×

Papapantoleon, Antonis

Author ID: papapantoleon.antonis Recent zbMATH articles by "Papapantoleon, Antonis"
Published as: Papapantoleon, Antonis
Homepage: https://fa.ewi.tudelft.nl/~apapapantoleon/
External Links: MGP · arXiv

Publications by Year

Citations contained in zbMATH Open

19 Publications have been cited 262 times in 211 Documents Cited by Year
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
59
2010
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
31
2018
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
22
2009
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
21
2008
Equivalence of floating and fixed strike Asian and lookback options. Zbl 1114.91049
Eberlein, Ernst; Papapantoleon, Antonis
21
2005
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
19
2015
Existence and uniqueness results for BSDE with jumps: the whole nine yards. Zbl 1406.60064
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
18
2018
The affine LIBOR models. Zbl 1275.91140
Keller-Ressel, Martin; Papapantoleon, Antonis; Teichmann, Josef
17
2013
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance. Zbl 1390.62091
Lux, Thibaut; Papapantoleon, Antonis
14
2017
Stability results for martingale representations: the general case. Zbl 1447.60059
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
8
2019
Model-free bounds on value-at-risk using extreme value information and statistical distances. Zbl 1411.91305
Lux, Thibaut; Papapantoleon, Antonis
8
2019
Applications of semimartingales and Lévy processes in finance: duality and valuation. Zbl 1186.91199
Papapantoleon, Antonis
5
2007
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
4
2011
Symmetries in Lévy term structure models. Zbl 1138.91435
Eberlein, Ernst; Kluge, Wolfgang; Papapantoleon, Antonis
4
2006
A tractable LIBOR model with default risk. Zbl 1269.91093
Grbac, Zorana; Papapantoleon, Antonis
4
2013
On the valuation of compositions in Lévy term structure models. Zbl 1182.91184
Kluge, Wolfgang; Papapantoleon, Antonis
3
2009
A unified view of Libor models. Zbl 1367.91182
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis
2
2016
Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis
1
2018
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA. Zbl 1432.91129
Papapantoleon, Antonis; Wardenga, Robert
1
2018
Stability results for martingale representations: the general case. Zbl 1447.60059
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
8
2019
Model-free bounds on value-at-risk using extreme value information and statistical distances. Zbl 1411.91305
Lux, Thibaut; Papapantoleon, Antonis
8
2019
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
31
2018
Existence and uniqueness results for BSDE with jumps: the whole nine yards. Zbl 1406.60064
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros
18
2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis
1
2018
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA. Zbl 1432.91129
Papapantoleon, Antonis; Wardenga, Robert
1
2018
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance. Zbl 1390.62091
Lux, Thibaut; Papapantoleon, Antonis
14
2017
A unified view of Libor models. Zbl 1367.91182
Glau, Kathrin; Grbac, Zorana; Papapantoleon, Antonis
2
2016
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
19
2015
The affine LIBOR models. Zbl 1275.91140
Keller-Ressel, Martin; Papapantoleon, Antonis; Teichmann, Josef
17
2013
A tractable LIBOR model with default risk. Zbl 1269.91093
Grbac, Zorana; Papapantoleon, Antonis
4
2013
Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models. Zbl 1232.91661
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
4
2011
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
59
2010
Esscher transform and the duality principle for multidimensional semimartingales. Zbl 1233.91268
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
22
2009
On the valuation of compositions in Lévy term structure models. Zbl 1182.91184
Kluge, Wolfgang; Papapantoleon, Antonis
3
2009
On the duality principle in option pricing: semimartingale setting. Zbl 1150.91016
Eberlein, Ernst; Papapantoleon, Antonis; Shiryaev, Albert N.
21
2008
Applications of semimartingales and Lévy processes in finance: duality and valuation. Zbl 1186.91199
Papapantoleon, Antonis
5
2007
Symmetries in Lévy term structure models. Zbl 1138.91435
Eberlein, Ernst; Kluge, Wolfgang; Papapantoleon, Antonis
4
2006
Equivalence of floating and fixed strike Asian and lookback options. Zbl 1114.91049
Eberlein, Ernst; Papapantoleon, Antonis
21
2005
all top 5

