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