| Publication | Date of Publication | Type |
|---|
Optimal selling time of a stock under capital gains taxes
International Journal of Theoretical and Applied Finance | 2025-06-12 | Paper |
Insider trading in discrete time Kyle games
Mathematics and Financial Economics | 2025-04-02 | Paper |
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance | 2025-04-02 | Paper |
| Insider trading in discrete time Kyle games | 2023-12-01 | Paper |
| The fundamental theorem of asset pricing with and without transaction costs | 2023-07-02 | Paper |
picFoam: an OpenFOAM based electrostatic particle-in-cell solver
Computer Physics Communications | 2023-06-01 | Paper |
Semimartingale price systems in models with transaction costs beyond efficient friction
Finance and Stochastics | 2022-09-26 | Paper |
Shear force analysis of an oil-driven grinding tool
International Journal of Computational Methods and Experimental Measurements | 2019-11-19 | Paper |
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Finance and Stochastics | 2019-09-19 | Paper |
How local in time is the no-arbitrage property under capital gains taxes?
Mathematics and Financial Economics | 2019-07-08 | Paper |
Nash equilibria for game contingent claims with utility-based hedging
SIAM Journal on Control and Optimization | 2018-11-02 | Paper |
Nash equilibria for game contingent claims with utility-based hedging
SIAM Journal on Control and Optimization | 2018-11-02 | Paper |
For what trading strategies is the tax payment stream of infinite variation?
Stochastic Analysis and Applications | 2017-04-06 | Paper |
Price setting of market makers: a filtering problem with endogenous filtration
Mathematical Finance | 2017-03-13 | Paper |
Modeling capital gains taxes for trading strategies of infinite variation
Stochastic Analysis and Applications | 2015-10-20 | Paper |
Optimal liquidity provision
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Continuous time trading of a small investor in a limit order market
Stochastic Processes and their Applications | 2014-04-10 | Paper |
Optimal portfolios of a small investor in a limit order market: a shadow price approach
Mathematics and Financial Economics | 2013-01-20 | Paper |
Immune response to a variable pathogen: a stochastic model with two interlocked Darwinian entities
Computational & Mathematical Methods in Medicine | 2013-01-09 | Paper |
Nonlinear stochastic integration with a non-smooth family of integrators
Stochastics | 2012-11-09 | Paper |
Optional processes with non-exploding realized power variation along stopping times are làglàd
Electronic Communications in Probability | 2012-06-22 | Paper |
Large traders and illiquid options: hedging vs. manipulation
Journal of Economic Dynamics and Control | 2012-01-13 | Paper |
Optional processes with non-exploding realized power variation along stopping times are làglàd
Electronic Communications in Probability | 2011-09-09 | Paper |
A note on stochastic integration with respect to optional semimartingales
Electronic Communications in Probability | 2009-11-20 | Paper |
A note on stochastic integration with respect to optional semimartingales
Electronic Communications in Probability | 2009-11-20 | Paper |
Perpetual convertible bonds with credit risk
Stochastics | 2008-12-22 | Paper |
Instalment Options: A Closed-Form Solution and the Limiting Case
Mathematical Control Theory and Finance | 2008-10-17 | Paper |
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
Mathematical Finance | 2008-05-22 | Paper |
On utility-based derivative pricing with and without intermediate trades
Statistics & Decisions | 2008-01-18 | Paper |
Pricing Israeli options: a pathwise approach
Stochastics | 2007-03-30 | Paper |
Perpetual convertible bonds in jump-diffusion models
Statistics & Risk Modeling | 2005-10-18 | Paper |
Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Game contingent claims in complete and incomplete markets
Journal of Mathematical Economics | 2005-02-16 | Paper |
Pricing derivatives of American and game type in incomplete markets
Finance and Stochastics | 2004-11-24 | Paper |
Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
An estimator of the number of change points based on a weak invariance principle
Statistics & Probability Letters | 2002-02-18 | Paper |
| scientific article; zbMATH DE number 1064742 (Why is no real title available?) | 1998-01-04 | Paper |
