| Publication | Date of Publication | Type |
|---|
Callable convertible bonds under liquidity constraints and hybrid priorities
SIAM Journal on Financial Mathematics | 2025-01-20 | Paper |
An elementary approach to the Merton problem
Mathematical Finance | 2023-09-28 | Paper |
Cautious stochastic choice, optimal stopping and deliberate randomization
Economic Theory | 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
Finance and Stochastics | 2022-12-28 | Paper |
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
Finance and Stochastics | 2022-12-28 | Paper |
A construction of the left-curtain coupling
Electronic Journal of Probability | 2022-12-08 | Paper |
Constrained optimal stopping, liquidity and effort
Stochastic Processes and their Applications | 2022-06-20 | Paper |
The potential of the shadow measure
Electronic Communications in Probability | 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
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Randomised rules for stopping problems
Journal of Applied Probability | 2020-12-11 | Paper |
A multi-asset investment and consumption problem with transaction costs
Finance and Stochastics | 2019-06-27 | Paper |
Optimal consumption and investment under transaction costs
Mathematical Finance | 2019-05-23 | Paper |
The left-curtain martingale coupling in the presence of atoms
The Annals of Applied Probability | 2019-05-22 | Paper |
Robust bounds for the American put
Finance and Stochastics | 2019-04-24 | Paper |
Probability weighting, stop-loss and the disposition effect
Journal of Economic Theory | 2018-11-19 | Paper |
Optimal stopping and the sufficiency of randomized threshold strategies
Electronic Communications in Probability | 2018-05-11 | Paper |
Randomized strategies and prospect theory in a dynamic context
Journal of Economic Theory | 2017-02-10 | Paper |
Model uncertainty and the pricing of American options
Finance and Stochastics | 2017-01-12 | Paper |
Mimicking martingales
The Annals of Applied Probability | 2016-11-16 | Paper |
Optimal consumption and sale strategies for a risk averse agent
SIAM Journal on Financial Mathematics | 2016-11-11 | Paper |
Gambling in contests with regret
Mathematical Finance | 2016-07-15 | Paper |
Gambling in contests with random initial law
The Annals of Applied Probability | 2016-03-11 | Paper |
Integrability of solutions of the Skorokhod embedding problem for diffusions
Electronic Journal of Probability | 2015-11-27 | Paper |
Finite, integrable and bounded time embeddings for diffusions
Bernoulli | 2015-06-15 | Paper |
Gambling in contests modelled with diffusions
Decisions in Economics and Finance | 2015-05-04 | Paper |
Robust price bounds for the forward starting straddle
Finance and Stochastics | 2015-01-19 | Paper |
UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Fake exponential Brownian motion
Statistics & Probability Letters | 2014-02-19 | Paper |
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
The Annals of Applied Probability | 2013-10-25 | Paper |
Risk Aversion, Indivisible Timing Options, and Gambling
Operations Research | 2013-07-02 | Paper |
Can time-homogeneous diffusions produce any distribution?
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2013-05-13 | Paper |
Robust bounds for forward start options
Mathematical Finance | 2013-02-28 | Paper |
Model-independent hedging strategies for variance swaps
Finance and Stochastics | 2012-12-07 | Paper |
Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
Stochastics | 2012-01-03 | Paper |
Recovering a time-homogeneous stock price process from perpetual option prices
The Annals of Applied Probability | 2011-07-19 | Paper |
OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
Mathematical Finance | 2011-06-16 | Paper |
Optimal timing for an indivisible asset sale
Mathematical Finance | 2011-06-09 | Paper |
Comparison results for stochastic volatility models via coupling
Finance and Stochastics | 2011-04-06 | Paper |
The Skorokhod embedding problem and model-independent bounds for option prices
Paris-Princeton Lectures on Mathematical Finance 2010 | 2010-12-14 | Paper |
Time-Homogeneous Diffusions with a Given Marginal at a Random Time
| 2009-12-09 | Paper |
scientific article; zbMATH DE number 5529013 (Why is no real title available?)
| 2009-03-16 | Paper |
Perpetual American options in incomplete markets: the infinitely divisible case
Quantitative Finance | 2009-02-23 | Paper |
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
The Annals of Applied Probability | 2008-11-27 | Paper |
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
The Annals of Applied Probability | 2008-11-27 | Paper |
Bounds for in-progress floating-strike Asian options using symmetry
Annals of Operations Research | 2008-03-31 | Paper |
Horizon-unbiased utility functions
Stochastic Processes and their Applications | 2007-12-17 | Paper |
THE RANGE OF TRADED OPTION PRICES
Mathematical Finance | 2007-06-08 | Paper |
Is there an informationally passive benchmark for option pricing incorporating maturity?
