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Details about Erhan Bayraktar

Homepage:http://www.math.lsa.umich.edu/~erhan/
Workplace:Department of Mathematics, University of Michigan

Access statistics for papers by Erhan Bayraktar.

Last updated 2020-11-06. Update your information in the RePEc Author Service.

Short-id: pba1177


Jump to Journal Articles

Working Papers

2020

  1. Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case
    Papers, arXiv.org Downloads
  2. Continuity of Utility Maximization under Weak Convergence
    Papers, arXiv.org Downloads View citations (2)
  3. Equilibrium concepts for time-inconsistent stopping problems in continuous time
    Papers, arXiv.org Downloads View citations (2)
  4. Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
    Papers, arXiv.org Downloads
    See also Journal Article in Finance and Stochastics (2020)
  5. McKean-Vlasov equations involving hitting times: blow-ups and global solvability
    Papers, arXiv.org Downloads
  6. On non-uniqueness in mean field games
    Papers, arXiv.org Downloads
  7. On the Continuity of the Root Barrier
    Papers, arXiv.org Downloads
  8. Transport plans with domain constraints
    Papers, arXiv.org Downloads

2019

  1. On the quasi-sure superhedging duality with frictions
    Papers, arXiv.org Downloads
    See also Journal Article in Finance and Stochastics (2020)
  2. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
    Papers, arXiv.org Downloads View citations (2)
  3. Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case
    Papers, arXiv.org Downloads View citations (2)

2018

  1. Mini-Flash Crashes, Model Risk, and Optimal Execution
    Papers, arXiv.org Downloads View citations (2)
  2. No-arbitrage and hedging with liquid American options
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Mathematics of Operations Research (2019)
  3. Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
    Papers, arXiv.org Downloads View citations (1)

2017

  1. Distribution-Constrained Optimal Stopping
    Papers, arXiv.org Downloads
    See also Journal Article in Mathematical Finance (2019)
  2. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering
    Papers, arXiv.org Downloads View citations (2)
  3. On Zero-sum Optimal Stopping Games
    Papers, arXiv.org Downloads View citations (2)
  4. On the Market Viability under Proportional Transaction Costs
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Mathematical Finance (2018)
  5. Quantile Hedging in a Semi-Static Market with Model Uncertainty
    Papers, arXiv.org Downloads
    See also Journal Article in Mathematical Methods of Operations Research (2018)
  6. Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)

2016

  1. A rank based mean field game in the strong formulation
    Papers, arXiv.org Downloads View citations (2)
  2. An $\alpha$-stable limit theorem under sublinear expectation
    Papers, arXiv.org Downloads
  3. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
    Papers, arXiv.org Downloads View citations (5)
  4. Minimizing the Probability of Lifetime Drawdown under Constant Consumption
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Insurance: Mathematics and Economics (2016)
  5. On the Robust Dynkin Game
    Papers, arXiv.org Downloads View citations (2)
  6. On the Robust Optimal Stopping Problem
    Papers, arXiv.org Downloads
  7. Optimal Investment to Minimize the Probability of Drawdown
    Papers, arXiv.org Downloads View citations (5)
  8. Optimal Stopping with Random Maturity under Nonlinear Expectations
    Papers, arXiv.org Downloads
    See also Journal Article in Stochastic Processes and their Applications (2017)
  9. Optimally Investing to Reach a Bequest Goal
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in Insurance: Mathematics and Economics (2016)
  10. Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
    Papers, arXiv.org Downloads View citations (3)
  11. Risk Sensitive Control of the Lifetime Ruin Problem
    Papers, arXiv.org Downloads View citations (1)
  12. Stochastic Perron for Stochastic Target Problems
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Journal of Optimization Theory and Applications (2016)
  13. Stochastic Perron for stochastic target games
    Papers, arXiv.org Downloads View citations (6)

2015

  1. Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Stochastic Processes and their Applications (2015)
  2. Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Mathematics of Operations Research (2016)
  3. Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Finance Research Letters (2015)
  4. On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in Mathematical Finance (2017)
  5. On a Stopping Game in continuous time
    Papers, arXiv.org Downloads View citations (1)
  6. On an Optimal Stopping Problem of an Insider
    Papers, arXiv.org Downloads
  7. On hedging American options under model uncertainty
    Papers, arXiv.org Downloads View citations (19)
  8. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in North American Actuarial Journal (2015)
  9. Weak reflection principle for L\'evy processes
    Papers, arXiv.org Downloads View citations (3)

