Erhan Bayraktar : Citation Profile


Are you Erhan Bayraktar?

12

H index

18

i10 index

502

Citations

RESEARCH PRODUCTION:

62

Articles

94

Papers

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 29
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 113.    Total self citations: 81 (13.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba1177
   Updated: 2020-03-21    RAS profile: 2020-03-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Erhan Bayraktar.

Is cited by:

Leung, Tim (3)

Rady, Sven (3)

LEHALLE, Charles-Albert (3)

Favero, Carlo (3)

Keller, R (3)

Pacelli, Graziella (2)

Huang, Yu-Lieh (2)

Nguyen-Huu, Adrien (2)

Moreno Gonzalez, Othon (2)

Kräussl, Roman (2)

Alvarez, Luis (2)

Cites to:

Duffie, Darrell (8)

Кабанов, Юрий (7)

merton, robert (7)

Brock, William (4)

Schied, Alexander (4)

Hommes, Cars (4)

Sethi, Suresh (4)

Jarrow, Robert (4)

Lux, Thomas (4)

Constantinides, George (3)

Horst, Ulrich (3)

Main data


Where Erhan Bayraktar has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications9
Insurance: Mathematics and Economics9
North American Actuarial Journal6
Mathematical Methods of Operations Research5
Mathematics of Operations Research5
Mathematical Finance4
Finance and Stochastics4
International Journal of Theoretical and Applied Finance (IJTAF)4
Finance Research Letters3
Applied Mathematical Finance3
Annals of Operations Research2
Annals of Finance2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org91
Finance / University Library of Munich, Germany2

Recent works citing Erhan Bayraktar (2020 and 2019)


YearTitle of citing document
2017The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations. (2017). Zhu, Chao ; Huang, Yu-Jui ; Chen, Xiaoshan ; Song, Qingshuo. In: Papers. RePEc:arx:papers:1309.0046.

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2017Liquidity Effects of Trading Frequency. (2017). Gayduk, Roman ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1508.07914.

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2017Game options in an imperfect market with default. (2017). Dumitrescu, Roxana ; Sulem, Agnes ; Quenez, Marie-Claire. In: Papers. RePEc:arx:papers:1511.09041.

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2017On the existence of shadow prices for optimal investment with random endowment. (2017). Gu, Lingqi ; Yang, Junjian ; Lin, Yiqing. In: Papers. RePEc:arx:papers:1602.01109.

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2017Robust pricing--hedging duality for American options in discrete time financial markets. (2017). Deng, Shuoqing ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1604.05517.

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2017Optimal market making. (2017). Gu, Olivier . In: Papers. RePEc:arx:papers:1605.01862.

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2017Endogenous Formation of Limit Order Books: Dynamics Between Trades. (2017). Nadtochiy, Sergey ; Gayduk, Roman . In: Papers. RePEc:arx:papers:1605.09720.

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2019Optimal Liquidation under Partial Information with Price Impact. (2019). Frey, Rudiger ; Eksi, Zehra ; Colaneri, Katia ; Szolgyenyi, Michaela. In: Papers. RePEc:arx:papers:1606.05079.

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2018Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities. (2018). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1612.02444.

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2017Phase-type Approximation of the Gerber-Shiu Function. (2017). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1701.02798.

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2017Optimal stopping and a non-zero-sum Dynkin game in discrete time with risk measures induced by BSDEs. (2017). Quenez, Marie-Claire ; Grigorova, Miryana. In: Papers. RePEc:arx:papers:1705.03724.

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2018Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475.

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2019Robust Pricing and Hedging around the Globe. (2019). Stebegg, Florian ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1707.08545.

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2018Nash equilibria for game contingent claims with utility-based hedging. (2018). Kuhn, Christoph ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1707.09351.

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2017A Mean Field Competition. (2017). Zhang, Yuchong ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1708.01308.

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2017Minimax theorems for American options in incomplete markets without time-consistency. (2017). Kraetschmer, Volker ; Belomestny, Denis. In: Papers. RePEc:arx:papers:1708.08904.

