Preprints

• 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

1. 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]
2. A. Papapantoleon, D. Possamaï, A. Saplaouras:
   Stability of backward stochastic differential equations: the general Lipschitz case.
   Electronic Journal of Probability 28, 51, 1–56, 2023. [pdf, arXiv:2107.11048, published]
3. 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]
4. A. Papapantoleon, P. Yanez Sarmiento:
   Detection of arbitrage opportunities in multi-asset derivatives markets.
   Dependence Modeling 9, 439–459, 2021. [pdf, arXiv:2002.06227]
5. D. Bartl, M. Kupper, T. Lux, A. Papapantoleon, S. Eckstein (appendix):
   Marginal and dependence uncertainty: bounds, optimal transport, and sharpness.
   SIAM Journal on Control and Optimization 60, 410–434, 2022. [pdf, arXiv:1709.00641]
6. 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]
7. T. Lux, A. Papapantoleon:
   Model-free bounds on Value-at-Risk using extreme value information and statistical distances.
   Insurance: Mathematics and Economics 86, 73–83, 2019. [pdf, arXiv:1610.09734]
8. A. Papapantoleon, D. Possamaï, A. Saplaouras:
   Existence and uniqueness results for BSDE with jumps: The whole nine yards.
   Electronic Journal of Probability 23, 121, 1–68, 2018. [pdf, arXiv:1607.04214, published]
9. J. Hok, P. Ngare, A. Papapantoleon:
   Expansion formulas for European quanto options in a local volatility FX-LIBOR model.
   International Journal of Theoretical and Applied Finance 21, 1850017, 1–43, 2018. [pdf, arXiv:1801.01205]
10. Y. Armenti, S. Crépey, S. Drapeau, A. Papapantoleon:
    Multivariate shortfall risk allocation and systemic risk.
    SIAM Journal on Financial Mathematics 9, 90–126, 2018. [pdf, arXiv:1507.05351, code]
11. A. Papapantoleon, R. Wardenga:
    Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA.
    Probability, Uncertainty and Quantitative Risk 3:1, 1–28, 2018. [pdf, arXiv:1607.03522]
12. T. Lux, A. Papapantoleon:
    Improved Fréchet–Hoeffding bounds for d-copulas and applications in model-free finance.
    Annals of Applied Probability 27, 3633–3671, 2017. [pdf, arXiv:1602.08894]
13. M. Anthropelos, M. Kupper, A. Papapantoleon:
    An equilibrium model for spot and forward prices of commodities.
    Mathematics of Operations Research 43, 152–180 2018. [pdf, arXiv:1502.00674, ssrn:2788508]
14. K. Glau, Z. Grbac, A. Papapantoleon:
    A unified view of LIBOR models.
    In J. Kallsen, A. Papapantoleon (Eds.), Advanced Modelling in Mathematical Finance – In Honour of Ernst Eberlein, pp. 423–452, Springer, 2016. [pdf, arXiv:1601.01352]
15. Z. Grbac, A. Papapantoleon, J. Schoenmakers, D. Skovmand:
    Affine LIBOR models with multiple curves: theory, examples and calibration.
    SIAM Journal on Financial Mathematics 6, 984–1025, 2015. [pdf, arXiv:1405.2450, published]
16. A. Papapantoleon:
    Computation of copulas by Fourier methods.
    In K. Glau, M. Scherer, R. Zagst (Eds.), Innovations in Quantitative Risk Management, pp. 347–354, Springer, 2015. [pdf, arXiv:1108.1216, published]
17. 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]
18. Z. Grbac, A. Papapantoleon:
    A tractable LIBOR model with default risk.
    Mathematics and Financial Economics 7, 203–227, 2013. [pdf, arXiv:1202.0587]
19. A. Papapantoleon, J. Schoenmakers, D. Skovmand:
    Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models.
    Journal of Computational Finance 15(4), 3–44, 2012. [pdf, arXiv:1106.0866]
20. 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]
21. A. Papapantoleon:
    Old and new approaches to LIBOR modeling.
    Statistica Neerlandica 64, 257–275, 2010. [pdf, arXiv:0910.4941]
22. M. Keller-Ressel, A. Papapantoleon, J. Teichmann:
    The affine LIBOR models.
    Mathematical Finance 23, 627–658, 2013. [pdf, arXiv:0904.0555]
23. E. Eberlein, K. Glau, A. Papapantoleon:
    Analysis of Fourier transform valuation formulas and applications.
    Applied Mathematical Finance 17, 211–240, 2010. [pdf, arXiv:0809.3405]
24. E. Eberlein, A. Papapantoleon, A. N. Shiryaev:
    Esscher transform and the duality principle for multidimensional semimartingales.
    Annals of Applied Probability 19, 1944–1971, 2009. [pdf, arXiv:0809.0301, published]
25. W. Kluge, A. Papapantoleon:
    On the valuation of compositions in Lévy term structure models.
    Quantitative Finance 9, 951–959, 2009. [pdf, arXiv:0902.3456]
26. E. Eberlein, A. Papapantoleon, A. N. Shiryaev:
    On the duality principle in option pricing: semimartingale setting.
    Finance and Stochastics 12, 265–292, 2008. [pdf]
27. E. Eberlein, W. Kluge, A. Papapantoleon:
    Symmetries in Lévy term structure models.
    International Journal of Theoretical and Applied Finance 9, 967–986, 2006. [pdf]
28. 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]
29. E. Eberlein, A. Papapantoleon:
    Equivalence of floating and fixed strike Asian and lookback options.
    Stochastic Processes and Their Applications 115, 31–40, 2005. [pdf]

Doctoral Thesis

• 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.
• A. Papapantoleon, D. Skovmand:
  Numerical methods for the Lévy LIBOR model.
  In M.R. Guarracino et al. (Eds.), Euro-Par 2010, Parallel Processing Workshops, LNCS 6586, pp. 463–470, Springer, 2011. [pdf, arXiv:1006.3340]
• A. Papapantoleon, M. Siopacha:
  Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.
  In M. Vanmaele et al. (Eds.), Proceedings of the Actuarial and Financial Mathematics Conference, pp. 47–62, 2010. [pdf, arXiv:0906.5581]