| Publication | Date of Publication | Type |
|---|
Accelerated Share Repurchases Under Stochastic Volatility
Applied Mathematical Finance | 2023-08-07 | Paper |
A Maximum Principle Approach to a Deterministic Mean Field Game of Control with Absorption
SIAM Journal on Control and Optimization | 2022-11-03 | Paper |
Power Mixture Forward Performance Processes
SIAM Journal on Financial Mathematics | 2022-08-22 | Paper |
Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
Quantitative Finance | 2021-07-16 | Paper |
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Journal of Statistical Mechanics: Theory and Experiment | 2021-03-11 | Paper |
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
Finance and Stochastics | 2020-11-11 | Paper |
Dynamic Bertrand and Cournot competition: Asymptotic and computational analysis of product differentiation
Risk and Decision Analysis | 2019-03-12 | Paper |
Optimal investment with transaction costs and stochastic volatility. II: Finite horizon
SIAM Journal on Control and Optimization | 2019-02-01 | Paper |
Trend-following hedge funds and multi-period asset allocation
Quantitative Finance | 2019-01-14 | Paper |
Implied volatility of leveraged ETF options
Applied Mathematical Finance | 2018-09-18 | Paper |
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Technology ladders and R\&D in dynamic Cournot markets
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
Time-inconsistent portfolio investment problems
Springer Proceedings in Mathematics & Statistics | 2018-04-09 | Paper |
Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon
SIAM Journal on Control and Optimization | 2017-12-11 | Paper |
Fracking, renewables, and mean field games
SIAM Review | 2017-08-15 | Paper |
Portfolio optimization and stochastic volatility asymptotics
Mathematical Finance | 2017-07-21 | Paper |
Perturbation analysis for investment portfolios under partial information with expert opinions
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Finance and Stochastics | 2016-09-07 | Paper |
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio
SIAM Journal on Financial Mathematics | 2016-08-17 | Paper |
A feedback model for the financialization of commodity markets
SIAM Journal on Financial Mathematics | 2015-10-21 | Paper |
Bertrand and Cournot mean field games
Applied Mathematics and Optimization | 2015-07-22 | Paper |
Filtering and portfolio optimization with stochastic unobserved drift in asset returns
Communications in Mathematical Sciences | 2015-06-12 | Paper |
FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES
Mathematical Finance | 2015-04-24 | Paper |
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Quantitative Finance | 2015-04-23 | Paper |
Oligopoly games under asymmetric costs and an application to energy production
Mathematics and Financial Economics | 2013-02-26 | Paper |
Forward indifference valuation of American options
Stochastics | 2012-12-13 | Paper |
A framework for dynamic hedging under convex risk measures
Seminar on Stochastic Analysis, Random Fields and Applications VI | 2012-08-24 | Paper |
Exploration and exhaustibility in dynamic Cournot games
European Journal of Applied Mathematics | 2012-06-04 | Paper |
Non-linear flexural vibration of thin rectangular plate on a non-linear elastic foundation under harmonic excitation
Journal of Sound and Vibration | 2012-04-05 | Paper |
Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
| 2011-10-27 | Paper |
Games with exhaustible resources
SIAM Journal on Applied Mathematics | 2011-04-08 | Paper |
Dynamic Bertrand oligopoly
Applied Mathematics and Optimization | 2011-02-18 | Paper |
Credit derivatives and risk aversion
Econometrics and Risk Management | 2010-06-30 | Paper |
Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation
SIAM Journal on Control and Optimization | 2010-06-10 | Paper |
Utility valuation of multi-name credit derivatives and application to CDOs
Quantitative Finance | 2010-03-12 | Paper |
Multiname and multiscale default modeling
Multiscale Modeling & Simulation | 2009-12-21 | Paper |
Multiscale intensity models and name grouping for valuation of multi-name credit derivatives
Applied Mathematical Finance | 2009-12-16 | Paper |
Optimal static-dynamic hedges for exotic options under convex risk measures
Stochastic Processes and their Applications | 2009-10-13 | Paper |
A general framework for evaluating executive stock options
Journal of Economic Dynamics and Control | 2009-07-01 | Paper |
Portfolio optimization
| 2009-03-16 | Paper |
ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
Mathematical Finance | 2009-03-06 | Paper |
Utility valuation of credit derivatives: single and two-name cases
| 2009-01-28 | Paper |
MEAN-REVERTING STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
A Limit Theorem for Financial Markets with Inert Investors
Mathematics of Operations Research | 2008-05-27 | Paper |
Multiscale Intensity Models for Single Name Credit Derivatives
Applied Mathematical Finance | 2008-05-22 | Paper |
Queueing Theoretic Approaches to Financial Price Fluctuations
| 2007-03-28 | Paper |
Stochastic Volatility Effects on Defaultable Bonds
Applied Mathematical Finance | 2007-02-15 | Paper |
OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS
Mathematical Finance | 2006-09-25 | Paper |
Optimal investment with derivative securities
Finance and Stochastics | 2006-05-24 | Paper |
Maturity cycles in implied volatility
Finance and Stochastics | 2005-05-20 | Paper |
Multiscale Stochastic Volatility Asymptotics
Multiscale Modeling & Simulation | 2005-03-08 | Paper |
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
SIAM Journal on Control and Optimization | 2005-02-28 | Paper |
scientific article; zbMATH DE number 2133117 (Why is no real title available?)
| 2005-02-09 | Paper |
scientific article; zbMATH DE number 2127974 (Why is no real title available?)
| 2005-01-14 | Paper |
Singular Perturbations for Boundary Value Problems Arising from Exotic Options
SIAM Journal on Applied Mathematics | 2004-12-13 | Paper |
Stochastic Volatility Corrections for Interest Rate Derivatives
Mathematical Finance | 2004-11-16 | Paper |
scientific article; zbMATH DE number 2110605 (Why is no real title available?)
| 2004-10-26 | Paper |
scientific article; zbMATH DE number 2064559 (Why is no real title available?)
| 2004-05-18 | Paper |
Singular Perturbations in Option Pricing
SIAM Journal on Applied Mathematics | 2003-09-28 | Paper |
scientific article; zbMATH DE number 1642341 (Why is no real title available?)
| 2001-09-09 | Paper |
scientific article; zbMATH DE number 4092911 (Why is no real title available?)
| 1987-01-01 | Paper |
Vibration of rectilinear plates on Vlasov's foundation at large amplitude
Acta Mechanica | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3932512 (Why is no real title available?)
| 1985-01-01 | Paper |
Dynamic buckling of a thin rectangular plate on elastic foundation
National Academy Science Letters | 1985-01-01 | Paper |
scientific article; zbMATH DE number 3928461 (Why is no real title available?)
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3761554 (Why is no real title available?)
| 1981-01-01 | Paper |
Fundamental frequency of vibration of a rectangular plate on a nonlinear elastic foundation
Indian Journal of Pure & Applied Mathematics | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3599603 (Why is no real title available?)
| 1978-01-01 | Paper |
Dynamic response of circular plates on elastic foundation subjected to sonic booms
Indian Journal of Pure & Applied Mathematics | 1975-01-01 | Paper |
scientific article; zbMATH DE number 3461590 (Why is no real title available?)
| 1974-01-01 | Paper |