Quantitative Finance | 2007-05-18 | Paper |
A unifying class of Skorokhod embeddings: connecting the Azéma-Yor and Vallois embeddings
Bernoulli | 2007-05-15 | Paper |
Optimal stopping of the maximum process: a converse to the results of Peskir
Stochastics | 2007-03-30 | Paper |
A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor
Statistics & Probability Letters | 2007-03-15 | Paper |
A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
International Journal of Theoretical and Applied Finance | 2006-09-12 | Paper |
Skorokhod embeddings, minimality and non-centred target distributions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2006-06-26 | Paper |
Local martingales, bubbles and option prices
Finance and Stochastics | 2006-05-24 | Paper |
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Review of Derivatives Research | 2006-05-02 | Paper |
Bounds for the utility-indifference prices of non-traded assets in incomplete markets
Decisions in Economics and Finance | 2006-03-09 | Paper |
Static-arbitrage upper bounds for the prices of basket options
Quantitative Finance | 2006-03-08 | Paper |
Static-arbitrage optimal subreplicating strategies for basket options
Insurance Mathematics & Economics | 2006-03-08 | Paper |
MAXIMIZING THE PROBABILITY OF A PERFECT HEDGE USING AN IMPERFECTLY CORRELATED INSTRUMENT
International Journal of Theoretical and Applied Finance | 2005-11-15 | Paper |
An optimal Skorokhod embedding for diffusions
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Review Paper. A survey of mathematical finance
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2005-07-01 | Paper |
A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
Mathematical Finance | 2005-05-09 | Paper |
Coupling and option price comparisons in a jump-diffusion model
Stochastics and Stochastic Reports | 2003-10-12 | Paper |
The minimum maximum of a continuous martingale with given initial and terminal laws
The Annals of Probability | 2003-05-06 | Paper |
Real options with constant relative risk aversion
Journal of Economic Dynamics and Control | 2003-01-21 | Paper |
Passport options with stochastic volatility
Applied Mathematical Finance | 2002-09-05 | Paper |
scientific article; zbMATH DE number 1619468 (Why is no real title available?)
| 2002-04-08 | Paper |
The maximum maximum of a martingale constrained by an intermediate law
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2002-03-04 | Paper |
Robust hedging of barrier options.
Mathematical Finance | 2001-11-26 | Paper |
scientific article; zbMATH DE number 1500595 (Why is no real title available?)
| 2000-11-07 | Paper |
Local time, coupling and the passport option
Finance and Stochastics | 2000-05-24 | Paper |
scientific article; zbMATH DE number 1210407 (Why is no real title available?)
| 2000-04-25 | Paper |
Volatility misspecification, option pricing and superreplication via coupling
The Annals of Applied Probability | 2000-04-09 | Paper |
Robust hedging of the lookback option
Finance and Stochastics | 1999-02-08 | Paper |
Complete Models with Stochastic Volatility
Mathematical Finance | 1998-11-29 | Paper |
Escape rates for transient reflected brownian motion in wedges and cones
Stochastics and Stochastic Reports | 1998-07-19 | Paper |
Non‐Colliding Brownian Motions on the Circle
Bulletin of the London Mathematical Society | 1996-11-21 | Paper |
Asymptotics for an arcsin type result
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1994-09-20 | Paper |
Recurrence and transience of reflecting Brownian motion in the quadrant
Mathematical Proceedings of the Cambridge Philosophical Society | 1993-11-24 | Paper |
Limit theorems for transient diffusions on the line
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1991-01-01 | Paper |