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2017Utility maximization problem under transaction costs: optimal dual processes and stability. (2017). Yang, Junjian ; Lin, Yiqing ; Gu, Lingqi. In: Papers. RePEc:arx:papers:1710.04363.

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2018Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711.

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2017A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs. (2017). Tsai, Wan-Yu ; Fahim, Arash. In: Papers. RePEc:arx:papers:1711.01017.

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2019Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty. (2019). Sikic, Mario ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:1711.03875.

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2018Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Yu, Xiang ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1712.05676.

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2018Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Sikic, Mario ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1801.03574.

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2018Asymptotic Static Hedge via Symmetrization. (2018). Imamura, Yuri ; Barsotti, Flavia ; Akahori, Jiro. In: Papers. RePEc:arx:papers:1801.04045.

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2018Ergodic robust maximization of asymptotic growth. (2018). Robertson, Scott ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1801.06425.

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2019Dynkin games with Poisson random intervention times. (2019). Sun, Haodong ; Liang, Gechun. In: Papers. RePEc:arx:papers:1803.00329.

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2019Mean Field Games with Partial Information for Algorithmic Trading. (2019). Jaimungal, Sebastian ; Casgrain, Philippe. In: Papers. RePEc:arx:papers:1803.04094.

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2019Indifference pricing of pure endowments via BSDEs under partial information. (2019). Cretarola, Alessandra ; Colaneri, Katia ; Ceci, Claudia. In: Papers. RePEc:arx:papers:1804.00223.

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2018Arbitrage-free pricing of American options in nonlinear markets. (2018). Rutkowski, Marek ; Nie, Tianyang ; Kim, Edward. In: Papers. RePEc:arx:papers:1804.10753.

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2019Utility maximization with proportional transaction costs under model uncertainty. (2019). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:1805.06498.

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2018Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints. (2018). Khalili, Saeed ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1805.07532.

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2019Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2019). de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1805.12035.

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2019Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543.

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2018Order-book modelling and market making strategies. (2018). Fr'ed'eric Abergel, ; Lu, Xiaofei. In: Papers. RePEc:arx:papers:1806.05101.

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2018Trading Cointegrated Assets with Price Impact. (2018). Jaimungal, Sebastian ; Gan, Luhui ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1807.01428.

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2019A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1808.06430.

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2019Emergence of Turbulent Epochs in Oil Prices. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1808.09382.

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2019Chaos and Order in the Bitcoin Market. (2019). Solna, Knut ; Garnier, Josselin. In: Papers. RePEc:arx:papers:1809.08403.

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2018New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383.

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2018Optimal trading using signals. (2018). Lehalle, Charles-Albert ; de March, Hadrien. In: Papers. RePEc:arx:papers:1811.03718.

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2019The robust superreplication problem: a dynamic approach. (2019). Wiesel, Johannes ; Obloj, Jan ; Carassus, Laurence. In: Papers. RePEc:arx:papers:1812.11201.

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2020Optimal market making under partial information with general intensities. (2019). Campi, Luciano ; Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:1902.01157.

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2019A Mean Field Game of Portfolio Trading and Its Consequences On Perceived Correlations. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Papers. RePEc:arx:papers:1902.09606.

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2020Optimal Information Acquisition and Consumption Under Habit Formation Preference. (2019). Yu, Xiang ; Yang, Yue. In: Papers. RePEc:arx:papers:1903.04257.

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2019Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case. (2019). Sun, Li-Hsien ; Sheu, Shuenn-Jyi ; Hata, Hiroaki. In: Papers. RePEc:arx:papers:1903.08957.

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2019Optimal Reinsurance and Investment in a Diffusion Model. (2019). Schmidli, Hanspeter ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1903.12426.

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2019Optimal excess-of-loss reinsurance for stochastic factor risk models. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1904.05422.

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2019No-arbitrage with multiple-priors in discrete time. (2019). Carassus, Laurence ; Blanchard, Romain. In: Papers. RePEc:arx:papers:1904.08780.

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2019Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2019Lifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty. (2019). Zhou, Chao ; Yu, Xiang ; Lee, Junbeom. In: Papers. RePEc:arx:papers:1909.01121.

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2019Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602.

