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Heat kernel asymptotics of the subordinator and subordinate Brownian motion
For a class of Laplace exponents, we consider the transition density of the subordinator and the heat kernel of the corresponding subordinate Brownian motion. We derive explicit approximateExpand
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Nonrecursive Separation of Risk and Time Preferences
Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirect utility.Expand
Sensitivity of life insurance reserves via Markov semigroups
Abstract Fahrenwaldt M. Sensitivity of life insurance reserves via Markov semigroups. Scandinavian Actuarial Journal. We consider Thiele’s differential equation for the reserve of a multi-stateExpand
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Nonrecursive separation of risk and time preferences
Abstract Recursive utility disentangles preferences with respect to time and risk by recursively building up a value function of local increments. This involves certainty equivalents of indirectExpand
A Multi-Step Binomial Model for Prediction Markets
This short note adapts a multi-period binomial model for asset pricing under heterogeneous beliefs developed by He and Shi in July 2010 to the case of prediction markets thereby generalizing knownExpand
Option prices under liquidity risk as weak solutions of semilinear diffusion equations
Prices of financial options in a market with liquidity risk are shown to be weak solutions of a class of semilinear parabolic partial differential equations with nonnegative characteristic form. WeExpand
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Spectral functions of subordinate Brownian motion on closed manifolds
TLDR
We investigate the spectrum of the infinitesimal generator of subordinate Brownian motion on a closed manifold and extract both geometric and probabilistic information using spectral functions that aggregate the spectrum suitably. Expand
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Complex powers of abstract pseudodifferential operators
Under suitable assumptions, we show that the abstract pseudodifferential operators introduced by Connes and Moscovici possess complex powers that belong to this class of operators. We analyse severalExpand
Expected utility approximation and portfolio optimisation
Abstract Classical portfolio selection problems that optimise expected utility can usually not be solved in closed form. It is natural to approximate the utility function, and we investigate theExpand
Off-Diagonal Heat Kernel Asymptotics of Pseudodifferential Operators on Closed Manifolds and Subordinate Brownian Motion
We derive the off-diagonal short-time asymptotics of the heat kernels of functions of generalised Laplacians on a closed manifold. As an intermediate step we give an explicit asymptotic series forExpand
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