| Publication | Date of Publication | Type |
|---|
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
Annals of Operations Research | 2024-06-04 | Paper |
Risk‐sensitive benchmarked asset management with expert forecasts
Mathematical Finance | 2023-09-28 | Paper |
Perturbation analysis of sub/super hedging problems
Mathematical Finance | 2023-09-28 | Paper |
Informed traders
Financial Informatics | 2022-04-29 | Paper |
Pricing weather derivatives by marginal value
Quantitative Finance | 2019-01-14 | Paper |
Pricing, no-arbitrage bounds and robust hedging of instalment options
Quantitative Finance | 2019-01-14 | Paper |
Mathematical Finance: A Very Short Introduction
| 2018-09-28 | Paper |
Pathwise stochastic calculus with local times
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-01 | Paper |
Discussion of ``Elicitability and backtesting: perspectives for banking regulation
The Annals of Applied Statistics | 2018-02-19 | Paper |
Risk-sensitive investment in a finite-factor model
Stochastics | 2017-04-11 | Paper |
A Beaufort Scale of Predictability
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Verification of internal risk measure estimates
Statistics \& Risk Modeling | 2016-12-16 | Paper |
Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit risk
The Annals of Applied Probability | 2015-10-20 | Paper |
Jump-diffusion asset-liability management via risk-sensitive control
OR Spectrum | 2015-08-03 | Paper |
A note on utility-based pricing in models with transaction costs
Mathematics and Financial Economics | 2015-06-23 | Paper |
A note on utility-based pricing
Mathematics and Financial Economics | 2015-06-23 | Paper |
Risk-sensitive investment management
Advanced Series on Statistical Science \& Applied Probability | 2014-11-13 | Paper |
Taming animal spirits: risk management with behavioural factors
Annals of Finance | 2014-11-12 | Paper |
Arbitrage bounds for prices of weighted variance swaps
Mathematical Finance | 2014-11-05 | Paper |
Pathwise nonlinear filtering for nondegenerate diffusions with noise correlation
SIAM Journal on Control and Optimization | 2014-09-29 | Paper |
Large portfolio credit risk modeling
International Journal of Theoretical and Applied Finance | 2014-07-17 | Paper |
scientific article; zbMATH DE number 6296770 (Why is no real title available?)
| 2014-05-19 | Paper |
Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
SIAM Journal on Control and Optimization | 2013-07-17 | Paper |
Pathwise nonlinear filtering with correlated noise
| 2011-07-13 | Paper |
Impulse control of multidimensional jump diffusions
SIAM Journal on Control and Optimization | 2011-03-21 | Paper |
Jump-diffusion risk-sensitive asset management I: Diffusion factor model
SIAM Journal on Financial Mathematics | 2011-02-10 | Paper |
Informed traders
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-05-19 | Paper |
Optimal investment under partial information
Mathematical Methods of Operations Research | 2010-04-23 | Paper |
Arbitrage-free interpolation of the swap curve
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
Market completion using options
| 2008-11-04 | Paper |
Risk-sensitive benchmarked asset management
Quantitative Finance | 2008-08-07 | Paper |
scientific article; zbMATH DE number 5263208 (Why is no real title available?)
| 2008-04-14 | Paper |
Negative Libor rates in the swap market model
Finance and Stochastics | 2007-12-16 | Paper |
Martingale representation and all that
| 2007-10-23 | Paper |
THE RANGE OF TRADED OPTION PRICES
Mathematical Finance | 2007-06-08 | Paper |
Optimal hedging with basis risk
| 2006-10-23 | Paper |
Malliavin Monte Carlo Greeks for jump diffusions
Stochastic Processes and their Applications | 2005-12-29 | Paper |
Analysis of default data using hidden Markov models
Quantitative Finance | 2005-10-17 | Paper |
Complete–market models of stochastic volatility
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2004-08-06 | Paper |
scientific article; zbMATH DE number 1827976 (Why is no real title available?)
| 2002-11-13 | Paper |
Option valuation and hedging with basis risk
| 2002-09-12 | Paper |
scientific article; zbMATH DE number 1687011 (Why is no real title available?)
| 2002-08-11 | Paper |
scientific article; zbMATH DE number 1642339 (Why is no real title available?)
