Edit Profile (opens in new tab) Papapantoleon, Antonis Co-Author Distance Author ID: papapantoleon.antonis Published as: Papapantoleon, Antonis Homepage: https://fa.ewi.tudelft.nl/~apapapantoleon/ External Links: MGP · arXiv Documents Indexed: 36 Publications since 2005, including 1 Book and 13 Additional arXiv Preprints 1 Contribution as Editor Reviewing Activity: 39 Reviews Co-Authors: 35 Co-Authors with 34 Joint Publications 794 Co-Co-Authors all top 5 Co-Authors 3 single-authored 6 Eberlein, Ernst W. 4 Saplaouras, Alexandros 4 Skovmand, David 3 Glau, Kathrin 3 Grbac, Zorana 3 Kupper, Michael 3 Lux, Thibaut 3 Possamaï, Dylan 2 Bayer, Christian 2 Ben Hammouda, Chiheb 2 Drapeau, Samuel 2 Kluge, Wolfgang 2 Samet, Michael 2 Schoenmakers, John G. M. 2 Shiryaev, Al’bert Nikolaevich 2 Tempone, Raúl F. 1 Anthropelos, Michail 1 Armenti, Yannick 1 Bartl, Daniel 1 Crepey, Stephane 1 Eckstein, Stephan 1 Georgoulis, Emmanuil H. 1 Hok, Julien 1 Kallsen, Jan 1 Keller-Ressel, Martin 1 Liu, ChenGuang 1 Neufeld, Ariel David 1 Ngare, Philip 1 Rou, Jasper 1 Siopacha, Maria 1 Smaragdakis, Costas 1 Teichmann, Josef 1 Wardenga, Robert 1 Xiang, Qikun 1 Yanez Sarmiento, Paulo all top 5 Serials 2 The Annals of Applied Probability 2 Electronic Journal of Probability 2 International Journal of Theoretical and Applied Finance 2 SIAM Journal on Financial Mathematics 1 Mathematics of Operations Research 1 SIAM Journal on Control and Optimization 1 Transactions of the American Mathematical Society 1 Insurance Mathematics & Economics 1 Stochastic Processes and their Applications 1 Applied Mathematical Finance 1 Finance and Stochastics 1 Mathematical Finance 1 Quantitative Finance 1 Mathematics and Financial Economics 1 Springer Proceedings in Mathematics & Statistics 1 Dependence Modeling 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 31 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 25 Probability theory and stochastic processes (60-XX) 4 Statistics (62-XX) 3 Numerical analysis (65-XX) 2 Computer science (68-XX) 1 General and overarching topics; collections (00-XX) 1 Measure and integration (28-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications 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 cited Publications top 5 cited Publications 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 all top 5 Cited in 20 Fields 179 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 117 Probability theory and stochastic processes (60-XX) 28 Statistics (62-XX) 21 Numerical analysis (65-XX) 11 Systems theory; control (93-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Operations research, mathematical programming (90-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Partial differential equations (35-XX) 4 Computer science (68-XX) 3 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Special functions (33-XX) 2 Approximations and expansions (41-XX) 2 Integral equations (45-XX) 2 Functional analysis (46-XX) 2 Biology and other natural sciences (92-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Integral transforms, operational calculus (44-XX) 1 Global analysis, analysis on manifolds (58-XX) Citations by Year