| Publication | Date of Publication | Type |
|---|
No-arbitrage in a numéraire-independent modeling framework
Mathematical Finance | 2024-05-06 | Paper |
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research | 2024-02-27 | Paper |
Liquidity Provision with Adverse Selection and Inventory Costs
Mathematics of Operations Research | 2024-02-27 | Paper |
An elementary proof of the dual representation of expected shortfall
Mathematics and Financial Economics | 2024-01-10 | Paper |
An elementary approach to the Merton problem
Mathematical Finance | 2023-09-28 | Paper |
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
Mathematical Finance | 2023-09-28 | Paper |
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
Finance and Stochastics | 2022-12-28 | Paper |
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\)
Finance and Stochastics | 2022-12-28 | Paper |
Bubbles in discrete-time models
Finance and Stochastics | 2022-09-26 | Paper |
| Vague and weak convergence of signed measures | 2022-05-26 | Paper |
| A continuity theorem for generalised signed measures with an application to Karamata's Tauberian theorem | 2022-05-25 | Paper |
Equilibrium asset pricing with transaction costs
Finance and Stochastics | 2021-04-29 | Paper |
Trading with small nonlinear price impact
The Annals of Applied Probability | 2020-08-17 | Paper |
Scaling limits of processes with fast nonlinear mean reversion
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Scaling limits of processes with fast nonlinear mean reversion
Stochastic Processes and their Applications | 2020-04-07 | Paper |
Sensitivity of optimal consumption streams
Stochastic Processes and their Applications | 2019-06-28 | Paper |
Strict local martingales and optimal investment in a Black-Scholes model with a bubble
Mathematical Finance | 2019-05-08 | Paper |
Strict local martingales and optimal investment in a Black-Scholes model with a bubble
Mathematical Finance | 2019-05-08 | Paper |
Semi‐efficient valuations and put‐call parity
Mathematical Finance | 2018-11-02 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Stability of Radner equilibria with respect to small frictions
Finance and Stochastics | 2018-04-06 | Paper |
Minimal conditions for implications of Gronwall-Bellman type
Journal of Mathematical Analysis and Applications | 2016-10-31 | Paper |
Strong bubbles and strict local martingales
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Single jump processes and strict local martingales
Stochastic Processes and their Applications | 2015-12-23 | Paper |
