Experts & Expertise

Publicaties

• (with A. Pelsser) > Time-consistent and Market-consistent Evaluations, to appear in: Mathematical Finance.
• (with R.J.A. Laeven)  Entropy Coherent and Entropy Convex Measures of Risk, to appear in: Mathematics of Operations Research.
• (with P. Cheridito) BSDeltaEs and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness , to appear in: Bernoulli
• (with P. Cheridito) Existence, minimality and approximations of solutions of BSDEs with convex drivers, Stochastic Processes and Their Applications, 122, 1540-1565 (2012).
• Extending time-consistent risk measures from discrete time to continuous time: a convergence approach, Insurance: Mathematics and Economics 47, 3, 391-404 (2010).

Klik hier voor een uitgebreide publicatielijst 

Opleiding

Carrière

Publicaties

• (with A. Pelsser) > Time-consistent and Market-consistent Evaluations, to appear in: Mathematical Finance.
• (with R.J.A. Laeven)  Entropy Coherent and Entropy Convex Measures of Risk, to appear in: Mathematics of Operations Research.
• (with P. Cheridito) BSDeltaEs and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness , to appear in: Bernoulli
• (with P. Cheridito) Existence, minimality and approximations of solutions of BSDEs with convex drivers, Stochastic Processes and Their Applications, 122, 1540-1565 (2012).
• Extending time-consistent risk measures from discrete time to continuous time: a convergence approach, Insurance: Mathematics and Economics 47, 3, 391-404 (2010).

Klik hier voor een uitgebreide publicatielijst