Di Nunno, G.; Khedher, A.; Vanmaele; M.
Robustness of locally risk-minimizing hedging strategies in finance via backward stochastic differential equations with jumps
17-28
Handelingen Contactforum "Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance"
Brussels, Belgium
2013

Bernhart, G.; Mai, J.-F.
On convexity adjustments for stock derivatives due to stochastic repo margins
working paper
2013
-

Benth, F. E.; Khedher, A.
Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
submitted paper
2013
-

Mai, J.-F.; Scherer, M
What makes dependence modeling challenging? Pitfalls and ways to circumvent them
Statistics and Risk Modeling
2013
30
4
287–306

Escobar, M.; Friederich, T.; Seco, L.; Zagst, R.
Multi-Dimensional Structural Credit Modeling under Stochastic Volatility
ISRN Probability and Statistics
2013
-

Escobar, M.; Mitterreiter, M.; Saunders, D.; Seco, L.; Zagst, R.
Market Crises and the 1/N Asset-Allocation Strategy
The Journal of Investment Strategies
2013
2
4
1-23

Benth, F.E.; Di Nunno, G.; Khedher, A.
A note on convergence of option prices and their Greeks for Lévy models
Stochastics: An International Journal of Probability and Stochastic Processes
2013
85
6
1015-1039

Fernández, L.; Hieber, P.; Scherer, M.
Double-barrier first-passage times of jump-diffusion processes
Monte Carlo Methods and Applications
2013
19
2
107-141

Bannör, K. F.; Scherer, M.
A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing
Wilmott Magazine
2013
2013
65
58-69

Mai, J.-F.; Scherer, M.; Shenkman, N.
Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws
Journal of Multivariate Analysis
2013
115
457–480