Publications

• Meyer-Brandis, T. (2009): Reduced form electricity spot price modelling, accepted in Encyclopedia of Quantitative Finance. pdf
• Cartea A., Meyer-Brandis T. (2009): How does duration between trades of underlying securities affect option prices, accepted in Review of Finance. pdf
• Meyer-Brandis T., Proske F. (2009): Explicit representation of strong soutions of SDE’s driven by infinite dimensional Lévy processes, accepted in Journal of Theoretical Probability.pdf
• Klüppelberg C., Meyer-Brandis T., Schmidt A. (2009): Electricity spot price modelling with a view towards extreme spike risk, accepted in Quantitative Finance.pdf
• Benth F.E., Meyer-Brandis T. (2009): The information premium in electricity markets, accepted in Journal of Energy Markets. pdf
• Di Nunno G., Kohatsu-Higa A., Meyer-Brandis T., Øksendal B., Proske F.,Sulem A. (2009): Anticipative stochastic control for Lévy processes with application to insider trading, Mathematical Model ling and Numerical Methods in Finance - Handbook of Numerical Analysis, Vol 15, ch 14, pp. 573-594, Editors: Alain Bensoussan and Qiang Zhang, Publisher: ELSEVIER. pdf
• Biagini F., Bregman Y., Meyer-Brandis T. (2008): Pricing of catastrophe insurance options under immediate loss reestimation, Journal of Applied Probability 45, pp. 831-845.pdf
• Biagini F., Bregman Y., Meyer-Brandis T. (2008): Pricing of catastrophe insurance options written on a loss index, Insurance: Mathematics and Economics 43, pp. 214-222.pdf
• Meyer-Brandis T., and Tankov P. (2008): Multi-factor jump-diffusion models of electricity prices, IJTAF, Vol. 11, No. 5, pp. 503-528. pdf.
• Meyer-Brandis T. (2008): Differential equations driven by Lévy white noise in spaces of Hilbert-space-valued stochastic distributions, Stochastics, Vol 80 (4), pp. 371-396. pdf.
• Bernhardt C., Klüppelberg C., Meyer-Brandis T. (2008): Estimating high quantiles for electricity prices by stable linear models, Journal of Energy Markets 1(1), pp.3-19. pdf
• Meyer-Brandis T. (2007): Stochastic Feynman-Kac equations associated to Lévy -It_ diffusions, Stochastic Analysis and Applications, Vol 25(5),_ pp. 913-932. pdf.
• Benth F.E., Meyer-Brandis T., Kallsen J. (2007): A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing, Appl. Math. Fin., Vol 14(2), pp. 153-169. pdf
• Di Nunno G., Meyer-Brandis T., Øksendal B., Proske F. (2006): Optimal portfolio for an insider in a market driven by Lévy processes, Quantitative Finance, 6(1), pp. 83-94. pdf.
• Meyer-Brandis T., Proske F. (2006): On the existence and explicit representability of strong solutions of Lévy noise driven SDE's with irregular coeffcients, Communications in Mathematical Sciences 2006, 4(1), pp. 129-154. pdf.
• Benth F.E., Meyer-Brandis T. (2005): The density process of the minimal entropy martingale measure in a stochastic volatility model, Finance and Stochastics 2005, 9(4), pp. 563-575. pdf.
• Di Nunno G., Meyer-Brandis T., Øksendal B., Proske F. (2005): Malliavin calculus and anticipative Itô formulae for Lévy processes, Infin. Dimensi. Anal. Quantum Probab. Relet. Top. 2005, 8, pp. 235-258. pdf.
• Meyer-Brandis T., Proske F. (2004): Explicit solution of a non-linear filtering problem for Lévy processes with application to finance, Applied Mathematics and Optimization, 50, pp. 119-134. pdf.
  
  

Preprints

• Henriksen P.A., Hove A., Meyer-Brandis T., Proske F. (2009): Interest rate guarantee in a defined benefit pension setting, submitted. pdf
• Biagini F., Bregman Y., Meyer-Brandis T. (2009): Risk neutral electricity price modelling, preprint. price modelling, preprint.pdf
• Meyer-Brandis T., Øksendal B., Zhou X. Y. (2009): A stochastic maximum principle via Malliavin calculusl, submitted. pdf
• Menoukeu O. P., Meyer-Brandis T., Proske F. (2008): Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps, submitted. pdf
• Mandrekar V., Meyer-Brandis T., Proske F. (2008): A Bayes formula for non-linear filtering with Gaussian and Cox noise, submitted. pdf.