| Publication | Date of Publication | Type |
|---|
Optimal investment, heterogeneous consumption, and best time for retirement
Operations Research | 2024-07-25 | Paper |
Portfolio Selection, Periodic Evaluations and Risk Taking
Operations Research | 2024-03-15 | Paper |
| Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders | 2023-11-17 | Paper |
Duality for optimal consumption with randomly terminating income
Mathematical Finance | 2023-09-28 | Paper |
Deep neural network solution for finite state mean field game with error estimation
Dynamic Games and Applications | 2023-09-27 | Paper |
Speculative trading, prospect theory and transaction costs
Finance and Stochastics | 2022-12-28 | Paper |
Stochastic maximum principle for optimal liquidation with control-dependent terminal time
Applied Mathematics and Optimization | 2022-09-12 | Paper |
Deep learning for constrained utility maximisation
Methodology and Computing in Applied Probability | 2022-07-07 | Paper |
Obituary
Stochastics | 2022-07-06 | Paper |
Dynamic convex duality in constrained utility maximization
Stochastics | 2022-07-05 | Paper |
Effective approximation methods for constrained utility maximization with drift uncertainty
Journal of Optimization Theory and Applications | 2022-06-03 | Paper |
Dynamic equilibrium of market making with price competition
Dynamic Games and Applications | 2021-12-27 | Paper |
Optimal market-making strategies under synchronised order arrivals with deep neural networks
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
SIAM Journal on Control and Optimization | 2021-09-22 | Paper |
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs
Quantitative Finance | 2021-07-16 | Paper |
On correlated defaults and incomplete information
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
Quantitative Finance | 2021-06-02 | Paper |
| Optimal Liquidation in a Mean-reverting Portfolio | 2020-10-06 | Paper |
Constrained utility deviation-risk optimization and time-consistent HJB equation
SIAM Journal on Control and Optimization | 2020-03-25 | Paper |
Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
Mathematics of Operations Research | 2020-03-12 | Paper |
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
European Journal of Operational Research | 2019-11-06 | Paper |
Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
European Journal of Operational Research | 2019-09-18 | Paper |
Global closed-form approximation of free boundary for optimal investment stopping problems
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Turnpike property and convergence rate for an investment and consumption model
Mathematics and Financial Economics | 2019-06-18 | Paper |
Dynamic portfolio optimization with looping contagion risk
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
Insurance Mathematics & Economics | 2019-03-28 | Paper |
On infectious model for dependent defaults
Risk and Decision Analysis | 2019-03-12 | Paper |
Turnpike property and convergence rate for an investment model with general utility functions
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
SIAM Journal on Control and Optimization | 2018-04-05 | Paper |
Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
European Journal of Operational Research | 2017-12-06 | Paper |
Weak convergence of path-dependent SDEs in basket credit default swap pricing with contagion risk
SIAM Journal on Financial Mathematics | 2017-01-11 | Paper |
Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
Discrete and Continuous Dynamical Systems | 2016-03-09 | Paper |
Asymptotic analysis for target asset portfolio allocation with small transaction costs
Insurance Mathematics & Economics | 2016-01-05 | Paper |
Constrained nonsmooth utility maximization on the positive real line
Mathematical Control and Related Fields | 2015-07-30 | Paper |
| Weak Convergence of Path-Dependent SDEs in Basket CDS Pricing with Contagion Risk | 2015-05-30 | Paper |
Weak necessary and sufficient stochastic maximum principle for Markovian regime-switching diffusion models
Applied Mathematics and Optimization | 2015-04-21 | Paper |
Intensity process for a pure jump Lévy structural model with incomplete information
Stochastic Processes and their Applications | 2015-02-27 | Paper |
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
Finance and Stochastics | 2014-12-17 | Paper |
On modeling credit defaults: a probabilistic Boolean network approach
Risk and Decision Analysis | 2014-08-22 | Paper |
LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
On pricing basket credit default swaps
Quantitative Finance | 2014-03-04 | Paper |
Contagion models a la carte: which one to choose?
Quantitative Finance | 2014-02-08 | Paper |
Smooth value functions for a class of nonsmooth utility maximization problems
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
Approximate basket options valuation for a jump-diffusion model
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
Insurance Mathematics & Economics | 2012-02-10 | Paper |
The valuation of the basket CDS in a primary-subsidiary model
Asia-Pacific Journal of Operational Research | 2011-05-11 | Paper |
Convergence in the Semimartingale Topology and Constrained Portfolios
Séminaire de Probabilités XLIII | 2011-03-30 | Paper |
Basket CDS pricing with interacting intensities
Finance and Stochastics | 2010-04-22 | Paper |
Efficient frontier of utility and CVaR
Mathematical Methods of Operations Research | 2009-09-09 | Paper |
Constrained nonsmooth utility maximization without quadratic inf convolution
Stochastic Processes and their Applications | 2009-05-06 | Paper |
Macaulay durations for nonparallel shifts
Annals of Operations Research | 2008-03-31 | Paper |
Qualitative sensitivity analysis in monotropic programming
Mathematics of Operations Research | 2001-11-26 | Paper |
| scientific article; zbMATH DE number 1304149 (Why is no real title available?) | 1999-09-23 | Paper |
The Extended Euler--Lagrange Condition for Nonconvex Variational Problems
SIAM Journal on Control and Optimization | 1997-08-27 | Paper |
| Epi-Derivatives of Integral Functionals with Applications | 1995-10-17 | Paper |
