Michael R. Tehranchi

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Optimisation-based representations for branching processes Electronic Journal of Probability	2021-07-21	Paper
Polynomial term structure models International Journal of Theoretical and Applied Finance	2021-06-18	Paper
A Black-Scholes inequality: applications and generalisations Finance and Stochastics	2019-12-27	Paper
Inequalities for the Gaussian measure of convex sets Electronic Communications in Probability	2017-10-25	Paper
Inequalities for the Gaussian measure of convex sets Electronic Communications in Probability	2017-10-25	Paper
If \(B\) and \(f(B)\) are Brownian motions, then \(f\) is affine Rocky Mountain Journal of Mathematics	2017-07-11	Paper
If \(B\) and \(f(B)\) are Brownian motions, then \(f\) is affine Rocky Mountain Journal of Mathematics	2017-07-11	Paper
Uniform bounds for Black-Scholes implied volatility SIAM Journal on Financial Mathematics	2017-01-11	Paper
Spectral term structure models	2016-03-07	Paper
Polynomial Term Structure Models	2014-04-24	Paper
Optimal investment for all time horizons and Martin boundary of space-time diffusions	2013-08-09	Paper
On the uniqueness of martingales with certain prescribed marginals Journal of Applied Probability	2013-06-26	Paper
Can the implied volatility surface move by parallel shifts? Finance and Stochastics	2011-04-06	Paper
Characterizing attainable claims: a new proof Journal of Applied Probability	2011-01-13	Paper
Optimal basket liquidation for CARA investors is deterministic Applied Mathematical Finance	2010-12-15	Paper
Symmetric martingales and symmetric smiles Stochastic Processes and their Applications	2009-10-13	Paper
Asymptotics of Implied Volatility far from Maturity Journal of Applied Probability	2009-10-08	Paper
Optimal portfolio choice in the bond market Finance and Stochastics	2007-05-29	Paper
Interest rate models: an infinite dimensional stochastic analysis perspective Springer Finance	2006-07-27	Paper
A note of invariant measures for HJM models Finance and Stochastics	2006-05-24	Paper
Explicit solutions of some utility maximization problems in incomplete markets Stochastic Processes and their Applications	2005-08-05	Paper
A characterization of hedging portfolios for interest rate contingent claims. The Annals of Applied Probability	2004-09-15	Paper

Research outcomes over time

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