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