| Publication | Date of Publication | Type |
|---|
Is Kyle's equilibrium model stable?
Mathematics and Financial Economics | 2024-12-27 | Paper |
Speeding up the Euler scheme for killed diffusions
Finance and Stochastics | 2024-07-02 | Paper |
Minimal subharmonic functions and related integral representations
Electronic Journal of Probability | 2024-02-02 | Paper |
Insider trading with penalties, entropy and quadratic BSDEs
| 2023-11-21 | Paper |
Power laws in market microstructure
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
On pricing rules and optimal strategies in general Kyle-Back models
SIAM Journal on Control and Optimization | 2021-11-05 | Paper |
Speeding up the Euler scheme for killed diffusions
| 2021-06-28 | Paper |
Linear inverse problems for Markov processes and their regularisation
Stochastic Processes and their Applications | 2020-05-26 | Paper |
Diffusion transformations, Black-Scholes equation and optimal stopping
The Annals of Applied Probability | 2018-11-07 | Paper |
Path transformations for local times of one-dimensional diffusions
Stochastic Processes and their Applications | 2018-10-31 | Paper |
Integral representation of subharmonic functions and optimal stopping with random discounting
| 2018-09-21 | Paper |
Dynamic Markov bridges and market microstructure. Theory and applications
Probability Theory and Stochastic Modelling | 2018-08-28 | Paper |
Financial equilibrium with asymmetric information and random horizon
Finance and Stochastics | 2018-01-16 | Paper |
Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems
The Annals of Applied Probability | 2016-11-16 | Paper |
On certain integral functionals of squared Bessel processes
Stochastics | 2016-04-27 | Paper |
Markov bridges: SDE representation
Stochastic Processes and their Applications | 2016-02-15 | Paper |
A simple model for market booms and crashes
Mathematics and Financial Economics | 2014-11-06 | Paper |
Filtered Azéma martingales
Electronic Communications in Probability | 2014-09-24 | Paper |
Point process bridges and weak convergence of insider trading models
Electronic Journal of Probability | 2014-01-17 | Paper |
Explicit construction of a dynamic Bessel bridge of dimension 3
Electronic Journal of Probability | 2014-01-17 | Paper |
Bayesian sequential estimation of a drift of fractional Brownian motion
Sequential Analysis | 2013-10-18 | Paper |
Equilibrium model with default and dynamic insider information
Finance and Stochastics | 2013-07-18 | Paper |
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Stochastic Processes and their Applications | 2012-10-10 | Paper |
Option hedging for small investors under liquidity costs
Finance and Stochastics | 2011-11-27 | Paper |
Dynamic Markov bridges motivated by models of insider trading
Stochastic Processes and their Applications | 2011-07-08 | Paper |
PRICING AND HEDGING IN CARBON EMISSIONS MARKETS
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling
Finance and Stochastics | 2007-12-16 | Paper |
MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
Mathematical Finance | 2007-06-08 | Paper |
Liquidity risk and arbitrage pricing theory
Finance and Stochastics | 2005-05-20 | Paper |
Modeling credit risk with partial information.
The Annals of Applied Probability | 2004-09-15 | Paper |
