| Publication | Date of Publication | Type |
|---|
Dynamic equilibrium with insider information and general uninformed agent utility
Mathematical Finance | 2025-01-20 | Paper |
Mortgage contracts and underwater default
SIAM Journal on Financial Mathematics | 2024-05-22 | Paper |
Optimal investment, derivative demand, and arbitrage under price impact
Mathematical Finance | 2023-09-27 | Paper |
Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
Journal of Economic Dynamics and Control | 2022-08-31 | 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 |
Dynamic noisy rational expectations equilibrium with insider information
Econometrica | 2021-06-07 | Paper |
Analytical theory of Hawking radiation in dispersive media
New Journal of Physics | 2020-12-02 | Paper |
Optimal investment and pricing in the presence of defaults
Mathematical Finance | 2020-05-14 | Paper |
Indifference pricing for contingent claims: large deviations effects
Mathematical Finance | 2018-04-13 | Paper |
Endogenous current coupons
Finance and Stochastics | 2017-10-23 | Paper |
The pricing of contingent claims and optimal positions in asymptotically complete markets
The Annals of Applied Probability | 2017-09-15 | Paper |
Pricing for large positions in contingent claims
Mathematical Finance | 2017-07-21 | Paper |
Long-term optimal investment in matrix valued factor models
SIAM Journal on Financial Mathematics | 2017-07-20 | Paper |
Continuous-time perpetuities and time reversal of diffusions
Finance and Stochastics | 2017-01-12 | Paper |
Large time behavior of solutions to semilinear equations with quadratic growth in the gradient
SIAM Journal on Control and Optimization | 2016-05-31 | Paper |
Static fund separation of long-term investments
Mathematical Finance | 2015-10-20 | 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 |
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 |
Portfolios and risk premia for the long run
The Annals of Applied Probability | 2012-04-20 | Paper |
Portfolios and risk premia for the long run
The Annals of Applied Probability | 2012-04-20 | Paper |
Sample path large deviations and optimal importance sampling for stochastic volatility models
Stochastic Processes and their Applications | 2010-01-15 | Paper |
Optimal importance sampling with explicit formulas in continuous time
Finance and Stochastics | 2008-06-18 | Paper |
Equilibrium with Heterogeneous Information Flows
(available as arXiv preprint) | N/A | Paper |
