Third-Party Funds
- New Approaches to Defaultable Term Structure Models (DFG)
- Impulse Control Problems and Adaptive Numerical Solution of Quasi-Variational Inequalities in Markovian Factor Models (DFG, with Prof. Dr. Roland Herzog)
- Filtering techniques in the modeling, pricing and hedging of interest rate and credit risk (finished, DFG - with Prof. Rüdiger Frey)
Participating Scientist in the GRK 597: Analysis, Geometry and their Connection with the Natural Sciences, DFG (2000-2009)