Erhan Bayraktar : Citation Profile

Are you Erhan Bayraktar?

15

H index

28

i10 index

856

Citations

RESEARCH PRODUCTION:

72

Articles

108

Papers

2

Chapters

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 40
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 96 (10.08 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba1177
   Updated: 2024-01-16    RAS profile: 2023-08-05    
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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:

Laeven, Roger (11)

Gozzi, Fausto (3)

Rady, Sven (3)

Fabozzi, Frank (3)

Favero, Carlo (3)

Galluccio, Stefano (3)

Leung, Tim (3)

Siu, Tak Kuen (3)

Keller, R (3)

LEHALLE, Charles-Albert (3)

Moreno-Franco, Harold (3)

Cites to:

Milevsky, Moshe (15)

Кабанов, Юрий (12)

merton, robert (10)

Duffie, Darrell (9)

Hommes, Cars (8)

Nguyen-Huu, Adrien (8)

Horst, Ulrich (8)

Brock, William (7)

Constantinides, George (7)

Detemple, Jerome (6)

Lux, Thomas (5)

Main data

Where Erhan Bayraktar has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications13
Insurance: Mathematics and Economics9
Mathematical Finance7
North American Actuarial Journal6
Finance and Stochastics5
Mathematical Methods of Operations Research5
International Journal of Theoretical and Applied Finance (IJTAF)4
Finance Research Letters3
Applied Mathematical Finance3
Annals of Finance2
Quantitative Finance2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org105
Finance / University Library of Munich, Germany2

Recent works citing Erhan Bayraktar (2024 and 2023)

YearTitle of citing document
2023Optimal liquidation under indirect price impact with propagator. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023012.

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2023A State-Dependent Dual Risk Model. (2015). Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1510.03920.

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2023Optimal Investment in a Dual Risk Model. (2015). Fahim, Arash ; Zhu, Lingjiong. In: Papers. RePEc:arx:papers:1510.04924.

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2023Weak equilibriums for time-inconsistent stopping control problems. (2021). Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2105.06607.

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2023Robust 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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2023Rigorous multi-asset optimal execution with Bayesian learning of the drift. (2022). Drissi, Fayccal. In: Papers. RePEc:arx:papers:2202.07478.

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2023Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423.

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2024Quantitative Fundamental Theorem of Asset Pricing. (2022). Gudmund, Pammer ; Julio, Backhoff ; Beatrice, Acciaio . In: Papers. RePEc:arx:papers:2209.15037.

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2023Duality Theory for Exponential Utility Based Hedging in the Almgren--Chriss Model. (2022). Dolinsky, Yan. In: Papers. RePEc:arx:papers:2210.03917.

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2023Duality in optimal consumption--investment problems with alternative data. (2022). Wong, Hoi Ying ; Chen, Kexin. In: Papers. RePEc:arx:papers:2210.08422.

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2023Optimal Liquidation with High Risk Aversion in the Almgren--Chriss Model: A Case Study. (2023). Dolinsky, Yan ; Dolinskyi, Leonid. In: Papers. RePEc:arx:papers:2301.01555.

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2023A delayed dual risk model. (2023). Zhu, Lingjiong. In: Papers. RePEc:arx:papers:2301.06450.

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2023On time-consistent equilibrium stopping under aggregation of diverse discount rates. (2023). Zhang, Jiacheng ; Yu, Xiang ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2302.07470.

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2023Mean field game of mutual holding with defaultable agents, and systemic risk. (2023). Touzi, Nizar ; Guo, Gaoyue ; Djete, Mao Fabrice. In: Papers. RePEc:arx:papers:2303.07996.

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2023Optimal moral-hazard-free reinsurance under extended distortion premium principles. (2023). Zou, Bin ; Xu, Zuo Quan ; Jin, Zhuo. In: Papers. RePEc:arx:papers:2304.08819.

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2023An extended Merton problem with relaxed benchmark tracking. (2023). Yu, Xiang ; Huang, Yijie ; Bo, Lijun. In: Papers. RePEc:arx:papers:2304.10802.

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2024The 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.

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2023The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

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2023Tackling 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.

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2023Explicit Computations for Delayed Semistatic Hedging. (2023). Zuk, OR ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:2308.10550.

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2023Optimal exercise decision of American options under model uncertainty. (2023). Lim, Tongseok. In: Papers. RePEc:arx:papers:2310.14473.

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2023Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248.

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2023Discretization 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.

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2023Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668.

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2023Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Ferrari, Giorgio ; Chen, AN ; Zhu, Shihao. In: Papers. RePEc:arx:papers:2312.02943.

