
·
Insider Trading in Stochastic Volatility Models; International
Journal of Theoretical and Applied Finance, Vol. 8 No.3 (2005) 1-19
·
Local Volatility in the Heston Model : A Malliavin
Calculus Approach; Journal
of Applied Mathematics and Stochastic Analysis, Vol 2005, Issue 3
·
A de Rham Isomorphism in Singular Cohomology and
Stokes Theorem for Stratifolds; International
Journal of Geometric Methods in Modern Physics, Vol 2, No. 1 , February
2005
·
Hochschild Homology of LCNT-spaces; Communications
in Mathematical Physics, Vol250, Number 1 2004
·
A Short
Derivation of An Explicit Hull and White Option Pricing Formula. ( joint
with Zhaojun Yang and Klaur-Reiner Schenk-Hopper ) To appear in
Finance Letters
·
Parental Care as a differential game: A dynamic
extension of the Houston-Davies game. To appear in?Applied
Mathematics and Computations, Vol.190, Issue 2, 15 July 2007
·
Optimal management and inflation protection for
defined contribution pension plans. ( joint with Ralf Korn and Aihua
Zhang ) Blaetter
der DGFVM, Vol. 28, No. 2, 2007
·
A Note on the Malliavin Derivative under Change of
Variable. Statistics
& Probability Letters, Volume 78, Issue 2, 1 February 2008
·
A General Approach for Solving Differential Public
Good Games and a Comparison to the Static Case. Game
Theory and Applications, Vol. 14, 2009
·
The Malliavin Calculus and Stochastic Differential
games with Information Asymmetry Proceedings
of the second international Conference on Game Theory and Applications
·
Optimal portfolios in a Competing-Insiders Market:
An anticpative Stochastic Differential Game Model ( joint with Yajun Xiao
) Proceedings
of the second international Conference on Game Theory and Applications
·
Utility Based pricing and Exercising of Real
Options Under Geometric Mean Reversion and Risk Aversion toward
Idiosyncratic Risk. ( joint with Zhaojun Yang ). Mathematical Methods
of Operations Research, Vol 67, No.4 2008
·
Malliavin Differentiability of the Heston
Volatility and Applications to Option Pricing ( joint with Elisa Alos ) ?/span>Advances
in Applied Probability, Vol. 40 No 1, March 2008
·
Continuous time evolutionary finance. The case of
fix-mix strategies.?( joint with Zhaojun Yang )?Investment
Science and Financial Innovation, Vol 5, issue 1, March 2008
·
On the Qualitative Effect of Volatility and
Duration on Prices of Asian Options (joint with Peter Carr and Yajun
Xiao)?Finance
Research Letters, Volume 5, Issue 3, September 2008
·
Numerical Simulation of a Diffusion Type
Evolutionary Stock Market Model (joint with Walailuck Chavansporn) Applied
Mathematical Sciences, Vol. 2, 2008
·
Implied volatility from Asian options. ( joint with
Zhaojun Yang and Yajun Xiao ) International
Journal of Theoretical and Applied Finance, vol. 12, no. 2, March 2009
·
Stochastic Volatility : Risk Minimization and Model
Risk ( joint with Rolf Poulsen and Klaus-Rainer Schenk-Hoppe ) to
appear in Quantitative Finance
Preprints (submitted) :
·
Information: Price and Impact on General Welfare
and? Optimal Investment. An anticipative Stochastic Differential Game
Model. SSRN-Preprint
2007
·
Pricing and exercising real options in the Dixit
and Pindyck geometric Ornstein-Uhlenbeck model : An analytic solution for
the incomplete case. ( joint with Zhaojun Yang ) SSRN-Preprint
2006
·
A Closed form Solution for European and
Digital Calls, locally R-minimizing hedges?and Delta hedges for Hull and
White 85. ( joint with Zhaojun Yang and Klaus-Rainer Schenk Hoppe ) SSRN-Preprint
2006
·
The Value of Full Information and Comparative
Statics : A Continuous Time Market Model with Partial Information and
Log-Utility from terminal wealth ( joint with Zhaojun Yang ). SSRN-Preprint.
·
Geometric Mean Reversion : Formulas for the
Equilibrium density and Analytic Moment Matching. SSRN-preprint
·
Irreversible investment in Cox-Ingersoll-Ross type
mean reversion. Working paper. (joint with Wen-Kai Wang) SSRN-preprint
·
On the Non-Equilibrium Density of Geometric Mean
reversion (joint with Zhaojun Yang) SSRN-Preprint
·
Stochastic Reaction Strategies, the Barro-Gordon
Framework and How Null-Inflation can Become an Equilibrium ( joint with
Johannes Geissler ) SSRN-Preprint
·
Dynamic Voluntary Provision of Public Goods with
Uncertainty: A Stochastic Differential Game Model (joint with Wen-Kai
Wang)?SSRN-Preprint
·
A Stochastic Differential Fishery Game for a Two
Species Fish Population with Ecological Interaction (joint with Wen-Kai
Wang)?SSRN-Preprint
·
Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance
Analysis. (joint with Wen-Kai Wang) SSRN-Preprint
·
Some Notes on Golden Rules and Risk
Aversion in a Merton Type Solow Model.(joint with Johannes Geissler) SSRN-Preprint
·
NEW Inflation Linked Bond from a Central
Banks Perspective (joint with Johannes Geissler) SSRN-Preprint
·
NEW Analytic Solutions for Infinite Horizon
Stochastic Optimal Control Problems via Finite Horizon Approximation: A
Practical Guide (joint with Wen-Kai Wang) SSRN-Preprint
·
NEW Pricing and
Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
SSRN-Preprint
·
NEW Malliavin Differentiability of a Class
of Feller-Diffusions with Relevance in Finance SSRN-Preprint
·
NEW Options on Renewable Resources: A New Version of the Black (1976)
Pricing Formula for Commodity Options SSRN-Preprint
·
NEW Australian Options are Truely Asian and Some Notes on Milevsky and
Posner's Reciprocal Gamma-Approximation SSRN-Preprint
Working papers (not submitted):
·
A Note on the Malliavin differentiability of the
Heston volatility. ( joint with Elisa Alos ) SSRN-Preprint
2006
·
On the adaptive dynamics imposed by linear reaction
strategies near a Nash?
equilibrium in two player games with continuous strategy sets. (
joint with John McNamara and Alastair Houston ) Working paper 2006
Lecturenotes:
·
Lecture Notes :
Mathematik fuer Wirtschaftswissenschaftler Univesitaet Kaiserslautern
(2004) ( pdf )
·
Lecture Notes : Introduction to Continuous Time
Mathematical Finance Univesitaet Kaiserslautern (2004) SSRN
Lecture Notes
·
Lecture Notes : Games, Fixed Points and
Mathematical Economics Univesitaet Kaiserslautern (2003) SSRN
Lecturenotes
·
Discrete Time Finance Lecture Notes for MATH5320,
University of Leeds (2005) SSRN
Lecturenotes
Review articles published in
Mathematical Reviews ( American Mathematical Society )
I
have written 34 review articles for the Zentralblatt Math, which can be
accessed under Zentralblatt
MATH and abot 40 review articles for Mathscinet which can be accessed
via the American Mathematical Society AMS.
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