| 2001-11-18 | Paper |
A Markovian analysis of the finite-buffer M/D/1 queue
Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences | 2000-08-16 | Paper |
Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling
Annals of Operations Research | 1999-12-02 | Paper |
scientific article; zbMATH DE number 1222796 (Why is no real title available?)
| 1999-06-23 | Paper |
scientific article; zbMATH DE number 1254171 (Why is no real title available?)
| 1999-04-22 | Paper |
A pair of explicitly solvable singular stochastic control problems
Applied Mathematics and Optimization | 1998-12-07 | Paper |
A note on the forward measure
Finance and Stochastics | 1998-08-19 | Paper |
A new order estimation technique for time series modeling
IEEE Transactions on Automatic Control | 1997-12-01 | Paper |
A Target Recognition Problem: Sequential Analysis and Optimal Control
SIAM Journal on Control and Optimization | 1997-02-23 | Paper |
scientific article; zbMATH DE number 934464 (Why is no real title available?)
| 1996-11-19 | Paper |
scientific article; zbMATH DE number 845458 (Why is no real title available?)
| 1996-08-22 | Paper |
scientific article; zbMATH DE number 912564 (Why is no real title available?)
| 1996-08-01 | Paper |
scientific article; zbMATH DE number 852302 (Why is no real title available?)
| 1996-04-17 | Paper |
A new proof of the discrete-time LQG optimal control theorems
IEEE Transactions on Automatic Control | 1995-11-21 | Paper |
A note on super-replicating strategies
Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences | 1995-05-14 | Paper |
The writing price of a European contingent claim under proportional transaction costs
Computational and Applied Mathematics | 1994-12-18 | Paper |
scientific article; zbMATH DE number 503103 (Why is no real title available?)
| 1994-08-31 | Paper |
A problem of singular stochastic control with discretionary stopping
The Annals of Applied Probability | 1994-06-19 | Paper |
scientific article; zbMATH DE number 469332 (Why is no real title available?)
| 1993-12-20 | Paper |
scientific article; zbMATH DE number 425394 (Why is no real title available?)
| 1993-10-05 | Paper |
European Option Pricing with Transaction Costs
SIAM Journal on Control and Optimization | 1993-07-21 | Paper |
scientific article; zbMATH DE number 140586 (Why is no real title available?)
| 1993-03-28 | Paper |
A Deterministic Approach To Stochastic Optimal Control With Application To Anticipative Control
Stochastics and Stochastic Reports | 1993-01-17 | Paper |
Reducibility and unobservability of Markov processes: the linear system case
IEEE Transactions on Automatic Control | 1992-09-27 | Paper |
scientific article; zbMATH DE number 17492 (Why is no real title available?)
| 1992-06-26 | Paper |
scientific article; zbMATH DE number 4200127 (Why is no real title available?)
| 1991-01-01 | Paper |
Portfolio Selection with Transaction Costs
Mathematics of Operations Research | 1990-01-01 | Paper |
scientific article; zbMATH DE number 4120089 (Why is no real title available?)
| 1989-01-01 | Paper |
On the Minimum Principle for Controlled Diffusions on Manifolds
SIAM Journal on Control and Optimization | 1989-01-01 | Paper |
Impulse control of piecewise-deterministic processes
MCSS. Mathematics of Control, Signals, and Systems | 1989-01-01 | Paper |
Strong consistency of the PLS criterion for order determination of autoregressive processes
The Annals of Statistics | 1989-01-01 | Paper |
Recursive order estimation of stochastic control systems
Mathematical Systems Theory | 1989-01-01 | Paper |
Anticipative LQG Control
IMA Journal of Mathematical Control and Information | 1989-01-01 | Paper |
Approximations for optimal stopping of a piecewise-deterministic process
MCSS. Mathematics of Control, Signals, and Systems | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4099179 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4188921 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4072073 (Why is no real title available?)
| 1988-01-01 | Paper |
The Wiener space derivative for functionals of diffusions on manifolds
Nonlinearity | 1988-01-01 | Paper |
Optimal capacity expansion under uncertainty
Advances in Applied Probability | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4014393 (Why is no real title available?)
| 1987-01-01 | Paper |
The martingale maximum principle and the allocation of labour surplus
Journal of Economic Dynamics and Control | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4095357 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 4110603 (Why is no real title available?)
| 1987-01-01 | Paper |
scientific article; zbMATH DE number 3961484 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 4068688 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3879824 (Why is no real title available?)
