Erhan Bayraktar : Citation Profile


Are you Erhan Bayraktar?

15

H index

24

i10 index

773

Citations

RESEARCH PRODUCTION:

69

Articles

101

Papers

RESEARCH ACTIVITY:

   19 years (2003 - 2022). See details.
   Cites by year: 40
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 92 (10.64 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba1177
   Updated: 2022-08-06    RAS profile: 2022-05-06    
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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:

Laeven, Roger (11)

Rady, Sven (3)

Moreno-Franco, Harold (3)

Keller, R (3)

Favero, Carlo (3)

Siu, Tak Kuen (3)

Leung, Tim (3)

LEHALLE, Charles-Albert (3)

Fabozzi, Frank (2)

Milevsky, Moshe (2)

Suzuki, Kiyoshi (2)

Cites to:

Milevsky, Moshe (15)

merton, robert (10)

Duffie, Darrell (8)

Horst, Ulrich (8)

Кабанов, Юрий (7)

Constantinides, George (7)

Hommes, Cars (6)

Nguyen-Huu, Adrien (6)

Brock, William (5)

Schied, Alexander (5)

Sethi, Suresh (5)

Main data


Where Erhan Bayraktar has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications11
Insurance: Mathematics and Economics9
North American Actuarial Journal6
Mathematical Finance6
Mathematics of Operations Research6
Mathematical Methods of Operations Research5
Finance and Stochastics5
International Journal of Theoretical and Applied Finance (IJTAF)4
Finance Research Letters3
Applied Mathematical Finance3
Quantitative Finance2
Annals of Finance2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org98
Finance / University Library of Munich, Germany2

Recent works citing Erhan Bayraktar (2022 and 2021)


YearTitle of citing document
2021Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543.

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2022New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383.

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2021Optimal Information Acquisition and Consumption Under Habit Formation Preference. (2019). Yu, Xiang ; Yang, Yue. In: Papers. RePEc:arx:papers:1903.04257.

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2021A class of recursive optimal stopping problems with applications to stock trading. (2019). de Angelis, Tiziano ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1905.02650.

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2021Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2021Optimal ratcheting of dividends in insurance. (2019). Muler, Nora ; Azcue, Pablo ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:1910.06910.

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2021Semimartingale 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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2022Markov risk mappings and risk-averse optimal stopping under ambiguity. (2020). Moriarty, John ; Martyr, Randall. In: Papers. RePEc:arx:papers:2001.06895.

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2021Pricing Interest Rate Derivatives under Volatility Uncertainty. (2020). Holzermann, Julian. In: Papers. RePEc:arx:papers:2003.04606.

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2022Model Uncertainty: A Reverse Approach. (2022). Liebrich, Felix-Benedikt ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:2004.06636.

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2021Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. (2020). Frittelli, Marco ; Doldi, Alessandro. In: Papers. RePEc:arx:papers:2005.12572.

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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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2021Robust Multiple Stopping -- A Pathwise Duality Approach. (2020). Laeven, Roger ; Stadje, Mitja ; John , . In: Papers. RePEc:arx:papers:2006.01802.

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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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2022Optimal 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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2021Optimal 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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2022Model-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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2021Teamwise Mean Field Competitions. (2020). Zhang, Yuchong ; Yu, Xiang ; Zhou, Zhou. In: Papers. RePEc:arx:papers:2006.14472.

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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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2021Pricing 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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2022Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (2020). Larsen, Kasper ; Cetin, Umut. In: Papers. RePEc:arx:papers:2007.15041.

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2021Robust 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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2022Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty. (2020). Myung, Jiyoun ; Chen, Tao. In: Papers. RePEc:arx:papers:2011.04804.

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2021A 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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2021A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria. (2021). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:2101.00343.

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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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2021Bayesian optimal investment and reinsurance with dependent financial and insurance risks. (2021). Leimcke, Gregor ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2103.05777.

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2021Functional portfolio optimization in stochastic portfolio theory. (2021). Wong, Ting-Kam Leonard ; Campbell, Steven. In: Papers. RePEc:arx:papers:2103.10925.

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2022Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (2021). Gu, Olivier ; Drissi, Fayccal ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2103.13773.

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2021Optimal Retirement Time and Consumption with the Variation in Habitual Persistence. (2021). Ye, QI ; Song, Yilun ; Liang, Zongxia ; He, Lin. In: Papers. RePEc:arx:papers:2103.16800.

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2021Contagious McKean-Vlasov systems with heterogeneous impact and exposure. (2021). Sojmark, Andreas ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2104.06776.

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2021Bubbles in discrete time models. (2021). Herdegen, Martin ; Kreher, Dorte. In: Papers. RePEc:arx:papers:2104.12740.

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2021Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829.

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2021Weak equilibriums for time-inconsistent stopping control problems. (2021). Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2105.06607.

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2021Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets. (2021). Ceci, Claudia ; Cretarola, Alessandra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:2105.07524.

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2021When Two Worlds Collide: Using Particle Physics Tools to Visualize the Limit Order Book. (2021). Trujillo-Barrera, Andres A ; van Leeuwen, Paul ; Naumann, Axel ; Gardebroek, Cornelis ; Hageboeck, Stephan ; Debie, Philippe ; Verhulst, Marjolein E ; Moneta, Lorenzo. In: Papers. RePEc:arx:papers:2109.04812.

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2022Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact. (2021). Moshe, Shir ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2111.00451.

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2021Robust pricing-hedging duality for multi-action options. (2021). Zhou, Zhou ; Liu, Shidan ; Guo, Ivan ; Aksamit, Anna. In: Papers. RePEc:arx:papers:2111.14502.

