| Publication | Date of Publication | Type |
|---|
| A \(C^1\)-Itô's formula for flows of semimartingale distributions | 2024-08-20 | Paper |
| Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability | 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 | 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 | 2022-09-05 | Paper |
| A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance | 2022-04-28 | Paper |
| Simple bounds for utility maximization with small transaction costs | 2022-03-07 | Paper |
| Computation of expected shortfall by fast detection of worst scenarios | 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 | 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 | 2020-08-25 | Paper |
| Second-Order Stochastic Target Problems with Generalized Market Impact | 2019-12-11 | Paper |
| Superreplication with proportional transaction cost under model uncertainty | 2019-10-31 | Paper |
| Optimal inventory management and order book modeling | 2019-07-11 | Paper |
| Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view | 2019-07-11 | Paper |
| Numerical approximation of general Lipschitz BSDEs with branching processes | 2019-07-11 | Paper |
| Stochastic invariance of closed sets with non-Lipschitz coefficients | 2019-06-27 | Paper |
| Equilibrium returns with transaction costs | 2018-07-16 | Paper |
| A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations | 2018-06-01 | Paper |
| Optimal Control Under Uncertainty and Bayesian Parameters Adjustments | 2018-03-16 | Paper |
| Regularity of BSDEs with a convex constraint on the gains-process | 2018-02-15 | Paper |
| Numerical approximation of BSDEs using local polynomial drivers and branching processes | 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 | 2017-11-02 | Paper |
| ROBUST FUNDAMENTAL THEOREM FOR CONTINUOUS PROCESSES | 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 | 2017-05-11 | Paper |
| Almost-sure hedging with permanent price impact | 2016-09-07 | Paper |
| Hedging Under an Expected Loss Constraint with Small Transaction Costs | 2016-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3178401 | 2016-07-12 | Paper |
| Fundamentals and advanced techniques in derivatives hedging. Translated from the French | 2016-05-30 | Paper |
| A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems | 2016-05-23 | Paper |
| A Backward Dual Representation for the Quantile Hedging of Bermudan Options | 2016-05-20 | Paper |
| Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions | 2016-04-15 | Paper |
| Consistent price systems under model uncertainty | 2016-03-29 | Paper |
| Arbitrage and duality in nondominated discrete-time models | 2015-04-27 | Paper |
| BSDEs with weak terminal condition | 2015-03-27 | Paper |
| A Stochastic Target Approach for P&L Matching Problems | 2014-10-21 | Paper |
| Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs | 2014-09-04 | Paper |
| Stochastic target games with controlled loss | 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 | 2013-04-29 | Paper |
| No-arbitrage of second kind in countable markets with proportional transaction costs | 2013-04-24 | Paper |
| Weak Dynamic Programming for Generalized State Constraints | 2013-03-19 | Paper |
| A note on utility based pricing and asymptotic risk diversification | 2013-02-26 | Paper |
| Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation | 2013-02-07 | Paper |
| Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods | 2012-09-28 | Paper |
| Optimal control versus stochastic target problems: an equivalence result | 2012-05-11 | Paper |
| Weak Dynamic Programming Principle for Viscosity Solutions | 2011-10-18 | Paper |
| Optimal Control of Trading Algorithms: A General Impulse Control Approach | 2011-06-21 | Paper |
| Strong approximations of BSDEs in a domain | 2010-11-15 | Paper |
| Stochastic Target Problems with Controlled Loss | 2010-10-20 | Paper |
| Optimal Control under Stochastic Target Constraints | 2010-10-20 | Paper |
| The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints | 2010-04-20 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3656686 | 2010-01-13 | Paper |
| Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs | 2009-11-20 | Paper |
| Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints | 2009-07-22 | Paper |
| A stochastic target formulation for optimal switching problems in finite horizon | 2009-06-02 | Paper |
| Discrete-time approximation for continuously and discretely reflected BSDEs | 2009-01-16 | Paper |
| Discrete-time approximation of decoupled Forward-Backward SDE with jumps | 2008-02-06 | Paper |
| Barrier Option Hedging under Constraints: A Viscosity Approach | 2007-09-24 | Paper |
| Explicit characterization of the super-replication strategy in financial markets with partial transaction costs | 2007-05-03 | Paper |
| No-arbitrage in discrete-time markets with proportional transaction costs and general information structure | 2006-12-08 | Paper |
| On the hedging of American options in discrete time markets with proportional transaction costs | 2006-11-03 | Paper |
| Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns | 2006-07-10 | Paper |
| Maturity randomization for stochastic control problems | 2006-07-10 | Paper |
| Stochastic targets with mixed diffusion processes and viscosity solutions. | 2005-11-29 | Paper |
| A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). | 2005-11-29 | Paper |
| Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations | 2005-08-05 | Paper |
| A version of the \(\mathcal G\)-conditional bipolar theorem in \(L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)\) | 2005-06-14 | Paper |
| Wealth-path dependent utility maximization in incomplete markets | 2005-05-20 | Paper |
| On the Malliavin approach to Monte Carlo approximation of conditional expectations | 2004-11-24 | Paper |
| Dual formulation of the utility maximization problem: the case of nonsmooth utility. | 2004-09-15 | Paper |
| Utility maximization on the real line under proportional transaction costs | 2004-03-16 | Paper |
| Option pricing by large risk aversion utility under transaction costs | 2003-05-31 | Paper |
| Explicit solution to the multivariate super-replication problem under transaction costs. | 2003-05-06 | Paper |