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2019Moment constrained optimal dividends: precommitment \& consistent planning. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.10749.

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2020Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.11921.

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2019A BSDE-based approach for the optimal reinsurance problem under partial information. (2019). Ceci, Claudia ; Brachetta, Matteo. In: Papers. RePEc:arx:papers:1910.05999.

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2019Optimal ratcheting of dividends in insurance. (2019). Muler, Nora ; Azcue, Pablo ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:1910.06910.

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2020Asset Price Bubbles in market models with proportional transaction costs. (2019). Reitsam, Thomas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1911.10149.

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2020Semimartingale price systems in models with transaction costs beyond efficient friction. (2020). Molitor, Alexander ; Kuhn, Christoph. In: Papers. RePEc:arx:papers:2001.03190.

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2020Robust Optimal Investment and Reinsurance Problems with Learning. (2020). Leimcke, Gregor ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2001.11301.

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2018Optimal Stopping With ƒ-Expectations: the irregular case. (2018). Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter ; Grigorova, Miryana. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:587.

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2019Superhedging prices of European and American options in a non-linear incomplete market with default. (2019). Sulem, Agns ; Quenez, Marie-Claire ; Grigorova, Miryana. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:607.

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2018The deeds of speed: an agent-based model of market liquidity and flash episodes. (2018). Beale, Daniel ; Worlidge, Jack ; Noss, Joseph ; Karvik, Geir-Are. In: Bank of England working papers. RePEc:boe:boeewp:0743.

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2019Opaque bank assets and optimal equity capital. (2019). Keppo, Jussi ; Huang, Shan ; Dai, Min. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:369-394.

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2018Optimal order execution using hidden orders. (2018). Chen, Yuanyuan ; Li, Duan ; Gao, Xuefeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:89-116.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models. (2017). Wong, Bernard ; Avanzi, Benjamin ; Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:148-162.

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2017Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. (2017). Zhao, Yongxia ; Yang, Hailiang ; Chen, Ping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:135-146.

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2017Optimality of excess-loss reinsurance under a mean–variance criterion. (2017). Li, Danping ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:82-89.

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2017On the optimality of periodic barrier strategies for a spectrally positive Lévy process. (2017). Perez, Jose-Luis ; Yamazaki, Kazutoshi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:1-13.

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2017Purchasing casualty insurance to avoid lifetime ruin. (2017). Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:133-142.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2018Annuitization and asset allocation under exponential utility. (2018). Liang, Xiaoqing ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:167-183.

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2018A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116.

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2018Optimality of multi-refraction control strategies in the dual model. (2018). Czarna, Irmina ; Yamazaki, Kazutoshi ; Perez, Jose-Luis. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:148-160.

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2018The dual risk model with dividends taken at arrival. (2018). Boxma, Onno ; Frostig, Esther. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:83-92.

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2019Derivatives trading for insurers. (2019). Xue, Xiaole ; Weng, Chengguo ; Wei, Pengyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:40-53.

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2019Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (2019). Young, Virginia R ; Li, Danping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:143-152.

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2019Optimal proportional reinsurance and investment for stochastic factor models. (2019). Ceci, C ; Brachetta, M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:87:y:2019:i:c:p:15-33.

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2019Optimal consumption and investment with insurer default risk. (2019). Park, Seyoung ; Koo, Hyeng Keun ; Jang, Bong-Gyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:44-56.

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2019Chaos and order in the bitcoin market. (2019). Solna, Knut ; Garnier, Josselin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:708-721.

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2020Efficient hedging currency options in fractional Brownian motion model with jumps. (2020). Ri, Ju-Hyang ; Ju, Dong-Chol ; Kim, Nam-Ung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316309.

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2019Density symmetries for a class of 2-D diffusions with applications to finance. (2019). Dareiotis, Konstantinos ; Ekstrom, Erik. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:2:p:452-472.

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2019Discretisation and duality of optimal Skorokhod embedding problems. (2019). , Alexander ; Alexander, ; Kinsley, Sam M. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:7:p:2376-2405.

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2017Stability of the exponential utility maximization problem with respect to preferences. (2017). Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:57213.

