Erhan Bayraktar : Citation Profile

Are you Erhan Bayraktar?

16

H index

29

i10 index

880

Citations

RESEARCH PRODUCTION:

70

Articles

112

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 41
   Journals where Erhan Bayraktar has often published
   Relations with other researchers
   Recent citing documents: 87.    Total self citations: 96 (9.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba1177
   Updated: 2024-12-03    RAS profile: 2024-10-08    
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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)

LEHALLE, Charles-Albert (6)

Fabozzi, Frank (3)

Gozzi, Fausto (3)

Favero, Carlo (3)

Siu, Tak Kuen (3)

Galluccio, Stefano (3)

Moreno-Franco, Harold (3)

Keller, R (3)

Rady, Sven (3)

Leung, Tim (3)

Cites to:

Milevsky, Moshe (15)

Кабанов, Юрий (12)

merton, robert (10)

Duffie, Darrell (9)

Horst, Ulrich (9)

Nguyen-Huu, Adrien (8)

Hommes, Cars (8)

Constantinides, George (7)

Brock, William (7)

Detemple, Jerome (6)

Schied, Alexander (5)

Main data

Where Erhan Bayraktar has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications14
Insurance: Mathematics and Economics9
North American Actuarial Journal6
Mathematical Methods of Operations Research5
Finance and Stochastics5
International Journal of Theoretical and Applied Finance (IJTAF)4
Mathematical Finance4
Finance Research Letters3
Applied Mathematical Finance3
Annals of Operations Research2
Annals of Finance2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org109
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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2024Relative 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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2024Retirement decision and optimal consumption-investment under addictive habit persistence. (2020). Yuan, Fengyi ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2011.10166.

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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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2024Optimal 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.

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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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2024An 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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2024The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

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2024Tackling 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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2024Explicit 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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2024Coherent risk measures and uniform integrability. (2024). Wang, Ruodu ; Huang, Muqiao. In: Papers. RePEc:arx:papers:2404.03783.

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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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2023Optimal 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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2023.

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2024Structural Results for Average?Cost Inventory Models with Markov?Modulated Demand and Partial Information. (2020). Nadar, Emre ; Gokbayrak, Kagan ; Avci, Harun. In: Production and Operations Management. RePEc:bla:popmgt:v:29:y:2020:i:1:p:156-173.

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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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2024Fractional 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.

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2024Dual 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.

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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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2024Pricing 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.

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2023Adaptive inventory replenishment using structured reinforcement learning by exploiting a policy structure. (2023). Gu, Dong ; Park, Hyungjun ; Min, Daiki. In: International Journal of Production Economics. RePEc:eee:proeco:v:266:y:2023:i:c:s092552732300261x.

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2024Robust 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.

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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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2024Diffusion 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.

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2024A 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.

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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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2024Lp 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.

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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]		paper6
2010No arbitrage conditions for simple trading strategies.(2010) In: Annals of Finance.
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This paper has nother version. Agregated cites: 6		article
2008Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities In: Papers.
[Full Text][Citation analysis]		paper27
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: 27		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.
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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]		paper5
2011Minimizing the probability of lifetime ruin under stochastic volatility.(2011) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 5		article
2011Valuation equations for stochastic volatility models In: Papers.
[Full Text][Citation analysis]		paper15
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: 15		paper
2011Quadratic Reflected BSDEs with Unbounded Obstacles In: Papers.
[Full Text][Citation analysis]		paper4
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]		paper14
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]		paper64
2014LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY.(2014) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 64		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.
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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.
[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.
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2008Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin.(2008) In: Finance Research Letters.
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This paper has nother version. Agregated cites: 4		article
2012Inventory Management with Partially Observed Nonstationary Demand In: Papers.
[Full Text][Citation analysis]		paper15
2010Inventory management with partially observed nonstationary demand.(2010) In: Annals of Operations Research.
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This paper has nother version. Agregated cites: 15		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.
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2013On utility maximization with derivatives under model uncertainty In: Papers.
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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]		paper16
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.
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2017ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS.(2017) In: Mathematical Finance.
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This paper has nother version. Agregated cites: 25		article
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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This paper has nother version. Agregated cites: 5		article
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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2016Stochastic Perron for stochastic target games In: Papers.
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2015On a Stopping Game in continuous time In: Papers.
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2018Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices In: Papers.
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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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2016Minimizing the probability of lifetime drawdown under constant consumption.(2016) In: Insurance: Mathematics and Economics.
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2017Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty In: Papers.
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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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2019Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 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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2008Optimizing venture capital investments in a jump diffusion model.(2008) In: Mathematical Methods of Operations Research.
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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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2003Consistency Problems For Jump-Diffusion Models.(2003) 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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