| Publication | Date of Publication | Type |
|---|
A \(C^1\)-Itô's formula for flows of semimartingale distributions
Applied Mathematics and Optimization | 2024-08-20 | Paper |
Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability
The Annals of Applied Probability | 2024-01-19 | Paper |
A $C^1$-It\^o's formula for flows of semimartingale distributions
| 2023-07-14 | Paper |
Diffusive limit approximation of pure-jump optimal stochastic control problems
Journal of Optimization Theory and Applications | 2023-01-23 | Paper |
Diffusive limit approximation of pure jump optimal ergodic control problems
| 2022-09-30 | Paper |
Understanding the dual formulation for the hedging of path-dependent options with price impact
The Annals of Applied Probability | 2022-09-05 | Paper |
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance
Stochastic Processes and their Applications | 2022-04-28 | Paper |
Simple bounds for utility maximization with small transaction costs
Stochastic Processes and their Applications | 2022-03-07 | Paper |
Computation of expected shortfall by fast detection of worst scenarios
Quantitative Finance | 2021-12-01 | Paper |
It{\^o}-Dupire's formula for C^{0,1}-functionals of c{\`a}dl{\`a}g weak Dirichlet processes
| 2021-10-07 | Paper |
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Finance and Stochastics | 2021-08-27 | Paper |
Diffusive limit approximation of pure-jump optimal stochastic control problems
| 2021-06-24 | Paper |
Quenched mass transport of particles toward a target
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
Second-order stochastic target problems with generalized market impact
SIAM Journal on Control and Optimization | 2019-12-11 | Paper |
Superreplication with proportional transaction cost under model uncertainty
Mathematical Finance | 2019-10-31 | Paper |
Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Numerical approximation of general Lipschitz BSDEs with branching processes
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Optimal inventory management and order book modeling
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Stochastic invariance of closed sets with non-Lipschitz coefficients
Stochastic Processes and their Applications | 2019-06-27 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-01 | Paper |
Optimal control under uncertainty and Bayesian parameters adjustments
SIAM Journal on Control and Optimization | 2018-03-16 | Paper |
Regularity of BSDEs with a convex constraint on the gains-process
Bernoulli | 2018-02-15 | Paper |
Numerical approximation of BSDEs using local polynomial drivers and branching processes
Monte Carlo Methods and Applications | 2018-01-16 | Paper |
BSDE formulation of combined regular and singular stochastic control problems
| 2018-01-10 | Paper |
Hedging of covered options with linear market impact and gamma constraint
SIAM Journal on Control and Optimization | 2017-11-02 | Paper |
Robust fundamental theorem for continuous processes
Mathematical Finance | 2017-10-24 | Paper |
First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations
Bernoulli | 2017-05-11 | Paper |
Almost-sure hedging with permanent price impact
Finance and Stochastics | 2016-09-07 | Paper |
Hedging under an expected loss constraint with small transaction costs
SIAM Journal on Financial Mathematics | 2016-08-17 | Paper |
Valuation of derivative products. From fundamental theorems to coverage under risk constraint
| 2016-07-12 | Paper |
Fundamentals and advanced techniques in derivatives hedging. Translated from the French
Universitext | 2016-05-30 | Paper |
A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
Electronic Journal of Probability | 2016-05-23 | Paper |
A backward dual representation for the quantile hedging of Bermudan options
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
Stochastic target games and dynamic programming via regularized viscosity solutions
Mathematics of Operations Research | 2016-04-15 | Paper |
Consistent price systems under model uncertainty
Finance and Stochastics | 2016-03-29 | Paper |
Arbitrage and duality in nondominated discrete-time models
The Annals of Applied Probability | 2015-04-27 | Paper |
BSDEs with weak terminal condition
The Annals of Probability | 2015-03-27 | Paper |
A stochastic target approach for P\&L matching problems
Mathematics of Operations Research | 2014-10-21 | Paper |
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Stochastic Processes and their Applications | 2014-09-04 | Paper |
Stochastic target games with controlled loss
The Annals of Applied Probability | 2014-06-13 | Paper |
Portfolio management under risk contraints - Lectures given at MITACS-PIMS-UBC Summer School in Risk Management and Risk Sharing
| 2013-06-30 | Paper |
NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
Mathematical Finance | 2013-04-29 | Paper |
No-arbitrage of second kind in countable markets with proportional transaction costs
The Annals of Applied Probability | 2013-04-24 | Paper |
Weak dynamic programming for generalized state constraints
SIAM Journal on Control and Optimization | 2013-03-19 | Paper |
A note on utility based pricing and asymptotic risk diversification
Mathematics and Financial Economics | 2013-02-26 | Paper |
Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
Finance and Stochastics | 2013-02-07 | Paper |
Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Optimal control versus stochastic target problems: an equivalence result
Systems & Control Letters | 2012-05-11 | Paper |
Weak dynamic programming principle for viscosity solutions
SIAM Journal on Control and Optimization | 2011-10-18 | Paper |
Optimal control of trading algorithms: a general impulse control approach
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
Strong approximations of BSDEs in a domain
Bernoulli | 2010-11-15 | Paper |
Stochastic target problems with controlled loss
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
Optimal control under stochastic target constraints
SIAM Journal on Control and Optimization | 2010-10-20 | Paper |
The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
Applied Mathematics and Optimization | 2010-04-20 | Paper |
scientific article; zbMATH DE number 5657859 (Why is no real title available?)
| 2010-01-13 | Paper |
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs
Electronic Journal of Probability | 2009-11-20 | Paper |
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
SIAM Journal on Control and Optimization | 2009-07-22 | Paper |
A stochastic target formulation for optimal switching problems in finite horizon
Stochastics | 2009-06-02 | Paper |
Discrete-time approximation for continuously and discretely reflected BSDEs
Stochastic Processes and their Applications | 2009-01-16 | Paper |
Discrete-time approximation of decoupled Forward-Backward SDE with jumps
Stochastic Processes and their Applications | 2008-02-06 | Paper |
Barrier Option Hedging under Constraints: A Viscosity Approach
SIAM Journal on Control and Optimization | 2007-09-24 | Paper |
Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
Stochastic Processes and their Applications | 2007-05-03 | Paper |
No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
Finance and Stochastics | 2006-12-08 | Paper |
On the hedging of American options in discrete time markets with proportional transaction costs
Electronic Journal of Probability | 2006-11-03 | Paper |
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
The Annals of Applied Probability | 2006-07-10 | Paper |
Maturity randomization for stochastic control problems
The Annals of Applied Probability | 2006-07-10 | Paper |
A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Stochastic targets with mixed diffusion processes and viscosity solutions.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
Stochastic Processes and their Applications | 2005-08-05 | Paper |
A version of the \(\mathcal G\)-conditional bipolar theorem in \(L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)\)
Journal of Theoretical Probability | 2005-06-14 | Paper |
Wealth-path dependent utility maximization in incomplete markets
Finance and Stochastics | 2005-05-20 | Paper |
On the Malliavin approach to Monte Carlo approximation of conditional expectations
Finance and Stochastics | 2004-11-24 | Paper |
Dual formulation of the utility maximization problem: the case of nonsmooth utility.
The Annals of Applied Probability | 2004-09-15 | Paper |
Utility maximization on the real line under proportional transaction costs
Finance and Stochastics | 2004-03-16 | Paper |
Option pricing by large risk aversion utility under transaction costs
Decisions in Economics and Finance | 2003-05-31 | Paper |
Explicit solution to the multivariate super-replication problem under transaction costs.
The Annals of Applied Probability | 2003-05-06 | Paper |
