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Preprints

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Book

Publications

  1. Y. Armenti, S. Crépey, S. Drapeau, A. Papapantoleon:
    Multivariate shortfall risk allocation and systemic risk.
    SIAM Journal on Financial Mathematics (forthcoming). [pdf, arXiv/1507.05351, code]

  2. A. Papapantoleon, R. Wardenga:
    Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA.
    Probability, Uncertainty and Quantitative Risk (forthcoming). [pdf, arXiv/1607.03522]

  3. T. Lux, A. Papapantoleon:
    Improved Fréchet–Hoeffding bounds for d-copulas and applications in model-free finance.
    Annals of Applied Probability (forthcoming). [pdf, arXiv/1602.08894]

  4. M. Anthropelos, M. Kupper, A. Papapantoleon:
    An equilibrium model for spot and forward prices of commodities.
    Mathematics of Operations Research (fortcoming). [pdf, arXiv/1502.00674, ssrn/2788508]

  5. 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]

  6. 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]

  7. 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]

  8. 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]

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

  10. 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]

  11. 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]

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

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

  14. 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]

  15. 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]

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

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

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

  19. 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]

  20. 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

Lecture notes

Working papers

Conference proceedings and other volumes