Hasanjan Sayit

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Two-fund separation under hyperbolically distributed returns and concave utility functions SIAM Journal on Financial Mathematics	2026-08-18	Paper
Iterated Poisson processes for catastrophic risk modeling in ruin theory Insurance Mathematics & Economics	2026-01-13	Paper
Exponential utility maximization in small/large financial markets Modern Stochastics. Theory and Applications	2025-04-22	Paper
A note on closed-form spread option valuation under log-normal models Quantitative Finance	2025-03-10	Paper
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models Annals of Operations Research	2024-06-04	Paper
Sticky processes, local and true martingales Bernoulli	2018-03-27	Paper
Sticky processes, local and true martingales Bernoulli	2018-03-27	Paper
Consistent price systems for bounded processes Communications on Stochastic Analysis	2016-03-04	Paper
Sticky Continuous Processes have Consistent Price Systems Journal of Applied Probability	2015-10-02	Paper
Sticky Continuous Processes have Consistent Price Systems Journal of Applied Probability	2015-10-02	Paper
Absence of arbitrage in a general framework Annals of Finance	2014-11-12	Paper
On the existence of consistent price systems Stochastic Analysis and Applications	2014-05-15	Paper
Consistent price systems in multiasset markets International Journal of Stochastic Analysis	2012-09-06	Paper
Arbitrage-free models in markets with transaction costs Electronic Communications in Probability	2012-06-22	Paper
No arbitrage conditions for simple trading strategies Annals of Finance	2012-03-08	Paper
On the stickiness property Quantitative Finance	2010-12-20	Paper
No arbitrage without semimartingales The Annals of Applied Probability	2009-06-17	Paper

Research outcomes over time

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