2014

  1. A note on the Fundamental Theorem of Asset Pricing under model uncertainty
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Risks (2014)
  2. Comparing the $G$-Normal Distribution to its Classical Counterpart
    Papers, arXiv.org Downloads
  3. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
    Papers, arXiv.org Downloads View citations (2)
  4. Purchasing Life Insurance to Reach a Bequest Goal
    Papers, arXiv.org Downloads View citations (8)
    See also Journal Article in Insurance: Mathematics and Economics (2014)
  5. Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs
    Papers, arXiv.org Downloads

2013

  1. A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
    Papers, arXiv.org Downloads View citations (3)
  2. A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems
    Papers, arXiv.org Downloads View citations (1)
  3. Life Insurance Purchasing to Maximize Utility of Household Consumption
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in North American Actuarial Journal (2013)
  4. On controller-stopper problems with jumps and their applications to indifference pricing of American options
    Papers, arXiv.org Downloads
  5. On model-independent pricing/hedging using shortfall risk and quantiles
    Papers, arXiv.org Downloads
  6. On optimal dividends in the dual model
    Papers, arXiv.org Downloads View citations (23)
    See also Journal Article in ASTIN Bulletin (2013)
  7. On the Existence of Consistent Price Systems
    Papers, arXiv.org Downloads
  8. On the Multi-Dimensional Controller and Stopper Games
    Papers, arXiv.org Downloads View citations (15)
  9. On utility maximization with derivatives under model uncertainty
    Papers, arXiv.org Downloads
  10. Robust maximization of asymptotic growth under covariance uncertainty
    Papers, arXiv.org Downloads View citations (4)

2012

  1. Inventory Management with Partially Observed Nonstationary Demand
    Papers, arXiv.org Downloads
    See also Journal Article in Annals of Operations Research (2010)
  2. Liquidation in Limit Order Books with Controlled Intensity
    Papers, arXiv.org Downloads View citations (19)
    See also Journal Article in Mathematical Finance (2014)
  3. Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
    Papers, arXiv.org Downloads
    See also Journal Article in Finance Research Letters (2008)
  4. Outperforming the market portfolio with a given probability
    Papers, arXiv.org Downloads View citations (8)
  5. Regularity of the Optimal Stopping Problem for Jump Diffusions
    Papers, arXiv.org Downloads View citations (3)
  6. Stability of exponential utility maximization with respect to market perturbations
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Stochastic Processes and their Applications (2013)
  7. Valuation equations for stochastic volatility models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (9)
    Also in Papers, arXiv.org (2011) Downloads View citations (6)

2011

  1. Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2011)
  2. On the Stability of Utility Maximization Problems
    Papers, arXiv.org Downloads View citations (1)
  3. Optimal Stopping for Non-linear Expectations
    Papers, arXiv.org Downloads View citations (20)
  4. Quadratic Reflected BSDEs with Unbounded Obstacles
    Papers, arXiv.org Downloads
    See also Journal Article in Stochastic Processes and their Applications (2012)

2010

  1. Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in Finance and Stochastics (2011)

2009

  1. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Mathematical Methods of Operations Research (2010)
  2. No Arbitrage Conditions For Simple Trading Strategies
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Annals of Finance (2010)
  3. On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps
    Papers, arXiv.org Downloads
    See also Journal Article in Quantitative Finance (2009)
  4. On the Stickiness Property
    Papers, arXiv.org Downloads View citations (5)
    See also Journal Article in Quantitative Finance (2010)
  5. On the uniqueness of classical solutions of Cauchy problems
    Papers, arXiv.org Downloads View citations (5)
  6. Optimal Stopping for Dynamic Convex Risk Measures
    Papers, arXiv.org Downloads View citations (14)
  7. Optimal Trade Execution in Illiquid Markets
    Papers, arXiv.org Downloads View citations (13)
  8. Strict Local Martingale Deflators and Pricing American Call-Type Options
    Papers, arXiv.org Downloads View citations (5)

2008

  1. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions
    Papers, arXiv.org Downloads View citations (2)
  2. Minimizing the Probability of Ruin when Consumption is Ratcheted
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in North American Actuarial Journal (2008)
  3. Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
    Papers, arXiv.org Downloads
    See also Journal Article in Finance Research Letters (2008)
  4. Optimal Investment Strategy to Minimize Occupation Time
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Annals of Operations Research (2010)
  5. Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities
    Papers, arXiv.org Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2009)

