| Publication | Date of Publication | Type |
|---|
Market impact: a systematic study of the high frequency options market
Quantitative Finance | 2021-12-01 | Paper |
Algorithmic trading in a microstructural limit order book model
Quantitative Finance | 2020-12-07 | Paper |
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Quantitative Finance | 2019-03-06 | Paper |
Forecasting trends with asset prices
Quantitative Finance | 2018-11-19 | Paper |
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
Quantitative Finance | 2018-11-14 | Paper |
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Mathematical Methods of Operations Research | 2018-07-13 | Paper |
Performance analysis of the optimal strategy under partial information
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
Long-time behavior of a Hawkes process-based limit order book
SIAM Journal on Financial Mathematics | 2015-12-09 | Paper |
Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Optimizing a basket against the efficient market hypothesis
Quantitative Finance | 2014-02-08 | Paper |
Optimizing a basket against the efficient market hypothesis
Quantitative Finance | 2014-02-08 | Paper |
A mathematical approach to order book modeling
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
Gradient blow-up in Zygmund spaces for the very weak solution of a linear elliptic equation
Discrete and Continuous Dynamical Systems | 2013-04-24 | Paper |
Stationary free surface viscous flows without surface tension in three dimensions.
Differential and Integral Equations | 2013-04-09 | Paper |
The times change: multivariate subordination. Empirical facts
Quantitative Finance | 2012-06-25 | Paper |
Nonquadratic Local Risk-Minimization for Hedging Contingent Claims in Incomplete Markets
SIAM Journal on Financial Mathematics | 2011-06-21 | Paper |
A nonlinear partial integro-differential equation from mathematical finance
Discrete and Continuous Dynamical Systems | 2010-06-23 | Paper |
| scientific article; zbMATH DE number 1348229 (Why is no real title available?) | 2003-03-20 | Paper |
| scientific article; zbMATH DE number 524040 (Why is no real title available?) | 1999-09-23 | Paper |
Local existence and uniqueness of a stefan problem with surface tension
Applicable Analysis | 1997-10-22 | Paper |
Well-posedness for a cauchy problem associated to time dependent free boundaries with nonlocal leading terms
Communications in Partial Differential Equations | 1996-11-25 | Paper |
Study of a nonlinear elliptic-parabolic equation with measures as data: Existence regularity and behaviour near a singularity
Nonlinear Analysis: Theory, Methods & Applications | 1996-10-29 | Paper |
Existence of smooth, stationary interfaces for Marangoni-type flow
Nonlinear Analysis: Theory, Methods & Applications | 1996-10-01 | Paper |
| scientific article; zbMATH DE number 510744 (Why is no real title available?) | 1994-10-19 | Paper |
| scientific article; zbMATH DE number 646998 (Why is no real title available?) | 1994-10-04 | Paper |
A geometric approach to the study of stationary free surface flows for viscous liquids
Proceedings of the Royal Society of Edinburgh: Section A Mathematics | 1994-01-21 | Paper |
On a Dissolution-Growth Problem with Surface Tension in the Neighborhood of a Stationary Solution
SIAM Journal on Mathematical Analysis | 1993-06-29 | Paper |
Some optimal control problems of multistate equations appearing in fluid mechanics
ESAIM: Mathematical Modelling and Numerical Analysis | 1993-05-04 | Paper |
A mathematical theory for viscous, free-surface flows over a perturbed plane
Archive for Rational Mechanics and Analysis | 1992-08-03 | Paper |
scientific article; zbMATH DE number 1454 (Why is no real title available?)
Indiana University Mathematics Journal | 1992-06-25 | Paper |
On some control problems in fluid mechanics
Theoretical and Computational Fluid Dynamics | 1990-01-01 | Paper |
Existence and finite dimensionality of the global attractor for evolution equations on unbounded domains
Journal of Differential Equations | 1990-01-01 | Paper |
Attractor for a Navier-Stokes flow in an unbounded domain
ESAIM: Mathematical Modelling and Numerical Analysis | 1989-01-01 | Paper |
Optimality Conditions for Some Nonqualified Problems of Distributed Control
SIAM Journal on Control and Optimization | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4103831 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4103830 (Why is no real title available?) | 1989-01-01 | Paper |
A non-well-posed problem in convex optimal control
Applied Mathematics and Optimization | 1988-01-01 | Paper |
| scientific article; zbMATH DE number 4086392 (Why is no real title available?) | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 4086393 (Why is no real title available?) | 1986-01-01 | Paper |
