16
H index
29
i10 index
911
Citations
Erhan Bayraktar : Citation Profile
| RESEARCH PRODUCTION: 77 Articles 114 Papers 1 Books 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2003 - 2025). 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:
| Cites to:
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Main data
Where Erhan Bayraktar has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 111 |
| Finance / University Library of Munich, Germany | 2 |
Recent works citing Erhan Bayraktar (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Relative Arbitrage Opportunities in $N$ Investors and Mean-Field Regimes. (2020). Yang, Tianjiao ; Ichiba, Tomoyuki. In: Papers. RePEc:arx:papers:2006.15158. Full description at Econpapers || Download paper |
| 2024 | Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166. Full description at Econpapers || Download paper |
| 2024 | Optimal consumption under a drawdown constraint over a finite horizon. (2022). Yu, Xiang ; Yi, Fahuai ; Li, Xun ; Chen, Xiaoshan. In: Papers. RePEc:arx:papers:2207.07848. Full description at Econpapers || Download paper |
| 2024 | Quantitative Fundamental Theorem of Asset Pricing. (2022). Gudmund, Pammer ; Julio, Backhoff ; Beatrice, Acciaio . In: Papers. RePEc:arx:papers:2209.15037. Full description at Econpapers || Download paper |
| 2024 | An extended Merton problem with relaxed benchmark tracking. (2023). Yu, Xiang ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802. Full description at Econpapers || Download paper |
| 2024 | The uniform diversification strategy is optimal for expected utility maximization under high model ambiguity. (2023). Wiesel, Johannes ; Carassus, Laurence. In: Papers. RePEc:arx:papers:2306.01503. Full description at Econpapers || Download paper |
| 2024 | The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571. Full description at Econpapers || Download paper |
| 2024 | Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. (2023). Ragel, Vincent ; Fabre, Timoth'Ee. In: Papers. RePEc:arx:papers:2307.04863. Full description at Econpapers || Download paper |
| 2024 | Explicit Computations for Delayed Semistatic Hedging. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2308.10550. Full description at Econpapers || Download paper |
| 2025 | Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers || Download paper |
| 2024 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper |
| 2024 | Coherent risk measures and uniform integrability. (2024). Wang, Ruodu ; Huang, Muqiao. In: Papers. RePEc:arx:papers:2404.03783. Full description at Econpapers || Download paper |
| 2024 | A general framework for pricing and hedging under local viability. (2024). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:2411.19206. Full description at Econpapers || Download paper |
| 2024 | Stochastic optimal self-path-dependent control: A new type of variational inequality and its viscosity solution. (2024). Xu, Zuo Quan ; Guo, Mingxin. In: Papers. RePEc:arx:papers:2412.11383. Full description at Econpapers || Download paper |
| 2025 | De Finettis problem with fixed transaction costs and regime switching. (2025). Zhou, Xiaowen ; Yan, Kaixin ; Yamazaki, Kazutoshi ; Xu, Zuo Quan ; Wang, Wenyuan. In: Papers. RePEc:arx:papers:2502.05839. Full description at Econpapers || Download paper |
| 2025 | Model-independent upper bounds for the prices of Bermudan options with convex payoffs. (2025). Hobson, David ; Norgilas, Dominykas. In: Papers. RePEc:arx:papers:2503.13328. Full description at Econpapers || Download paper |
| 2024 | Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations. (2024). Dufera, Tamirat Temesgen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001407. Full description at Econpapers || Download paper |
| 2024 | Dual sourcing under non-stationary demand and partial observability. (2024). Boute, Robert N ; van Staden, Heletje E ; Yee, Hannah. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:94-110. Full description at Econpapers || Download paper |
| 2024 | Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131. Full description at Econpapers || Download paper |
| 2024 | Optimal investment for asset–liability management with delay and partial information under Ornstein–Uhlenbeck process. (2024). Yang, Wensheng ; Chen, Dengsheng ; Wang, Chengben. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24001537. Full description at Econpapers || Download paper |
| 2024 | Robust investment for insurers with correlation ambiguity. (2024). Zhang, Lihong ; Wang, Hao ; Cheng, Bingqian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:247-257. Full description at Econpapers || Download paper |
| 2024 | Diffusion spiders: Green kernel, excessive functions and optimal stopping. (2024). Salminen, Paavo ; Mordecki, Ernesto ; Lempa, Jukka. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923002016. Full description at Econpapers || Download paper |
| 2024 | A detection problem with a monotone observation rate. (2024). Milazzo, Alessandro ; Ekstrom, Erik. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:172:y:2024:i:c:s0304414924000437. Full description at Econpapers || Download paper |
| 2024 | Lp optimal prediction of the last zero of a spectrally negative Lévy process. (2024). Pedraza, Jose M ; Baurdoux, Erik J. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119468. Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2024 | Pricing interest rate derivatives under volatility uncertainty. (2024). Hlzermann, Julian. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04921-y. Full description at Econpapers || Download paper |
| 2024 | Instabilities in multi-asset and multi-agent market impact games. (2024). Lillo, Fabrizio ; Cordoni, Francesco. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-05066-8. Full description at Econpapers || Download paper |
| 2024 | Planning Problem for Continuous-Time Finite State Mean Field Game with Compact Action Space. (2024). Volkov, Aleksei ; Averboukh, Yurii. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:14:y:2024:i:2:d:10.1007_s13235-023-00492-0. Full description at Econpapers || Download paper |
| 2025 | Qualitative financial modelling in fractal dimensions. (2025). Anukool, Waranont ; El-Nabulsi, Rami Ahmad. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00723-2. Full description at Econpapers || Download paper |
| 2024 | Optimal reinsurance via BSDEs in a partially observable model with jump clusters. (2024). Sgarra, Carlo ; Ceci, Claudia ; Callegaro, Giorgia ; Brachetta, Matteo. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:2:d:10.1007_s00780-023-00523-z. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2025 | Quickest Change-point Detection Problems for Multidimensional Wiener Processes. (2025). Stoev, Yavor I ; Gapeev, Pavel V. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:1:d:10.1007_s11009-024-10124-8. Full description at Econpapers || Download paper |