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2023Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning. (2023). Ferrari, Giorgio ; Chen, AN ; Zhu, Shihao. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:684.

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2023.

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2023.

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2023A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. (2023). Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen ; Afhami, Bahareh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008761.

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2023Optimal investment and consumption strategies for pooled annuity with partial information. (2023). Li, Danping ; Qian, Linyi ; Chen, LV ; Xie, Lin ; Yang, Zhixin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:129-155.

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2023Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45.

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2023Pricing extreme mortality risk in the wake of the COVID-19 pandemic. (2023). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:84-106.

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2023Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30.

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2023Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin. (2023). Young, Virginia R ; Liang, Xiaoqing. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:80-96.

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2023Doubly reflected BSDEs with stochastic quadratic growth: Around the predictable obstacles. (2023). Rhazlane, C E ; Hassani, M ; Essaky, E H. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:473-497.

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2023Non-linear Dynkin games over split stopping times. (2023). Marzougue, Mohamed. In: Statistics & Probability Letters. RePEc:eee:stapro:v:193:y:2023:i:c:s0167715222002346.

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2023.

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2023.

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2023Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. (2023). Xiang, Qikun ; Papapantoleon, Antonis ; Neufeld, Ariel. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:2051-2068.

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2023No-arbitrage conditions and pricing from discrete-time to continuous-time strategies. (2023). Lepinette, Emmanuel ; Cherif, Dorsaf. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:2:d:10.1007_s10436-023-00426-1.

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2023Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset. (2023). Aksoy, Umit ; Uur, Omur ; Aydoan, Burcu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10272-4.

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2023Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9.

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2023Inventory control with modulated demand and a partially observed modulation process. (2023). White, Chelsea C ; Erera, Alan L ; Malladi, Satya S. In: Annals of Operations Research. RePEc:spr:annopr:v:321:y:2023:i:1:d:10.1007_s10479-022-04932-9.

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2023Generic Properties of First-Order Mean Field Games. (2023). Nguyen, Khai T ; Bressan, Alberto. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:13:y:2023:i:3:d:10.1007_s13235-022-00487-3.

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2023Optimal dividends under a drawdown constraint and a curious square-root rule. (2023). Muler, Nora ; Azcue, Pablo ; Albrecher, Hansjorg. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:2:d:10.1007_s00780-023-00500-6.

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2023Polarization and Coherence in Mean Field Games Driven by Private and Social Utility. (2023). Tolotti, Marco ; Sartori, Elena ; Pra, Paolo Dai. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:1:d:10.1007_s10957-023-02233-0.

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2023Finite Horizon Sequential Detection with Exponential Penalty for the Delay. (2023). Buonaguidi, Bruno. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:198:y:2023:i:1:d:10.1007_s10957-023-02239-8.

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2023.

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2023Model Misspecification in Discrete Time Bayesian Online Change Detection. (2023). Sezer, Semih O ; Dayanik, Savas. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09991-4.

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2023Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z.

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2023Optimal Strategies in a Production Inventory Control Model. (2023). Muler, Nora ; Frostig, Esther ; Azcue, Pablo. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-10024-3.

