| Publication | Date of Publication | Type |
|---|
| Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance | 2024-08-22 | Paper |
| Price impact under heterogeneous beliefs and restricted participation | 2024-01-19 | Paper |
| Incomplete stochastic equilibria with exponential utilities close to Pareto optimality | 2022-11-15 | Paper |
| Portfolio theory and arbitrage. A course in mathematical finance | 2022-05-03 | Paper |
| Ergodic robust maximization of asymptotic growth | 2021-11-04 | Paper |
| Effective risk aversion in thin risk‐sharing markets | 2021-03-23 | Paper |
| Filtration shrinkage, the structure of deflators, and failure of market completeness | 2020-11-11 | Paper |
| Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance | 2019-08-11 | Paper |
| Projections of scaled Bessel processs | 2019-08-06 | Paper |
| A time before which insiders would not undertake risk | 2018-12-13 | Paper |
| Robust fundamental theorem for continuous processes | 2017-10-24 | Paper |
| Equilibrium in risk-sharing games | 2017-07-21 | Paper |
| THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS | 2017-03-13 | Paper |
| Continuous-time perpetuities and time reversal of diffusions | 2017-01-12 | Paper |
| No arbitrage of the first kind and local martingale numéraires | 2016-10-27 | Paper |
| Arbitrage of the first kind and filtration enlargements in semimartingale financial models | 2016-04-20 | Paper |
| Maximality and numéraires in convex sets of nonnegative random variables | 2015-08-26 | Paper |
| Optional decomposition for continuous semimartingales under arbitrary filtrations | 2015-08-17 | Paper |
| Strict local martingales and bubbles | 2015-07-27 | Paper |
| Incomplete stochastic equilibria for dynamic monetary utility | 2015-05-27 | Paper |
| Valuation and parities for exchange options | 2015-05-15 | Paper |
| On the stochastic behaviour of optional processes up to random times | 2015-04-27 | Paper |
| No arbitrage and local martingale deflators | 2015-01-18 | Paper |
| Abstract, classic, and explicit turnpikes | 2014-11-14 | Paper |
| Uniform integrability and local convexity in \(\mathbb L^0\) | 2014-06-03 | Paper |
| On the characterisation of honest times that avoid all stopping times | 2014-02-06 | Paper |
| Maximum penalized quasi-likelihood estimation of the diffusion function | 2013-12-13 | Paper |
| On the closure in the emery topology of semimartingale wealth-process sets | 2013-09-05 | Paper |
| Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading | 2013-09-04 | Paper |
| ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM | 2013-05-14 | Paper |
| Forward-convex convergence in probability of sequences of nonnegative random variables | 2013-03-04 | Paper |
| Generalized supermartingale deflators under limited information | 2013-02-28 | Paper |
| Valuation equations for stochastic volatility models | 2013-01-25 | Paper |
| A structural characterization of numéraires of convex sets of nonnegative random variables | 2013-01-03 | Paper |
| Market viability via absence of arbitrage of the first kind | 2012-12-07 | Paper |
| Strict local martingale deflators and valuing American call-type options | 2012-11-15 | Paper |
| Robust maximization of asymptotic growth | 2012-09-19 | Paper |
| Balance, growth and diversity of financial markets | 2012-03-06 | Paper |
| Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation | 2011-10-25 | Paper |
| On the semimartingale property of discounted asset-price processes | 2011-10-11 | Paper |
| Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing | 2011-05-31 | Paper |
| STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS | 2011-03-25 | Paper |
| Numéraire-invariant preferences in financial modeling | 2010-10-04 | Paper |
| The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints | 2010-03-01 | Paper |
| Minimizing the Expected Market Time to Reach a Certain Wealth Level | 2010-02-03 | Paper |
| NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT | 2009-08-28 | Paper |
| The numéraire portfolio in semimartingale financial models | 2007-12-16 | Paper |
| Diversity and relative arbitrage in equity markets | 2005-05-20 | Paper |