Works by Erhan Bayraktar:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2010 | Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2011 | Proving regularity of the minimal probability of ruin via a game of stopping and control.(2011) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2008 | Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Mutual fund theorems when minimizing the probability of lifetime ruin.(2008) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | On the Stickiness Property In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | On the stickiness property.(2010) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2009 | No Arbitrage Conditions For Simple Trading Strategies In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | No arbitrage conditions for simple trading strategies.(2010) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2008 | Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers. [Full Text][Citation analysis] | paper | 27 |
| 2009 | Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities.(2009) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2008 | Optimal Investment Strategy to Minimize Occupation Time In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2010 | Optimal investment strategy to minimize occupation time.(2010) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2008 | Minimizing the Probability of Ruin when Consumption is Ratcheted In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Minimizing the Probability of Ruin When Consumption is Ratcheted.(2008) In: North American Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2012 | Regularity of the Optimal Stopping Problem for Jump Diffusions In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Optimal Trade Execution in Illiquid Markets In: Papers. [Full Text][Citation analysis] | paper | 17 |
| 2011 | Optimal Stopping for Non-linear Expectations In: Papers. [Full Text][Citation analysis] | paper | 19 |
| 2009 | Strict Local Martingale Deflators and Pricing American Call-Type Options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | On the uniqueness of classical solutions of Cauchy problems In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Optimal Stopping for Dynamic Convex Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 19 |
| 2013 | On the Existence of Consistent Price Systems In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Minimizing the Probability of Lifetime Ruin under Stochastic Volatility In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2011 | Minimizing the probability of lifetime ruin under stochastic volatility.(2011) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2011 | Valuation equations for stochastic volatility models In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2012 | Valuation equations for stochastic volatility models.(2012) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2011 | Quadratic Reflected BSDEs with Unbounded Obstacles In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Quadratic reflected BSDEs with unbounded obstacles.(2012) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2012 | Outperforming the market portfolio with a given probability In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2013 | On the Multi-Dimensional Controller and Stopper Games In: Papers. [Full Text][Citation analysis] | paper | 14 |
| 2011 | On the Stability of Utility Maximization Problems In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Liquidation in Limit Order Books with Controlled Intensity In: Papers. [Full Text][Citation analysis] | paper | 65 |
| 2014 | LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY.(2014) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
| 2012 | Stability of exponential utility maximization with respect to market perturbations In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Stability of exponential utility maximization with respect to market perturbations.(2013) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2013 | Robust maximization of asymptotic growth under covariance uncertainty In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2013 | A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Life Insurance Purchasing to Maximize Utility of Household Consumption In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Life Insurance Purchasing to Maximize Utility of Household Consumption.(2013) In: North American Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2012 | Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2008 | Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin.(2008) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2012 | Inventory Management with Partially Observed Nonstationary Demand In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2010 | Inventory management with partially observed nonstationary demand.(2010) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2013 | A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | On optimal dividends in the dual model In: Papers. [Full Text][Citation analysis] | paper | 36 |
| 2013 | ON OPTIMAL DIVIDENDS IN THE DUAL MODEL.(2013) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | article | |
| 2013 | On controller-stopper problems with jumps and their applications to indifference pricing of American options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | On the Robust Optimal Stopping Problem In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | On an Optimal Stopping Problem of an Insider In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | On model-independent pricing/hedging using shortfall risk and quantiles In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | On utility maximization with derivatives under model uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Weak reflection principle for L\evy processes In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | A note on the Fundamental Theorem of Asset Pricing under model uncertainty In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty.(2014) In: Risks. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2015 | On hedging American options under model uncertainty In: Papers. [Full Text][Citation analysis] | paper | 18 |
| 2017 | On the Market Viability under Proportional Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2018 | On the market viability under proportional transaction costs.(2018) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2014 | Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2015 | On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints In: Papers. [Full Text][Citation analysis] | paper | 26 |
