Publications

• Finite-Rank Approximation of Affine Processes on Positive Hilbert–Schmidt Operators S. Karbach — Journal of Mathematical Analysis and Applications 553(2), 129852 10.1016/j.jmaa.2025.129852
• Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact K. Chatziandreou, S. Karbach — Quantitative Finance 26(2) arXiv:2504.10282
• Pricing and Hedging of Discretely Monitored Asian Options in the Volterra–Heston Model G. Custers, S. Karbach, M. Friesen — Preprint arXiv:2609.07169
• Higher-Order Greeks Hedging of American Options with Deep Reinforcement Learning A. Tsoskounoglou, S. Karbach, D. Kandhai, M. Vellekoop — Submitted to the Journal of Computational Finance PDF
• Signature-Based Optimal Execution for Statistical Arbitrage with Path-Dependent Trading Signals G. Morbelli, S. Karbach, M. Derksen — Preprint arXiv:2606.31387
• Pricing and Semi-static Hedging of Green Pay-as-produced Power Purchase Agreements K. Chatziandreou, S. Karbach — Preprint arXiv:2607.27814
• Hedging Maturity-Specific Risk in Forward Curve Derivatives under Stochastic Volatility R. Alberti, S. Karbach — Preprint arXiv:2606.28891
• Semi-Static Variance-Optimal Hedging of Covariance Risk in Multi-Asset Derivatives K. Chatziandreou, S. Karbach — Preprint arXiv:2603.25320

• Pricing Options on Forwards in Function-Valued Affine Stochastic Volatility Models J. He, S. Karbach, A. Khedher — Preprint arXiv:2508.14813
• Measure-Valued CARMA Processes F. E. Benth, S. Karbach, A. Khedher — Preprint arXiv:2505.08852

• Stationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces M. Friesen, S. Karbach — Finance and Stochastics 28, 1077–1116 10.1007/s00780-024-00543-3
• Heat Modulated Affine Stochastic Volatility Models for Forward Curve Dynamics S. Karbach — Preprint arXiv:2409.13070

• Multivariate Continuous-Time Autoregressive Moving-Average Processes on Cones F. E. Benth, S. Karbach — Stochastic Processes and their Applications 162, 299–337 10.1016/j.spa.2023.05.003

• An Infinite-Dimensional Affine Stochastic Volatility Model S. Cox, S. Karbach, A. Khedher — Mathematical Finance 32, 878–906 10.1111/mafi.12347
• Affine Pure-Jump Processes on Positive Hilbert–Schmidt Operators S. Cox, S. Karbach, A. Khedher — Stochastic Processes and their Applications 151, 191–229 10.1016/j.spa.2022.05.008
• Stochastic Covariance Models in Hilbert Spaces with Jumps S. Karbach — Doctoral thesis, University of Amsterdam UvA dissertation