| 1984-01-01 | Paper |
scientific article; zbMATH DE number 3901778 (Why is no real title available?)
| 1984-01-01 | Paper |
Lectures on stochastic control and nonlinear filtering. Lectures delivered at the Indian Institute of Science, Bangalore, under the T.I.F.R.-I.I.Sc. programme in applications of mathematics. Notes by K. M. Ramachandran
Lectures on Mathematics and Physics. Mathematics. Tata Institute of Fundamental Research | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3911411 (Why is no real title available?)
| 1983-01-01 | Paper |
scientific article; zbMATH DE number 3799542 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3766795 (Why is no real title available?)
| 1982-01-01 | Paper |
A note on a comparison theorem for equations with different diffusions
Stochastics | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3773484 (Why is no real title available?)
| 1981-01-01 | Paper |
scientific article; zbMATH DE number 3807471 (Why is no real title available?)
| 1981-01-01 | Paper |
Optimal Play in a Stochastic Differential Game
SIAM Journal on Control and Optimization | 1981-01-01 | Paper |
Factorization of a multiplicative functional of nonlinear filtering theory
Systems \& Control Letters | 1981-01-01 | Paper |
Comments on "Weaker conditions for innovations informational equivalence in the independent Gaussian case"
IEEE Transactions on Automatic Control | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3750823 (Why is no real title available?)
| 1980-01-01 | Paper |
On a multiplicative functional transformation arising in nonlinear filtering theory
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
Capacity and cutoff rate for Poisson-type channels
IEEE Transactions on Information Theory | 1980-01-01 | Paper |
Functionals of diffusion processes as stochastic integrals
Mathematical Proceedings of the Cambridge Philosophical Society | 1980-01-01 | Paper |
Stochastic control by measure transformation: A general existence result
Information Sciences | 1980-01-01 | Paper |
Existence of Optimal Controls for Stochastic Jump Processes
SIAM Journal on Control and Optimization | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3637702 (Why is no real title available?)
| 1979-01-01 | Paper |
On “predicted miss” stochastic control problems
Stochastics | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3608924 (Why is no real title available?)
| 1978-01-01 | Paper |
A direct proof of innovations/observations equivalence for Gaussian procedures (Corresp.)
IEEE Transactions on Information Theory | 1978-01-01 | Paper |
The general point process disorder problem (Corresp.)
IEEE Transactions on Information Theory | 1977-01-01 | Paper |
scientific article; zbMATH DE number 3682726 (Why is no real title available?)
| 1977-01-01 | Paper |
Optimal control of a jump process
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1977-01-01 | Paper |
Exact and approximate filtering in signal detection: An example (Corresp.)
IEEE Transactions on Information Theory | 1977-01-01 | Paper |
The Representation of Martingales of Jump Processes
SIAM Journal on Control and Optimization | 1976-01-01 | Paper |
Martingales of Wiener and Poisson Processes
Journal of the London Mathematical Society | 1976-01-01 | Paper |
The Separation Principle in Stochastic Control via Girsanov Solutions
SIAM Journal on Control and Optimization | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3518072 (Why is no real title available?)
| 1976-01-01 | Paper |
scientific article; zbMATH DE number 3576490 (Why is no real title available?)
| 1976-01-01 | Paper |
On Stochastic Differentiation
Theory of Probability & Its Applications | 1975-01-01 | Paper |
scientific article; zbMATH DE number 3550571 (Why is no real title available?)
| 1975-01-01 | Paper |
The application of nonlinear filtering to fault detection in linear systems
IEEE Transactions on Automatic Control | 1975-01-01 | Paper |
Nonlinear filtering with counting observations
IEEE Transactions on Information Theory | 1975-01-01 | Paper |
The multiplicity of an increasing family of \(\sigma\)-fields
The Annals of Probability | 1974-01-01 | Paper |
scientific article; zbMATH DE number 3455130 (Why is no real title available?)
| 1973-01-01 | Paper |
On the Existence of Optimal Policies in Stochastic Control
SIAM Journal on Control | 1973-01-01 | Paper |
Dynamic Programming Conditions for Partially Observable Stochastic Systems
SIAM Journal on Control | 1973-01-01 | Paper |
Information states for linear stochastic systems
Journal of Mathematical Analysis and Applications | 1972-01-01 | Paper |
