| Publication | Date of Publication | Type |
|---|
Sample path properties of the fractional Wiener-Weierstrass bridge
Bernoulli | 2026-05-28 | Paper |
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
SIAM Journal on Financial Mathematics | 2026-02-25 | Paper |
Stochastic finance. An introduction in discrete time
De Gruyter Graduate | 2026-01-14 | Paper |
The roughness exponent and its model-free estimation
The Annals of Applied Probability | 2025-06-18 | Paper |
The multi-armed bandit problem under the mean-variance setting
European Journal of Operational Research | 2025-05-20 | Paper |
A criterion for absolute continuity relative to the law of fractional Brownian motion
Electronic Communications in Probability | 2025-01-31 | Paper |
The perturbation method applied to a robust optimization problem with constraint
Mathematics and Financial Economics | 2024-08-28 | Paper |
Weierstrass bridges
Transactions of the American Mathematical Society | 2024-07-04 | Paper |
Protecting pegged currency markets from speculative investors
Mathematical Finance | 2023-09-28 | Paper |
Protecting pegged currency markets from speculative investors
Mathematical Finance | 2023-09-28 | Paper |
| Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance | 2023-07-05 | Paper |
| On laws absolutely continuous with respect to fractional Brownian motion | 2023-06-20 | Paper |
| Robust Faber--Schauder approximation based on discrete observations of an antiderivative | 2022-11-21 | Paper |
A limit theorem for Bernoulli convolutions and the \(\Phi \)-variation of functions in the Takagi class
Journal of Theoretical Probability | 2022-11-21 | Paper |
Step roots of Littlewood polynomials and the extrema of functions in the Takagi class
Mathematical Proceedings of the Cambridge Philosophical Society | 2022-10-21 | Paper |
An FBSDE approach to market impact games with stochastic parameters
Probability, Uncertainty and Quantitative Risk | 2022-06-03 | Paper |
Robustness in the optimization of risk measures
Operations Research | 2022-02-18 | Paper |
Distributional transforms, probability distortions, and their applications
Mathematics of Operations Research | 2022-02-08 | Paper |
| The roughness exponent and its model-free estimation | 2021-11-19 | Paper |
On the minimizers of energy forms with completely monotone kernel
Applied Mathematics and Optimization | 2021-04-22 | Paper |
A central bank strategy for defending a currency peg
Systems & Control Letters | 2021-01-06 | Paper |
A probabilistic approach to the \(\varPhi \)-variation of classical fractal functions with critical roughness
Statistics & Probability Letters | 2021-01-06 | Paper |
On the pth variation of a class of fractal functions
Proceedings of the American Mathematical Society | 2020-10-29 | Paper |
A market impact game under transient price impact
Mathematics of Operations Research | 2020-03-12 | Paper |
Pathwise no-arbitrage in a class of delta hedging strategies
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
On (signed) Takagi-Landsberg functions: pth variation, maximum, and modulus of continuity
Journal of Mathematical Analysis and Applications | 2019-03-21 | Paper |
Model-free CPPI
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Model-free portfolio theory and its functional master formula
SIAM Journal on Financial Mathematics | 2018-10-31 | Paper |
Price manipulation in a market impact model with dark pool
Applied Mathematical Finance | 2018-04-06 | Paper |
High-frequency limit of Nash equilibria in a market impact game with transient price impact
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
A state-constrained differential game arising in optimal portfolio liquidation
Mathematical Finance | 2017-07-21 | Paper |
Domains of weak continuity of statistical functionals with a view toward robust statistics
Journal of Multivariate Analysis | 2017-06-22 | Paper |
| Mild and viscosity solutions to semilinear parabolic path-dependent PDEs | 2016-11-24 | Paper |
Stochastic finance. An introduction in discrete time.
