| Publication | Date of Publication | Type |
|---|
Hedging With Linear Regressions and Neural Networks
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Minimum curvature flow and martingale exit times
Electronic Journal of Probability | 2024-08-30 | Paper |
Martin Larsson and Johannes Ruf's contribution to the discussion of `Estimating means of bounded random variables by betting' by Waudby-Smith and Ramdas
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
A composite generalization of Ville's martingale theorem using e-processes
Electronic Journal of Probability | 2024-01-17 | Paper |
Relative arbitrage: Sharp time horizons and motion by curvature
Mathematical Finance | 2023-09-28 | Paper |
Relative arbitrage: Sharp time horizons and motion by curvature
Mathematical Finance | 2023-09-28 | Paper |
Simplified calculus for semimartingales: multiplicative compensators and changes of measure
Stochastic Processes and their Applications | 2023-06-19 | Paper |
Simplified stochastic calculus via semimartingale representations
Electronic Journal of Probability | 2022-02-22 | Paper |
Testing exchangeability: fork-convexity, supermartingales and e-processes
International Journal of Approximate Reasoning | 2022-01-20 | Paper |
Pure-jump semimartingales
Bernoulli | 2021-09-10 | Paper |
Simplified stochastic calculus with applications in economics and finance
European Journal of Operational Research | 2021-06-07 | Paper |
Convergence of local supermartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
Convergence of local supermartingales
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2021-06-03 | Paper |
Testing exchangeability: fork-convexity, supermartingales, and e-processes
(available as arXiv preprint) | 2021-01-31 | Paper |
Filtration shrinkage, the structure of deflators, and failure of market completeness
Finance and Stochastics | 2020-11-11 | Paper |
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
| Minimum curvature flow and martingale exit times | 2020-03-30 | Paper |
Nonparametric identification of the mixed hazard model using martingale-based moments
Econometric Theory | 2020-03-25 | Paper |
Generalised Lyapunov Functions and Functionally Generated Trading Strategies
Applied Mathematical Finance | 2020-01-13 | Paper |
A practical guide to measuring social structure using indirectly observed network data
Journal of Statistical Theory and Practice | 2019-08-27 | Paper |
Projections of scaled Bessel processs
Electronic Communications in Probability | 2019-08-06 | Paper |
Projections of scaled Bessel processs
Electronic Communications in Probability | 2019-08-06 | Paper |
Weak tail conditions for local martingales
The Annals of Probability | 2019-06-18 | Paper |
Weak tail conditions for local martingales
The Annals of Probability | 2019-06-18 | Paper |
Stochastic exponentials and logarithms on stochastic intervals. A survey
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Stochastic exponentials and logarithms on stochastic intervals. A survey
Journal of Mathematical Analysis and Applications | 2019-05-10 | Paper |
Financial models with defaultable numéraires
Mathematical Finance | 2019-05-08 | Paper |
Financial models with defaultable numéraires
Mathematical Finance | 2019-05-08 | Paper |
Volatility and arbitrage
The Annals of Applied Probability | 2018-05-25 | Paper |
Local martingales in discrete time
Electronic Communications in Probability | 2018-05-11 | Paper |
Local martingales in discrete time
Electronic Communications in Probability | 2018-05-11 | Paper |
| A remark on H1 martingales | 2018-04-26 | Paper |
Trading strategies generated by Lyapunov functions
Finance and Stochastics | 2017-07-21 | Paper |
Piecewise constant local martingales with bounded numbers of jumps
Electronic Communications in Probability | 2017-06-01 | Paper |
Piecewise constant local martingales with bounded numbers of jumps
Electronic Communications in Probability | 2017-06-01 | Paper |
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
A weak convergence criterion for constructing changes of measure
Stochastic Models | 2016-06-09 | Paper |
A one-dimensional diffusion hits points fast
Electronic Communications in Probability | 2016-05-23 | Paper |
A one-dimensional diffusion hits points fast
Electronic Communications in Probability | 2016-05-23 | Paper |
Distribution of the time to explosion for one-dimensional diffusions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2016-04-07 | Paper |
Supermartingales as Radon-Nikodym densities and related measure extensions
The Annals of Probability | 2016-02-12 | Paper |
Supermartingales as Radon-Nikodym densities and related measure extensions
The Annals of Probability | 2016-02-12 | Paper |
A Systematic Approach to Constructing Market Models with Arbitrage
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
The uniform integrability of martingales. On a question by Alexander Cherny
Stochastic Processes and their Applications | 2015-08-21 | Paper |
The martingale property in the context of stochastic differential equations
Electronic Communications in Probability | 2015-08-17 | Paper |
| Convergence of local supermartingales and Novikov-Kazamaki type conditions for processes with jumps | 2014-11-23 | Paper |
Convergence in models with bounded expected relative hazard rates
Journal of Economic Theory | 2014-11-19 | Paper |
On the hedging of options on exploding exchange rates
Finance and Stochastics | 2014-11-14 | Paper |
Negative call prices
Annals of Finance | 2014-11-12 | Paper |
Why are quadratic normal volatility models analytically tractable?
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Hedging under arbitrage
Mathematical Finance | 2013-04-29 | Paper |
A new proof for the conditions of Novikov and Kazamaki
Stochastic Processes and their Applications | 2013-01-24 | Paper |
Conditioned martingales
Electronic Communications in Probability | 2012-10-23 | Paper |
Monotone imitation
Economic Theory | 2009-10-23 | Paper |
