Belak, Christoph, Christensen, Sören and Menkens, Olaf (2016) Worst-case portfolio optimization in a market with bubbles. International Journal of Theoretical and Applied Finance, 19 (2). p. 1650009. ISSN 1793-6322

Belak, Christoph, Menkens, Olaf and Sass, Jorn (2015) Worst-case portfolio optimization with proportional transaction costs. Stochastics An International Journal of Probability and Stochastic Processes, 87 (4). pp. 623-663. ISSN 1744-2516

Belak, Christoph, Menkens, Olaf and Sass, Jorn (2015) On the uniqueness of unbounded viscosity solutions arising in an optimal terminal wealth problem with transaction costs. SIAM Journal on Control and Optimization (SICON), 53 (5). pp. 2878-2897. ISSN 0363-0129

Belak, Christoph, Christensen, Sören and Menkens, Olaf (2014) Worst-case optimal investment with a random number of crashes. Statistics and Probability Letters, 90 . pp. 140-148. ISSN 0167-7152

Ewald, Christian-Oliver, Menkens, Olaf and Hung Marten Ting, Sai (2013) Asian and Australian options: a common perspective. Journal of Economic Dynamics and Control, 37 (5). pp. 1001-1018. ISSN 0165-1889

Korn, Ralf, Menkens, Olaf and Steffensen, Mogens (2012) Worst-case-optimal dynamic reinsurance for large claims. European Actuarial Journal, 2 (1). pp. 21-48. ISSN 2190-9733

Yang, Zhaojun, Ewald, Christian-Oliver and Menkens, Olaf (2011) Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus. Mathematical Methods of Operations Research (ZOR), 74 (1). pp. 93-120. ISSN 1432-5217

Menkens, Olaf (2007) Value at risk and self-similarity. In: Miller, John, Edelman, David and Appleby, John A.D., (eds.) Numerical methods for finance. Chapman & Hall/CRC Financial Mathematics Series, 8 . CRC Press, pp. 225-253. ISBN 9781584889250

Menkens, Olaf (2006) Crash hedging strategies and worst–case scenario portfolio optimization. International Journal of Theoretical and Applied Finance, 9 (4). pp. 597-618. ISSN 0219-0249

Korn, Ralf and Menkens, Olaf (2005) On worst-case investment with applications in finance and insurance mathematics. In: Deuschel, Jean-Dominique and Greven, Andreas, (eds.) Interacting Stochastic Systems. Springer Berlin Heidelberg, pp. 397-407. ISBN 978-3-540-27110-9

Korn, Ralf and Menkens, Olaf (2005) Worst-case scenario portfolio optimization: a new stochastic control approach. Mathematical Methods of Operations Research, 62 (1). pp. 123-140. ISSN 1432-5217