| Publication | Date of Publication | Type |
|---|
On the Guyon-Lekeufack volatility model
Finance and Stochastics | 2024-10-16 | Paper |
Convergence rates for regularized optimal transport via quantization
Mathematics of Operations Research | 2024-06-27 | Paper |
Mean Field Contest with Singularity
Mathematics of Operations Research | 2024-02-23 | Paper |
Limits of semistatic trading strategies
Mathematical Finance | 2023-09-28 | Paper |
| On the Guyon-Lekeufack Volatility Model | 2023-07-03 | Paper |
Stability of Schrödinger potentials and convergence of Sinkhorn's algorithm
The Annals of Probability | 2023-05-10 | Paper |
Martingale Schrödinger bridges and optimal semistatic portfolios
Finance and Stochastics | 2022-12-28 | Paper |
| On the Convergence Rate of Sinkhorn's Algorithm | 2022-12-12 | Paper |
Entropic optimal transport: geometry and large deviations
Duke Mathematical Journal | 2022-12-08 | Paper |
Quantitative stability of regularized optimal transport and convergence of Sinkhorn's algorithm
SIAM Journal on Mathematical Analysis | 2022-11-18 | Paper |
Entropic optimal transport: convergence of potentials
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2022-10-24 | Paper |
| Martingale Transports and Monge Maps | 2022-09-28 | Paper |
Stability of entropic optimal transport and Schrödinger bridges
Journal of Functional Analysis | 2022-08-20 | Paper |
Climate change adaptation under heterogeneous beliefs
Mathematics and Financial Economics | 2022-07-15 | Paper |
The directional optimal transport
The Annals of Applied Probability | 2022-05-06 | Paper |
Fine properties of the optimal Skorokhod embedding problem
Journal of the European Mathematical Society (JEMS) | 2022-03-29 | Paper |
Reward design in risk-taking contests
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
Asset pricing with heterogeneous beliefs and illiquidity
Mathematical Finance | 2021-03-23 | Paper |
Conditional optimal stopping: a time-inconsistent optimization
The Annals of Applied Probability | 2021-03-18 | Paper |
Conditional optimal stopping: a time-inconsistent optimization
The Annals of Applied Probability | 2021-03-18 | Paper |
Convergence to the mean field game limit: a case study
The Annals of Applied Probability | 2020-05-13 | Paper |
Convergence to the mean field game limit: a case study
The Annals of Applied Probability | 2020-05-13 | Paper |
A Mean Field Competition
Mathematics of Operations Research | 2020-04-30 | Paper |
Multiperiod martingale transport
Stochastic Processes and their Applications | 2020-02-24 | Paper |
Canonical supermartingale couplings
The Annals of Probability | 2018-11-08 | Paper |
Canonical supermartingale couplings
The Annals of Probability | 2018-11-08 | Paper |
Robust utility maximization with Lévy processes
Mathematical Finance | 2018-04-13 | Paper |
A risk-neutral equilibrium leading to uncertain volatility pricing
Finance and Stochastics | 2018-04-06 | Paper |
A Mean Field Game of Optimal Stopping
SIAM Journal on Control and Optimization | 2018-04-05 | Paper |
Complete duality for martingale optimal transport on the line
The Annals of Probability | 2017-11-24 | Paper |
Complete duality for martingale optimal transport on the line
The Annals of Probability | 2017-11-24 | Paper |
Robust fundamental theorem for continuous processes
Mathematical Finance | 2017-10-24 | Paper |
Bounds for VIX futures given S{\&}P 500 smiles
Finance and Stochastics | 2017-07-21 | Paper |
Nonlinear Lévy processes and their characteristics
Transactions of the American Mathematical Society | 2016-10-18 | Paper |
Stochastic target games and dynamic programming via regularized viscosity solutions
Mathematics of Operations Research | 2016-04-15 | Paper |
Utility maximization under model uncertainty in discrete time
Mathematical Finance | 2016-04-14 | Paper |
Consistent price systems under model uncertainty
Finance and Stochastics | 2016-03-29 | Paper |
Optimal stopping under adverse nonlinear expectation and related games
The Annals of Applied Probability | 2015-10-20 | Paper |
Optimal stopping under adverse nonlinear expectation and related games
The Annals of Applied Probability | 2015-10-20 | Paper |
Robust superhedging with jumps and diffusion
Stochastic Processes and their Applications | 2015-10-12 | Paper |
Arbitrage and duality in nondominated discrete-time models
The Annals of Applied Probability | 2015-04-27 | Paper |
Arbitrage and duality in nondominated discrete-time models
The Annals of Applied Probability | 2015-04-27 | Paper |
Superreplication under model uncertainty in discrete time
Finance and Stochastics | 2015-02-06 | Paper |
Martingale inequalities and deterministic counterparts
Electronic Journal of Probability | 2015-02-03 | Paper |
Measurability of semimartingale characteristics with respect to the probability law
Stochastic Processes and their Applications | 2014-09-04 | Paper |
Stochastic target games with controlled loss
The Annals of Applied Probability | 2014-06-13 | Paper |
Stochastic target games with controlled loss
The Annals of Applied Probability | 2014-06-13 | Paper |
Constructing sublinear expectations on path space
Stochastic Processes and their Applications | 2014-04-28 | Paper |
Superreplication under volatility uncertainty for measurable claims
Electronic Journal of Probability | 2014-01-17 | Paper |
Random \(G\)-expectations
The Annals of Applied Probability | 2013-10-25 | Paper |
Random \(G\)-expectations
The Annals of Applied Probability | 2013-10-25 | Paper |
Power utility maximization in constrained exponential Lévy models
Mathematical Finance | 2013-05-14 | Paper |
Weak dynamic programming for generalized state constraints
SIAM Journal on Control and Optimization | 2013-03-19 | Paper |
The opportunity process for optimal consumption and investment with power utility
Mathematics and Financial Economics | 2013-01-20 | Paper |
The opportunity process for optimal consumption and investment with power utility
Mathematics and Financial Economics | 2013-01-20 | Paper |
Superhedging and dynamic risk measures under volatility uncertainty
SIAM Journal on Control and Optimization | 2012-11-29 | Paper |
A quasi-sure approach to the control of non-Markovian stochastic differential equations
Electronic Journal of Probability | 2012-06-22 | Paper |
Pathwise construction of stochastic integrals
Electronic Communications in Probability | 2012-06-22 | Paper |
Risk aversion asymptotics for power utility maximization
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-04-26 | Paper |
Risk aversion asymptotics for power utility maximization
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2012-04-26 | Paper |
The Bellman equation for power utility maximization with semimartingales
The Annals of Applied Probability | 2012-04-20 | Paper |
The Bellman equation for power utility maximization with semimartingales
The Annals of Applied Probability | 2012-04-20 | Paper |
Weak approximation of \(G\)-expectations
Stochastic Processes and their Applications | 2012-03-05 | Paper |
Small-Time Asymptotics of Option Prices and First Absolute Moments
Journal of Applied Probability | 2012-01-04 | Paper |
"On the Martingale Schr\""odinger Bridge between Two Distributions"
(available as arXiv preprint) | N/A | Paper |
Quadratically Regularized Optimal Transport: Existence and Multiplicity of Potentials
(available as arXiv preprint) | N/A | Paper |
