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2. Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra.
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3. DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. (2018). Schweizer, Martin ; Iki, Mario ; Zivoi, Danijel.
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4. The F\ollmer-Schweizer decomposition under incomplete information. (2016). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
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5. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2015). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
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6. A Hybrid Model for Pricing and Hedging of Long Dated Bonds. (2014). Platen, Eckhard ; Fung, Man Chung ; Ignatieva, Katja ; Baldeaux, Jan.
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7. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
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1. Extended Reduced-Form Framework for Non-Life Insurance. (2022). Zhang, Yinglin ; Biagini, Francesca.
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2. A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds. (2018). Platen, Eckhard ; Gnoatto, Alessandro ; Grasselli, Martino.
   In: Papers.
   RePEc:arx:papers:1608.04683.

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3. Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin.
   In: Papers.
   RePEc:arx:papers:1711.02808.

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4. Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David.
   In: Research Paper Series.
   RePEc:uts:rpaper:379.

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5. A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds. (2016). Platen, Eckhard ; Gnoatto, Alessandro ; Grasselli, Martino.
   In: Research Paper Series.
   RePEc:uts:rpaper:374.

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6. Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains. (2016). Widenmann, Jan ; Biagini, Francesca ; Groll, Andreas.
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   RePEc:gam:jrisks:v:4:y:2016:i:3:p:23-:d:73446.

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7. Polynomial diffusion models for life insurance liabilities. (2016). Zhang, Yinglin ; Biagini, Francesca.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129.

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8. BENCHMARKED RISK MINIMIZATION. (2016). Platen, Eckhard ; Du, KE.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:26:y:2016:i:3:p:617-637.

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9. Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts. (2016). Platen, Eckhard ; Taylor, David.
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10. Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Zhang, Yinglin ; Biagini, Francesca.
    In: Papers.
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11. On incompleteness of bond markets with infinite number of random factors. (2016). Baran, Michal ; Zabczyk, Jerzy ; Jakubowski, Jacek.
    In: Papers.
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12. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2015). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Insurance: Mathematics and Economics.
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13. A benchmark approach to risk-minimization under partial information. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:129-146.

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14. Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization. (2014). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Papers.
    RePEc:arx:papers:1406.6902.

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15. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
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16. Commodity Derivative Pricing Under the Benchmark Approach. (2013). Du, KE.
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17. A Benchmark Approach to Risk-Minimization under Partial Information. (2013). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia.
    In: Papers.
    RePEc:arx:papers:1307.6036.

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18. Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs. (2013). Lépinette, Emmanuel ; Taflin, Erik ; Lepinette, Emmanuel ; Bouchard, Bruno.
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19. PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS. (2012). Widenmann, Jan ; Biagini, Francesca.
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20. Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time. (2012). Kang, Boda ; Beyna, Ingo ; Chiarella, Carl.
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    RePEc:uts:rpaper:317.

