| Publication | Date of Publication | Type |
|---|
Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria
Mathematics and Financial Economics | 2024-11-01 | Paper |
Mean field and \(n\)-player games in Ito-diffusion markets under forward performance criteria
Probability, Uncertainty and Quantitative Risk | 2024-08-13 | Paper |
Optimal liquidation with dynamic parameter updating: a forward approach
Probability, Uncertainty and Quantitative Risk | 2024-08-13 | Paper |
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
Mathematical Finance | 2023-09-28 | Paper |
In memoriam: Mark H. A. Davis and his contributions to mathematical finance
Mathematical Finance | 2023-09-28 | Paper |
Entropy Regularization for Mean Field Games with Learning
Mathematics of Operations Research | 2023-01-09 | Paper |
Correction to: Stochastic Analysis, Filtering, and Stochastic Optimization
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
\(N\)-player and mean-field games in Itô-diffusion markets with competitive or homophilous interaction
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Competition in fund management and forward relative performance criteria
SIAM Journal on Financial Mathematics | 2022-11-04 | Paper |
On the analyticity of the value function in optimal investment and stochastically dominant markets
| 2020-02-03 | Paper |
An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians
SIAM Journal on Control and Optimization | 2020-01-10 | Paper |
Mean field and \(n\)-agent games for optimal investment under relative performance criteria
Mathematical Finance | 2019-12-05 | Paper |
Optimal contract for a fund manager with capital injections and endogenous trading constraints
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
Finance and Stochastics | 2019-01-18 | Paper |
A class of homothetic forward investment performance processes with non-zero volatility
Inspired by Finance | 2018-12-13 | Paper |
Dynamically consistent investment under model uncertainty: the robust forward criteria
Finance and Stochastics | 2018-10-08 | Paper |
Stochastic modeling and methods in optimal portfolio construction
| 2017-11-06 | Paper |
Portfolio optimization and stochastic volatility asymptotics
Mathematical Finance | 2017-07-21 | Paper |
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
SIAM Journal on Financial Mathematics | 2017-07-20 | Paper |
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
An approximation scheme for solution to the optimal investment problem in incomplete markets
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Forward indifference valuation of American options
Stochastics | 2012-12-13 | Paper |
Stochastic Partial Differential Equations and Portfolio Choice
Contemporary Quantitative Finance | 2011-05-31 | Paper |
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Credit derivatives and risk aversion
Econometrics and Risk Management | 2010-06-30 | Paper |
Portfolio choice under space-time monotone performance criteria
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Maturity-Independent Risk Measures
SIAM Journal on Financial Mathematics | 2010-06-01 | Paper |
Utility valuation of multi-name credit derivatives and application to CDOs
Quantitative Finance | 2010-03-12 | Paper |
scientific article; zbMATH DE number 5657872 (Why is no real title available?)
| 2010-01-13 | Paper |
Optimal Asset Allocation under Forward Exponential Performance Criteria
Institute of Mathematical Statistics Collections | 2009-05-22 | Paper |
Portfolio choice under dynamic investment performance criteria
Quantitative Finance | 2009-04-20 | Paper |
scientific article; zbMATH DE number 5529012 (Why is no real title available?)
| 2009-03-16 | Paper |
Utility valuation of credit derivatives: single and two-name cases
| 2009-01-28 | Paper |
scientific article; zbMATH DE number 5499205 (Why is no real title available?)
| 2009-01-28 | Paper |
Pricing early exercise contracts in incomplete markets
Computational Management Science | 2005-08-25 | Paper |
A valuation algorithm for indifference prices in incomplete markets
Finance and Stochastics | 2005-05-20 | Paper |
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
scientific article; zbMATH DE number 2133121 (Why is no real title available?)
| 2005-02-09 | Paper |
An example of indifference prices under exponential preferences
Finance and Stochastics | 2004-11-24 | Paper |
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
Scandinavian Actuarial Journal | 2004-03-16 | Paper |
Comment on ‘The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices’
Review of Finance | 2003-07-13 | Paper |
Numerical schemes for variational inequalities arising in international asset pricing
Computational Economics | 2003-07-02 | Paper |
Stochastic control methods in asset pricing.
| 2002-10-17 | Paper |
Free boundary problems in asset pricing with transaction costs
| 2001-12-18 | Paper |
Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
Mathematical Finance | 2001-11-26 | Paper |
Optimal environment management in the presence of irreversibilities
Journal of Economic Theory | 2001-09-25 | Paper |
A solution approach to valuation with unhedgeable risks
Finance and Stochastics | 2001-09-16 | Paper |
Optimal investment and consumption models with non-linear stock dynamics
Mathematical Methods of Operations Research | 2001-05-24 | Paper |
On level curves of value functions in optimization models of expected utility.
Mathematical Finance | 2001-03-29 | Paper |
Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
Finance and Stochastics | 2000-03-01 | Paper |
scientific article; zbMATH DE number 1487972 (Why is no real title available?)
| 2000-01-01 | Paper |
Computation of distorted probabilities for diffusion processes via stochastic control methods.
Insurance Mathematics & Economics | 2000-01-01 | Paper |
scientific article; zbMATH DE number 1254189 (Why is no real title available?)
| 1999-02-23 | Paper |
Hedging in incomplete markets with HARA utility
Journal of Economic Dynamics and Control | 1998-07-23 | Paper |
Optimal consumption and portfolio choice with borrowing constraints
Journal of Economic Theory | 1998-06-14 | Paper |
Optimal Investment With Undiversifiable Income Risk
Mathematical Finance | 1998-01-21 | Paper |
scientific article; zbMATH DE number 1069629 (Why is no real title available?)
| 1997-10-01 | Paper |
scientific article; zbMATH DE number 852302 (Why is no real title available?)
| 1996-04-17 | Paper |
scientific article; zbMATH DE number 797369 (Why is no real title available?)
| 1995-09-17 | Paper |
Numerical schemes for investment models with singular transactions
Computational Economics | 1995-05-23 | Paper |
Consumption-Investment Models with Constraints
SIAM Journal on Control and Optimization | 1994-06-23 | Paper |
European Option Pricing with Transaction Costs
SIAM Journal on Control and Optimization | 1993-07-21 | Paper |
Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
SIAM Journal on Control and Optimization | 1993-01-16 | Paper |
An Optimal Investment/Consumption Model with Borrowing
Mathematics of Operations Research | 1992-06-28 | Paper |
Representation of forward performance criteria with random endowment via FBSDE and application to forward optimized certainty equivalent
| N/A | Paper |
Decision Making under Costly Sequential Information Acquisition: the Paradigm of Reversible and Irreversible Decisions
| N/A | Paper |
