| Publication | Date of Publication | Type |
|---|
Dynamic equilibrium with insider information and general uninformed agent utility
Mathematical Finance | 2025-01-20 | Paper |
Dynamic noisy rational expectations equilibrium with insider information: welfare and regulation
Journal of Economic Dynamics and Control | 2022-08-31 | Paper |
Dynamic noisy rational expectations equilibrium with insider information
Econometrica | 2021-06-07 | Paper |
American step options
European Journal of Operational Research | 2020-01-08 | Paper |
On American VIX options under the generalized 3/2 and 1/2 models
Mathematical Finance | 2018-05-25 | Paper |
American options with discontinuous two-level caps
SIAM Journal on Financial Mathematics | 2018-04-16 | Paper |
Asymptotic properties of Monte Carlo estimators of diffusion processes
Journal of Econometrics | 2016-05-02 | Paper |
Portfolio selection: a review
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
An optimal stopping problem with a reward constraint
Finance and Stochastics | 2012-11-15 | Paper |
Asymptotic properties of Monte Carlo estimators of derivatives
Management Science | 2012-02-21 | Paper |
The valuation of American options for a class of diffusion processes
Management Science | 2012-02-19 | Paper |
Portfolio Optimization
Handbook of Computational Finance | 2012-01-10 | Paper |
Diffusion models of asset prices
Handbook of Computational Finance | 2012-01-10 | Paper |
American chooser options
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Monte Carlo methods for derivatives of options with discontinuous payoffs
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Dynamic asset liability management with tolerance for limited shortfalls
Insurance Mathematics & Economics | 2009-01-16 | Paper |
Optimal consumption-portfolio choices and retirement planning
Journal of Economic Dynamics and Control | 2008-10-24 | Paper |
Representation formulas for Malliavin derivatives of diffusion processes
Finance and Stochastics | 2006-05-24 | Paper |
| American-style derivatives. Valuation and computation. | 2006-04-07 | Paper |
CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
Mathematical Finance | 2005-10-27 | Paper |
The valuation of American call options on the minimum of two dividend-paying assets
The Annals of Applied Probability | 2004-03-21 | Paper |
Non-addictive habits: optimal consumption-portfolio policies.
Journal of Economic Theory | 2004-02-03 | Paper |
Asset pricing in an intertemporal partially-revealing rational expectations equilibrium.
Journal of Mathematical Economics | 2003-04-02 | Paper |
| American options: symmetry properties | 2002-02-14 | Paper |
The Valuation of Volatility Options
European Finance Review | 2002-02-01 | Paper |
Nonparametric estimation of American options' exercise boundaries and call prices
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
American options with stochastic dividends and volatility: a nonparametric investigation
Journal of Econometrics | 2000-03-19 | Paper |
| scientific article; zbMATH DE number 1284287 (Why is no real title available?) | 1999-07-19 | Paper |
| scientific article; zbMATH DE number 1069618 (Why is no real title available?) | 1998-11-01 | Paper |
Aggregation, efficiency and mutual fund separation in incomplete markets
Economic Theory | 1998-02-01 | Paper |
The Valuation of American Options on Multiple Assets
Mathematical Finance | 1997-09-18 | Paper |
Optimal Consumption‐Portfolio Policies With Habit Formation1
Mathematical Finance | 1997-08-31 | Paper |
Asset and commodity prices with multi-attribute durable goods
Journal of Economic Dynamics and Control | 1997-02-27 | Paper |
Intertemporal asset pricing with heterogeneous beliefs
Journal of Economic Theory | 1994-07-18 | Paper |
Asset Prices in an Exchange Economy with Habit Formation
Econometrica | 1992-06-28 | Paper |
A General Equilibrium Analysis of Option and Stock Market Interactions
International Economic Review | 1992-06-25 | Paper |
Further results on asset pricing with incomplete information
Journal of Economic Dynamics and Control | 1991-01-01 | Paper |