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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.
[Full Text][Citation analysis]		paper7
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 nother version. Agregated cites: 7		article
2008Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin In: Papers.
[Full Text][Citation analysis]		paper0
2008Mutual fund theorems when minimizing the probability of lifetime ruin.(2008) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 0		article
2009On the Stickiness Property In: Papers.
[Full Text][Citation analysis]		paper4
2010On the stickiness property.(2010) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 4		article
2009No Arbitrage Conditions For Simple Trading Strategies In: Papers.
[Full Text][Citation analysis]		paper5
2010No arbitrage conditions for simple trading strategies.(2010) In: Annals of Finance.
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This paper has nother version. Agregated cites: 5		article
2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
[Full Text][Citation analysis]		paper26
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 nother version. Agregated cites: 26		article
2008Optimal Investment Strategy to Minimize Occupation Time In: Papers.
[Full Text][Citation analysis]		paper11
2010Optimal investment strategy to minimize occupation time.(2010) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 11		article
2008Minimizing the Probability of Ruin when Consumption is Ratcheted In: Papers.
[Full Text][Citation analysis]		paper1
2008Minimizing the Probability of Ruin When Consumption is Ratcheted.(2008) In: North American Actuarial Journal.
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This paper has nother version. Agregated cites: 1		article
2012Regularity of the Optimal Stopping Problem for Jump Diffusions In: Papers.
[Full Text][Citation analysis]		paper3
2009Optimal Trade Execution in Illiquid Markets In: Papers.
[Full Text][Citation analysis]		paper17
2011Optimal Stopping for Non-linear Expectations In: Papers.
[Full Text][Citation analysis]		paper19
2009Strict Local Martingale Deflators and Pricing American Call-Type Options In: Papers.
[Full Text][Citation analysis]		paper4
2009On the uniqueness of classical solutions of Cauchy problems In: Papers.
[Full Text][Citation analysis]		paper5
2009Optimal Stopping for Dynamic Convex Risk Measures In: Papers.
[Full Text][Citation analysis]		paper19
2013On the Existence of Consistent Price Systems In: Papers.
[Full Text][Citation analysis]		paper0
2011Minimizing the Probability of Lifetime Ruin under Stochastic Volatility In: Papers.
[Full Text][Citation analysis]		paper4
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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This paper has nother version. Agregated cites: 13		paper
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 nother version. Agregated cites: 4		article
2012Outperforming the market portfolio with a given probability In: Papers.
[Full Text][Citation analysis]		paper8
2013On the Multi-Dimensional Controller and Stopper Games In: Papers.
[Full Text][Citation analysis]		paper12
2011On the Stability of Utility Maximization Problems In: Papers.
[Full Text][Citation analysis]		paper2
2012Liquidation in Limit Order Books with Controlled Intensity In: Papers.
[Full Text][Citation analysis]		paper62
2014LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY.(2014) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 62		article
2012Stability of exponential utility maximization with respect to market perturbations In: Papers.
[Full Text][Citation analysis]		paper5
2013Stability of exponential utility maximization with respect to market perturbations.(2013) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 5		article
2013Robust maximization of asymptotic growth under covariance uncertainty In: Papers.
[Full Text][Citation analysis]		paper4
2013A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems In: Papers.
[Full Text][Citation analysis]		paper1
2013Life Insurance Purchasing to Maximize Utility of Household Consumption In: Papers.
[Full Text][Citation analysis]		paper5
2013Life Insurance Purchasing to Maximize Utility of Household Consumption.(2013) In: North American Actuarial Journal.
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This paper has nother version. Agregated cites: 5		article
2012Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin In: Papers.
[Full Text][Citation analysis]		paper3
2008Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin.(2008) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 3		article
2012Inventory Management with Partially Observed Nonstationary Demand In: Papers.
[Full Text][Citation analysis]		paper13
2010Inventory management with partially observed nonstationary demand.(2010) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 13		article
2013A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance In: Papers.
[Full Text][Citation analysis]		paper1
2013On optimal dividends in the dual model In: Papers.
[Full Text][Citation analysis]		paper36
2013ON OPTIMAL DIVIDENDS IN THE DUAL MODEL.(2013) In: ASTIN Bulletin.
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This paper has nother version. Agregated cites: 36		article
2013On controller-stopper problems with jumps and their applications to indifference pricing of American options In: Papers.
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2016On the Robust Optimal Stopping Problem In: Papers.
[Full Text][Citation analysis]		paper4
2015On an Optimal Stopping Problem of an Insider In: Papers.
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2013On model-independent pricing/hedging using shortfall risk and quantiles In: Papers.
[Full Text][Citation analysis]		paper0
2013On utility maximization with derivatives under model uncertainty In: Papers.
[Full Text][Citation analysis]		paper0
2015Weak reflection principle for L\evy processes In: Papers.
[Full Text][Citation analysis]		paper3
2015Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty In: Papers.
[Full Text][Citation analysis]		paper5
2014A note on the Fundamental Theorem of Asset Pricing under model uncertainty In: Papers.
[Full Text][Citation analysis]		paper9
2014A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty.(2014) In: Risks.
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This paper has nother version. Agregated cites: 9		article
2015On hedging American options under model uncertainty In: Papers.
[Full Text][Citation analysis]		paper15
2017On the Market Viability under Proportional Transaction Costs In: Papers.
[Full Text][Citation analysis]		paper13
2018On the market viability under proportional transaction costs.(2018) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 13		article
2014Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion In: Papers.
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2015On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints In: Papers.
[Full Text][Citation analysis]		paper24
2017ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS.(2017) In: Mathematical Finance.
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2014Purchasing Life Insurance to Reach a Bequest Goal In: Papers.
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2014Purchasing life insurance to reach a bequest goal.(2014) In: Insurance: Mathematics and Economics.
