| Publication | Date of Publication | Type |
|---|
| Systemic Portfolio Diversification | 2024-03-20 | Paper |
| Disruption and Rerouting in Supply Chain Networks | 2024-03-12 | Paper |
| Machine Learning and Data Sciences for Financial Markets | 2023-03-01 | Paper |
| Large Sample Mean-Field Stochastic Optimization | 2022-08-23 | Paper |
| Systemic Risk-Driven Portfolio Selection | 2022-08-05 | Paper |
| Market Efficient Portfolios in a Systemic Economy | 2022-05-31 | Paper |
| Robust XVA | 2021-03-23 | Paper |
| A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning | 2021-01-08 | Paper |
| Firm capital dynamics in centrally cleared markets | 2020-05-14 | Paper |
| Risk-Sensitive Asset Management and Cascading Defaults | 2020-03-11 | Paper |
| Credit portfolio selection with decaying contagion intensities | 2019-05-08 | Paper |
| Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors | 2018-11-28 | Paper |
| Portfolio Choice with Market--Credit-Risk Dependencies | 2018-08-24 | Paper |
| Systemic risk mitigation in financial networks | 2018-08-13 | Paper |
| Arbitrage‐free XVA | 2018-05-25 | Paper |
| Dynamic investment and counterparty risk | 2018-03-14 | Paper |
| Stochastic Filtering for Diffusion Processes With Level Crossings | 2017-08-25 | Paper |
| Optimal Credit Investment with Borrowing Costs | 2017-06-02 | Paper |
| Optimal Investment Under Information Driven Contagious Distress | 2017-05-24 | Paper |
| Robust Optimization of Credit Portfolios | 2017-04-13 | Paper |
| Liability Concentration and Systemic Losses in Financial Networks | 2016-12-20 | Paper |
| OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK | 2016-11-01 | Paper |
| Dynamic credit investment in partially observed markets | 2015-11-09 | Paper |
| Dynamic Contracting: Accidents Lead to Nonlinear Contracts | 2015-10-21 | Paper |
| Systemic Risk in Interbanking Networks | 2015-06-26 | Paper |
| Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis | 2015-02-21 | Paper |
| DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM | 2015-02-20 | Paper |
| Pricing vulnerable claims in a Lévy-driven model | 2015-02-06 | Paper |
| Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples | 2015-01-23 | Paper |
| Will banning naked CDS impact bond prices? | 2014-12-12 | Paper |
| Bilateral credit valuation adjustment for large credit derivatives portfolios | 2014-11-07 | Paper |
| DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING | 2014-05-14 | Paper |
| PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS | 2014-05-14 | Paper |
| ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS | 2014-04-23 | Paper |
| PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK | 2013-06-24 | Paper |
| Optimal contracting with effort and misvaluation | 2013-02-26 | Paper |
| A Variational Approach to Contracting under Imperfect Observations | 2013-01-25 | Paper |
| Expressing stochastic filters via number sequences | 2010-08-06 | Paper |
| A convex optimization approach to filtering in jump linear systems with state dependent transitions | 2010-07-13 | Paper |
| Bounded families for the on-line \(t\)-relaxed coloring | 2009-12-18 | Paper |
| CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION | 2009-06-23 | Paper |
| A New Algorithm for On-line Coloring Bipartite Graphs | 2009-03-16 | Paper |
| Accuracy of fused track for radar systems | 2008-11-25 | Paper |
| On-Line Coloring of H-Free Bipartite Graphs | 2007-05-02 | Paper |
