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1

A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing

Benth, Fred Espen, Kallsen, Jan, Meyer‐Brandis, Thilo

Journal:

Applied Mathematical Finance

Year:

2007

Language:

english

File:

PDF, 419 KB

english, 2007

2

LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS

CHRISTODOULOU, PANAGIOTIS, DETERING, NILS, MEYER-BRANDIS, THILO

Journal:

International Journal of Theoretical and Applied Finance

Year:

2018

Language:

english

File:

PDF, 755 KB

english, 2018

3

Explicit Solution of a Non-Linear Filtering Problem for Lévy Processes with Application to Finance

Thilo Meyer-Brandis, Frank Proske

Journal:

Applied Mathematics & Optimization

Year:

2004

Language:

english

File:

PDF, 262 KB

english, 2004

4

The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps

Fred Espen Benth, Thilo Meyer-Brandis

Journal:

Finance and Stochastics

Year:

2005

Language:

english

File:

PDF, 154 KB

english, 2005

5

Liquidity Induced Asset Bubbles via Flows of ELMMs

Biagini, Francesca, Mazzon, Andrea, Meyer-Brandis, Thilo

Journal:

SIAM Journal on Financial Mathematics

Year:

2018

Language:

english

File:

PDF, 1.73 MB

english, 2018

6

Pricing of catastrophe insurance options written on a loss index with reestimation

Francesca Biagini, Yuliya Bregman, Thilo Meyer-Brandis

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 772 KB

english, 2008

7

A mean-field stochastic maximum principle via Malliavin calculus

Meyer-Brandis, Thilo, Øksendal, Bernt, Zhou, Xun Yu

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2012

Language:

english

File:

PDF, 232 KB

english, 2012

8

A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s

Olivier Menoukeu-Pamen, Thilo Meyer-Brandis, Torstein Nilssen…

Journal:

Mathematische Annalen

Year:

2013

Language:

english

File:

PDF, 399 KB

english, 2013

9

Optimal portfolio for an insider in a market driven by Lévy processes§

Nunno, Giulia Di, Meyer-Brandis, Thilo, Øksendal, Bernt, Proske, Frank

Journal:

Quantitative Finance

Year:

2006

Language:

english

File:

PDF, 197 KB

english, 2006

10

CONSISTENT FACTOR MODELS FOR TEMPERATURE MARKETS

HELL, PHILIPP, MEYER-BRANDIS, THILO, RHEINLÄNDER, THORSTEN

Journal:

International Journal of Theoretical and Applied Finance

Year:

2012

Language:

english

File:

PDF, 274 KB

english, 2012

11

MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES

MEYER-BRANDIS, THILO, TANKOV, PETER

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 576 KB

english, 2008

12

Electricity spot price modelling with a view towards extreme spike risk

Klüppelberg, Claudia, Meyer-Brandis, Thilo, Schmidt, Andrea

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 808 KB

english, 2010

13

A unified approach to systemic risk measures via acceptance sets

Biagini, Francesca, Fouque, Jean-Pierre, Frittelli, Marco, Meyer-Brandis, Thilo

Journal:

Mathematical Finance

Year:

2018

Language:

english

File:

PDF, 456 KB

english, 2018

14

Managing Default Contagion in Inhomogeneous Financial Networks

Detering, Nils, Meyer-Brandis, Thilo, Panagiotou, Konstantinos, Ritter, Daniel

Journal:

SIAM Journal on Financial Mathematics

Year:

2019

Language:

english

File:

PDF, 1.77 MB

english, 2019

15

Construction of strong solutions of SDE's via Malliavin calculus

Thilo Meyer-Brandis, Frank Proske

Journal:

Journal of Functional Analysis

Year:

2010

Language:

english

File:

PDF, 268 KB

english, 2010

16

Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes

Thilo Meyer-Brandis, Frank Proske

Journal:

Journal of Theoretical Probability

Year:

2010

Language:

english

File:

PDF, 413 KB

english, 2010

17

Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps

Menoukeu Pamen, Olivier, Meyer-Brandis, Thilo, Proske, Frank, Binti Salleh, Hassilah

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2013

Language:

english

File:

PDF, 286 KB

english, 2013

18

Insider trading equilibrium in a market with memory

Francesca Biagini, Yaozhong Hu, Thilo Meyer-Brandis, Bernt Øksendal

Journal:

