| Publication | Date of Publication | Type |
|---|
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
(available as arXiv preprint) | N/A | Paper |
Axioms for automated market makers: a mathematical framework in FinTech and decentralized finance
Operations Research | 2026-07-16 | Paper |
Decentralized prediction markets and sports books
Mathematical Finance | 2026-06-12 | Paper |
Optimal investment with correlated stochastic volatility factors
Mathematical Finance | 2023-09-28 | Paper |
Decentralized payment clearing using blockchain and optimal bidding
European Journal of Operational Research | 2023-07-10 | Paper |
Endogenous inverse demand functions
Operations Research | 2022-12-01 | Paper |
Optimal switching between locking down and opening the economy because of an infection
SIAM Journal on Control and Optimization | 2021-12-01 | Paper |
A repo model of fire sales with VWAP and LOB pricing mechanisms
European Journal of Operational Research | 2021-11-05 | Paper |
Robust XVA
Mathematical Finance | 2021-03-23 | Paper |
SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE
International Journal of Theoretical and Applied Finance | 2021-03-16 | Paper |
The learning premium
Mathematics and Financial Economics | 2020-02-21 | Paper |
Optimization of fire sales and borrowing in systemic risk
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
Optimal investment with transaction costs and stochastic volatility. II: Finite horizon
SIAM Journal on Control and Optimization | 2019-02-01 | Paper |
Arbitrage-free XVA
Mathematical Finance | 2018-05-25 | Paper |
Investing with liquid and illiquid assets
Mathematical Finance | 2018-04-13 | Paper |
Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon
SIAM Journal on Control and Optimization | 2017-12-11 | Paper |
| Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis | 2015-02-21 | Paper |
Portfolio optimization under convex incentive schemes
Finance and Stochastics | 2015-02-06 | Paper |
| Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples | 2015-01-23 | Paper |
Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples
(available as arXiv preprint) | 2015-01-01 | Paper |
Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis
(available as arXiv preprint) | 2015-01-01 | Paper |
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Finance and Stochastics | 2014-09-26 | Paper |
Utility maximization trading two futures with transaction costs
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
