| Publication | Date of Publication | Type |
|---|
| A strong law of large numbers for positive random variables | 2024-01-04 | Paper |
| Faking Brownian motion with continuous Markov martingales | 2024-01-02 | Paper |
| A Weak Law of Large Numbers for Dependent Random Variables | 2023-11-14 | Paper |
| Convergence of optimal expected utility for a sequence of binomial models | 2023-09-28 | Paper |
| The Bass functional of martingale transport | 2023-09-20 | Paper |
| The structure of martingale Benamou$-$Brenier in $\mathbb{R}^{d}$ | 2023-06-19 | Paper |
| A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions | 2022-02-25 | Paper |
| From Bachelier to Dupire via optimal transport | 2022-02-01 | Paper |
| Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets | 2021-11-11 | Paper |
| Trajectorial dissipation and gradient flow for the relative entropy in Markov chains | 2021-08-06 | Paper |
| Convergence of optimal expected utility for a sequence of discrete-time markets | 2021-03-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3298214 | 2020-07-21 | Paper |
| Theoretical and empirical analysis of trading activity | 2020-06-15 | Paper |
| Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio | 2019-10-31 | Paper |
| Convergence of Optimal Expected Utility for a Sequence of Discrete-Time Markets | 2019-07-26 | Paper |
| Pricing, no-arbitrage bounds and robust hedging of instalment options | 2019-01-14 | Paper |
| Trajectorial Otto calculus | 2018-11-21 | Paper |
| Admissible Trading Strategies Under Transaction Costs | 2018-06-21 | Paper |
| The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting | 2018-03-27 | Paper |
| Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs | 2018-01-16 | Paper |
| Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion | 2017-09-15 | Paper |
| Erratum to: ``Utility maximization in incomplete markets with random endowment | 2017-07-21 | Paper |
| The space of outcomes of semi-static trading strategies need not be closed | 2017-07-21 | Paper |
| Shadow prices for continuous processes | 2017-07-21 | Paper |
| Asymptotic theory of transaction costs | 2017-03-14 | Paper |
| Mathematics and finance | 2016-12-16 | Paper |
| Duality theory for portfolio optimisation under transaction costs | 2016-08-23 | Paper |
| Book review of: F. Baudoin, Diffusion processes and stochastic calculus | 2016-05-25 | Paper |
| Book review of: L. C. Evans, An introduction to stochastic differential equations | 2016-05-25 | Paper |
| Book review of: S. Dineen, Probability theory in finance. A mathematical guide to the Black-Scholes formula. 2nd ed. | 2016-05-03 | Paper |
| Strong supermartingales and limits of nonnegative martingales | 2016-04-21 | Paper |
| A model-free version of the fundamental theorem of asset pricing and the super-replication theorem | 2016-04-14 | Paper |
| On the Duality Theory for the Monge-Kantorovich Transport Problem | 2016-01-27 | Paper |
| Transaction costs, shadow prices, and duality in discrete time | 2015-01-20 | Paper |
| The super-replication theorem under proportional transaction costs revisited | 2014-11-26 | Paper |
| Transaction costs, trading volume, and the liquidity premium | 2014-11-14 | Paper |
| Book review of: Cédric Villani, Das lebendige Theorem | 2014-09-26 | Paper |
| Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$ | 2014-09-16 | Paper |
| Regularity of affine processes on general state spaces | 2014-01-17 | Paper |
| A trajectorial interpretation of Doob's martingale inequalities | 2013-09-05 | Paper |
| A generalized dual maximizer for the Monge-Kantorovich transport problem | 2013-05-14 | Paper |
| Optimisation and utility functions | 2013-04-17 | Paper |
| The dual optimizer for the growth-optimal portfolio under transaction costs | 2013-04-02 | Paper |
| Representation results for law invariant time consistent functions | 2013-01-20 | Paper |
| Hiding a constant drift -- a strong solution | 2013-01-04 | Paper |
| Asymptotics and duality for the Davis and Norman problem | 2012-12-13 | Paper |
| A general duality theorem for the Monge-Kantorovich transport problem | 2012-06-06 | Paper |
| A short proof of the Doob-Meyer theorem | 2012-06-01 | Paper |
| The fundamental theorem of asset pricing for continuous processes under small transaction costs | 2012-03-08 | Paper |
| Affine processes are regular | 2012-02-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3111561 | 2012-01-18 | Paper |
| A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage | 2012-01-09 | Paper |
| Law invariant risk measures on \(L^\infty(\mathbb R^d)\) | 2011-12-19 | Paper |
| Duality for Borel measurable cost functions | 2011-08-04 | Paper |
| Hiding a constant drift | 2011-05-19 | Paper |
| Law invariant risk measures have the Fatou property | 2010-06-02 | Paper |