| 2017 | ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS.(2017) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2014 | Purchasing Life Insurance to Reach a Bequest Goal In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Purchasing life insurance to reach a bequest goal.(2014) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2014 | Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Comparing the $G$-Normal Distribution to its Classical Counterpart In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | On Zero-sum Optimal Stopping Games In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Quantile Hedging in a Semi-Static Market with Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Quantile Hedging in a semi-static market with model uncertainty.(2018) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2016 | Stochastic Perron for stochastic target games In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | On a Stopping Game in continuous time In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | An $\alpha$-stable limit theorem under sublinear expectation In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2015 | Doubly reflected BSDEs with integrable parameters and related Dynkin games.(2015) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2016 | Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Arbitrage, hedging and utility maximization using semi-static trading strategies with American options In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Optimally Investing to Reach a Bequest Goal In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Optimally investing to reach a bequest goal.(2016) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2015 | Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case.(2015) In: North American Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2016 | Risk Sensitive Control of the Lifetime Ruin Problem In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | Optimal Stopping with Random Maturity under Nonlinear Expectations In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2017 | Optimal stopping with random maturity under nonlinear expectations.(2017) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2016 | Optimal Investment to Minimize the Probability of Drawdown In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | On the Robust Dynkin Game In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Minimizing the Probability of Lifetime Drawdown under Constant Consumption In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Minimizing the probability of lifetime drawdown under constant consumption.(2016) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2015 | Minimizing the expected lifetime spent in drawdown under proportional consumption.(2015) In: Finance Research Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2016 | A rank based mean field game in the strong formulation In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Distribution-Constrained Optimal Stopping In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2019 | Distribution‐constrained optimal stopping.(2019) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2016 | Stochastic Perron for Stochastic Target Problems In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Stochastic Perron for Stochastic Target Problems.(2016) In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 12 |
| 2017 | SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2018 | No-arbitrage and hedging with liquid American options In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | No-Arbitrage and Hedging with Liquid American Options.(2019) In: Mathematics of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2017 | High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Mini-Flash Crashes, Model Risk, and Optimal Execution In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2019 | Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Transport plans with domain constraints In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2019 | On the quasi-sure superhedging duality with frictions In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | On the quasi-sure superhedging duality with frictions.(2020) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Continuity of Utility Maximization under Weak Convergence In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2021 | Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case.(2021) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2020 | On non-uniqueness in mean field games In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2020 | Equilibrium concepts for time-inconsistent stopping problems in continuous time In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2021 | Equilibrium concepts for time‐inconsistent stopping problems in continuous time.(2021) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2020 | Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2020 | Extended weak convergence and utility maximisation with proportional transaction costs.(2020) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2023 | McKean-Vlasov equations involving hitting times: blow-ups and global solvability In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | On the Continuity of the Root Barrier In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2021 | Optimal Investment and Consumption under a Habit-Formation Constraint In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2021 | A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2023 | Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes.(2023) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | Nonparametric Adaptive Robust Control Under Model Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Data-Driven Nonparametric Robust Control under Dependence Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Data-Driven Non-Parametric Robust Control under Dependence Uncertainty.(2023) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2024 | Deep Signature Algorithm for Multi-dimensional Path-Dependent Options In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Arbitrage theory in a market of stochastic dimension In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Arbitrage theory in a market of stochastic dimension.(2024) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Systemic robustness: a mean-field particle system approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Supermartingale Breniers Theorem with full-marginals constraint In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Supermartingale Brenier’s Theorem with Full-Marginal Constraint.(2023) In: World Scientific Book Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
| 2023 | Quantifying dimensional change in stochastic portfolio theory In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2024 | Quantifying dimensional change in stochastic portfolio theory.(2024) In: Mathematical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | Fitted Value Iteration Methods for Bicausal Optimal Transport In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The McCormick martingale optimal transport In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | DEX Specs: A Mean Field Approach to DeFi Currency Exchanges In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Two-fund separation under hyperbolically distributed returns and concave utility function In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | On the mean-field limit of diffusive games through the master equation: extreme value analysis In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Sequential optimal contracting in continuous time In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | The Learning Approach to Games In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio In: Papers. [Full Text][Citation analysis] | paper | 15 |
