| Publication | Date of Publication | Type |
|---|
Calibration of local volatility models with stochastic interest rates using optimal transport
Finance and Stochastics | 2026-03-23 | Paper |
Geometric martingale Benamou-Brenier transport and geometric Bass martingales
Proceedings of the American Mathematical Society | 2025-10-14 | Paper |
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences | 2025-05-12 | Paper |
Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Quantitative Finance | 2025-02-10 | Paper |
| The Measure Preserving Martingale Sinkhorn Algorithm | 2023-10-20 | Paper |
In memoriam: Mark H. A. Davis and his contributions to mathematical finance
Mathematical Finance | 2023-09-28 | Paper |
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
Mathematical Finance | 2023-09-28 | Paper |
Erratum to: ``The robust superreplication problem: a dynamic approach''
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Efficient discretisation of stochastic differential equations
Stochastics | 2022-07-05 | Paper |
Joint modeling and calibration of SPX and VIX by optimal transport
SIAM Journal on Financial Mathematics | 2022-01-10 | Paper |
A unified framework for robust modelling of financial markets in discrete time
Finance and Stochastics | 2021-08-27 | Paper |
Local times and Tanaka-Meyer formulae for càdlàg paths
Electronic Journal of Probability | 2021-07-21 | Paper |
Robust pricing and hedging of options on multiple assets and its numerics
SIAM Journal on Financial Mathematics | 2021-05-04 | Paper |
Robust estimation of superhedging prices
The Annals of Statistics | 2021-03-11 | Paper |
Robust estimation of superhedging prices
The Annals of Statistics | 2021-03-11 | Paper |
Robust Framework for Quantifying the Value of Information in Pricing and Hedging
SIAM Journal on Financial Mathematics | 2020-05-29 | Paper |
Pointwise Arbitrage Pricing Theory in Discrete Time
Mathematics of Operations Research | 2020-04-30 | Paper |
Computational methods for martingale optimal transport problems
The Annals of Applied Probability | 2020-02-21 | Paper |
Computational methods for martingale optimal transport problems
The Annals of Applied Probability | 2020-02-21 | Paper |
The robust superreplication problem: a dynamic approach
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
The robust superreplication problem: a dynamic approach
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
The robust pricing–hedging duality for American options in discrete time financial markets
Mathematical Finance | 2019-10-31 | Paper |
Two explicit Skorokhod embeddings for simple symmetric random walk
Stochastic Processes and their Applications | 2019-09-19 | Paper |
Optimal exit time from casino gambling: strategies of precommitted and naive gamblers
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Dual attainment for the martingale transport problem
Bernoulli | 2019-06-14 | Paper |
Dual attainment for the martingale transport problem
Bernoulli | 2019-06-14 | Paper |
The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2019-02-28 | Paper |
Dynamically consistent investment under model uncertainty: the robust forward criteria
Finance and Stochastics | 2018-10-08 | Paper |
Robust pricing-hedging dualities in continuous time
Finance and Stochastics | 2018-07-16 | Paper |
Pathwise stochastic calculus with local times
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-01 | Paper |
An iterated Azéma-Yor type embedding for finitely many marginals
The Annals of Probability | 2017-10-05 | Paper |
An iterated Azéma-Yor type embedding for finitely many marginals
The Annals of Probability | 2017-10-05 | Paper |
Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model
Operations Research | 2017-06-02 | Paper |
ROBUST TRADING OF IMPLIED SKEW
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
| Structure of martingale transports in finite dimensions | 2017-02-27 | Paper |
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Finance and Stochastics | 2016-09-07 | Paper |
The incentives of hedge fund fees and high-water marks
Mathematical Finance | 2016-04-14 | Paper |
Martingale inequalities for the maximum via pathwise arguments
Lecture Notes in Mathematics | 2016-04-13 | Paper |
The maximum maximum of a martingale with given \(n\) marginals
The Annals of Applied Probability | 2016-03-11 | Paper |
The maximum maximum of a martingale with given \(n\) marginals
The Annals of Applied Probability | 2016-03-11 | Paper |
On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale
Stochastic Processes and their Applications | 2015-05-27 | Paper |
Robust pricing and hedging of double no-touch options
Finance and Stochastics | 2014-12-17 | Paper |
Arbitrage bounds for prices of weighted variance swaps
Mathematical Finance | 2014-11-05 | Paper |
Arbitrage bounds for prices of weighted variance swaps
Mathematical Finance | 2014-11-05 | Paper |
UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
International Journal of Theoretical and Applied Finance | 2014-06-13 | Paper |
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Finance and Stochastics | 2013-11-06 | Paper |
PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
The Annals of Probability | 2012-02-22 | Paper |
Robust hedging of double touch barrier options
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
Robust hedging of double touch barrier options
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
The Skorokhod embedding problem and its offspring
Probability Surveys | 2010-06-29 | Paper |
The Skorokhod embedding problem and its offspring
Probability Surveys | 2010-06-29 | Paper |
| Time-Homogeneous Diffusions with a Given Marginal at a Random Time | 2009-12-09 | Paper |
Classes of measures which can be embedded in the simple symmetric random walk
Electronic Journal of Probability | 2009-11-20 | Paper |
Classes of measures which can be embedded in the simple symmetric random walk
Electronic Journal of Probability | 2009-11-20 | Paper |
On an explicit Skorokhod embedding for spectrally negative Lévy processes
Journal of Theoretical Probability | 2009-07-06 | Paper |
Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping
The Annals of Applied Probability | 2008-11-27 | Paper |
Market completion using options
(available as arXiv preprint) | 2008-11-04 | Paper |
The Maximality Principle Revisited: On Certain Optimal Stopping Problems
Lecture Notes in Mathematics | 2007-10-31 | Paper |
A complete characterization of local martingales which are functions of Brownian motion and its maximum
Bernoulli | 2007-09-05 | Paper |
A complete characterization of local martingales which are functions of Brownian motion and its maximum
Bernoulli | 2007-09-05 | Paper |
| Fine-tune your smile: Correction to Hagan et al | 2007-08-07 | Paper |
An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes
Stochastic Processes and their Applications | 2007-04-16 | Paper |
scientific article; zbMATH DE number 5066277 (Why is no real title available?)
(available as arXiv preprint) | 2006-10-23 | Paper |
| Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk | 2006-09-12 | Paper |
An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
| An explicit Skorokhod embedding for functionals of Markovian excursions | 2005-09-23 | Paper |