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2014Stochastic Perrons Method for the Probability of lifetime ruin problem under transaction costs In: Papers.
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2014Comparing the $G$-Normal Distribution to its Classical Counterpart In: Papers.
[Full Text][Citation analysis]		paper0
2017On Zero-sum Optimal Stopping Games In: Papers.
[Full Text][Citation analysis]		paper1
2017Quantile Hedging in a Semi-Static Market with Model Uncertainty In: Papers.
[Full Text][Citation analysis]		paper1
2018Quantile Hedging in a semi-static market with model uncertainty.(2018) In: Mathematical Methods of Operations Research.
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This paper has nother version. Agregated cites: 1		article
2016Stochastic Perron for stochastic target games In: Papers.
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2015On a Stopping Game in continuous time In: Papers.
[Full Text][Citation analysis]		paper1
2016An $\alpha$-stable limit theorem under sublinear expectation In: Papers.
[Full Text][Citation analysis]		paper0
2015Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games In: Papers.
[Full Text][Citation analysis]		paper5
2015Doubly reflected BSDEs with integrable parameters and related Dynkin games.(2015) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 5		article
2016Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming In: Papers.
[Full Text][Citation analysis]		paper3
2016Arbitrage, hedging and utility maximization using semi-static trading strategies with American options In: Papers.
[Full Text][Citation analysis]		paper4
2016Optimally Investing to Reach a Bequest Goal In: Papers.
[Full Text][Citation analysis]		paper7
2016Optimally investing to reach a bequest goal.(2016) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 7		article
2015Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case In: Papers.
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2015Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case.(2015) In: North American Actuarial Journal.
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This paper has nother version. Agregated cites: 3		article
2016Risk Sensitive Control of the Lifetime Ruin Problem In: Papers.
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2018Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices In: Papers.
[Full Text][Citation analysis]		paper2
2016Optimal Stopping with Random Maturity under Nonlinear Expectations In: Papers.
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2017Optimal stopping with random maturity under nonlinear expectations.(2017) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 4		article
2016Optimal Investment to Minimize the Probability of Drawdown In: Papers.
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2016On the Robust Dynkin Game In: Papers.
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2016Minimizing the Probability of Lifetime Drawdown under Constant Consumption In: Papers.
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2016Minimizing the probability of lifetime drawdown under constant consumption.(2016) In: Insurance: Mathematics and Economics.
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2015Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption In: Papers.
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2015Minimizing the expected lifetime spent in drawdown under proportional consumption.(2015) In: Finance Research Letters.
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2016A rank based mean field game in the strong formulation In: Papers.
[Full Text][Citation analysis]		paper3
2017Distribution-Constrained Optimal Stopping In: Papers.
[Full Text][Citation analysis]		paper5
2019Distribution?constrained optimal stopping.(2019) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 5		article
2016Stochastic Perron for Stochastic Target Problems In: Papers.
[Full Text][Citation analysis]		paper3
2016Stochastic Perron for Stochastic Target Problems.(2016) In: Journal of Optimization Theory and Applications.
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This paper has nother version. Agregated cites: 3		article
2017Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty In: Papers.
[Full Text][Citation analysis]		paper9
2017SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2018No-arbitrage and hedging with liquid American options In: Papers.
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2019No-Arbitrage and Hedging with Liquid American Options.(2019) In: Mathematics of Operations Research.
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2017High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering In: Papers.
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2018Mini-Flash Crashes, Model Risk, and Optimal Execution In: Papers.
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2019Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case In: Papers.
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2020Transport plans with domain constraints In: Papers.
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2019Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates In: Papers.
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2019On the quasi-sure superhedging duality with frictions In: Papers.
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2020On the quasi-sure superhedging duality with frictions.(2020) In: Finance and Stochastics.
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2020Continuity of Utility Maximization under Weak Convergence In: Papers.
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2020Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case In: Papers.
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2021Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case.(2021) In: Mathematical Finance.
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2020Equilibrium concepts for time-inconsistent stopping problems in continuous time In: Papers.
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2021Equilibrium concepts for time?inconsistent stopping problems in continuous time.(2021) In: Mathematical Finance.
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2020Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs In: Papers.
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2020Extended weak convergence and utility maximisation with proportional transaction costs.(2020) In: Finance and Stochastics.
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2021Optimal Investment and Consumption under a Habit-Formation Constraint In: Papers.
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2021A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios In: Papers.
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2023Equilibria of time?inconsistent stopping for one?dimensional diffusion processes.(2023) In: Mathematical Finance.
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2022Data-Driven Nonparametric Robust Control under Dependence Uncertainty In: Papers.
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2023Data-Driven Non-Parametric Robust Control under Dependence Uncertainty.(2023) In: World Scientific Book Chapters.
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2024Deep Signature Algorithm for Multi-dimensional Path-Dependent Options In: Papers.
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2023Arbitrage theory in a market of stochastic dimension In: Papers.
