| Publication | Date of Publication | Type |
|---|
Optimal liquidation with high risk aversion and small linear price impact
Decisions in Economics and Finance | 2024-08-01 | Paper |
Duality theory for exponential utility-based hedging in the Almgren-Chriss model
Journal of Applied Probability | 2024-05-10 | Paper |
Optimal investment with a noisy signal of future stock prices
Applied Mathematics and Optimization | 2024-02-08 | Paper |
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
SIAM Journal on Financial Mathematics | 2023-09-14 | 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 |
A scaling limit for utility indifference prices in the discretised Bachelier model
Finance and Stochastics | 2022-04-01 | Paper |
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
SIAM Journal on Financial Mathematics | 2022-03-18 | Paper |
Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
SIAM Journal on Financial Mathematics | 2021-12-02 | Paper |
On shortfall risk minimization for game options
Modern Stochastics. Theory and Applications | 2021-11-05 | Paper |
Short communication: A note on utility indifference pricing with delayed information
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Continuity of utility maximization under weak convergence
Mathematics and Financial Economics | 2021-05-03 | Paper |
Extended weak convergence and utility maximisation with proportional transaction costs
Finance and Stochastics | 2020-11-11 | Paper |
A Note on Utility Indifference Pricing with Delayed Information
| 2020-11-10 | Paper |
A note on costs minimization with stochastic target constraints
Electronic Communications in Probability | 2020-05-26 | 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 |
Market delay and \(G\)-expectations
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Super-replication with fixed transaction costs
The Annals of Applied Probability | 2019-04-24 | Paper |
Numerical scheme for Dynkin games under model uncertainty
Electronic Journal of Probability | 2018-08-24 | Paper |
Recombining tree approximations for optimal stopping for diffusions
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Super-replication in fully incomplete markets
Mathematical Finance | 2018-05-25 | Paper |
Convex duality with transaction costs
Mathematics of Operations Research | 2017-06-02 | Paper |
The scaling limit of superreplication prices with small transaction costs in the multivariate case
Finance and Stochastics | 2017-04-13 | Paper |
Risk minimization for game options in markets imposing minimal transaction costs
Advances in Applied Probability | 2016-11-01 | Paper |
Super-replication with nonlinear transaction costs and volatility uncertainty
The Annals of Applied Probability | 2016-08-23 | Paper |
Corrigendum to: ``Martingale optimal transport in the Skorokhod space
Stochastic Processes and their Applications | 2015-12-08 | Paper |
Martingale optimal transport in the Skorokhod space
Stochastic Processes and their Applications | 2015-08-21 | Paper |
Robust hedging with proportional transaction costs
Finance and Stochastics | 2014-11-07 | Paper |
Martingale optimal transport and robust hedging in continuous time
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2014-10-31 | Paper |
Approximating stochastic volatility by recombinant trees
The Annals of Applied Probability | 2014-09-25 | Paper |
Hedging of game options under model uncertainty in discrete time
Electronic Communications in Probability | 2014-09-22 | Paper |
Limit theorems for partial hedging under transaction costs
Mathematical Finance | 2014-08-11 | Paper |
Hedging of game options with the presence of transaction costs
The Annals of Applied Probability | 2014-01-17 | Paper |
Numerical schemes for \(G\)-expectations
Electronic Journal of Probability | 2014-01-15 | Paper |
Duality and convergence for binomial markets with friction
Finance and Stochastics | 2013-07-18 | Paper |
Weak approximation of \(G\)-expectations
Stochastic Processes and their Applications | 2012-03-05 | Paper |
Error estimates for multinomial approximations of American options in a class of jump diffusion models
Stochastics | 2012-01-03 | Paper |
Binomial Approximations for Barrier Options of Israeli Style
Annals of the International Society of Dynamic Games | 2011-08-08 | Paper |
Perfect and partial hedging for swing game options in discrete time
Mathematical Finance | 2011-06-16 | Paper |
Shortfall risk approximations for American options in the multidimensional Black-Scholes model
Journal of Applied Probability | 2011-01-13 | Paper |
Applications of weak convergence for hedging of game options
The Annals of Applied Probability | 2010-10-04 | Paper |
Binomial approximations of shortfall risk for game options
The Annals of Applied Probability | 2008-11-27 | Paper |
Correction: Error estimates for binomial approximations of game options
The Annals of Applied Probability | 2008-07-01 | Paper |
Hedging with risk for game options in discrete time
Stochastics | 2007-03-30 | Paper |
A Note on Optimal Liquidation with Linear Price Impact
| N/A | Paper |
