| Publication | Date of Publication | Type |
|---|
| An elementary approach to the Merton problem | 2023-09-28 | Paper |
| Cautious stochastic choice, optimal stopping and deliberate randomization | 2023-07-03 | Paper |
| An injective martingale coupling | 2023-03-02 | Paper |
| The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations | 2022-12-28 | Paper |
| The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\) | 2022-12-28 | Paper |
| A construction of the left-curtain coupling | 2022-12-08 | Paper |
| Constrained optimal stopping, liquidity and effort | 2022-06-20 | Paper |
| The potential of the shadow measure | 2022-03-11 | Paper |
| A construction of the left-curtain coupling | 2021-02-21 | Paper |
| The shape of the value function under Poisson optimal stopping | 2021-02-18 | Paper |
| Randomised rules for stopping problems | 2020-12-11 | Paper |
| A multi-asset investment and consumption problem with transaction costs | 2019-06-27 | Paper |
| Optimal consumption and investment under transaction costs* | 2019-05-23 | Paper |
| The left-curtain martingale coupling in the presence of atoms | 2019-05-22 | Paper |
| Robust bounds for the American put | 2019-04-24 | Paper |
| Probability weighting, stop-loss and the disposition effect | 2018-11-19 | Paper |
| Optimal stopping and the sufficiency of randomized threshold strategies | 2018-05-11 | Paper |
| Randomized strategies and prospect theory in a dynamic context | 2017-02-10 | Paper |
| Model uncertainty and the pricing of American options | 2017-01-12 | Paper |
| Mimicking martingales | 2016-11-16 | Paper |
| Optimal Consumption and Sale Strategies for a Risk Averse Agent | 2016-11-11 | Paper |
| GAMBLING IN CONTESTS WITH REGRET | 2016-07-15 | Paper |
| Gambling in contests with random initial law | 2016-03-11 | Paper |
| Integrability of solutions of the Skorokhod embedding problem for diffusions | 2015-11-27 | Paper |
| Finite, integrable and bounded time embeddings for diffusions | 2015-06-15 | Paper |
| Gambling in contests modelled with diffusions | 2015-05-04 | Paper |
| Robust price bounds for the forward starting straddle | 2015-01-19 | Paper |
| UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES | 2014-06-13 | Paper |
| Fake exponential Brownian motion | 2014-02-19 | Paper |
| Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps | 2013-10-25 | Paper |
| Risk Aversion, Indivisible Timing Options, and Gambling | 2013-07-02 | Paper |
| Can time-homogeneous diffusions produce any distribution? | 2013-05-13 | Paper |
| ROBUST BOUNDS FOR FORWARD START OPTIONS | 2013-02-28 | Paper |
| Model-independent hedging strategies for variance swaps | 2012-12-07 | Paper |
| Constructing time-homogeneous generalized diffusions consistent with optimal stopping values | 2012-01-03 | Paper |
| Recovering a time-homogeneous stock price process from perpetual option prices | 2011-07-19 | Paper |
| OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS | 2011-06-16 | Paper |
| OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE | 2011-06-09 | Paper |
| Comparison results for stochastic volatility models via coupling | 2011-04-06 | Paper |
| The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices | 2010-12-14 | Paper |
| Time-Homogeneous Diffusions with a Given Marginal at a Random Time | 2009-12-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3613975 | 2009-03-16 | Paper |
| Perpetual American options in incomplete markets: the infinitely divisible case | 2009-02-23 | Paper |
| An explicit solution for an optimal stopping/optimal control problem which models an asset sale | 2008-11-27 | Paper |
| Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping | 2008-11-27 | Paper |
| Bounds for in-progress floating-strike Asian options using symmetry | 2008-03-31 | Paper |
| Horizon-unbiased utility functions | 2007-12-17 | Paper |
| THE RANGE OF TRADED OPTION PRICES | 2007-06-08 | Paper |
| Is there an informationally passive benchmark for option pricing incorporating maturity? | 2007-05-18 | Paper |
| A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings | 2007-05-15 | Paper |
| Optimal stopping of the maximum process: a converse to the results of Peskir | 2007-03-30 | Paper |
| A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor | 2007-03-15 | Paper |
| A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS | 2006-09-12 | Paper |
| Skorokhod embeddings, minimality and non-centred target distributions | 2006-06-26 | Paper |
| Local martingales, bubbles and option prices | 2006-05-24 | Paper |
| A comparison of option prices under different pricing measures in a stochastic volatility model with correlation | 2006-05-02 | Paper |
| Bounds for the utility-indifference prices of non-traded assets in incomplete markets | 2006-03-09 | Paper |
| Static-arbitrage optimal subreplicating strategies for basket options | 2006-03-08 | Paper |
| Static-arbitrage upper bounds for the prices of basket options | 2006-03-08 | Paper |
| MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT | 2005-11-15 | Paper |
| An optimal Skorokhod embedding for diffusions | 2005-08-05 | Paper |
| Review Paper. A survey of mathematical finance | 2005-07-01 | Paper |
| A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH | 2005-06-22 | Paper |
| STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE | 2005-05-09 | Paper |
| Coupling and option price comparisons in a jump-diffusion model | 2003-10-12 | Paper |
| The minimum maximum of a continuous martingale with given initial and terminal laws | 2003-05-06 | Paper |
| Real options with constant relative risk aversion | 2003-01-21 | Paper |
| Passport options with stochastic volatility | 2002-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725615 | 2002-04-08 | Paper |
| The maximum maximum of a martingale constrained by an intermediate law | 2002-03-04 | Paper |
| Robust Hedging of Barrier Options | 2001-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4501617 | 2000-11-07 | Paper |
| Local time, coupling and the passport option | 2000-05-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4213425 | 2000-04-25 | Paper |
| Volatility misspecification, option pricing and superreplication via coupling | 2000-04-09 | Paper |
| Robust hedging of the lookback option | 1999-02-08 | Paper |
| Complete Models with Stochastic Volatility | 1998-11-29 | Paper |
| Escape rates for transient reflected brownian motion in wedges and cones | 1998-07-19 | Paper |
| Non‐Colliding Brownian Motions on the Circle | 1996-11-21 | Paper |
| Asymptotics for an arcsin type result | 1994-09-20 | Paper |
| Recurrence and transience of reflecting Brownian motion in the quadrant | 1993-11-24 | Paper |
| Limit theorems for transient diffusions on the line | 1991-01-01 | Paper |
