Erhan Bayraktar : Citation Profile


Are you Erhan Bayraktar?

14

H index

20

i10 index

587

Citations

RESEARCH PRODUCTION:

64

Articles

97

Papers

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 34
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 83 (12.39 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba1177
   Updated: 2021-03-01    RAS profile: 2021-02-05    
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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:

Favero, Carlo (3)

Rady, Sven (3)

Keller, R (3)

Leung, Tim (3)

LEHALLE, Charles-Albert (3)

Pacelli, Graziella (2)

Kräussl, Roman (2)

Thorp, Susan (2)

Moreno Gonzalez, Othon (2)

Nguyen-Huu, Adrien (2)

Galluccio, Stefano (2)

Cites to:

Duffie, Darrell (8)

merton, robert (7)

Кабанов, Юрий (7)

Constantinides, George (5)

Sethi, Suresh (4)

Brock, William (4)

Hommes, Cars (4)

Lux, Thomas (4)

Schied, Alexander (4)

Jarrow, Robert (4)

Ziegelmeyer, Anthony (3)

Main data


Where Erhan Bayraktar has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics9
Stochastic Processes and their Applications9
North American Actuarial Journal6
Mathematics of Operations Research6
Mathematical Methods of Operations Research5
Finance and Stochastics5
Mathematical Finance4
International Journal of Theoretical and Applied Finance (IJTAF)4
Applied Mathematical Finance3
Finance Research Letters3
Quantitative Finance2
Annals of Finance2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org94
Finance / University Library of Munich, Germany2

Recent works citing Erhan Bayraktar (2021 and 2020)


YearTitle of citing document
2020Indifference 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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2020Analysis of the optimal exercise boundary of American put option with delivery lags. (2018). Yang, Zhou ; Liang, Gechun. In: Papers. RePEc:arx:papers:1805.02909.

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2020New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383.

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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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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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2020Lifetime 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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2020Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602.

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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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2020A 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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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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2020Equilibrium Model of Limit Order Books: A Mean-field Game View. (2020). Noh, Eunjung ; Ma, Jin. In: Papers. RePEc:arx:papers:2002.12857.

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2020Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Papers. RePEc:arx:papers:2003.04606.

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2020Optimal periodic dividend strategies for spectrally positive L\evy risk processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2003.13275.

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2020Optimal periodic dividend strategies for spectrally negative L\evy processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2004.01838.

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2020The convergence rate from discrete to continuous optimal investment stopping problem. (2020). Sun, Dingqian. In: Papers. RePEc:arx:papers:2004.14627.

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2020Rational Finance Approach to Behavioral Option Pricing. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb ; Dai, Jiexin. In: Papers. RePEc:arx:papers:2005.05310.

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2020Parisian excursion with capital injection for draw-down reflected Levy insurance risk process. (2020). Zhou, Xiaowen ; Zhao, Xianghua ; Wang, Wenyuan ; Surya, Budhi. In: Papers. RePEc:arx:papers:2005.09214.

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2020Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2005.12572.

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2020On the optimality of joint periodic and extraordinary dividend strategies. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2006.00717.

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2021Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems. (2020). Wang, Zhenhua ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:2006.00754.

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2021First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process. (2020). Sengupta, Indranil ; Awasthi, Shantanu. In: Papers. RePEc:arx:papers:2006.07167.

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2020Optimal Consumption with Reference to Past Spending Maximum. (2020). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2006.07223.

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2020Optimal Tracking Portfolio with A Ratcheting Capital Benchmark. (2020). Liao, Huafu ; Bo, Lijun ; Yu, Xiang. In: Papers. RePEc:arx:papers:2006.13661.

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2020Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288.

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2020Reduced-form setting under model uncertainty with non-linear affine processes. (2020). Oberpriller, Katharina ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2006.14307.

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2021Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes. (2020). Yang, Tianjiao ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2006.15158.

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2020Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2020Optimal market making under partial information and numerical methods for impulse control games with applications. (2020). Zabaljauregui, Diego. In: Papers. RePEc:arx:papers:2009.06521.

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2020Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints. (2020). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2009.08533.

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2020Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty. (2020). Myung, Jiyoun ; Chen, Tao. In: Papers. RePEc:arx:papers:2011.04804.

