| Publication | Date of Publication | Type |
|---|
| The Measure Preserving Martingale Sinkhorn Algorithm | 2023-10-20 | Paper |
| In memoriam: Mark H. A. Davis and his contributions to mathematical finance | 2023-09-28 | Paper |
| Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets | 2023-09-28 | Paper |
| Erratum: The Robust Superreplication Problem: A Dynamic Approach | 2022-07-22 | Paper |
| Efficient discretisation of stochastic differential equations | 2022-07-05 | Paper |
| Joint Modeling and Calibration of SPX and VIX by Optimal Transport | 2022-01-10 | Paper |
| A unified framework for robust modelling of financial markets in discrete time | 2021-08-27 | Paper |
| Local times and Tanaka-Meyer formulae for càdlàg paths | 2021-07-21 | Paper |
| Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics | 2021-05-04 | Paper |
| Robust estimation of superhedging prices | 2021-03-11 | Paper |
| Robust Framework for Quantifying the Value of Information in Pricing and Hedging | 2020-05-29 | Paper |
| Pointwise Arbitrage Pricing Theory in Discrete Time | 2020-04-30 | Paper |
| Computational methods for martingale optimal transport problems | 2020-02-21 | Paper |
| The Robust Superreplication Problem: A Dynamic Approach | 2020-02-14 | Paper |
| The robust pricing–hedging duality for American options in discrete time financial markets | 2019-10-31 | Paper |
| Two explicit Skorokhod embeddings for simple symmetric random walk | 2019-09-19 | Paper |
| Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers | 2019-08-30 | Paper |
| Dual attainment for the martingale transport problem | 2019-06-14 | Paper |
| The root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach | 2019-02-28 | Paper |
| Dynamically consistent investment under model uncertainty: the robust forward criteria | 2018-10-08 | Paper |
| Robust pricing-hedging dualities in continuous time | 2018-07-16 | Paper |
| Pathwise stochastic calculus with local times | 2018-06-01 | Paper |
| An iterated Azéma-Yor type embedding for finitely many marginals | 2017-10-05 | Paper |
| Technical Note—Path-Dependent and Randomized Strategies in Barberis’ Casino Gambling Model | 2017-06-02 | Paper |
| ROBUST TRADING OF IMPLIED SKEW | 2017-04-13 | Paper |
| THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS | 2017-03-13 | Paper |
| Structure of martingale transports in finite dimensions | 2017-02-27 | Paper |
| Robust pricing and hedging under trading restrictions and the emergence of local martingale models | 2016-09-07 | Paper |
| THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS | 2016-04-14 | Paper |
| Martingale Inequalities for the Maximum via Pathwise Arguments | 2016-04-13 | Paper |
| The maximum maximum of a martingale with given \(n\) marginals | 2016-03-11 | Paper |
| On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale | 2015-05-27 | Paper |
| Robust pricing and hedging of double no-touch options | 2014-12-17 | Paper |
| ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS | 2014-11-05 | Paper |
| UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES | 2014-06-13 | Paper |
| Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model | 2013-11-06 | Paper |
| PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS | 2012-04-24 | Paper |
| On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation | 2012-02-22 | Paper |
| Robust Hedging of Double Touch Barrier Options | 2011-02-10 | Paper |
| The Skorokhod embedding problem and its offspring | 2010-06-29 | Paper |
| Time-Homogeneous Diffusions with a Given Marginal at a Random Time | 2009-12-09 | Paper |
| Classes of measures which can be embedded in the simple symmetric random walk | 2009-11-20 | Paper |
| On an explicit Skorokhod embedding for spectrally negative Lévy processes | 2009-07-06 | Paper |
| Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping | 2008-11-27 | Paper |
| Market completion using options | 2008-11-04 | Paper |
| The Maximality Principle Revisited: On Certain Optimal Stopping Problems | 2007-10-31 | Paper |
| A complete characterization of local martingales which are functions of Brownian motion and its maximum | 2007-09-05 | Paper |
| Fine-tune your smile: Correction to Hagan et al | 2007-08-07 | Paper |
| An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes | 2007-04-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5493562 | 2006-10-23 | Paper |
| Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk | 2006-09-12 | Paper |
| An explicit Skorokhod embedding for the age of Brownian excursions and Azéma martingale. | 2005-11-29 | Paper |
| An explicit Skorokhod embedding for functionals of Markovian excursions | 2005-09-23 | Paper |
