Michael R. Tehranchi

Available identifiers

Publication	Date of Publication	Type
Optimisation-based representations for branching processes	2021-07-21	Paper
POLYNOMIAL TERM STRUCTURE MODELS	2021-06-18	Paper
A Black-Scholes inequality: applications and generalisations	2019-12-27	Paper
Inequalities for the Gaussian measure of convex sets	2017-10-25	Paper
If \(B\) and \(f(B)\) are Brownian motions, then \(f\) is affine	2017-07-11	Paper
Uniform Bounds for Black--Scholes Implied Volatility	2017-01-11	Paper
Spectral term structure models	2016-03-07	Paper
Polynomial Term Structure Models	2014-04-24	Paper
Optimal investment for all time horizons and Martin boundary of space-time diffusions	2013-08-09	Paper
On the Uniqueness of Martingales with Certain Prescribed Marginals	2013-06-26	Paper
Can the implied volatility surface move by parallel shifts?	2011-04-06	Paper
Characterizing Attainable Claims: A New Proof	2011-01-13	Paper
Optimal Basket Liquidation for CARA Investors is Deterministic	2010-12-15	Paper
Symmetric martingales and symmetric smiles	2009-10-13	Paper
Asymptotics of Implied Volatility far from Maturity	2009-10-08	Paper
Optimal portfolio choice in the bond market	2007-05-29	Paper
Interest rate models: an infinite dimensional stochastic analysis perspective	2006-07-27	Paper
A note of invariant measures for HJM models	2006-05-24	Paper
Explicit solutions of some utility maximization problems in incomplete markets	2005-08-05	Paper
A characterization of hedging portfolios for interest rate contingent claims.	2004-09-15	Paper

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