| Publication | Date of Publication | Type |
|---|
Mean-field liquidation games with market drop-out
Mathematical Finance | 2024-11-20 | Paper |
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
Finance and Stochastics | 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
Mathematical Finance | 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
The Annals of Applied Probability | 2022-12-20 | Paper |
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption
SIAM Journal on Control and Optimization | 2022-11-03 | Paper |
Portfolio liquidation under factor uncertainty
The Annals of Applied Probability | 2022-03-21 | Paper |
A mean field game of optimal portfolio liquidation
Mathematics of Operations Research | 2022-02-08 | Paper |
Continuous viscosity solutions to linear-quadratic stochastic control problems with singular terminal state constraint
Applied Mathematics and Optimization | 2021-08-11 | Paper |
Functional limit theorems for marked Hawkes point measures
Stochastic Processes and their Applications | 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
SIAM Journal on Control and Optimization | 2020-07-30 | Paper |
A diffusion approximation for limit order book models
Stochastic Processes and their Applications | 2019-11-27 | Paper |
Multi-dimensional optimal trade execution under stochastic resilience
Finance and Stochastics | 2019-09-19 | Paper |
A scaling limit for limit order books driven by Hawkes processes
SIAM Journal on Financial Mathematics | 2019-07-26 | Paper |
Trading under market impact: crossing networks interacting with dealer markets
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
Second order approximations for limit order books
Finance and Stochastics | 2018-10-08 | Paper |
Optimal order display in limit order markets with liquidity competition
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Sender-receiver games with cooperation
Journal of Mathematical Economics | 2018-05-09 | Paper |
Smooth solutions to portfolio liquidation problems under price-sensitive market impact
Stochastic Processes and their Applications | 2018-02-13 | Paper |
A functional limit theorem for limit order books with state dependent price dynamics
The Annals of Applied Probability | 2018-01-04 | Paper |
A functional limit theorem for limit order books with state dependent price dynamics
The Annals of Applied Probability | 2018-01-04 | Paper |
Optimal trade execution with instantaneous price impact and stochastic resilience
SIAM Journal on Control and Optimization | 2017-12-11 | Paper |
Mean field games with singular controls
SIAM Journal on Control and Optimization | 2017-12-11 | Paper |
A Law of Large Numbers for Limit Order Books
Mathematics of Operations Research | 2017-12-07 | Paper |
Maximum principle for quasi-linear reflected backward SPDEs
Journal of Mathematical Analysis and Applications | 2017-09-05 | Paper |
A weak law of large numbers for a limit order book model with fully state dependent order dynamics
SIAM Journal on Financial Mathematics | 2017-06-02 | Paper |
Conditional Analysis and a Principal-Agent Problem
SIAM Journal on Financial Mathematics | 2016-08-17 | Paper |
Equilibrium pricing in incomplete markets under translation invariant preferences
Mathematics of Operations Research | 2016-04-15 | Paper |
A constrained control problem with degenerate coefficients and degenerate backward SPDEs with singular terminal condition
SIAM Journal on Control and Optimization | 2016-04-11 | Paper |
Feasibility and individual rationality in two-person Bayesian games
International Journal of Game Theory | 2016-04-08 | Paper |
A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
SIAM Journal on Control and Optimization | 2015-06-02 | Paper |
When to cross the spread? Trading in two-sided limit order books
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Continuous equilibrium in affine and information-based capital asset pricing models
Annals of Finance | 2014-11-12 | Paper |
Forward-backward systems for expected utility maximization
Stochastic Processes and their Applications | 2014-08-27 | Paper |
Efficiency and equilibria in games of optimal derivative design
Mathematics and Financial Economics | 2013-02-26 | Paper |
Efficiency and equilibria in games of optimal derivative design
Mathematics and Financial Economics | 2013-02-26 | Paper |
On securitization, market completion and equilibrium risk transfer
Mathematics and Financial Economics | 2013-01-20 | Paper |
On derivatives with illiquid underlying and market manipulation
Quantitative Finance | 2011-08-19 | Paper |
A limit theorem for systems of social interactions
Journal of Mathematical Economics | 2009-11-23 | Paper |
Risk minimization and optimal derivative design in a principal agent game
Mathematics and Financial Economics | 2009-09-18 | Paper |
A Limit Theorem for Financial Markets with Inert Investors
Mathematics of Operations Research | 2008-05-27 | Paper |
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
Macroeconomic Dynamics | 2008-05-22 | Paper |
On non-ergodic asset prices
Economic Theory | 2007-12-10 | Paper |
| Queueing Theoretic Approaches to Financial Price Fluctuations | 2007-03-28 | Paper |
Equilibria in systems of social interactions
Journal of Economic Theory | 2006-12-07 | Paper |
Rational expectations equilibria of economies with local interactions
Journal of Economic Theory | 2006-05-18 | Paper |
Financial price fluctuations in a stock market model with many interacting agents
Economic Theory | 2006-01-31 | Paper |
Stationary equilibria in discounted stochastic games with weakly interacting players
Games and Economic Behavior | 2005-08-05 | Paper |
Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
Journal of Mathematical Economics | 2005-06-13 | Paper |
Convergence of locally and globally interacting Markov chains.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Stability of linear stochastic difference equations in strategically controlled random environments
Advances in Applied Probability | 2004-03-07 | Paper |
Asymptotics of locally-interacting Markov chains with global signals
Advances in Applied Probability | 2003-06-18 | Paper |
The stochastic equation \(Y_{t+1}= A_t Y_t+ B_t\) with non-stationary coefficients
Journal of Applied Probability | 2002-06-30 | Paper |
Functional Limit Theorems for Hawkes Processes
(available as arXiv preprint) | N/A | Paper |
