| Publication | Date of Publication | Type |
|---|
Technical note -- Characterizing and computing the set of Nash equilibria via vector optimization
Operations Research | 2024-12-20 | Paper |
Short communication: on the separability of vector-valued risk measures
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
Deep learning the efficient frontier of convex vector optimization problems
Journal of Global Optimization | 2024-10-14 | Paper |
Interbank asset-liability networks with fire sale management
Journal of Economic Dynamics and Control | 2023-11-15 | Paper |
Decentralized payment clearing using blockchain and optimal bidding
European Journal of Operational Research | 2023-07-10 | Paper |
Contagious McKean-Vlasov systems with heterogeneous impact and exposure
Finance and Stochastics | 2023-07-06 | Paper |
Optimal network compression
European Journal of Operational Research | 2023-07-03 | Paper |
Contingent Convertible Obligations and Financial Stability
SIAM Journal on Financial Mathematics | 2023-03-31 | Paper |
Endogenous inverse demand functions
Operations Research | 2022-12-01 | Paper |
| Endogenous Distress Contagion in a Dynamic Interbank Model | 2022-11-28 | Paper |
Continuity and sensitivity analysis of parameterized Nash games
Economic Theory Bulletin | 2022-11-23 | Paper |
Short communication: clearing prices under margin calls and the short squeeze
SIAM Journal on Financial Mathematics | 2022-11-04 | Paper |
Pricing of debt and equity in a financial network with comonotonic endowments
Operations Research | 2022-09-19 | Paper |
Set-valued dynamic risk measures for processes and for vectors
Finance and Stochastics | 2022-07-05 | Paper |
Scalar multivariate risk measures with a single eligible asset
Mathematics of Operations Research | 2022-06-27 | Paper |
Time consistency for scalar multivariate risk measures
Statistics & Risk Modeling | 2022-02-18 | Paper |
Price mediated contagion through capital ratio requirements with VWAP liquidation prices
European Journal of Operational Research | 2021-11-09 | Paper |
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
A repo model of fire sales with VWAP and LOB pricing mechanisms
European Journal of Operational Research | 2021-11-05 | Paper |
Set-valued risk measures as backward stochastic difference inclusions and equations
Finance and Stochastics | 2021-04-29 | Paper |
A machine learning efficient frontier
Operations Research Letters | 2021-04-07 | Paper |
Obligations with physical delivery in a multilayered financial network
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Obligations with physical delivery in a multilayered financial network
SIAM Journal on Financial Mathematics | 2020-02-14 | Paper |
Capital regulation under price impacts and dynamic financial contagion
European Journal of Operational Research | 2019-11-06 | Paper |
Impact of contingent payments on systemic risk in financial networks
Mathematics and Financial Economics | 2019-08-30 | Paper |
Optimization of fire sales and borrowing in systemic risk
SIAM Journal on Financial Mathematics | 2019-05-14 | Paper |
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities
SIAM Journal on Financial Mathematics | 2019-03-20 | Paper |
Financial contagion and asset liquidation strategies
Operations Research Letters | 2019-02-22 | Paper |
A supermartingale relation for multivariate risk measures
Quantitative Finance | 2019-02-06 | Paper |
Measures of systemic risk
SIAM Journal on Financial Mathematics | 2018-03-12 | Paper |
The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks
Statistics & Risk Modeling | 2017-10-10 | Paper |
A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
Journal of Global Optimization | 2017-05-22 | Paper |
A comparison of techniques for dynamic multivariate risk measures
Springer Proceedings in Mathematics & Statistics | 2016-05-13 | Paper |
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Finance and Stochastics | 2015-01-19 | Paper |
Time consistency of dynamic risk measures in markets with transaction costs
Quantitative Finance | 2014-02-20 | Paper |
