| Publication | Date of Publication | Type |
|---|
| Mean-field liquidation games with market drop-out | 2024-11-20 | Paper |
| Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies | 2024-07-02 | Paper |
| Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility | 2023-12-14 | Paper |
| Second-Order Regular Variation and Second-Order Approximation of Hawkes Processes | 2023-11-05 | Paper |
| Portfolio liquidation games with self‐exciting order flow | 2023-09-28 | Paper |
| Second-Order Approximation of Limit Order Books in a Single-Scale Regime | 2023-08-01 | Paper |
| The microstructure of stochastic volatility models with self-exciting jump dynamics | 2022-12-20 | Paper |
| A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption | 2022-11-03 | Paper |
| Portfolio liquidation under factor uncertainty | 2022-03-21 | Paper |
| A Mean Field Game of Optimal Portfolio Liquidation | 2022-02-08 | Paper |
| Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint | 2021-08-11 | Paper |
| Functional limit theorems for marked Hawkes point measures | 2021-04-27 | Paper |
| Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies | 2021-03-10 | Paper |
| Mean-Field Leader-Follower Games with Terminal State Constraint | 2020-07-30 | Paper |
| A diffusion approximation for limit order book models | 2019-11-27 | Paper |
| Multi-dimensional optimal trade execution under stochastic resilience | 2019-09-19 | Paper |
| A Scaling Limit for Limit Order Books Driven by Hawkes Processes | 2019-07-26 | Paper |
| Trading under market impact: crossing networks interacting with dealer markets | 2019-03-27 | Paper |
| Second order approximations for limit order books | 2018-10-08 | Paper |
| Optimal order display in limit order markets with liquidity competition | 2018-08-13 | Paper |
| Sender-receiver games with cooperation | 2018-05-09 | Paper |
| Smooth solutions to portfolio liquidation problems under price-sensitive market impact | 2018-02-13 | Paper |
| A functional limit theorem for limit order books with state dependent price dynamics | 2018-01-04 | Paper |
| Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience | 2017-12-11 | Paper |
| Mean Field Games with Singular Controls | 2017-12-11 | Paper |
| A Law of Large Numbers for Limit Order Books | 2017-12-07 | Paper |
| Maximum principle for quasi-linear reflected backward SPDEs | 2017-09-05 | Paper |
| A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics | 2017-06-02 | Paper |
| Conditional Analysis and a Principal-Agent Problem | 2016-08-17 | Paper |
| Equilibrium pricing in incomplete markets under translation invariant preferences | 2016-04-15 | Paper |
| A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition | 2016-04-11 | Paper |
| Feasibility and individual rationality in two-person Bayesian games | 2016-04-08 | Paper |
| A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions | 2015-06-02 | Paper |
| When to Cross the Spread? Trading in Two-Sided Limit Order Books | 2015-01-20 | Paper |
| Continuous equilibrium in affine and information-based capital asset pricing models | 2014-11-12 | Paper |
| Forward-backward systems for expected utility maximization | 2014-08-27 | Paper |
| Efficiency and equilibria in games of optimal derivative design | 2013-02-26 | Paper |
| On securitization, market completion and equilibrium risk transfer | 2013-01-20 | Paper |
| On derivatives with illiquid underlying and market manipulation | 2011-08-19 | Paper |
| A limit theorem for systems of social interactions | 2009-11-23 | Paper |
| Risk minimization and optimal derivative design in a principal agent game | 2009-09-18 | Paper |
| A Limit Theorem for Financial Markets with Inert Investors | 2008-05-27 | Paper |
| QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS | 2008-05-22 | Paper |
| On non-ergodic asset prices | 2007-12-10 | Paper |
| Queueing Theoretic Approaches to Financial Price Fluctuations | 2007-03-28 | Paper |
| Equilibria in systems of social interactions | 2006-12-07 | Paper |
| Rational expectations equilibria of economies with local interactions | 2006-05-18 | Paper |
| Financial price fluctuations in a stock market model with many interacting agents | 2006-01-31 | Paper |
| Stationary equilibria in discounted stochastic games with weakly interacting players | 2005-08-05 | Paper |
| Equilibria in financial markets with heterogeneous agents: a probabilistic perspective | 2005-06-13 | Paper |
| Convergence of locally and globally interacting Markov chains. | 2005-02-25 | Paper |
| Stability of linear stochastic difference equations in strategically controlled random environments | 2004-03-07 | Paper |
| Asymptotics of locally-interacting Markov chains with global signals | 2003-06-18 | Paper |
| The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients | 2002-06-30 | Paper |
| Functional Limit Theorems for Hawkes Processes | N/A | Paper |