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2020Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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2020A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies. (2020). Xu, Zuoquan ; Jin, Zhuo ; Zou, Bin. In: Papers. RePEc:arx:papers:2012.06703.

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2020Optimal ratcheting of dividends in a Brownian risk model. (2020). Azcue, Pablo ; Albrecher, Hansjoerg ; Muler, Nora. In: Papers. RePEc:arx:papers:2012.10632.

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2021Model-free price bounds under dynamic option trading. (2021). Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2101.01024.

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2021Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936.

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2021Optimal Investment and Consumption under a Habit-Formation Constraint. (2021). Young, Virginia R ; Angoshtari, Bahman ; Bayraktar, Erhan. In: Papers. RePEc:arx:papers:2102.03414.

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2020Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:633.

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2020Influence of Egoistic and Altruistic Bequest Motives on the Willingness to Participate in Reverse Mortgages in China*. (2020). Wang, Ping ; Han, Wei ; Dong, Hongjie. In: Asian Economic Journal. RePEc:bla:asiaec:v:34:y:2020:i:4:p:430-463.

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2020Fractional Brownian markets with time-varying volatility and high-frequency data. (2020). Sen, Rituparna ; Lahiri, Ananya . In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:91-107.

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2020Intraday market making with overnight inventory costs. (2020). Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias ; Zhang, Hongzhong. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331.

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2020Parisian ruin with a threshold dividend strategy under the dual Lévy risk model. (2020). Li, Zhong ; Sendova, Kristina P ; Yang, Chen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:135-150.

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2020Generalized expected discounted penalty function at general drawdown for Lévy risk processes. (2020). Chen, Ping ; Wang, Wenyuan ; Li, Shuanming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:12-25.

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2020Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes. (2020). Cheng, Xiang ; Wei, Jiaqin ; Wang, Hao ; Jin, Zhuo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:244-256.

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2020Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?. (2020). Milevsky, Moshe A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:147-161.

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2020Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs. (2020). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:315-332.

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2020Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (2020). Jin, Zhuo ; Zhou, Zhou. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108.

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2020A BSDE-based approach for the optimal reinsurance problem under partial information. (2020). Ceci, C ; Brachetta, M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:1-16.

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2021Robust optimal investment and reinsurance for an insurer with inside information. (2021). Wang, Wenyuan ; Chen, Fenge ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:15-30.

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2021Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291.

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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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2020Data-driven control of a production system by using marking-dependent threshold policy. (2020). Tan, Bari ; Khayyati, Siamak. In: International Journal of Production Economics. RePEc:eee:proeco:v:226:y:2020:i:c:s0925527319304396.

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2020Optimal control of production-inventory systems with correlated demand inter-arrival and processing times. (2020). Tan, Bari ; Dizbin, Nima Manafzadeh. In: International Journal of Production Economics. RePEc:eee:proeco:v:228:y:2020:i:c:s0925527320300839.

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2020No-arbitrage with multiple-priors in discrete time. (2020). Carassus, Laurence ; Blanchard, Romain. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:11:p:6657-6688.

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2020Optimal stopping with f-expectations: The irregular case. (2020). Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter ; Grigorova, Miryana. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:3:p:1258-1288.

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2020The monotone case approach for the solution of certain multidimensional optimal stopping problems. (2020). Irle, Albrecht ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1972-1993.

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2020On time-inconsistent stopping problems and mixed strategy stopping times. (2020). Lindensjo, Kristoffer ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:2886-2917.

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2021On the optimality of double barrier strategies for Lévy processes. (2021). Noba, Kei. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:131:y:2021:i:c:p:73-102.

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2020Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

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2020Option-Implied Intrahorizon Value at Risk. (2020). Leippold, Markus ; Vasiljevi, Nikola. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:397-414.

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2020A Stochastic Analysis of Queues with Customer Choice and Delayed Information. (2020). Wesson, Elizabeth ; Rand, Richard ; Pender, Jamol. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:1104-1126.

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2020Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. (2020). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1210-1236.

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2021Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach. (2021). Suzuki, Kiyoshi . In: Mathematics of Operations Research. RePEc:inm:ormoor:v:46:y:2021:i:1:p:336-360.

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2020Maximizing expected exponential utility of consumption with a constraint on expected time in poverty. (2020). Young, Virginia R ; Li, Dongchen. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00354-z.

