| Publication | Date of Publication | Type |
|---|
Social distancing game and insurance investment in a pandemic
Annals of Operations Research | 2024-07-16 | Paper |
Clustering heterogeneous financial networks
Mathematical Finance | 2024-03-14 | Paper |
Decentralized Governance of Stablecoins with Closed Form Valuation
Mathematical Research for Blockchain Economy | 2024-02-15 | Paper |
Dynamic debt issuance with jumps
Mathematics and Financial Economics | 2024-01-10 | Paper |
| Pathwise and distributional approximations of semi-Markov processes | 2023-12-11 | Paper |
While stability lasts: A stochastic model of noncustodial stablecoins
Mathematical Finance | 2023-09-28 | Paper |
| Ruin-dependent bivariate stochastic fluid processes | 2023-07-31 | Paper |
Mean-field BSDEs with jumps and dual representation for global risk measures
Probability, Uncertainty and Quantitative Risk | 2023-04-26 | Paper |
| Duration-dependent stochastic fluid processes and solar energy revenue modeling | 2023-04-12 | Paper |
| Ruin Probabilities for Risk Processes in Stochastic Networks | 2023-02-13 | Paper |
A Dynamic Contagion Risk Model with Recovery Features
Mathematics of Operations Research | 2022-06-27 | Paper |
Epidemic spreading and equilibrium social distancing in heterogeneous networks
Dynamic Games and Applications | 2022-04-22 | Paper |
Optimal intervention in economic networks using influence maximization methods
European Journal of Operational Research | 2022-03-18 | Paper |
Dynamic Leveraging–Deleveraging Games
Operations Research | 2020-11-04 | Paper |
Systemic Risk in Networks with a Central Node
SIAM Journal on Financial Mathematics | 2020-05-29 | Paper |
On the central management of risk networks
Advances in Applied Probability | 2019-09-16 | Paper |
Uniqueness of equilibrium in a payment system with liquidation costs
Operations Research Letters | 2018-09-28 | Paper |
Optimal cash holdings under heterogeneous beliefs
Mathematical Finance | 2018-05-25 | Paper |
Optimal connectivity for a large financial network
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Credit default swaps and systemic risk
Annals of Operations Research | 2017-03-03 | Paper |
To fully net or not to net: adverse effects of partial multilateral netting
Operations Research | 2016-12-20 | Paper |
Inhomogeneous financial networks and contagious links
Operations Research | 2016-12-20 | Paper |
The topology of overlapping portfolio networks
Statistics & Risk Modeling | 2016-12-16 | Paper |
Resilience to contagion in financial networks
Mathematical Finance | 2016-04-14 | Paper |
Control of interbank contagion under partial information
SIAM Journal on Financial Mathematics | 2016-01-21 | Paper |
When do creditors with heterogeneous beliefs agree to run?
Finance and Stochastics | 2015-03-30 | Paper |
Optimal control of interbank contagion under complete information
Statistics & Risk Modeling | 2014-03-17 | Paper |
Recovering portfolio default intensities implied by CDO quotes
Mathematical Finance | 2013-02-28 | Paper |
Stress testing the resilience of financial networks
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