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2017Shadow prices for continuous processes. (2017). Yang, Junjian ; Schachermayer, Walter ; Czichowsky, Christoph. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:63370.

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2017Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion. (2017). Schachermayer, Walter ; Czichowsky, Christoph. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67689.

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2017Semi-static completeness and robust pricing by informed investors. (2016). Larsson, Martin ; Acciaio, Beatrice . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68502.

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2018Diffusion transformations, Black-Scholes equation and optimal stopping. (2018). Cetin, Umut . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87261.

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2019Efficient Retirement Portfolios: Using Life Insurance to Meet Income and Bequest Goals in Retirement. (2019). Dong, Fangyuan ; Zeng, Qinglai ; Moore, Kristen ; Halen, Nick. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:9-:d:199049.

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2017Reflected BSDEs when the obstacle is not right-continuous and optimal stopping. (2017). Quenez, Marie-Claire ; Ouknine, Youssef ; Offen, Elias ; Imkeller, Peter ; Grigorova, Miryana. In: Post-Print. RePEc:hal:journl:hal-01141801.

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2019A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives. (2019). Salhi, Yahia ; Dorobantu, Diana ; Blanchet-Scalliet, Christophette. In: Post-Print. RePEc:hal:journl:hal-01258645.

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2017A Multivariate Model of Strategic Asset Allocation with Longevity Risk. (2017). Favero, Carlo ; Tebaldi, Claudio ; Nocera, Giacomo ; Bisetti, Emilio. In: Post-Print. RePEc:hal:journl:hal-01633544.

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2017Time-consistent stopping under decreasing impatience. (2017). Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Working Papers. RePEc:hal:wpaper:hal-01116414.

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2019A MEAN FIELD GAME OF PORTFOLIO TRADING AND ITS CONSEQUENCES ON PERCEIVED CORRELATIONS. (2019). Mouzouni, Charafeddine ; Lehalle, Charles-Albert. In: Working Papers. RePEc:hal:wpaper:hal-02003143.

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2017Inventory Control for Spectrally Positive Lévy Demand Processes. (2017). Yamazaki, Kazutoshi. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:42:y:2017:i:1:p:212-237.

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2019On Optimal Pricing Model for Multiple Dealers in a Competitive Market. (2019). Yang, Qing-Qing ; Siu, Tak-Kuen ; Ching, Wai-Ki ; Gu, Jia-Wen. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9749-6.

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2018Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions. (2018). Gerer, Johannes ; Dorfleitner, Gregor. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:2:d:10.1007_s11147-017-9137-3.

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2019Market implied volatilities for defaultable bonds. (2019). Fabozzi, Frank J ; Giacometti, Rosella ; Russo, Vincenzo. In: Annals of Operations Research. RePEc:spr:annopr:v:275:y:2019:i:2:d:10.1007_s10479-018-3064-z.

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2017Bounds for VIX futures given S&P 500 smiles. (2017). Guyon, Julien ; Nutz, Marcel ; Menegaux, Romain . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0334-6.

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2018Time-consistent stopping under decreasing impatience. (2018). Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0350-6.

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2018Robust pricing–hedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9.

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More than 100 citations found, this list is not complete...

Works by Erhan Bayraktar:


YearTitleTypeCited
2010Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control In: Papers.
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2011Proving regularity of the minimal probability of ruin via a game of stopping and control.(2011) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 6
article
2008Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin In: Papers.
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2008Mutual fund theorems when minimizing the probability of lifetime ruin.(2008) In: Finance Research Letters.
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This paper has another version. Agregated cites: 0
article
2009On the Stickiness Property In: Papers.
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paper4
2010On the stickiness property.(2010) In: Quantitative Finance.
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This paper has another version. Agregated cites: 4
article
2009No Arbitrage Conditions For Simple Trading Strategies In: Papers.
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2010No arbitrage conditions for simple trading strategies.(2010) In: Annals of Finance.
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2011Valuation equations for stochastic volatility models In: Papers.
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2016Minimizing the probability of lifetime drawdown under constant consumption.(2016) In: Insurance: Mathematics and Economics.
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