| Hiding a drift | 2010-05-17 | Paper |
| Non-monotone convergence in the quadratic Wasserstein distance | 2009-12-18 | Paper |
| On the Duality Theory for the Monge--Kantorovich Transport Problem | 2009-11-23 | Paper |
| How K. Itô revolutionized stochastic calculus | 2009-09-24 | Paper |
| In which financial markets do mutual fund theorems hold true? | 2009-08-08 | Paper |
| Optimal and better transport plans | 2009-04-08 | Paper |
| Optimal expected exponential utility of dividend payments in a Brownian risk model | 2009-02-28 | Paper |
| Characterization of optimal transport plans for the Monge-Kantorovich problem | 2009-02-25 | Paper |
| The Notion of Arbitrage and Free Lunch in Mathematical Finance | 2008-09-29 | Paper |
| Asymptotic arbitrage and large deviations | 2008-09-04 | Paper |
| THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS | 2008-09-03 | Paper |
| HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES? | 2008-05-22 | Paper |
| OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS | 2008-04-30 | Paper |
| Consistent price systems and face-lifting pricing under transaction costs | 2008-04-23 | Paper |
| A super-replication theorem in Kabanov's model of transaction costs | 2007-05-29 | Paper |
| Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE | 2007-03-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493482 | 2006-10-23 | Paper |
| A note on lower bounds of martingale measure densities | 2006-09-26 | Paper |
| The mathematics of arbitrage | 2006-06-13 | Paper |
| ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS | 2006-02-08 | Paper |
| A hyper-geometric approach to the BMV-conjecture | 2006-01-10 | Paper |
| Arbitrage and state price deflators in a general intertemporal framework | 2005-11-14 | Paper |
| A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES | 2005-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4682148 | 2005-06-10 | Paper |
| Necessary conditions for the existence of utility maximizing strategies under transaction costs | 2005-04-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4657108 | 2005-03-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4830522 | 2004-12-13 | Paper |
| The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time | 2004-05-27 | Paper |
| Necessary and sufficient conditions in the problem of optimal investment in incomplete markets | 2004-03-30 | Paper |
| Affine processes and applications in finance | 2004-03-21 | Paper |
| Asymptotic ruin probabilities and optimal investment | 2004-03-21 | Paper |
| A super-martingale property of the optimal portfolio process | 2004-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4454897 | 2004-03-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4451264 | 2004-02-23 | Paper |
| Applications to mathematical finance | 2003-06-29 | Paper |
| Optimal investment in incomplete markets when wealth may become negative. | 2003-05-06 | Paper |
| No arbitrage: On the work of David Kreps | 2003-03-12 | Paper |
| The convolution theorem for infinite-dimensional parameter spaces | 2003-02-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2725613 | 2002-12-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2782366 | 2002-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2741101 | 2001-11-18 | Paper |
| Utility maximization in incomplete markets with random endowment | 2001-07-11 | Paper |
| When does convergence of asset price processes imply convergence of option prices? | 2001-03-29 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938954 | 2001-03-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4495098 | 2001-01-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938934 | 2000-11-22 | Paper |
| Is There a Predictable Criterion for Mutual Singularity of Two Probability Measures on a Filtered Space? | 2000-10-19 | Paper |
| The asymptotic elasticity of utility functions and optimal investment in incomplete markets | 2000-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4263612 | 2000-06-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938936 | 2000-04-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4938931 | 2000-04-03 | Paper |
| The fundamental theorem of asset pricing for unbounded stochastic processes | 1999-07-18 | Paper |
| Weighted norm inequalities and hedging in incomplete markets | 1999-07-06 | Paper |
| A Simple Counterexample to Several Problems in the Theory of Asset Pricing | 1999-04-06 | Paper |
| The set of observationally equivalent errors-in-variables models | 1998-08-13 | Paper |
| MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON | 1998-07-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4384413 | 1998-07-01 | Paper |
| A Counterexample to Several Problems In the Theory of Asset Pricing | 1998-01-21 | Paper |
| ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES | 1998-01-21 | Paper |
| The Banach space of workable contingent claims in arbitrage theory | 1997-10-05 | Paper |
| Attainable claims with \(p\)'th moments | 1997-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4892362 | 1997-03-11 | Paper |
| A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance | 1997-01-06 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4892168 | 1996-10-30 | Paper |
| A proof of a conjecture of Bobkov and Houdré | 1996-08-20 | Paper |
| The existence of absolutely continuous local martingale measures | 1996-07-08 | Paper |
| The variance-optimal martingale measure for continuous processes | 1996-06-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4854269 | 1996-02-11 | Paper |
| Arbitrage possibilities in Bessel processes and their relations to local martingales | 1996-01-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4318656 | 1995-02-16 | Paper |
| A general version of the fundamental theorem of asset pricing | 1994-12-11 | Paper |
| Weak Compactness in L 1 (μ, X) | 1994-04-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4037555 | 1993-05-18 | Paper |
| A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time | 1993-05-16 | Paper |
| Slicings, Selections and Their Applications | 1993-01-17 | Paper |
| Approximation of Jensen Measures by Image Measures Under Holomorphic Functions and Applications | 1993-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3975357 | 1992-06-26 | Paper |
| Every Radon-Nikodym Corson compact space is Eberlein compact | 1992-06-25 | Paper |
| Geometrical Implications of Certain Infinite Dimensional Decompositions | 1990-01-01 | Paper |
| Moduli of non-dentability and the Radon-Nikodým property in Banach spaces | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3483804 | 1989-01-01 | Paper |
| Pluriharmonically dentable complex Banach spaces. | 1989-01-01 | Paper |
| Equivalent norms on separable Asplund spaces | 1989-01-01 | Paper |
| Functions in $L^{∞}(G)$ and associated convolution operators | 1989-01-01 | Paper |
| Characters on algebras of smooth functions | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4734308 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3202708 | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3794706 | 1988-01-01 | Paper |
| A Counterexample to a Problem on Points of Continuity in Banach Spaces | 1987-01-01 | Paper |
| Local nonfactorization of functions on locally compact groups | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3025646 | 1987-01-01 | Paper |
| The Radon-Nikodym Property and the Krein-Milman Property are Equivalent for Strongly Regular Sets | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3817145 | 1987-01-01 | Paper |
| Some topological and geometrical structures in Banach spaces | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3752139 | 1986-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3726770 | 1986-01-01 | Paper |
| The Sum of Two Radon-Nikodym-Sets Need Not be a Radon-Nikodym-Set | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3723113 | 1985-01-01 | Paper |
| For a Banach space isomorphic to its square the Radon-Nikodým property and the Krein-Milman property are equivalent | 1985-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3667406 | 1983-01-01 | Paper |
| Norm attaining operators on some classical Banach spaces | 1983-01-01 | Paper |
| Norm attaining operators and renormings of Banach spaces | 1983-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4748661 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3672208 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3035750 | 1982-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3913286 | 1981-01-01 | Paper |
| The Banach-Saks property is not \(L^ 2\)-hereditary | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4741463 | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3855717 | 1981-01-01 | Paper |
| Almost Compactness and Decomposability of Integral Operators | 1981-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4193957 | 1979-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4191309 | 1978-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4118313 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3891404 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4118314 | 1977-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4077277 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4112984 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4114079 | 1976-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4072572 | 1975-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4081837 | 1975-01-01 | Paper |
| A regularized Kellerer theorem in arbitrary dimension | N/A | Paper |
