| Publication | Date of Publication | Type |
|---|
Optimal fund menus
Mathematical Finance | 2023-09-28 | Paper |
Incentive-compatible surveys via posterior probabilities
Theory of Probability & Its Applications | 2020-09-16 | Paper |
Large tournament games
The Annals of Applied Probability | 2020-02-21 | Paper |
Large tournament games
The Annals of Applied Probability | 2020-02-21 | Paper |
Game of Duels: Information-Theoretic Axiomatization of Scoring Rules
IEEE Transactions on Information Theory | 2019-01-18 | Paper |
Optimal allocation to hedge funds: an empirical analysis
Quantitative Finance | 2019-01-14 | Paper |
Dynamic programming approach to principal-agent problems
Finance and Stochastics | 2018-01-16 | Paper |
Asset pricing under optimal contracts
Journal of Economic Theory | 2018-01-11 | Paper |
Erratum to: ``Utility maximization in incomplete markets with random endowment
Finance and Stochastics | 2017-07-21 | Paper |
Markets with random lifetimes and private values: mean reversion and option to trade
Decisions in Economics and Finance | 2015-05-04 | Paper |
Nonmyopic optimal portfolios in viable markets
Mathematics and Financial Economics | 2015-02-23 | Paper |
On managerial risk-taking incentives when compensation may be hedged against
Mathematics and Financial Economics | 2014-11-26 | Paper |
Optimal contracting with effort and misvaluation
Mathematics and Financial Economics | 2013-02-26 | Paper |
A variational approach to contracting under imperfect observations
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Financial markets equilibrium with heterogeneous agents
Review of Finance | 2012-10-23 | Paper |
The law of large numbers for self-exciting correlated defaults
Stochastic Processes and their Applications | 2012-07-20 | Paper |
Beliefs regarding fundamental value and optimal investing
Annals of Finance | 2012-03-08 | Paper |
Optimal portfolio allocation with higher moments
Annals of Finance | 2012-03-06 | Paper |
Optimal risk taking with flexible income
Management Science | 2012-02-21 | Paper |
Contract theory in continuous-time models
Springer Finance | 2012-02-14 | Paper |
Co-development ventures: optimal time of entry and profit-sharing
Journal of Economic Dynamics and Control | 2011-11-24 | Paper |
Relative extinction of heterogeneous agents
The B.E. Journal of Theoretical Economics | 2010-10-18 | Paper |
Implications of the Sharpe ratio as a performance measure in multi-period settings
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Principal-Agent Problems with Exit Options
The B.E. Journal of Theoretical Economics | 2009-09-26 | Paper |
Optimal compensation with hidden action and lump-sum payment in a continuous-time model
Applied Mathematics and Optimization | 2009-07-24 | Paper |
CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
International Journal of Theoretical and Applied Finance | 2009-06-23 | Paper |
Introduction: Asia-Pacific Financial Markets, 3rd Columbia-JAFEE Conference on the Mathematics of Finance, 27--28 March 1999, at Columbia University, New York (USA).
Asia-Pacific Financial Markets | 2009-04-15 | Paper |
Methods of partial hedging
Asia-Pacific Financial Markets | 2009-04-15 | Paper |
Monte Carlo computation of optimal portfolios in complete markets
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Optimal contracts in continuous-time models
Journal of Applied Mathematics and Stochastic Analysis | 2008-08-15 | Paper |
Optimal compensation with adverse selection and dynamic actions
Mathematics and Financial Economics | 2007-11-05 | Paper |
| Stochastic control methods for the problem of optimal compensation of executives | 2007-10-31 | Paper |
Optimal risk-sharing with effort and project choice
Journal of Economic Theory | 2007-06-26 | Paper |
A filtering approach to tracking volatility from prices observed at random times
The Annals of Applied Probability | 2007-02-05 | Paper |
The steepest descent method for forward-backward SDEs
Electronic Journal of Probability | 2006-11-03 | Paper |
| A filtering approach to tracking volatility from prices observed at random times | 2005-09-21 | Paper |
| scientific article; zbMATH DE number 2119185 (Why is no real title available?) | 2004-11-26 | Paper |
| scientific article; zbMATH DE number 2065149 (Why is no real title available?) | 2004-05-18 | Paper |
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
Mathematical Finance | 2003-01-01 | Paper |
Reflected forward-backward SDEs and obstacle problems with boundary conditions
Journal of Applied Mathematics and Stochastic Analysis | 2002-10-09 | Paper |
| Theory of portfolio optimization in markets with frictions | 2002-02-14 | Paper |
Utility maximization in incomplete markets with random endowment
Finance and Stochastics | 2001-07-11 | Paper |
Generalized Neyman-Pearson lemma via convex duality.
Bernoulli | 2001-01-01 | Paper |
On optimal terminal wealth under transaction costs
Journal of Mathematical Economics | 2001-01-01 | Paper |
Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
SIAM Journal on Control and Optimization | 2000-10-18 | Paper |
Maximizing the probability of a perfect hedge
The Annals of Applied Probability | 2000-09-04 | Paper |
On dynamic measure of risk
Finance and Stochastics | 2000-05-24 | Paper |
Backward stochastic differential equations with constraints on the gains-process
The Annals of Probability | 2000-05-04 | Paper |
Super-replication in stochastic volatility models under portfolio constraints
Journal of Applied Probability | 2000-04-10 | Paper |
A closed-form solution to the problem of super-replication under transaction costs
Finance and Stochastics | 1999-09-14 | Paper |
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
Mathematical Finance | 1999-05-26 | Paper |
| scientific article; zbMATH DE number 1222797 (Why is no real title available?) | 1998-11-11 | Paper |
Optimal consumption choices for a `large' investor
Journal of Economic Dynamics and Control | 1998-08-13 | Paper |
Backward stochastic differential equations with reflection and Dynkin games
The Annals of Probability | 1997-11-10 | Paper |
| scientific article; zbMATH DE number 1066452 (Why is no real title available?) | 1997-09-25 | Paper |
Hedging options for a large investor and forward-backward SDE's
The Annals of Applied Probability | 1996-10-31 | Paper |
| scientific article; zbMATH DE number 852301 (Why is no real title available?) | 1996-07-24 | Paper |
There is no nontrivial hedging portfolio for option pricing with transaction costs
The Annals of Applied Probability | 1996-05-12 | Paper |
| scientific article; zbMATH DE number 852300 (Why is no real title available?) | 1996-04-17 | Paper |
Hedging contingent claims with constrained portfolios
The Annals of Applied Probability | 1994-01-02 | Paper |
Convex duality in constrained portfolio optimization
The Annals of Applied Probability | 1993-02-22 | Paper |