Cited by 320 Authors

17 Papapantoleon, Antonis
12 Eberlein, Ernst W.
6 Crepey, Stephane
6 Frittelli, Marco
6 Glau, Kathrin
6 Grbac, Zorana
5 Ivanov, Roman V.
5 Rudloff, Birgit
4 Ballotta, Laura
4 Deelstra, Griselda
4 Doldi, Alessandro
4 Feinstein, Zachary
4 Fouque, Jean-Pierre
4 Gnoatto, Alessandro
4 Keller-Ressel, Martin
4 Meyer-Brandis, Thilo
4 Possamaï, Dylan
4 Rüschendorf, Ludger
4 Russo, Francesco
4 Schmutz, Michael
4 Skovmand, David
3 Armenti, Yannick
3 Bartl, Daniel
3 Benth, Fred Espen
3 Fontana, Claudio
3 Gerhart, Christoph
3 Hu, Yijun
3 Kupper, Michael
3 Lux, Thibaut
3 Molchanov, Ilya S.
3 Schmidt, Thorsten
3 Večeř, Jan
3 Xu, Huifu
2 Angelini, Flavio
2 Ano, Katsunori
2 Arias García, J. J.
2 Beiglböck, Mathias
2 Biagini, Francesca
2 Cai, Ning
2 Černý, Aleš
2 Cherif, Sidi Mohamed Lalaoui Ben
2 De Baets, Bernard
2 Detering, Nils
2 Dhaene, Jan
2 Di Nunno, Giulia
2 Drapeau, Samuel
2 Eckstein, Stephan
2 Eddahbi, M’hamed
2 Escobar, Marcos
2 Fajardo, José
2 Feng, Yichen
2 Funahashi, Hideharu
2 Gaß, Maximilian
2 Goutte, Stéphane
2 Hernández-Santibáñez, Nicolás
2 Herzel, Stefano
2 Hieber, Peter
2 Khedher, Asma
2 Kijima, Masaaki
2 Kou, Steven
2 Kromer, Eduard
2 Kwok, Yue-Kuen
2 Kyriakou, Ioannis
2 Lütkebohmert, Eva
2 Macrina, Andrea
2 Mair, Maximilian
2 Marazzina, Daniele
2 Mesiar, Radko
2 Munari, Cosimo
2 Nguyen, The Anh
2 Nicolosi, Marco
2 Nie, Tianyang
2 Oudjane, Nadia
2 Overbeck, Ludger
2 Panagiotou, Konstantinos D.
2 Patie, Pierre
2 Ramponi, Alessandro
2 Rayée, Grégory
2 Ritter, Daniel
2 Ruf, Johannes
2 Rutkowski, Marek
2 Saplaouras, Alexandros
2 Schoenmakers, John G. M.
2 Seifried, Frank Thomas
2 Shiryaev, Al’bert Nikolaevich
2 Song, Yingda
2 Vanmaele, Michèle
2 Waldenberger, Stefan
2 Wang, Wei
2 Wardenga, Robert
2 Wei, Linhai
2 Wolf, Viktor
2 Yang, Zhaoqiang
2 Zagst, Rudi
2 Zeineddine, Raghid
2 Zilch, K.
1 Abdelhadi, K.
1 Ackermann, Julia
1 Agliardi, Rossella
1 Ahn, Jae Youn
...and 220 more Authors
all top 5

Cited in 67 Serials

19 Quantitative Finance
16 SIAM Journal on Financial Mathematics
12 Applied Mathematical Finance
11 Finance and Stochastics
10 International Journal of Theoretical and Applied Finance
8 Mathematics and Financial Economics
7 The Annals of Applied Probability
6 European Journal of Operational Research
6 Stochastic Processes and their Applications
5 Annals of Operations Research
5 Dependence Modeling
4 Applied Mathematics and Optimization
4 Journal of Computational and Applied Mathematics
4 Insurance Mathematics & Economics
4 Review of Derivatives Research
3 Journal of Econometrics
3 Electronic Journal of Probability
3 Mathematical Problems in Engineering
3 Mathematical Finance
3 Stochastics and Dynamics
3 Annals of Finance
3 Statistics & Risk Modeling
2 Fuzzy Sets and Systems
2 Journal of Optimization Theory and Applications
2 Mathematics of Operations Research
2 Communications in Statistics. Theory and Methods
2 Mathematical Methods of Operations Research
2 Decisions in Economics and Finance
2 Stochastic Models
2 Computational Management Science
2 Stochastics
2 Modern Stochastics. Theory and Applications
2 Probability, Uncertainty and Quantitative Risk
1 Advances in Applied Probability
1 Journal of Mathematical Analysis and Applications
1 Journal of Mathematical Physics
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
1 Theory of Probability and its Applications
1 Applied Mathematics and Computation
1 Journal of Applied Probability
1 Mathematics and Computers in Simulation
1 Operations Research
1 SIAM Journal on Control and Optimization
1 South African Statistical Journal
1 Transactions of the American Mathematical Society
1 Stochastic Analysis and Applications
1 Probability Theory and Related Fields
1 International Journal of Approximate Reasoning
1 Journal of Scientific Computing
1 Numerical Algorithms
1 Automation and Remote Control
1 Communications in Statistics. Simulation and Computation
1 Bernoulli
1 INFORMS Journal on Computing
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Optimization Methods & Software
1 Probability in the Engineering and Informational Sciences
1 Scandinavian Actuarial Journal
1 Mathematical Modelling and Analysis
1 Journal of Applied Mathematics
1 Bulletin of the Malaysian Mathematical Sciences Society. Second Series
1 ASTIN Bulletin
1 Journal of Industrial and Management Optimization
1 Set-Valued and Variational Analysis
1 Probability Surveys
1 S\(\vec{\text{e}}\)MA Journal

Citations by Year