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2020Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations. (2020). Yee, Jeremy ; Tarnopolskaya, Tanya ; Hinz, Juri. In: Annals of Operations Research. RePEc:spr:annopr:v:286:y:2020:i:1:d:10.1007_s10479-018-2910-3.

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2020Optimal reinsurance and investment in a diffusion model. (2020). Schmidli, Hanspeter ; Brachetta, Matteo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-019-00265-8.

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2020Trading strategy with stochastic volatility in a limit order book market. (2020). Siu, Tak Kuen ; Gu, Jiawen ; Ching, Wai-Ki ; Yang, Qing-Qing . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00278-8.

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2020Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2020). Angelis, Tiziano. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00407-1.

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2020Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process. (2020). Pergamenshchikov, Serguei ; Kabanov, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00413-3.

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2020Partial liquidation under reference-dependent preferences. (2020). Henderson, Vicky ; Muscat, Jonathan. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00421-8.

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2020Minimizing the Probability of Lifetime Exponential Parisian Ruin. (2020). Young, Virginia R ; Liang, Xiaoqing. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:184:y:2020:i:3:d:10.1007_s10957-019-01595-8.

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2020Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper. (2020). Campi, Luciano ; Santis, Davide. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01718-6.

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2020On the problems of sequential statistical inference for Wiener processes with delayed observations. (2020). Gapeev, Pavel V. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-020-01178-0.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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2020Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052020.

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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: 7
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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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2009On the Stickiness Property In: Papers.
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2010On the stickiness property.(2010) In: Quantitative Finance.
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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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This paper has another version. Agregated cites: 3
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2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
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2009Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities.(2009) In: Journal of Economic Dynamics and Control.
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2008Optimal Investment Strategy to Minimize Occupation Time In: Papers.
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2010Optimal investment strategy to minimize occupation time.(2010) In: Annals of Operations Research.
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2008Minimizing the Probability of Ruin when Consumption is Ratcheted In: Papers.
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2008Minimizing the Probability of Ruin When Consumption is Ratcheted.(2008) In: North American Actuarial Journal.
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2012Regularity of the Optimal Stopping Problem for Jump Diffusions In: Papers.
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2009Optimal Trade Execution in Illiquid Markets In: Papers.
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2011Optimal Stopping for Non-linear Expectations In: Papers.
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2009Strict Local Martingale Deflators and Pricing American Call-Type Options In: Papers.
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2009On the uniqueness of classical solutions of Cauchy problems In: Papers.
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2009Optimal Stopping for Dynamic Convex Risk Measures In: Papers.
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2013On the Existence of Consistent Price Systems In: Papers.
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2011Minimizing the Probability of Lifetime Ruin under Stochastic Volatility In: Papers.
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2011Minimizing the probability of lifetime ruin under stochastic volatility.(2011) In: Insurance: Mathematics and Economics.
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2011Valuation equations for stochastic volatility models In: Papers.
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2012Valuation equations for stochastic volatility models.(2012) In: LSE Research Online Documents on Economics.
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2011Quadratic Reflected BSDEs with Unbounded Obstacles In: Papers.
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2012Quadratic reflected BSDEs with unbounded obstacles.(2012) In: Stochastic Processes and their Applications.
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2012Outperforming the market portfolio with a given probability In: Papers.
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2013On the Multi-Dimensional Controller and Stopper Games In: Papers.
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2011On the Stability of Utility Maximization Problems In: Papers.
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2012Liquidation in Limit Order Books with Controlled Intensity In: Papers.
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2014LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY.(2014) In: Mathematical Finance.
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This paper has another version. Agregated cites: 47
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2012Stability of exponential utility maximization with respect to market perturbations In: Papers.
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2013Stability of exponential utility maximization with respect to market perturbations.(2013) In: Stochastic Processes and their Applications.
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2013Robust maximization of asymptotic growth under covariance uncertainty In: Papers.
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2013A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems In: Papers.
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2013Life Insurance Purchasing to Maximize Utility of Household Consumption In: Papers.
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2013Life Insurance Purchasing to Maximize Utility of Household Consumption.(2013) In: North American Actuarial Journal.
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2012Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin In: Papers.
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2008Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin.(2008) In: Finance Research Letters.
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2012Inventory Management with Partially Observed Nonstationary Demand In: Papers.
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