Veraart, Luitgard A. M.

Item Type Year Departments File available

Article

Pang, Raymond, Veraart, Luitgard A. M. (2025). Collateralised networks with two interacting channels of fire sales. SIAM Journal on Financial Mathematics, [In Press] picture_as_pdf

Veraart, Luitgard A. M., Zhang, Yuliang (2025). Post-trade netting and contagion. Operations Research, https://doi.org/10.1287/opre.2021.0800 picture_as_pdf

Veraart, Luitgard A. M., Aldasoro, Iñaki (2025). Systemic risk in markets with multiple central counterparties. Mathematical Finance, 35(1), 214 - 262. https://doi.org/10.1111/mafi.12446 picture_as_pdf

Hüser, Anne-Caroline, Lepore, Caterina, Veraart, Luitgard A. M. (2024). How does the repo market behave under stress? Evidence from the COVID-19 crisis. Journal of Financial Stability, 70, https://doi.org/10.1016/j.jfs.2023.101193 picture_as_pdf

Pang, Raymond Ka-Kay, Veraart, Luitgard A. M. (2023). Assessing and mitigating fire sales risk under partial information. Journal of Banking and Finance, 155, https://doi.org/10.1016/j.jbankfin.2023.106989 picture_as_pdf

Veraart, Luitgard A. M. (2022). When does portfolio compression reduce systemic risk? Mathematical Finance, 32(3), 727 - 778. https://doi.org/10.1111/mafi.12346 picture_as_pdf

Gandy, Axel, Veraart, Luitgard A. M. (2021). Compound poisson models for weighted networks with applications in finance. Mathematics and Financial Economics, 15(1), 131 - 153. https://doi.org/10.1007/s11579-020-00268-9 picture_as_pdf

Veraart, Luitgard A. M. (2020). Distress and default contagion in financial networks. Mathematical Finance, 30(3), 705 - 737. https://doi.org/10.1111/mafi.12247 picture_as_pdf

Kusnetsov, Michael, Veraart, Luitgard A. M. (2019). Interbank clearing in financial networks with multiple maturities. SIAM Journal on Financial Mathematics, 10(1), 37-67. https://doi.org/10.1137/18M1180542 picture_as_pdf

Gandy, Axel, Veraart, Luitgard A. M. (2018). Adjustable network reconstruction with applications to CDS exposures. Journal of Multivariate Analysis, https://doi.org/10.1016/j.jmva.2018.08.011

Gandy, Axel, Veraart, Luitgard A. M. (2017). A Bayesian methodology for systemic risk assessment in financial networks. Management Science, 63(12), 4428 -4446. https://doi.org/10.1287/mnsc.2016.2546

Barrieu, Pauline, Veraart, Luitgard A. M. (2016). Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal, 2016(2), 146-166. https://doi.org/10.1080/03461238.2014.916228

Dubois, Mathieu S., Veraart, Luitgard A. M. (2015). Optimal diversification in the presence of parameter uncertainty for a risk averse investor. SIAM Journal on Financial Mathematics, 6(1), 201-241. https://doi.org/10.1137/130942826

Veraart, Almut E.D., Veraart, Luitgard A.M. (2013). Risk premiums in energy markets. Journal of Energy Markets, 6(4), 91-132. https://doi.org/10.21314/JEM.2013.102

Gandy, Axel, Veraart, Luitgard A. M. (2013). The effect of estimation in high-dimensional portfolios. Mathematical Finance, 23(3), 531-559. https://doi.org/10.1111/j.1467-9965.2011.00505.x

Rogers, L.C.G., Veraart, Luitgard A. M. (2013). Faliure and rescue in an interbank network. Management Science, 59(4), 882-898. https://doi.org/10.1287/mnsc.1120.1569

Veraart, Almut E. D., Veraart, Luitgard A. M. (2012). Stochastic volatility and stochastic leverage. Annals of Finance, 8(2-3), 205-233. https://doi.org/10.1007/s10436-010-0157-3

Bäuerle, Nicole, Urban, Sebastian, Veraart, Luitgard A. M. (2012). The relaxed investor with partial information. SIAM Journal on Financial Mathematics, 3(1), 304-327. https://doi.org/10.1137/100813646

Veraart, Luitgard A. M. (2011). Optimal investment in the foreign exchange market with proportional transaction costs. Quantitative Finance, 11(4), 631-640. https://doi.org/10.1080/14697680903460150

Veraart, Luitgard A. M. (2010). Optimal market making in the foreign exchange market. Applied Mathematical Finance, 17(4), 359-372. https://doi.org/10.1080/13504860903387588

Kiesel, Rüdiger, Veraart, Luitgard A. M. (2008). A note on the survival probability in CreditGrades. Journal of Credit Risk, 4(2).

Rogers, L.C.G., Veraart, Luitgard A. M. (2008). A stochastic volatility alternative to SABR. Journal of Applied Probability, 45(4), 1071-1085. https://doi.org/10.1239/jap/1231340234

Chapter

Veraart, Almut E. D., Veraart, Luitgard A. M. (2014). Modelling electricity day-ahead prices by multivariate Lévy semistationary processes. In Benth, F. E., Kholodnyi, V. A. & Laurence, P. (Eds.), Quantitative Energy Finance (pp. 157-188). Springer Berlin / Heidelberg. picture_as_pdf

Bauerle, N., Veraart, Luitgard A. M. (2011). Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. In Wendland, K. & Werner, A. (Eds.), Facettenreiche Mathematik: Einblicke in Die Moderne Mathematische Forschung Für Alle, Die Mehr Von Mathematik Verstehen Wollen . Vieweg & Teubner.