Research papers
<link _blank="" download="" file:726.pdf="" />
| [15] | Optimal portfolios and pricing of financial derivatives under proportional transaction costs. with Joern Sass. In: Boucherie Richard, van Dijk Nico M. (eds.) Markov Decision Processes in Practice, Springer's International Series in Operations Research & Management Science, Chapter 21, 24 pages | ||
| [14] | Numeraire portfolios and utility-based price systems under proportional transaction costs. with Joern Sass. Decisions in Economics and Finance (2014)37: 195-234 | ||
| [13] | The numeraire portfolio in discrete time: existence, related concepts and applications. with Ralf Korn. Radon Series Comp. Appl. Math 8, 303-326, de Gruyter |  | |
| [12] | Control of ruin probabilities by discrete-time investments. Math. Meth Oper. Res.(2005)62: 141-158 | | |
| [11] | Stochastic optimization for the ruin probability. PAMM, Proc. Appl. Math. Mech. 3, 17-19 (2003) | | |
| 10] | On discrete-time dynamic programming in insurance: exponential utility and minimizing the ruin probability. Scand. Actuar. J. (2004), 3: 189-210 | | |
| [9] | Piecewise-deterministic Markov decision processes with feedback controls and unbounded costs (mit L. Forwick und M. Schmitz), Acta Applicandae Mathematicae 82: 239-267, 2004 | ||
| [8] | The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process (mit F. Oertel und R. Korn). Decis. Econ. Finance 26 (2003), 153-166 | ||
| [7] | Local optimality in the multi-dimensional multi-period mean-variance portfolio problem, in Kohlmann, M. (ed.) Proceeding of the workshop on mathematical finance, (2001) Birkhäuser | ||
| [6] | Markov decision theory in finance and dynamic options, in: Shwartz A, Feinberg E (eds.) Markov decision processes (2001) Kluwer | ||
| [5] | Price systems constructed by optimal dynamic portfolios. Math. Meth. Oper. Res. 51 (2000) 375-397 | ||
| [4] | Portfolio optimization and martingale measures. Math. Finance 10 (2000) 289-304 | ||
| [3] | On value preserving and growth optimal portfolios. Math. Meth. Oper. Res. 50 (1999) 189-218 (mit Ralf Korn) | ||
| [2] | Martingale measures and hedging for discrete-time financial markets. Math. Oper. Res.24 (1999) 509-528 | ||
| [1] | On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance; Insurance: Mathematics and Economics 22 (1998) 75-91 | ||