| Publication | Date of Publication | Type |
|---|
The (non-)equivalence of dividends and share buybacks
Mathematics and Financial Economics | 2026-01-13 | Paper |
Hedging of fixing exposure
Mathematical Finance | 2025-09-30 | Paper |
Optimal contracts for delegated order execution
Mathematical Finance | 2025-09-30 | Paper |
Tackling nonlinear price impact with linear strategies
Mathematical Finance | 2025-04-02 | Paper |
Stochastic liquidity as a proxy for nonlinear price impact
Operations Research | 2024-07-25 | Paper |
Handbook of Price Impact Modeling
Quantitative Finance | 2024-05-29 | Paper |
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research | 2024-02-27 | Paper |
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research | 2024-02-27 | Paper |
An Equilibrium Model for the Cross Section of Liquidity Premia
Mathematics of Operations Research | 2024-02-27 | Paper |
Closed‐loop Nash competition for liquidity
Mathematical Finance | 2024-01-31 | Paper |
Liquidity in competitive dealer markets
Mathematical Finance | 2023-09-28 | Paper |
Asset pricing with general transaction costs: Theory and numerics
Mathematical Finance | 2023-09-28 | Paper |
Simple bounds for utility maximization with small transaction costs
Stochastic Processes and their Applications | 2022-03-07 | Paper |
Equilibrium asset pricing with transaction costs
Finance and Stochastics | 2021-04-29 | Paper |
Asset pricing with heterogeneous beliefs and illiquidity
Mathematical Finance | 2021-03-23 | Paper |
Lifetime investment and consumption with recursive preferences and small transaction costs
Mathematical Finance | 2021-03-23 | Paper |
Trading with small nonlinear price impact
The Annals of Applied Probability | 2020-08-17 | Paper |
Scaling limits of processes with fast nonlinear mean reversion
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Scaling limits of processes with fast nonlinear mean reversion
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Inventory Management for High-Frequency Trading with Imperfect Competition
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Inventory Management for High-Frequency Trading with Imperfect Competition
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Portfolio choice with small temporary and transient price impact
Mathematical Finance | 2019-12-05 | Paper |
Sensitivity of optimal consumption streams
Stochastic Processes and their Applications | 2019-06-28 | Paper |
Who should sell stocks?
Mathematical Finance | 2019-05-23 | Paper |
Switching cost models as hypothesis tests
Economics Letters | 2019-01-31 | Paper |
Switching cost models as hypothesis tests
Economics Letters | 2019-01-31 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Optimal rebalancing frequencies for multidimensional portfolios
Mathematics and Financial Economics | 2018-04-16 | Paper |
Stability of Radner equilibria with respect to small frictions
Finance and Stochastics | 2018-04-06 | Paper |
A risk-neutral equilibrium leading to uncertain volatility pricing
Finance and Stochastics | 2018-04-06 | Paper |
Rebalancing with Linear and Quadratic Costs
SIAM Journal on Control and Optimization | 2017-11-13 | Paper |
Model uncertainty, recalibration, and the emergence of delta-vega hedging
Finance and Stochastics | 2017-10-23 | Paper |
The general structure of optimal investment and consumption with small transaction costs
Mathematical Finance | 2017-07-21 | Paper |
Robust portfolios and weak incentives in long-run investments
Mathematical Finance | 2017-03-13 | Paper |
Robust portfolios and weak incentives in long-run investments
Mathematical Finance | 2017-03-13 | Paper |
Hedging with small uncertainty aversion
Finance and Stochastics | 2017-01-12 | Paper |
Liquidation with self-exciting price impact
Mathematics and Financial Economics | 2016-03-08 | Paper |
Long horizons, high risk aversion, and endogenous spreads
Mathematical Finance | 2015-10-20 | Paper |
Option pricing and hedging with small transaction costs
Mathematical Finance | 2015-10-20 | Paper |
Optimal liquidity provision
Stochastic Processes and their Applications | 2015-06-11 | Paper |
Asymptotics for fixed transaction costs
Finance and Stochastics | 2015-03-30 | Paper |
Asymptotic power utility-based pricing and hedging
Mathematics and Financial Economics | 2015-02-23 | Paper |
Asymptotic power utility-based pricing and hedging
Mathematics and Financial Economics | 2015-02-23 | Paper |
Transaction costs, shadow prices, and duality in discrete time
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
Transaction costs, trading volume, and the liquidity premium
Finance and Stochastics | 2014-11-14 | Paper |
| Trading with Small Price Impact | 2014-02-21 | Paper |
On the performance of delta hedging strategies in exponential Lévy models
Quantitative Finance | 2014-02-20 | Paper |
Portfolio selection with small transaction costs and binding portfolio constraints
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
On the existence of shadow prices
Finance and Stochastics | 2013-11-06 | Paper |
Portfolio Choice with Transaction Costs: A User’s Guide
Lecture Notes in Mathematics | 2013-09-11 | Paper |
The dual optimizer for the growth-optimal portfolio under transaction costs
Finance and Stochastics | 2013-04-02 | Paper |
The dual optimizer for the growth-optimal portfolio under transaction costs
Finance and Stochastics | 2013-04-02 | Paper |
Utility maximization, risk aversion, and stochastic dominance
Mathematics and Financial Economics | 2013-02-26 | Paper |
Utility maximization, risk aversion, and stochastic dominance
Mathematics and Financial Economics | 2013-02-26 | Paper |
Asymptotic and exact pricing of options on variance
Finance and Stochastics | 2013-02-07 | Paper |
Option pricing in multivariate stochastic volatility models of OU type
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Asymptotics and duality for the Davis and Norman problem
Stochastics | 2012-12-13 | Paper |
Small-Time Asymptotics of Option Prices and First Absolute Moments
Journal of Applied Probability | 2012-01-04 | Paper |
Pricing options on variance in affine stochastic volatility models
Mathematical Finance | 2011-11-21 | Paper |
A characterization of the martingale property of exponentially affine processes
Stochastic Processes and their Applications | 2011-07-08 | Paper |
Method of moment estimation in time-changed Lévy models
Statistics & Decisions | 2011-06-28 | Paper |
Existence of shadow prices in finite probability spaces
Mathematical Methods of Operations Research | 2011-05-05 | Paper |
Existence of shadow prices in finite probability spaces
Mathematical Methods of Operations Research | 2011-05-05 | Paper |
Utility maximization in models with conditionally independent increments
The Annals of Applied Probability | 2010-12-27 | Paper |
On using shadow prices in portfolio optimization with transaction costs
The Annals of Applied Probability | 2010-09-01 | Paper |
Utility maximization in affine stochastic volatility models
International Journal of Theoretical and Applied Finance | 2010-08-11 | Paper |
Exponentially affine martingales, affine measure changes and exponential moments of affine processes
Stochastic Processes and their Applications | 2010-03-01 | Paper |
