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-Hopper ) To appear in
Finance Letters
8.
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
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 ) ?/span>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 ) to
appear in Quantitative Finance
Preprints (submitted) :
21.
Information:
Price and Impact on General Welfare and? Optimal Investment. An
anticipative Stochastic Differential Game Model. SSRN-Preprint
2007
22.
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
23. 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
24. 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.
25.
Geometric
Mean Reversion : Formulas for the Equilibrium density and Analytic Moment
Matching. SSRN-preprint
26.
Irreversible
investment in Cox-Ingersoll-Ross type mean reversion. Working paper.
(joint with Wen-Kai Wang) SSRN-preprint
27.
On
the Non-Equilibrium Density of Geometric Mean reversion (joint with
Zhaojun Yang) SSRN-Preprint
28.
Stochastic Reaction Strategies, the
Barro-Gordon Framework and How Null-Inflation can Become an Equilibrium (
joint with Johannes Geissler ) SSRN-Preprint
29.
Dynamic Voluntary Provision of Public
Goods with Uncertainty: A Stochastic Differential Game Model (joint with
Wen-Kai Wang)?SSRN-Preprint
30.
A Stochastic Differential Fishery Game
for a Two Species Fish Population with Ecological Interaction (joint with
Wen-Kai Wang)?SSRN-Preprint
31.
Sustainable Yields in Fisheries: Uncertainty, Risk-Aversion and Mean-Variance
Analysis. (joint with Wen-Kai Wang) SSRN-Preprint
32.
Some
Notes on Golden Rules and Risk Aversion in a Merton Type Solow Model ?/span>(joint
with Johannes Geissler) SSRN-Preprint
33.
Inflation
Linked Bond from a Central Banks Perspective (joint with Johannes
Geissler) SSRN-Preprint
34.
Analytic
Solutions for Infinite Horizon Stochastic Optimal Control Problems via
Finite Horizon Approximation: A Practical Guide (joint with Wen-Kai Wang)
SSRN-Preprint
Working papers (not
submitted):
35.
A Note on the Malliavin
differentiability of the Heston volatility. ( joint with Elisa Alos ) SSRN-Preprint
2006
36.
Some notes on explicit formulas for the
pricing and hedging of arithmetic Asian options ( joint with Zhaojun Yang
and Olaf Menkens) Working paper (2006)
37.
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:
38. Lecture Notes : Mathematik fuer Wirtschaftswissenschaftler
Univesitaet Kaiserslautern (2004) ( pdf )
39.
Lecture Notes : Introduction to
Continuous Time Mathematical Finance Univesitaet Kaiserslautern (2004) SSRN
Lecture Notes
40.
Lecture Notes : Games, Fixed Points and
Mathematical Economics Univesitaet Kaiserslautern (2003) SSRN
Lecturenotes
41.
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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