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Preprints

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Book

Publications

  1. 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]

  2. 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]

  3. 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]

  4. 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]

  5. 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]

  6. 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]

  7. 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]

  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, arXiv:1502.00674, ssrn/2788508]

  9. 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]

  10. 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]

  11. 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]

  12. 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]

  13. Z. Grbac, A. Papapantoleon:
    A tractable LIBOR model with default risk.
    Mathematics and Financial Economics 7, 203–227, 2013. [pdf, arXiv:1202.0587]

  14. 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]

  15. 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]

  16. A. Papapantoleon:
    Old and new approaches to LIBOR modeling.
    Statistica Neerlandica 64, 257–275, 2010. [pdf, arXiv:0910.4941]

  17. M. Keller-Ressel, A. Papapantoleon, J. Teichmann:
    The affine LIBOR models.
    Mathematical Finance 23, 627–658, 2013. [pdf, arXiv:0904.0555]

  18. 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]

  19. 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]

  20. W. Kluge, A. Papapantoleon:
    On the valuation of compositions in Lévy term structure models.
    Quantitative Finance 9, 951–959, 2009. [pdf, arXiv:0902.3456]

  21. E. Eberlein, A. Papapantoleon, A. N. Shiryaev:
    On the duality principle in option pricing: semimartingale setting.
    Finance and Stochastics 12, 265–292, 2008. [pdf]

  22. E. Eberlein, W. Kluge, A. Papapantoleon:
    Symmetries in Lévy term structure models.
    International Journal of Theoretical and Applied Finance 9, 967–986, 2006. [pdf]

  23. 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]

  24. 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

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Working papers

Conference proceedings and other volumes