| Publication | Date of Publication | Type |
|---|
Convergence of adapted empirical measures on \(\mathbb{R}^d\)
The Annals of Applied Probability | 2024-10-16 | Paper |
Designing universal causal deep learning models: The geometric (Hyper)transformer
Mathematical Finance | 2024-03-14 | Paper |
| Optimal reinsurance from an optimal transport perspective | 2023-12-11 | Paper |
| Calibration of the Bass Local Volatility model | 2023-11-24 | Paper |
Weak transport for non‐convex costs and model‐independence in a fixed‐income market
Mathematical Finance | 2023-09-28 | Paper |
| Characterization of transport optimizers via graphs and applications to Stackelberg-Cournot-Nash equilibria | 2023-06-06 | Paper |
| Convergence of Adapted Empirical Measures on $\mathbb{R}^{d}$ | 2022-11-18 | Paper |
| A short proof of the characterisation of convex order using the 2-Wasserstein distance | 2022-07-05 | Paper |
Model-independent pricing with insider information: a Skorokhod embedding approach
Advances in Applied Probability | 2022-01-18 | Paper |
Cournot-Nash equilibrium and optimal transport in a dynamic setting
SIAM Journal on Control and Optimization | 2021-06-22 | Paper |
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures
SIAM Journal on Financial Mathematics | 2020-05-29 | Paper |
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Stochastic Processes and their Applications | 2020-04-01 | Paper |
Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
Stochastic Processes and their Applications | 2020-04-01 | Paper |
Semi-static completeness and robust pricing by informed investors
The Annals of Applied Probability | 2017-11-07 | Paper |
Semi-static completeness and robust pricing by informed investors
The Annals of Applied Probability | 2017-11-07 | Paper |
The space of outcomes of semi-static trading strategies need not be closed
Finance and Stochastics | 2017-07-21 | Paper |
The space of outcomes of semi-static trading strategies need not be closed
Finance and Stochastics | 2017-07-21 | Paper |
Characterization of max-continuous local martingales vanishing at infinity
Electronic Communications in Probability | 2016-12-21 | Paper |
Characterization of max-continuous local martingales vanishing at infinity
Electronic Communications in Probability | 2016-12-21 | Paper |
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Stochastic Processes and their Applications | 2016-04-20 | Paper |
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Mathematical Finance | 2016-04-14 | Paper |
Are law-invariant risk functions concave on distributions?
Dependence Modeling | 2014-05-21 | Paper |
On the lower arbitrage bound of American contingent claims
Mathematical Finance | 2014-04-23 | Paper |
A trajectorial interpretation of Doob's martingale inequalities
The Annals of Applied Probability | 2013-09-05 | Paper |
A trajectorial interpretation of Doob's martingale inequalities
The Annals of Applied Probability | 2013-09-05 | Paper |
Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
Decisions in Economics and Finance | 2013-07-19 | Paper |
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Finance and Stochastics | 2012-12-07 | Paper |
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Finance and Stochastics | 2012-12-07 | Paper |
Short note on inf-convolution preserving the Fatou property
Annals of Finance | 2012-03-08 | Paper |
Dynamic risk measures
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
Optimal risk sharing with different reference probabilities
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Optimal risk sharing with non-monotone monetary functionals
Finance and Stochastics | 2007-12-16 | Paper |
Absolutely continuous optimal martingale measures
Statistics & Decisions | 2006-01-23 | Paper |
Existence of Radial Solutions for Quasilinear Elliptic Equations with Singular Nonlinearities
Advanced Nonlinear Studies | 2004-03-07 | Paper |
