Utility indifference hedging with exponential additive processes.
With G. Steiger. Asia-Pacific Financial Markets. (available
online)
The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models.
With G. Steiger. Annals of Applied Probability Vol. 16, No. 3,
1319-1351
Arbitrage opportunities in diverse markets via a
non-equivalent measure change. With J. Osterrieder. Annals of Finance 2, 287-301
An entropy approach to the Stein and Stein model with correlation.
Finance and Stochastics9, 399-412
A stochastic version of Zeeman's market model. With M. Steinkamp. Studies in Nonlinear Dynamics & Econometrics. Vol. 8, No. 4, Article
4
On the minimal entropy martingale measure. With P. Grandits. Annals of Probability30,
1003-1038
Exponential hedging and entropic penalties. With F. Delbaen, P. Grandits, D. Samperi, M. Schweizer, C. Stricker.
Mathematical Finance12,
99-123
On L^2-projections on a space of stochastic integrals. With M. Schweizer.
Annals of Probability25, 1810-1831.
Mean-variance hedging for continuous processes: new proofs and examples. With H. Pham, M. Schweizer.
Finance and Stochastics2, 173-198
Current Projects
Asymptotic utility-based pricing and hedging for exponential
utility. With J. Kallsen.
Financial markets with a large trader: an approach via Carmona-Nualart
integration. With J. Kallsen.
Hedging survivor bonds with mortality-linked securities. With F.
Biagini, Y. Lee.
Book Contributions
Hedging. In: Encyclopedia for Quantitative Finance.Wiley, 2010
Equivalent Probability Measures. In: Encyclopedia for Quantitative
Finance. Wiley, 2010
Stochastic Exponentials. In: Encyclopedia for Quantitative Finance,
Wiley, 2010