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2022Fractional SDE-Net: Generation of Time Series Data with Long-term Memory. (2022). Nakagawa, Kei ; Hayashi, Kohei. In: Papers. RePEc:arx:papers:2201.05974.

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2022Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2022Regression Monte Carlo for Impulse Control. (2022). Ludkovski, Mike. In: Papers. RePEc:arx:papers:2203.06539.

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2022Consumption-investment decisions with endogenous reference point and drawdown constraint. (2022). Yuan, Fengyi ; Luo, Xiaodong ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2204.00530.

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2022On the closed-form expected NPVs of the double barrier strategy for regular diffusions under the bail-out setting. (2022). Zhu, Chongrui. In: Papers. RePEc:arx:papers:2206.08922.

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2022Optimal dividends under a drawdown constraint and a curious square-root rule. (2022). Muler, Nora ; Azcue, Pablo ; Albrecher, Hansjoerg. In: Papers. RePEc:arx:papers:2206.12220.

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2022A Unifying Framework for Submodular Mean Field Games. (2022). Nendel, Max ; Fischer, Markus ; Ferrari, Giorgio ; Dianetti, Jodi. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:661.

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2021Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012.

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2021Perturbation analysis of sub/super hedging problems. (2021). Jacquier, Antoine ; Badikov, Sergey. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1240-1274.

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2021Convergence of optimal expected utility for a sequence of binomial models. (2021). Schachermayer, Walter ; Hubalek, Friedrich. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1315-1331.

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2022Robust asymptotic growth in stochastic portfolio theory under long?only constraints. (2022). Larsson, Martin ; Itkin, David. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:114-171.

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2022Optimal dividend payout under stochastic discounting. (2022). Gozzi, Fausto ; Ferrari, Giorgio ; de Angelis, Tiziano ; Bandini, Elena. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:627-677.

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2021Optimal bookmaking. (2021). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:560-574.

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2021On the optimality of joint periodic and extraordinary dividend strategies. (2021). Wong, Bernard ; Lau, Hayden ; Avanzi, Benjamin. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1189-1210.

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2022Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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2022Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2022). Schnaubelt, Matthias. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:3:p:993-1006.

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2022Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness. (2022). Yu, Min-Teh ; Sun, Edward W ; Chang, Chia-Chien ; Chen, Chang-Chih. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:2:p:727-742.

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2022OR for entrepreneurial ecosystems: A problem-oriented review and agenda. (2022). Wurth, Bernd ; Grigoroudis, Evangelos ; Carayannis, Elias G. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:791-808.

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2022Optimal harvesting under marine reserves and uncertain environment. (2022). Scotti, Simone ; Ly, Vathana ; Gaigi, Mhamed. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:3:p:1181-1194.

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2022Stackelberg differential game for reinsurance: Mean-variance framework and random horizon. (2022). Young, Virginia R ; Li, Danping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:42-55.

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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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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Tax haven Use, the pricing of audit and Non-audit Services, suspicious matters reporting obligations and whistle blower hotline Facilities: Evidence from Australian financial corporations. (2021). Richardson, Grant ; Duong, Lien ; Dutta, Saurav ; Taylor, Grantley ; Al-Hadi, Ahmed ; Eulaiwi, Baban. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:17:y:2021:i:2:s1815566921000205.

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2021Arbitrage concepts under trading restrictions in discrete-time financial markets. (2021). Runggaldier, Wolfgang J ; Fontana, Claudio. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:92:y:2021:i:c:p:66-80.

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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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2021Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games. (2021). Klimsiak, Tomasz. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:134:y:2021:i:c:p:208-239.

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2021Asymptotic optimality of the generalized c? rule under model uncertainty. (2021). Saha, Subhamay ; Cohen, Asaf. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:136:y:2021:i:c:p:206-236.

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2022Optimal Allocation of Retirement Portfolios. (2022). Murphy, Matthew ; Lane, Morton ; Maritato, Kevin ; Uryasev, Stan. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:2:p:65-:d:740079.

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2021.

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2021Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model. (2021). Brinker, Leonie Violetta. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:17-:d:475828.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

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2021Pricing 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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2021No-arbitrage conditions and pricing from discrete-time to continuous-time strategies.. (2021). Lepinette, Emmanuel ; Cherif, Dorsaf. In: Working Papers. RePEc:hal:wpaper:hal-03284660.

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2021How to Play Fantasy Sports Strategically (and Win). (2021). Singal, Raghav ; Haugh, Martin B. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:1:p:72-92.

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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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2021A unified framework for robust modelling of financial markets in discrete time. (2021). Wiesel, Johannes ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:3:d:10.1007_s00780-021-00454-7.

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2022A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. (2022). Zhou, Zhou ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-021-00468-1.

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2022Optimal consumption with reference to past spending maximum. (2022). Yu, Xiang ; Pham, Huyen ; Li, Xun ; Deng, Shuoqing. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00475-w.

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2022Solving optimal stopping problems under model uncertainty via empirical dual optimisation. (2022). Kratschmer, Volker ; Hubner, Tobias ; Belomestny, Denis. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:3:d:10.1007_s00780-022-00480-z.

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2021Portfolio selection with drawdown constraint on consumption: a generalization model. (2021). Park, Kyunghyun ; Jeon, Junkee. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:93:y:2021:i:2:d:10.1007_s00186-020-00734-6.

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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
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
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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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This paper has another version. Agregated cites: 4
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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: 4
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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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This paper has another version. Agregated cites: 25
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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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This paper has another version. Agregated cites: 8
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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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This paper has another version. Agregated cites: 1
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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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This paper has another version. Agregated cites: 3
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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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This paper has another version. Agregated cites: 12
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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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This paper has another version. Agregated cites: 4
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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: 53
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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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This paper has another version. Agregated cites: 5
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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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