Preprints
- A. Neufeld, A. Papapantoleon, Q. Xiang:
Model-free bounds for multi-asset options using option-implied information and their exact computation.
Preprint, 2020.
[pdf,
arXiv:2006.14288]
- A. Papapantoleon, P. Yanez Sarmiento:
Detection of arbitrage opportunities in multi-asset derivatives markets.
Preprint, 2020.
[pdf,
arXiv:2002.06227]
- D. Bartl, M. Kupper, T. Lux, A. Papapantoleon, S. Eckstein (appendix):
Marginal and dependence uncertainty: bounds, optimal transport, and sharpness.
Preprint, 2017.
[pdf,
arXiv:1709.00641]
Book
- J. Kallsen, A. Papapantoleon (Eds.):
Advanced Modelling in Mathematical Finance – In Honour of Ernst Eberlein.
Springer, 2016.
[link]
Publications
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- 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]
- Z. Grbac, A. Papapantoleon:
A tractable LIBOR model with default risk.
Mathematics and Financial Economics 7, 203–227, 2013.
[pdf,
arXiv:1202.0587]
- 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]
- 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]
- A. Papapantoleon:
Old and new approaches to LIBOR modeling.
Statistica Neerlandica 64, 257–275, 2010.
[pdf,
arXiv:0910.4941]
- M. Keller-Ressel, A. Papapantoleon, J. Teichmann:
The affine LIBOR models.
Mathematical Finance 23, 627–658, 2013.
[pdf,
arXiv:0904.0555]
- 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]
- E. Eberlein, A. Papapantoleon, A. N. Shiryaev:
Esscher transform and the duality principle for multidimensional semimartingales.
Annals of Applied Probability 19, 1944–1971, 2009.
[arXiv:0809.0301,
published]
- 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, W. Kluge, A. Papapantoleon:
Symmetries in Lévy term structure models.
International Journal of Theoretical and Applied Finance 9, 967–986, 2006.
[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]
- E. Eberlein, A. Papapantoleon:
Equivalence of floating and fixed strike Asian and lookback options.
Stochastic Processes and Their Applications 115, 31–40, 2005.
[pdf]
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:
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]