FEMO

Selected publications

1. D. Cheliotis, I. Kontoyiannis, M. Loulakis, S. Toumpis:
   A simple network of nodes moving on the circle.
   Random Structures and Algorithms (forthcoming). [pdf]
2. C. Fontana, Z. Grbac, S. Gümbel, T. Schmidt:
   Term structure modelling for multiple curves with stochastic discontinuities.
   Finance and Stochastics 24, 465–511, 2020. [pdf]
3. E. Eberlein, Ch. Gerhart, Z. Grbac:
   Multiple curve Lévy forward price model allowing for negative interest rates.
   Mathematical Finance 30, 167–195, 2020. [pdf]
4. E. Casas, K. Chrysafinos:
   Numerical analysis of some quasilinear parabolic equations.
   Numerische Mathematik 143, 749–780, 2019. [pdf]
5. K. Chrysafinos:
   Stability analysis and best approximation error estimates of discontinuous time stepping schemes for the Allen–Cahn equation.
   ESAIM M2AN 53, 551–583, 2019. [pdf]
6. C. Cuchiero, C. Fontana, A. Gnoatto:
   Affine multiple yield curve models.
   Mathematical Finance 29, 568–611, 2019. [pdf]
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]
8. 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]
9. I. Armendáriz, M. Loulakis, S. Grosskinsky:
   Metastability in a condensing zero-range process in the thermodynamic limit.
   Probability Theory and Related Fields 169, 105–175, 2017. [pdf]
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, code]
11. A. Cangiani, Z. Dong, and E. H. Georgoulis:
    hp–Version space-time discontinuous Galerkin methods for parabolic problems on prismatic meshes.
    SIAM Journal on Scientific Computing 39, A1251–A1279, 2017. [pdf]
12. Z. Dong, E. H. Georgoulis, J. Levesley and F. Usta:
    A multilevel sparse kernel-based stochastic collocation finite element method for elliptic problems with random coefficients.
    Computers and Mathematics with Applications 76, 1950–1965, 2018. [pdf]
13. A. Doumas, V. Papanicolaou:
    The siblings of the coupon collector.
    Theory of Probability and its Applications 62, 444–470, 2017. [pdf]
14. 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]
15. E. Casas, K. Chrysafinos:
    Analysis and approximation of the velocity tracking control problem for the 3D evolutionary Navier–Stokes equations.
    SIAM Journal on Control and Optimization 54, 99–128, 2016. [pdf]
16. 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]
17. S. Crépey, R. Gerboud, Z. Grbac, N. Ngor:
    Counterparty risk and funding: The four wings of the TVA.
    International Journal of Theoretical and Applied Finance 16(2), 1350006, 2013. [pdf]
18. A. Cangiani, E. H. Georgoulis and M. Jensen:
    Discontinuous Galerkin methods for mass transfer through semi-permeable membranes.
    SIAM Journal on Numerical Analysis 51, 2911–2934, 2013. [pdf]
19. E. H. Georgoulis, J. Levesley and F. Subhan:
    Multilevel sparse kernel-based interpolation.
    SIAM Journal on Scientific Computing 35, A815–A831, 2013. [pdf]
20. T. Aktosun, D. Gintides, V. Papanicolaou:
    The uniqueness in the inverse problem for transmission eigenvalues for the spherically symmetric variable-speed wave equation.
    Inverse Problems 27, 115004 (17 pp), 2011. [pdf]
21. E. H. Georgoulis, O. Lakkis and J.M. Virtanen:
    A posteriori error control for discontinuous Galerkin methods for parabolic problems.
    SIAM Journal on Numerical Analysis 49, 427–458, 2011. [pdf]
22. K. Chrysafinos, N. Walkignton:
    Discontinuous Galerkin approximations for the Stokes and the Navier–Stokes equations.
    Mathematics of Computation 79, 2135–2167, 2010. [pdf]
23. I. Armendáriz, M. Loulakis:
    Thermodynamic limit for the invariant measures in supercritical zero range processes
    Probability Theory and Related Fields 145, 175–188, 2009. [pdf]
24. V. Papanicolaou:
    The periodic Euler-Bernoulli equation.
    Transactions of the AMS 355, 3727–3759, 2003. [pdf]
25. M. Loulakis:
    Einstein relation for a tagged particle in simple exclusion processes.
    Communications in Mathematical Physics 229, 347–367, 2002. [pdf]
26. G. Kallianpur, V. Papanicolaou:
    Exact computation of Feynman-type integrals involving Gaussian random fields.
    Stochastic Environmental Research and Risk Assessment 14, 33–49, 2000. [pdf]
27. V. Papanicolaou:
    The probabilistic solution of the third boundary value problem for second order elliptic equations.
    Probability Theory and Related Fields 87, 27–77, 1990. [pdf]