Mathematics and Financial Economics

Year:

2012

Language:

english

File:

PDF, 268 KB

english, 2012

19

Stochastic Feynman–Kac Equations Associated to Lévy–Itô Diffusions

Meyer-Brandis, Thilo

Journal:

Stochastic Analysis and Applications

Year:

2007

Language:

english

File:

PDF, 165 KB

english, 2007

20

Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions

Meyer-Brandis, Thilo

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2008

Language:

english

File:

PDF, 270 KB

english, 2008

21

MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES

DI NUNNO, GIULIA, MEYER-BRANDIS, THILO, ØKSENDAL, BERNT, PROSKE, FRANK

Journal:

Infinite Dimensional Analysis Quantum Probability and Related Topics

Year:

2005

Language:

english

File:

PDF, 261 KB

english, 2005

22

A Bayes Formula for Nonlinear Filtering with Gaussian and Cox Noise

Mandrekar, Vidyadhar, Meyer-Brandis, Thilo, Proske, Frank

Journal:

Journal of Probability and Statistics

Year:

2011

Language:

english

File:

PDF, 143 KB

english, 2011

23

A consistent two-factor model for pricing temperature derivatives

Groll, Andreas, López-Cabrera, Brenda, Meyer-Brandis, Thilo

Journal:

Energy Economics

Year:

2016

Language:

english

File:

PDF, 4.30 MB

english, 2016

24

Risk-consistent conditional systemic risk measures

Hoffmann, Hannes, Meyer-Brandis, Thilo, Svindland, Gregor

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 493 KB

english, 2016

25

Pricing of catastrophe insurance options under immediate loss reestimation

Biagini, Francesca, Bregman, Yuliya, Meyer-Brandis, Thilo

Journal:

Journal of Applied Probability

Year:

2008

Language:

english

File:

PDF, 149 KB

english, 2008

26

Strongly consistent multivariate conditional risk measures

Hoffmann, Hannes, Meyer-Brandis, Thilo, Svindland, Gregor

Journal:

Mathematics and Financial Economics

Year:

2018

Language:

english

File:

PDF, 681 KB

english, 2018

27

Fatou closedness under model uncertainty

Maggis, Marco, Meyer-Brandis, Thilo, Svindland, Gregor

Journal:

Year:

2018

Language:

english

File:

PDF, 495 KB

english, 2018

28

-expectation

Biagini, Francesca, Mancin, Jacopo, Brandis, Thilo Meyer

Journal:

Stochastic Processes and their Applications

Year:

2018

Language:

english

File:

PDF, 503 KB

english, 2018

29

Construction of Malliavin differentiable strong solutions of SDEs under an integrability condition on the drift without the Yamada–Watanabe principle

Baños, David R., Duedahl, Sindre, Meyer-Brandis, Thilo, Proske, Frank

Journal:

Annales de l'Institut Henri Poincare (B) Probability and Statistics

Year:

2018

File:

PDF, 321 KB

2018

30

Strong solutions of mean-field stochastic differential equations with irregular drift

Bauer, Martin, Meyer-Brandis, Thilo, Proske, Frank

Journal:

Electronic Journal of Probability

Year:

2018

Language:

english

File:

PDF, 473 KB

english, 2018

31

Strong solutions of mean-field stochastic differential equations with irregular drift

Bauer, Martin, Meyer-Brandis, Thilo, Proske, Frank

Journal:

Electronic Journal of Probability

Year:

2018

File:

PDF, 473 KB

2018

32

Optimal control with delayed information flow of systems driven by G-Brownian motion

Biagini, Francesca, Meyer-Brandis, Thilo, Øksendal, Bernt, Paczka, Krzysztof

Journal:

Probability, Uncertainty and Quantitative Risk

Year:

2018

Language:

english

File:

PDF, 599 KB

english, 2018

33

Correction to: Fatou closedness under model uncertainty

Maggis, Marco, Meyer-Brandis, Thilo, Svindland, Gregor

Journal:

Year:

2019

File:

PDF, 300 KB

2019

34

An integrated model for fire sales and default contagion

Detering, Nils, Meyer-Brandis, Thilo, Panagiotou, Konstantinos, Ritter, Daniel

Journal:

Mathematics and Financial Economics

Year:

2020

File:

PDF, 1.04 MB

2020