Published or accepted by peer reviewed
journals :
1.
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
2.
The Malliavin gradient method for the calibration
of stochastic dynamical models; Applied
Mathematics and Computation, Vol 175, Issue 2, April 2006
3.
Insider Trading in Stochastic Volatility Models; International
Journal of Theoretical and Applied Finance, Vol. 8 No.3 (2005) 1-19
4.
Local Volatility in the Heston Model : A Malliavin
Calculus Approach; Journal
of Applied Mathematics and Stochastic Analysis, Vol 2005, Issue 3
5.
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
6.
Hochschild Homology of LCNT-spaces; Communications
in Mathematical Physics, Vol250, Number 1 2004
7.
A Short
Derivation of An Explicit Hull and White Option Pricing Formula. ( joint
with Zhaojun Yang and Klaur-Reiner Schenk-Hoppe ) Quantitative and
Qualitative Analysis in Social Sciences (QASS), Volume 4, Issue 1 2010
8.
Parental Care as a differential game: A dynamic
extension of the Houston-Davies game. Applied
Mathematics and Computations, Vol.190, Issue 2, 15 July 2007
9.
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
10.
A Note on the Malliavin Derivative under Change of
Variable. Statistics
& Probability Letters, Volume 78, Issue 2, 1 February 2008
11.
A General Approach for Solving Differential Public
Good Games and a Comparison to the Static Case. Game
Theory and Applications, Vol. 14, 2009
12.
The Malliavin Calculus and Stochastic Differential
games with Information Asymmetry Proceedings
of the second international Conference on Game Theory and Applications
13.
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
14.
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
15.
Malliavin Differentiability of the Heston
Volatility and Applications to Option Pricing ( joint with Elisa Alos ) Advances
in Applied Probability, Vol. 40 No 1, March 2008
16.
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
17.
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
18.
Numerical Simulation of a Diffusion Type
Evolutionary Stock Market Model (joint with Walailuck Chavansporn) Applied
Mathematical Sciences, Vol. 2, 2008
19.
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
20.
Stochastic Volatility : Risk Minimization and Model
Risk ( joint with Rolf Poulsen and Klaus-Rainer Schenk-Hoppe ) Quantitative
Finance, Volume 9, Issue 6 September 2009
21.
Optimal investment for a pension fund under
inflation risk (joint with Aihua Zhang) to appear in Mathematical Methods of
Operations Research
22.
A Stochastic Differential Fishery Game for a Two
Species Fish Population with Ecological Interaction (joint with Wen-Kai
Wang) to appear in Journal
of Economic Dynamics and Control
23.
On the Non-Equilibrium Density of Geometric Mean
reversion (joint with Zhaojun Yang) to appear in Statistics
and Probability Letters
24.
Dynamic Voluntary Provision of Public Goods with
Uncertainty: A Stochastic Differential Game Model (joint with Wen-Kai
Wang) to appear in Decisions
in Economics and Finance
25.
Irreversible investment in Cox-Ingersoll-Ross type
mean reversion (joint with Wen-Kai Wang) to appear in Mathematical
Social Sciences
Preprints (submitted) :
26.
Information: Price and Impact on General Welfare
and? Optimal Investment. An anticipative Stochastic Differential Game
Model. SSRN-Preprint
2007
27.
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
28.
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
29. 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.
30.
Geometric Mean Reversion : Formulas for the
Equilibrium density and Analytic Moment Matching. SSRN-preprint
31.
Stochastic Reaction Strategies, the Barro-Gordon
Framework and How Null-Inflation can Become an Equilibrium ( joint with
Johannes Geissler ) SSRN-Preprint
32.
Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance
Analysis. (joint with Wen-Kai Wang) SSRN-Preprint
33.
Some Notes on Golden Rules and Risk
Aversion in a Merton Type Solow Model.(joint with Johannes Geissler) SSRN-Preprint
34.
NEW Inflation Linked Bond from a Central
Banks Perspective (joint with Johannes Geissler) SSRN-Preprint
35.
NEW Analytic Solutions for Infinite Horizon
Stochastic Optimal Control Problems via Finite Horizon Approximation: A
Practical Guide (joint with Wen-Kai Wang) SSRN-Preprint
36.
NEW Pricing and
Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
SSRN-Preprint
37.
NEW Malliavin Differentiability of a Class
of Feller-Diffusions with Relevance in Finance SSRN-Preprint
38.
NEW Options on Renewable Resources: A New Version of the Black (1976)
Pricing Formula for Commodity Options SSRN-Preprint
39.
NEW Australian Options are Truely Asian and Some Notes on Milevsky and
Posner's Reciprocal Gamma-Approximation SSRN-Preprint
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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