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Thilo Meyer‐Brandis · Study
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Author
Thilo Meyer‐Brandis
12 works
· latest 2019
· 2 institutions
cluster: provisional
ORCID 0000-0002-6374-7983
Works
12 shown
Managing Default Contagion in Inhomogeneous Financial Networks
SIAM Journal on Financial Mathematics
·
2019
·
4 authors
·
Open access
38
citations
A unified approach to systemic risk measures via acceptance sets
Mathematical Finance
·
2018
·
4 authors
·
Open access
100
citations
Strong solutions of mean-field stochastic differential equations with irregular drift
Electronic Journal of Probability
·
2018
·
2 authors
·
Open access
47
citations
A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s
Mathematische Annalen
·
2013
·
5 authors
·
Open access
68
citations
A mean-field stochastic maximum principle via Malliavin calculus
Stochastics
·
2012
·
3 authors
155
citations
Electricity spot price modelling with a view towards extreme spike risk
Quantitative Finance
·
2009
·
2 authors
73
citations
Construction of strong solutions of SDE's via Malliavin calculus
Journal of Functional Analysis
·
2009
·
2 authors
·
Open access
63
citations
The information premium for non-storable commodities
The Journal of Energy Markets
·
2009
·
2 authors
94
citations
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
International Journal of Theoretical and Applied Finance
·
2008
·
2 authors
·
Open access
107
citations
A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Applied Mathematical Finance
·
2007
·
3 authors
·
Open access
244
citations
Optimal portfolio for an insider in a market driven by Lévy processes§
Quantitative Finance
·
2006
·
4 authors
·
Open access
78
citations
MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
Infinite Dimensional Analysis Quantum Probability and Related Topics
·
2005
·
4 authors
·
Open access
77
citations