| Publication | Date of Publication | Type |
|---|
Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game
Applied Mathematics and Optimization | 2025-01-06 | Paper |
Mean field games with absorption and common noise with a model of bank run
Stochastic Processes and their Applications | 2023-09-15 | Paper |
| Correlated equilibria for mean field games with progressive strategies | 2022-12-03 | Paper |
Mean-field games of finite-fuel capacity expansion with singular controls
The Annals of Applied Probability | 2022-10-31 | Paper |
A McKean-Vlasov game of commodity production, consumption and trading
Applied Mathematics and Optimization | 2022-09-23 | Paper |
\(N\)-player games and mean-field games with smooth dependence on past absorptions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2022-02-25 | Paper |
An impulse-regime switching game model of vertical competition
Dynamic Games and Applications | 2022-01-20 | Paper |
Correction to: ``No-arbitrage commodity option pricing with market manipulation
Mathematics and Financial Economics | 2021-05-05 | Paper |
Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model
Stochastic Processes and their Applications | 2021-02-18 | Paper |
| MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts | 2021-01-15 | Paper |
Optimal market making under partial information with general intensities
Applied Mathematical Finance | 2020-10-20 | Paper |
Nonzero-sum stochastic differential games between an impulse controller and a stopper
Journal of Optimization Theory and Applications | 2020-08-25 | Paper |
No-arbitrage commodity option pricing with market manipulation
Mathematics and Financial Economics | 2020-06-18 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Mathematics of Operations Research | 2020-04-30 | Paper |
On the support of extremal martingale measures with given marginals: the countable case
Advances in Applied Probability | 2019-12-09 | Paper |
On the support of extremal martingale measures with given marginals: the countable case
Advances in Applied Probability | 2019-12-09 | Paper |
\(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
Statistics & Probability Letters | 2019-09-25 | Paper |
\(\varepsilon\)-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps
Statistics & Probability Letters | 2019-09-25 | Paper |
A Note on Market Completeness with American Put Options
Inspired by Finance | 2018-12-13 | Paper |
Utility indifference pricing and hedging for structured contracts in energy markets
Mathematical Methods of Operations Research | 2017-08-11 | Paper |
Change of numeraire in the two-marginals martingale transport problem
Finance and Stochastics | 2017-04-13 | Paper |
Utility indifference valuation for non-smooth payoffs with an application to power derivatives
Applied Mathematics and Optimization | 2016-05-12 | Paper |
Utility indifference valuation for non-smooth payoffs with an application to power derivatives
Applied Mathematics and Optimization | 2016-05-12 | Paper |
A probabilistic numerical method for optimal multiple switching problems in high dimension
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
A probabilistic numerical method for optimal multiple switching problems in high dimension
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
Multivariate utility maximization with proportional transaction costs
Finance and Stochastics | 2014-12-17 | Paper |
Explicit construction of a dynamic Bessel bridge of dimension 3
Electronic Journal of Probability | 2014-01-17 | Paper |
On the existence of shadow prices
Finance and Stochastics | 2013-11-06 | Paper |
A structural risk-neutral model for pricing and hedging power derivatives
Mathematical Finance | 2013-09-04 | Paper |
Efficient portfolios in financial markets with proportional transaction costs
Mathematics and Financial Economics | 2013-08-06 | Paper |
Equilibrium model with default and dynamic insider information
Finance and Stochastics | 2013-07-18 | Paper |
Weak Insider Trading and Behavioral Finance
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Multivariate utility maximization with proportional transaction costs and random endowment
SIAM Journal on Control and Optimization | 2012-09-12 | Paper |
Dynamic Markov bridges motivated by models of insider trading
Stochastic Processes and their Applications | 2011-07-08 | Paper |
A structural risk-neutral model of electricity prices
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
Mean-variance hedging in large financial markets
Stochastic Analysis and Applications | 2009-12-11 | Paper |
Systematic equity-based credit risk: A CEV model with jump to default
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
Finance and Stochastics | 2007-12-16 | Paper |
A super-replication theorem in Kabanov's model of transaction costs
Finance and Stochastics | 2007-05-29 | Paper |
A note on extremality and completeness in financial markets with infinitely many risky assets
Rendiconti del Seminario Matematico della Università di Padova | 2007-02-01 | Paper |
Some results on quadratic hedging with insider trading
Stochastics | 2005-11-15 | Paper |
Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions
Decisions in Economics and Finance | 2005-02-11 | Paper |
Coarse correlated equilibria for continuous time mean field games in open loop strategies
(available as arXiv preprint) | N/A | Paper |