De Gruyter Textbook | 2016-09-02 | Paper |
Multivariate transient price impact and matrix-valued positive definite functions
Mathematics of Operations Research | 2016-08-10 | Paper |
| The associativity rule in pathwise functional It\^o calculus | 2016-05-28 | Paper |
Optimal portfolio liquidation in target zone models and catalytic superprocesses
Finance and Stochastics | 2016-05-23 | Paper |
Constructing functions with prescribed pathwise quadratic variation
Journal of Mathematical Analysis and Applications | 2016-05-11 | Paper |
On a class of generalized Takagi functions with linear pathwise quadratic variation
Journal of Mathematical Analysis and Applications | 2015-09-30 | Paper |
Quasi-Hadamard differentiability of general risk functionals and its application
Statistics & Risk Modeling | 2015-04-17 | Paper |
Comparative and qualitative robustness for law-invariant risk measures
Finance and Stochastics | 2014-11-07 | Paper |
A control problem with fuel constraint and Dawson-Watanabe superprocesses
The Annals of Applied Probability | 2014-01-17 | Paper |
Drift dependence of optimal trade execution strategies under transient price impact
Finance and Stochastics | 2013-11-06 | Paper |
Probabilistic aspects of finance
Bernoulli | 2013-10-17 | Paper |
Probabilistic aspects of finance
Bernoulli | 2013-10-17 | Paper |
Capacitary measures for completely monotone kernels via singular control
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
Transient linear price impact and Fredholm integral equations
Mathematical Finance | 2013-02-28 | Paper |
Order book resilience, price manipulation, and the positive portfolio problem
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Some mathematical aspects of market impact modeling
EMS Series of Congress Reports | 2011-12-01 | Paper |
Qualitative and infinitesimal robustness of tail-dependent statistical functionals
Journal of Multivariate Analysis | 2011-10-25 | Paper |
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
International Journal of Theoretical and Applied Finance | 2011-06-20 | Paper |
Optimal basket liquidation for CARA investors is deterministic
Applied Mathematical Finance | 2010-12-15 | Paper |
| Stochastic finance. An introduction in discrete time. | 2010-11-23 | Paper |
Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
SIAM Journal on Financial Mathematics | 2010-08-11 | Paper |
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Finance and Stochastics | 2010-04-22 | Paper |
Optimal execution strategies in limit order books with general shape functions
Quantitative Finance | 2010-03-12 | Paper |
Robust Preferences and Robust Portfolio Choice
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
| scientific article; zbMATH DE number 5361721 (Why is no real title available?) | 2008-11-04 | Paper |
Robust optimal control for a consumption-investment problem
Mathematical Methods of Operations Research | 2008-04-23 | Paper |
Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models
Journal of Applied Probability | 2008-03-07 | Paper |
Optimal investments for risk- and ambiguity-averse preferences: a duality approach
Finance and Stochastics | 2007-12-16 | Paper |
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
Stochastic Processes and their Applications | 2007-07-27 | Paper |
Risk Measures and Robust Optimization Problems
Stochastic Models | 2007-02-15 | Paper |
Robust utility maximization in a stochastic factor model
Statistics & Risk Modeling | 2007-01-30 | Paper |
Duality theory for optimal investments under model uncertainty
Statistics & Decisions | 2006-06-29 | Paper |
Optimal Investments for Robust Utility Functionals in Complete Market Models
Mathematics of Operations Research | 2005-11-11 | Paper |
Stochastic finance. An introduction in discrete time
De Gruyter Studies in Mathematics | 2005-08-26 | Paper |
On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
The Annals of Applied Probability | 2004-09-15 | Paper |
Convex measures of risk and trading constraints
Finance and Stochastics | 2004-03-16 | Paper |
| scientific article; zbMATH DE number 1795843 (Why is no real title available?) | 2003-10-21 | Paper |
Stochastic finance. An introduction in discrete time
De Gruyter Studies in Mathematics | 2002-09-26 | Paper |
Geometric analysis for symmetric Fleming-Viot operators: Rademacher's theorem and exponential families
Potential Analysis | 2002-08-28 | Paper |
Existence and regularity for a class of infinite-measure \((\xi,\Psi, K)\)-superprocesses
Journal of Theoretical Probability | 2001-06-13 | Paper |
Rademacher's theorem on configuration spaces and applications
Journal of Functional Analysis | 2001-05-07 | Paper |
Moderate deviations and functional LIL for super-Brownian motion
Stochastic Processes and their Applications | 2000-03-01 | Paper |
Cramér's condition and Sanov's theorem
Statistics & Probability Letters | 1999-03-02 | Paper |
Large deviations for hierarchical systems of interacting jump processes
Journal of Theoretical Probability | 1998-11-11 | Paper |
Geometric aspects of Fleming-Viot and Dawson-Watanabe processes
The Annals of Probability | 1998-09-08 | Paper |
Sample path large deviations for super-Brownian motion
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1996-11-04 | Paper |
| scientific article; zbMATH DE number 857947 (Why is no real title available?) | 1996-03-19 | Paper |
The perturbation method applied to a robust optimization problem with constraint
(available as arXiv preprint) | N/A | Paper |
Weierstrass Bridges
(available as arXiv preprint) | N/A | Paper |
