A. Papapantoleon, A. Saplaouras, S. Theodorakopoulos: Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs.
Preprint, 2024.
[pdf,
arXiv:2408.13758]
E. Dragazi, S. Liu, A. Papapantoleon: Improved model-free bounds for multi-asset options using option-implied information and deep learning.
Preprint, 2024.
[pdf,
arXiv:2404.02343]
C. Bayer, C. Ben Hammouda, A. Papapantoleon, M. Samet, R. Tempone:: Quasi-Monte Carlo for efficient Fourier pricing of multi-asset options.
Preprint, 2024.
[pdf,
arXiv:2403.02832]
A. Papapantoleon, J. Rou: A time-stepping deep gradient flow method for option pricing in (rough) diffusion models.
Preprint, 2024.
[pdf,
arXiv:2403.00746]
C. Liu, A. Papapantoleon, A. Saplaouras: Convergence rates for backward SDEs driven by Lévy processes.
Preprint, 2024.
[pdf,
arXiv:2402.01337]
E. H. Georgoulis, A. Papapantoleon, C. Smaragdakis: A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models.
Preprint, 2024.
[pdf,
arXiv:2401.06740]
L. Van Mieghem, A. Papapantoleon, J. Papazoglou-Hennig: Machine learning for option pricing: an empirical investigation of network architectures.
Preprint, 2023.
[pdf,
arXiv:2307.07657]
Book
J. Kallsen, A. Papapantoleon (Eds.): Advanced Modelling in Mathematical Finance – In Honour of Ernst Eberlein.
Springer, 2016.
[link]
Publications
C. Bayer, C. Ben Hammouda, A. Papapantoleon, M. Samet, R. Tempone: Optimal damping with hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models. Journal of Computational Finance 27 (3), 43–86, 2023.
[pdf,
arXiv:2203.08196,
ssrn:4684130]
A. Neufeld, A. Papapantoleon, Q. Xiang: Model-free bounds for multi-asset options using option-implied information and their exact computation. Management Science 69, 2051–2068, 2023.
[pdf,
arXiv:2006.14288]
A. Papapantoleon, P. Yanez Sarmiento: Detection of arbitrage opportunities in multi-asset derivatives markets. Dependence Modeling 9, 439–459, 2021.
[pdf,
arXiv:2002.06227]
A. Papapantoleon, D. Possamaï, A. Saplaouras: Stability results for martingale representations: the general case. Transactions of the AMS 372, 5891–5946, 2019.
[pdf,
arXiv:1806.01172]
S. Drapeau, M. Kupper, A. Papapantoleon: A Fourier approach to the computation of CV@R and optimized certainty equivalents. Journal of Risk
16(6), 3–29, 2014.
[pdf,
arXiv:1212.6732]
E. Eberlein, K. Glau, A. Papapantoleon: Analyticity of the Wiener–Hopf factors and valuation of exotic options in Lévy models.
In G. Di Nunno, B. Øksendal (Eds.),
Advanced Mathematical Methods for Finance, pp. 223–245, Springer, 2011.
[pdf,
arXiv:0911.0373]
W. Kluge, A. Papapantoleon: On the valuation of compositions in Lévy term structure models. Quantitative Finance 9, 951–959, 2009.
[pdf,
arXiv:0902.3456]
E. Eberlein, A. Papapantoleon, A. N. Shiryaev: On the duality principle in option pricing: semimartingale setting. Finance and Stochastics 12, 265–292, 2008.
[pdf]
E. Eberlein, A. Papapantoleon: Symmetries and pricing of exotic options in Lévy models.
In A. Kyprianou, W. Schoutens, P. Wilmott (Eds.),
Exotic option pricing and advanced Lévy models, pp. 99–128, Wiley, 2005.
[pdf]
A. Papapantoleon: Applications of semimartingales and Lévy processes in finance: duality and valuation.
Ph.D. Thesis, University of Freiburg, 2007.
Directed by Ernst Eberlein.
[pdf, link]
Lecture notes
A. Papapantoleon: An introduction to Lévy processes with applications in finance.
Lecture notes, TU Vienna, 2008.
[pdf, arXiv:0804.0482]
Working papers
A. Papapantoleon, D. Skovmand: Picard approximation of SDEs and application to LIBOR models.
Working paper, TU Berlin, 2010.
[pdf,
arXiv:1007.3362]
Conference proceedings and other volumes
A. Papapantoleon: The mathematics of financial markets. Nieuw Archief voor Wiskunde 5/25, nr. 1, 18–21, 2024.
A. Papapantoleon: Improved Fréchet–Hoeffding bounds and model-free finance. Oberwolfach Reports 14, 735–736, EMS, 2017.
P. Friz, M. Keller-Ressel, A. Papapantoleon: Affine and beyond affine processes in finance: LIBOR modeling and stochastic volatility.
In P. Deuflhard et al. (Eds),
Matheon – Mathematics for Key Technologies,
pp. 299–313, EMS, 2014.