| Publication | Date of Publication | Type |
|---|
Optimal investment with a noisy signal of future stock prices
Applied Mathematics and Optimization | 2024-02-08 | Paper |
Liquidity in competitive dealer markets
Mathematical Finance | 2023-09-28 | Paper |
| Rough PDEs for local stochastic volatility models | 2023-07-18 | Paper |
Merton's optimal investment problem with jump signals
SIAM Journal on Financial Mathematics | 2022-11-04 | Paper |
What if we knew what the future brings? Optimal investment for a frontrunner with price impact
Applied Mathematics and Optimization | 2022-07-18 | Paper |
On a stochastic representation theorem for Meyer-measurable processes
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2022-02-25 | Paper |
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
The Annals of Applied Probability | 2021-11-04 | Paper |
Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
The Annals of Applied Probability | 2021-11-04 | Paper |
Merton's optimal investment problem with jump signals
(available as arXiv preprint) | 2021-09-28 | Paper |
Short communication: A note on utility indifference pricing with delayed information
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
| A Note on Utility Indifference Pricing with Delayed Information | 2020-11-10 | Paper |
Scaling limits for super-replication with transient price impact
Bernoulli | 2020-04-27 | Paper |
Scaling limits for super-replication with transient price impact
Bernoulli | 2020-04-27 | Paper |
Continuous-time duality for superreplication with transient price impact
The Annals of Applied Probability | 2020-02-21 | Paper |
Continuous-time duality for superreplication with transient price impact
The Annals of Applied Probability | 2020-02-21 | Paper |
Optimal investment with transient price impact
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Optimal investment with transient price impact
SIAM Journal on Financial Mathematics | 2019-11-22 | Paper |
Super-replication with fixed transaction costs
The Annals of Applied Probability | 2019-04-24 | Paper |
Super-replication with fixed transaction costs
The Annals of Applied Probability | 2019-04-24 | Paper |
| On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping | 2018-10-19 | Paper |
| On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping | 2018-10-19 | Paper |
Linear quadratic stochastic control problems with stochastic terminal constraint
SIAM Journal on Control and Optimization | 2018-03-05 | Paper |
Convex duality for stochastic singular control problems
The Annals of Applied Probability | 2017-05-03 | Paper |
The scaling limit of superreplication prices with small transaction costs in the multivariate case
Finance and Stochastics | 2017-04-13 | Paper |
Hedging with temporary price impact
Mathematics and Financial Economics | 2017-03-07 | Paper |
Super-replication with nonlinear transaction costs and volatility uncertainty
The Annals of Applied Probability | 2016-08-23 | Paper |
Super-replication with nonlinear transaction costs and volatility uncertainty
The Annals of Applied Probability | 2016-08-23 | Paper |
Superreplication when trading at market indifference prices
Finance and Stochastics | 2016-03-29 | Paper |
A model for a large investor trading at market indifference prices. II: Continuous-time case.
The Annals of Applied Probability | 2015-10-20 | Paper |
A model for a large investor trading at market indifference prices. II: Continuous-time case.
The Annals of Applied Probability | 2015-10-20 | Paper |
The stochastic field of aggregate utilities and its saddle conjugate
Proceedings of the Steklov Institute of Mathematics | 2015-08-20 | Paper |
A model for a large investor trading at market indifference prices. I: Single-period case
Finance and Stochastics | 2015-03-30 | Paper |
Optimal Order Scheduling for Deterministic Liquidity Patterns
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
On a stochastic differential equation arising in a price impact model
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Parameter-dependent optimal stopping problems for one-dimensional diffusions
Electronic Journal of Probability | 2011-09-09 | Paper |
| scientific article; zbMATH DE number 5710923 (Why is no real title available?) | 2010-05-21 | Paper |
On Gittins' index theorem in continuous time
Stochastic Processes and their Applications | 2007-08-20 | Paper |
Optimal Control under a Dynamic Fuel Constraint
SIAM Journal on Control and Optimization | 2007-03-20 | Paper |
| scientific article; zbMATH DE number 2223064 (Why is no real title available?) | 2005-11-04 | Paper |
A stochastic representation theorem with applications to optimization and obstacle problems.
The Annals of Probability | 2004-09-15 | Paper |
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
Mathematical Finance | 2004-05-27 | Paper |
| scientific article; zbMATH DE number 1985272 (Why is no real title available?) | 2003-09-24 | Paper |
Optimal consumption choice with intertemporal substitution
The Annals of Applied Probability | 2003-05-06 | Paper |
Existence and structure of stochastic equilibria with intertemporal substitution
Finance and Stochastics | 2002-03-13 | Paper |
Non-time additive utility optimization -- the case of certainty
Journal of Mathematical Economics | 2000-06-05 | Paper |