| 2008 | Pricing options in incomplete equity markets via the instantaneous Sharpe ratio.(2008) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2009 | On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | On the perpetual American put options for level dependent volatility models with jumps.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2008 | A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Correspondence between Lifetime Minimum Wealth and Utility of Consumption In: Papers. [Full Text][Citation analysis] | paper | 8 |
| 2007 | Correspondence between lifetime minimum wealth and utility of consumption.(2007) In: Finance and Stochastics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2007 | Optimizing Venture Capital Investments in a Jump Diffusion Model In: Papers. [Full Text][Citation analysis] | paper | 27 |
| 2008 | Optimizing venture capital investments in a jump diffusion model.(2008) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
| 2007 | Minimizing the Lifetime Shortfall or Shortfall at Death In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Minimizing the lifetime shortfall or shortfall at death.(2009) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2009 | A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | A unified treatment of dividend payment problems under fixed cost and implementation delays.(2010) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2007 | Optimal Time to Change Premiums In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Optimal time to change premiums.(2008) In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2007 | A Limit Theorem for Financial Markets with Inert Investors In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2007 | Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers. [Full Text][Citation analysis] | paper | 13 |
| 2007 | The Effects of Implementation Delay on Decision-Making Under Uncertainty In: Papers. [Full Text][Citation analysis] | paper | 7 |
| 2007 | The effects of implementation delay on decision-making under uncertainty.(2007) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2007 | Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis In: Papers. [Full Text][Citation analysis] | paper | 22 |
| 2004 | ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS.(2004) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
| 2007 | Minimizing the Probability of Lifetime Ruin under Borrowing Constraints In: Papers. [Full Text][Citation analysis] | paper | 17 |
| 2007 | Minimizing the probability of lifetime ruin under borrowing constraints.(2007) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2007 | Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Hedging life insurance with pure endowments In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
| 2014 | Optimal dividends in the dual model under transaction costs In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 33 |
| 2014 | Optimal reinsurance and investment with unobservable claim size and intensity In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 36 |
| 2005 | The standard Poisson disorder problem revisited In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 16 |
| 2009 | Sequential tracking of a hidden Markov chain using point process observations In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 5 |
| 2011 | Optimal stopping for non-linear expectations--Part I In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 21 |
| 2011 | Optimal stopping for non-linear expectations--Part II.(2011) In: Stochastic Processes and their Applications. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2021 | Embedding of Walsh Brownian motion In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 1 |
| 2021 | Mean field interaction on random graphs with dynamically changing multi-color edges In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2022 | Stationarity and uniform in time convergence for the graphon particle system In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2023 | Graphon particle system: Uniform-in-time concentration bounds In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2024 | Stochastic control/stopping problem with expectation constraints In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 3 | |
| 2006 | Poisson Disorder Problem with Exponential Penalty for Delay In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 6 |
| 2006 | A Limit Theorem for Financial Markets with Inert Investors In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 13 |
| 2008 | An Analysis of Monotone Follower Problems for Diffusion Processes In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 6 |
| 2010 | On the One-Dimensional Optimal Switching Problem In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 18 |
| 2016 | Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 25 |
| 2021 | Terminal Ranking Games In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2022 | Finite State Mean Field Games with Wright–Fisher Common Noise as Limits of N -Player Weighted Games In: Mathematics of Operations Research. [Full Text][Citation analysis] | article | 1 |
| 2012 | Strict local martingale deflators and valuing American call-type options In: Finance and Stochastics. [Full Text][Citation analysis] | article | 11 |
| In: . [Full Text][Citation analysis] | book | 0 | |
| 2009 | Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 1 |
| 2005 | Consistency Problems for Jump-diffusion Models In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
| 2003 | Consistency Problems For Jump-Diffusion Models.(2003) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | Pricing Options on Defaultable Stocks In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 4 |
| 2009 | Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 2 |
| 2008 | Minimizing the Probability of Lifetime Ruin under Random Consumption In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
| 2009 | Relative Hedging of Systematic Mortality Risk In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 3 |
| 2009 | Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 2 |
| 2003 | Projecting the Forward Rate Flow on a Finite Dimensional Manifold In: Finance. [Full Text][Citation analysis] | paper | 3 |
| 2006 | PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD.(2006) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2005 | ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 3 |
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