| Publication | Date of Publication | Type |
|---|
| Sparse vector and low rank recovery phase transitions: uncovering the explicit relations | 2025-01-23 | Paper |
| Systemic Portfolio Diversification | 2024-03-20 | Paper |
| Disruption and Rerouting in Supply Chain Networks | 2024-03-12 | Paper |
| Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors | 2024-02-23 | Paper |
| Machine Learning and Data Sciences for Financial Markets | 2023-03-01 | Paper |
| Large Sample Mean-Field Stochastic Optimization | 2022-08-23 | Paper |
| Systemic risk-driven portfolio selection | 2022-08-05 | Paper |
| Market efficient portfolios in a systemic economy | 2022-05-31 | Paper |
| Robust XVA | 2021-03-23 | Paper |
| A dynamic network model of interbank lending -- systemic risk and liquidity provisioning | 2021-01-08 | Paper |
| Firm capital dynamics in centrally cleared markets | 2020-05-14 | Paper |
| Risk-sensitive asset management and cascading defaults | 2020-03-11 | Paper |
| Credit portfolio selection with decaying contagion intensities | 2019-05-08 | Paper |
| Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors | 2018-11-28 | Paper |
| Portfolio Choice with Market--Credit-Risk Dependencies | 2018-08-24 | Paper |
| Systemic risk mitigation in financial networks | 2018-08-13 | Paper |
| Arbitrage-free XVA | 2018-05-25 | Paper |
| Dynamic investment and counterparty risk | 2018-03-14 | Paper |
| Stochastic Filtering for Diffusion Processes With Level Crossings | 2017-08-25 | Paper |
| Optimal credit investment with borrowing costs | 2017-06-02 | Paper |
| Optimal investment under information driven contagious distress | 2017-05-24 | Paper |
| Robust optimization of credit portfolios | 2017-04-13 | Paper |
| Liability concentration and systemic losses in financial networks | 2016-12-20 | Paper |
| Optimal investment in credit derivatives portfolio under contagion risk | 2016-11-01 | Paper |
| Dynamic credit investment in partially observed markets | 2015-11-09 | Paper |
| Dynamic contracting: accidents lead to nonlinear contracts | 2015-10-21 | Paper |
| Systemic risk in interbanking networks | 2015-06-26 | Paper |
| Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis | 2015-02-21 | Paper |
| Default and systemic risk in equilibrium | 2015-02-20 | Paper |
| Pricing vulnerable claims in a Lévy-driven model | 2015-02-06 | Paper |
| Arbitrage-Free Pricing of XVA -- Part I: Framework and Explicit Examples | 2015-01-23 | Paper |
| Will banning naked CDS impact bond prices? | 2014-12-12 | Paper |
| Bilateral credit valuation adjustment for large credit derivatives portfolios | 2014-11-07 | Paper |
| Dynamic portfolio optimization with a defaultable security and regime-switching | 2014-05-14 | Paper |
| Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets | 2014-05-14 | Paper |
| Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps | 2014-04-23 | Paper |
| Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk | 2013-06-24 | Paper |
| Optimal contracting with effort and misvaluation | 2013-02-26 | Paper |
| A variational approach to contracting under imperfect observations | 2013-01-25 | Paper |
| Expressing stochastic filters via number sequences | 2010-08-06 | Paper |
| A convex optimization approach to filtering in jump linear systems with state dependent transitions | 2010-07-13 | Paper |
| Bounded families for the on-line \(t\)-relaxed coloring | 2009-12-18 | Paper |
| CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION | 2009-06-23 | Paper |
| A New Algorithm for On-line Coloring Bipartite Graphs | 2009-03-16 | Paper |
| Accuracy of fused track for radar systems | 2008-11-25 | Paper |
| On-Line Coloring of H-Free Bipartite Graphs | 2007-05-02 | Paper |
