| Publication | Date of Publication | Type |
|---|
| Optimal fund menus | 2023-09-28 | Paper |
| Incentive-Compatible Surveys via Posterior Probabilities | 2020-09-16 | Paper |
| Large tournament games | 2020-02-21 | Paper |
| Game of Duels: Information-Theoretic Axiomatization of Scoring Rules | 2019-01-18 | Paper |
| Optimal allocation to hedge funds: an empirical analysis | 2019-01-14 | Paper |
| Dynamic programming approach to principal-agent problems | 2018-01-16 | Paper |
| Asset pricing under optimal contracts | 2018-01-11 | Paper |
| Erratum to: ``Utility maximization in incomplete markets with random endowment | 2017-07-21 | Paper |
| Markets with random lifetimes and private values: mean reversion and option to trade | 2015-05-04 | Paper |
| Nonmyopic optimal portfolios in viable markets | 2015-02-23 | Paper |
| On managerial risk-taking incentives when compensation may be hedged against | 2014-11-26 | Paper |
| Optimal contracting with effort and misvaluation | 2013-02-26 | Paper |
| A Variational Approach to Contracting under Imperfect Observations | 2013-01-25 | Paper |
| Financial Markets Equilibrium with Heterogeneous Agents* | 2012-10-23 | Paper |
| The law of large numbers for self-exciting correlated defaults | 2012-07-20 | Paper |
| Beliefs regarding fundamental value and optimal investing | 2012-03-08 | Paper |
| Optimal portfolio allocation with higher moments | 2012-03-06 | Paper |
| Optimal Risk Taking with Flexible Income | 2012-02-21 | Paper |
| Contract theory in continuous-time models | 2012-02-14 | Paper |
| Co-development ventures: optimal time of entry and profit-sharing | 2011-11-24 | Paper |
| Relative Extinction of Heterogeneous Agents | 2010-10-18 | Paper |
| Implications of the Sharpe ratio as a performance measure in multi-period settings | 2010-01-19 | Paper |
| Principal-Agent Problems with Exit Options | 2009-09-26 | Paper |
| Optimal compensation with hidden action and lump-sum payment in a continuous-time model | 2009-07-24 | Paper |
| CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION | 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). | 2009-04-15 | Paper |
| Methods of partial hedging | 2009-04-15 | Paper |
| Monte Carlo computation of optimal portfolios in complete markets | 2008-10-24 | Paper |
| INCOMPLETE INFORMATION WITH RECURSIVE PREFERENCES | 2008-09-03 | Paper |
| Optimal contracts in continuous-time models | 2008-08-15 | Paper |
| Optimal compensation with adverse selection and dynamic actions | 2007-11-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5423774 | 2007-10-31 | Paper |
| Optimal risk-sharing with effort and project choice | 2007-06-26 | Paper |
| A filtering approach to tracking volatility from prices observed at random times | 2007-02-05 | Paper |
| The steepest descent method for forward-backward SDEs | 2006-11-03 | Paper |
| A filtering approach to tracking volatility from prices observed at random times | 2005-09-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4828653 | 2004-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4459816 | 2004-05-18 | Paper |
| Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs | 2003-01-01 | Paper |
| Reflected forward-backward SDEs and obstacle problems with boundary conditions | 2002-10-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2771117 | 2002-02-14 | Paper |
| Utility maximization in incomplete markets with random endowment | 2001-07-11 | Paper |
| Generalized Neyman-Pearson lemma via convex duality. | 2001-01-01 | Paper |
| On optimal terminal wealth under transaction costs | 2001-01-01 | Paper |
| Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets | 2000-10-18 | Paper |
| Maximizing the probability of a perfect hedge | 2000-09-04 | Paper |
| On dynamic measure of risk | 2000-05-24 | Paper |
| Backward stochastic differential equations with constraints on the gains-process | 2000-05-04 | Paper |
| Super-replication in stochastic volatility models under portfolio constraints | 2000-04-10 | Paper |
| A closed-form solution to the problem of super-replication under transaction costs | 1999-09-14 | Paper |
| HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 | 1999-05-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4218384 | 1998-11-11 | Paper |
| Optimal consumption choices for a `large' investor | 1998-08-13 | Paper |
| Backward stochastic differential equations with reflection and Dynkin games | 1997-11-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4357645 | 1997-09-25 | Paper |
| Hedging options for a large investor and forward-backward SDE's | 1996-10-31 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868512 | 1996-07-24 | Paper |
| There is no nontrivial hedging portfolio for option pricing with transaction costs | 1996-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4868511 | 1996-04-17 | Paper |
| Hedging contingent claims with constrained portfolios | 1994-01-02 | Paper |
| Convex duality in constrained portfolio optimization | 1993-02-22 | Paper |
