| Publication | Date of Publication | Type |
|---|
Financial equilibrium with preference updating
Mathematics and Financial Economics | 2026-01-13 | Paper |
Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
The Annals of Applied Probability | 2024-08-22 | Paper |
Price impact under heterogeneous beliefs and restricted participation
Journal of Economic Theory | 2024-01-19 | Paper |
Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
Stochastic Analysis, Filtering, and Stochastic Optimization | 2022-11-15 | Paper |
Portfolio theory and arbitrage. A course in mathematical finance
Graduate Studies in Mathematics | 2022-05-03 | Paper |
Ergodic robust maximization of asymptotic growth
The Annals of Applied Probability | 2021-11-04 | Paper |
Ergodic robust maximization of asymptotic growth
The Annals of Applied Probability | 2021-11-04 | Paper |
Effective risk aversion in thin risk‐sharing markets
Mathematical Finance | 2021-03-23 | Paper |
Filtration shrinkage, the structure of deflators, and failure of market completeness
Finance and Stochastics | 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
Electronic Communications in Probability | 2019-08-06 | Paper |
Projections of scaled Bessel processs
Electronic Communications in Probability | 2019-08-06 | Paper |
A time before which insiders would not undertake risk
Inspired by Finance | 2018-12-13 | Paper |
Robust fundamental theorem for continuous processes
Mathematical Finance | 2017-10-24 | Paper |
Equilibrium in risk-sharing games
Finance and Stochastics | 2017-07-21 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
Mathematical Finance | 2017-03-13 | Paper |
Continuous-time perpetuities and time reversal of diffusions
Finance and Stochastics | 2017-01-12 | Paper |
No arbitrage of the first kind and local martingale numéraires
Finance and Stochastics | 2016-10-27 | Paper |
Arbitrage of the first kind and filtration enlargements in semimartingale financial models
Stochastic Processes and their Applications | 2016-04-20 | Paper |
Maximality and numéraires in convex sets of nonnegative random variables
Journal of Functional Analysis | 2015-08-26 | Paper |
Optional decomposition for continuous semimartingales under arbitrary filtrations
Electronic Communications in Probability | 2015-08-17 | Paper |
Strict local martingales and bubbles
The Annals of Applied Probability | 2015-07-27 | Paper |
Strict local martingales and bubbles
The Annals of Applied Probability | 2015-07-27 | Paper |
| Incomplete stochastic equilibria for dynamic monetary utility | 2015-05-27 | Paper |
Valuation and parities for exchange options
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Valuation and parities for exchange options
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
On the stochastic behaviour of optional processes up to random times
The Annals of Applied Probability | 2015-04-27 | Paper |
On the stochastic behaviour of optional processes up to random times
The Annals of Applied Probability | 2015-04-27 | Paper |
| No arbitrage and local martingale deflators | 2015-01-18 | Paper |
Abstract, classic, and explicit turnpikes
Finance and Stochastics | 2014-11-14 | Paper |
Abstract, classic, and explicit turnpikes
Finance and Stochastics | 2014-11-14 | Paper |
Uniform integrability and local convexity in \(\mathbb L^0\)
Journal of Functional Analysis | 2014-06-03 | Paper |
On the characterisation of honest times that avoid all stopping times
Stochastic Processes and their Applications | 2014-02-06 | Paper |
Maximum penalized quasi-likelihood estimation of the diffusion function
Quantitative Finance | 2013-12-13 | Paper |
Maximum penalized quasi-likelihood estimation of the diffusion function
Quantitative Finance | 2013-12-13 | Paper |
On the closure in the emery topology of semimartingale wealth-process sets
The Annals of Applied Probability | 2013-09-05 | Paper |
On the closure in the emery topology of semimartingale wealth-process sets
The Annals of Applied Probability | 2013-09-05 | Paper |
Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading
Mathematical Finance | 2013-09-04 | Paper |
ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
Mathematical Finance | 2013-05-14 | Paper |
Forward-convex convergence in probability of sequences of nonnegative random variables
Proceedings of the American Mathematical Society | 2013-03-04 | Paper |
Generalized supermartingale deflators under limited information
Mathematical Finance | 2013-02-28 | Paper |
Valuation equations for stochastic volatility models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Valuation equations for stochastic volatility models
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
A structural characterization of numéraires of convex sets of nonnegative random variables
Positivity | 2013-01-03 | Paper |
Market viability via absence of arbitrage of the first kind
Finance and Stochastics | 2012-12-07 | Paper |
Strict local martingale deflators and valuing American call-type options
Finance and Stochastics | 2012-11-15 | Paper |
Robust maximization of asymptotic growth
The Annals of Applied Probability | 2012-09-19 | Paper |
Robust maximization of asymptotic growth
The Annals of Applied Probability | 2012-09-19 | Paper |
Balance, growth and diversity of financial markets
Annals of Finance | 2012-03-06 | Paper |
Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
Journal of Applied Probability | 2011-10-25 | Paper |
On the semimartingale property of discounted asset-price processes
Stochastic Processes and their Applications | 2011-10-11 | Paper |
Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
Contemporary Quantitative Finance | 2011-05-31 | Paper |
STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
Mathematical Finance | 2011-03-25 | Paper |
Numéraire-invariant preferences in financial modeling
The Annals of Applied Probability | 2010-10-04 | Paper |
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
Stochastic Processes and their Applications | 2010-03-01 | Paper |
Minimizing the Expected Market Time to Reach a Certain Wealth Level
SIAM Journal on Financial Mathematics | 2010-02-03 | Paper |
NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
Mathematical Finance | 2009-08-28 | Paper |
The numéraire portfolio in semimartingale financial models
Finance and Stochastics | 2007-12-16 | Paper |
Diversity and relative arbitrage in equity markets
Finance and Stochastics | 2005-05-20 | Paper |