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21. Credit Derivative Pricing with Stochastic Volatility Models. (2011). Nikitopoulos-Sklibosios, Christina ; Maina, Samuel Chege ; Chiarella, Carl.
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22. Utility indifference valuation for jump risky assets. (2011). Ceci, Claudia ; Gerardi, Anna.
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23. Credit derivatives pricing with default density term structure modelled by Lévy random fields. (2011). Jiao, Ying ; Yang, Xuewei ; Bo, Lijun.
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24. Credit derivatives pricing with default density term structure modelled by L\evy random fields. (2011). YANG, Xuewei ; Bo, Lijun ; Jiao, Ying.
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25. Generalized integrands and bond portfolios: Pitfalls and counter examples. (2011). Taflin, Erik.
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26. Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility. (2010). Nikitopoulos-Sklibosios, Christina ; Maina, Samuel Chege.
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27. A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization. (2010). Djehiche, Boualem ; Andersson, Daniel .
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28. Risk-neutral compatibility with option prices. (2010). Protter, Philip ; Jacod, Jean.
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29. The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap. (2010). Wang, Shin-Yun ; Lin, Shih-Kuei.
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30. Trading strategies with partial access to the derivatives market. (2010). Muck, Matthias.
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31. Alternative Defaultable Term Structure Models. (2009). Schlogl, Erik ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina.
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32. The valuation of contingent capital with catastrophe risks. (2009). Powers, Michael ; Lin, Shih-Kuei ; Chang, Chia-Chien.
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33. Hedge Portfolios in Markets with Price Discontinuities. (2008). GERALD H. L. CHEANG, .
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34. Existence of Lévy term structure models. (2008). Tappe, Stefan ; Filipovi, Damir.
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35. Inflation-indexed swaps and swaptions. (2008). Hinnerich, Mia.
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36. LIBOR additive model calibration to swaptions markets. (2008). Stute, Winfried ; Colino, Jesus P. ; Nogales, Francisco J..
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37. Credit risk with semimartingales and risk-neutrality. (2008). Stute, Winfried ; Colino, Jesus P..
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38. Exponential moments for HJM models with jumps. (2007). Zabczyk, Jerzy ; Jakubowski, Jacek.
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39. On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance. (2006). Platen, Eckhard.
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40. The Multifactor Nature of the Volatility of Futures Markets. (2006). .
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41. Nonlinear term structure dependence: Copula functions, empirics, and risk implications. (2006). Wagner, Niklas ; Junker, Markus ; Szimayer, Alex .
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42. A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps. (2005). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina.
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43. On the Strong Approximation of Jump-Diffusion Processes. (2005). Platen, Eckhard.
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44. The Multifactor Nature of the Volatility of the Eurodollar Futures Market. (2005). To, Thuy-Duong.
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45. Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey. (2005). Tabata, Yoshio ; Mitsui, Ken-ichi .
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46. Term Structure Models with Parallel and Proportional Shifts. (2005). Bjork, Tomas ; Armerin, Frederik ; Jensen, Bjarne Astrup.
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47. The implied jump risk of LIBOR rates. (2005). Warachka, Mitch ; Guan, Lim Kian ; Ting, Christopher.
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48. A theory of bond portfolios. (2005). Ekeland, Ivar ; Taflin, Erik.
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49. Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications. (2004). Wagner, Niklas ; Junker, Markus ; Szimayer, Alexander.
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50. A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten.
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51. A Markovian Defaultable Term Structure Model with State Dependent Volatilities. (2004). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina.
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52. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework. (2004). Nikitopoulos-Sklibosios, Christina.
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53. On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes. (2003). Kuchler, Uwe ; Gapeev, Pavel V..
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54. Consistency Problems For Jump-Diffusion Models. (2003). Chen, Li ; Bayraktar, Erhan.
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55. Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process. (2003). Oertel, Frank ; Korn, Ralf ; Schal, Manfred.
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56. Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach. (2003). Ma, Chenghu.
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57. The European options hedge perfectly in a Poisson-Gaussian stock market model. (2002). Mancini, C..
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58. Affine Processes and Application in Finance. (2002). Duffie, Darrell ; Schachermayer, W. ; Filipovic, D..
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59. Some recent developments in stochastic volatility modelling. (2001). Barndorff-Nielsen, Ole E. ; Shephard, Neil.
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60. Some recent developments in stochastic volatility modelling. (2001). Shephard, Neil ; Nicolato, Elisa.
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61. Change of numéraire for affine arbitrage pricing models driven by multifactor marked point processes.. (2001). Roncoroni, Andrea.
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62. On the Term Structure of Futures and Forward Prices. (2000). Landen, Camilla.
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63. A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability. (2000). Kou, Steven.
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64. On hedging in finite security markets. (1999). Silvia Florio, Wolfgang J. Runggaldier, .
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65. Interest Rate Dynamics and Consistent Forward Rate Curves. (1997). Christensen, Bent Jesper.
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66. Minimal Realizations of Forward Rates. (1997). Gombani, Andrea.
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67. Diversified Portfolios in Continuous Time. (1996). Naslund, Bertil .
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