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2023Supermartingale Brenier’s Theorem with Full-Marginal Constraint.(2023) In: World Scientific Book Chapters.
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2023Quantifying dimensional change in stochastic portfolio theory In: Papers.
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2023Fitted Value Iteration Methods for Bicausal Optimal Transport In: Papers.
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2007Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio In: Papers.
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2008Pricing options in incomplete equity markets via the instantaneous Sharpe ratio.(2008) In: Annals of Finance.
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2009On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps In: Papers.
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2009On the perpetual American put options for level dependent volatility models with jumps.(2009) In: Quantitative Finance.
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2008A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions In: Papers.
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2007Correspondence between Lifetime Minimum Wealth and Utility of Consumption In: Papers.
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2007Correspondence between lifetime minimum wealth and utility of consumption.(2007) In: Finance and Stochastics.
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2007Optimizing Venture Capital Investments in a Jump Diffusion Model In: Papers.
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2008Optimizing venture capital investments in a jump diffusion model.(2008) In: Mathematical Methods of Operations Research.
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2007Minimizing the Lifetime Shortfall or Shortfall at Death In: Papers.
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2009Minimizing the lifetime shortfall or shortfall at death.(2009) In: Insurance: Mathematics and Economics.
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2009A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays In: Papers.
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2010A unified treatment of dividend payment problems under fixed cost and implementation delays.(2010) In: Mathematical Methods of Operations Research.
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2007Optimal Time to Change Premiums In: Papers.
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2008Optimal time to change premiums.(2008) In: Mathematical Methods of Operations Research.
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2007A Limit Theorem for Financial Markets with Inert Investors In: Papers.
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2007Queueing Theoretic Approaches to Financial Price Fluctuations In: Papers.
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2007The Effects of Implementation Delay on Decision-Making Under Uncertainty In: Papers.
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2007The effects of implementation delay on decision-making under uncertainty.(2007) In: Stochastic Processes and their Applications.
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2007Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis In: Papers.
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2004ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS.(2004) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2007Minimizing the probability of lifetime ruin under borrowing constraints.(2007) In: Insurance: Mathematics and Economics.
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2007Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin In: Papers.
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2007Hedging life insurance with pure endowments In: Insurance: Mathematics and Economics.
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2014Optimal dividends in the dual model under transaction costs In: Insurance: Mathematics and Economics.
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2014Optimal reinsurance and investment with unobservable claim size and intensity In: Insurance: Mathematics and Economics.
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2005The standard Poisson disorder problem revisited In: Stochastic Processes and their Applications.
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2009Sequential tracking of a hidden Markov chain using point process observations In: Stochastic Processes and their Applications.
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2011Optimal stopping for non-linear expectations--Part I In: Stochastic Processes and their Applications.
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2011Optimal stopping for non-linear expectations--Part II.(2011) In: Stochastic Processes and their Applications.
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2006Poisson Disorder Problem with Exponential Penalty for Delay In: Mathematics of Operations Research.
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2006A Limit Theorem for Financial Markets with Inert Investors In: Mathematics of Operations Research.
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2008An Analysis of Monotone Follower Problems for Diffusion Processes In: Mathematics of Operations Research.
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2010On the One-Dimensional Optimal Switching Problem In: Mathematics of Operations Research.
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2016Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty In: Mathematics of Operations Research.
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2012Strict local martingale deflators and valuing American call-type options In: Finance and Stochastics.
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2009Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions In: Mathematical Methods of Operations Research.
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2005Consistency Problems for Jump-diffusion Models In: Applied Mathematical Finance.
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2003Consistency Problems For Jump-Diffusion Models.(2003) In: Finance.
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2008Pricing Options on Defaultable Stocks In: Applied Mathematical Finance.
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2009Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives In: Applied Mathematical Finance.
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2008Minimizing the Probability of Lifetime Ruin under Random Consumption In: North American Actuarial Journal.
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2009Relative Hedging of Systematic Mortality Risk In: North American Actuarial Journal.
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2009Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities In: North American Actuarial Journal.
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2003Projecting the Forward Rate Flow on a Finite Dimensional Manifold In: Finance.
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2006PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD.(2006) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2005ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC In: International Journal of Theoretical and Applied Finance (IJTAF).
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