2007

  1. A Limit Theorem for Financial Markets with Inert Investors
    Papers, arXiv.org Downloads View citations (6)
    See also Journal Article in Mathematics of Operations Research (2006)
  2. Correspondence between Lifetime Minimum Wealth and Utility of Consumption
    Papers, arXiv.org Downloads View citations (17)
    See also Journal Article in Finance and Stochastics (2007)
  3. Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
    Papers, arXiv.org Downloads View citations (9)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2004)
  4. Minimizing the Lifetime Shortfall or Shortfall at Death
    Papers, arXiv.org Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2009)
  5. Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
    Papers, arXiv.org Downloads View citations (17)
    See also Journal Article in Insurance: Mathematics and Economics (2007)
  6. Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
    Papers, arXiv.org Downloads View citations (4)
  7. Optimal Time to Change Premiums
    Papers, arXiv.org Downloads
    See also Journal Article in Mathematical Methods of Operations Research (2008)
  8. Optimizing Venture Capital Investments in a Jump Diffusion Model
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Mathematical Methods of Operations Research (2008)
  9. Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Annals of Finance (2008)
  10. Queueing Theoretic Approaches to Financial Price Fluctuations
    Papers, arXiv.org Downloads View citations (8)
  11. The Effects of Implementation Delay on Decision-Making Under Uncertainty
    Papers, arXiv.org Downloads View citations (3)
    See also Journal Article in Stochastic Processes and their Applications (2007)

2003

  1. Consistency Problems For Jump-Diffusion Models
    Finance, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Mathematical Finance (2005)
  2. Projecting the Forward Rate Flow on a Finite Dimensional Manifold
    Finance, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2006)

Journal Articles

2020

  1. Extended weak convergence and utility maximisation with proportional transaction costs
    Finance and Stochastics, 2020, 24, (4), 1013-1034 Downloads
    See also Working Paper (2020)
  2. On the quasi-sure superhedging duality with frictions
    Finance and Stochastics, 2020, 24, (1), 249-275 Downloads
    See also Working Paper (2019)

2019

  1. Distribution‐constrained optimal stopping
    Mathematical Finance, 2019, 29, (1), 368-406 Downloads View citations (2)
    See also Working Paper (2017)
  2. No-Arbitrage and Hedging with Liquid American Options
    Mathematics of Operations Research, 2019, 44, (2), 468-486 Downloads
    See also Working Paper (2018)

2018

  1. On the market viability under proportional transaction costs
    Mathematical Finance, 2018, 28, (3), 800-838 Downloads View citations (5)
    See also Working Paper (2017)
  2. Quantile Hedging in a semi-static market with model uncertainty
    Mathematical Methods of Operations Research, 2018, 87, (2), 197-227 Downloads View citations (1)
    See also Working Paper (2017)

2017

  1. ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
    Mathematical Finance, 2017, 27, (4), 988-1012 Downloads View citations (8)
    See also Working Paper (2015)
  2. Optimal stopping with random maturity under nonlinear expectations
    Stochastic Processes and their Applications, 2017, 127, (8), 2586-2629 Downloads View citations (1)
    See also Working Paper (2016)
  3. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (06), 1-10 Downloads View citations (6)
    See also Working Paper (2017)

2016

  1. Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty
    Mathematics of Operations Research, 2016, 41, (3), 1039-1054 Downloads View citations (12)
    See also Working Paper (2015)
  2. Minimizing the probability of lifetime drawdown under constant consumption
    Insurance: Mathematics and Economics, 2016, 69, (C), 210-223 Downloads View citations (3)
    See also Working Paper (2016)
  3. Optimally investing to reach a bequest goal
    Insurance: Mathematics and Economics, 2016, 70, (C), 1-10 Downloads View citations (3)
    See also Working Paper (2016)
  4. Stochastic Perron for Stochastic Target Problems
    Journal of Optimization Theory and Applications, 2016, 170, (3), 1026-1054 Downloads View citations (2)
    See also Working Paper (2016)

2015

  1. Doubly reflected BSDEs with integrable parameters and related Dynkin games
    Stochastic Processes and their Applications, 2015, 125, (12), 4489-4542 Downloads
    See also Working Paper (2015)
  2. Minimizing the expected lifetime spent in drawdown under proportional consumption
    Finance Research Letters, 2015, 15, (C), 106-114 Downloads View citations (4)
    See also Working Paper (2015)
  3. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
    North American Actuarial Journal, 2015, 19, (3), 224-236 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
    Risks, 2014, 2, (4), 1-9 Downloads View citations (7)
    See also Working Paper (2014)
  2. LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
    Mathematical Finance, 2014, 24, (4), 627-650 Downloads View citations (42)
    See also Working Paper (2012)
  3. Optimal dividends in the dual model under transaction costs
    Insurance: Mathematics and Economics, 2014, 54, (C), 133-143 Downloads View citations (24)
  4. Optimal reinsurance and investment with unobservable claim size and intensity
    Insurance: Mathematics and Economics, 2014, 55, (C), 156-166 Downloads View citations (20)
  5. Purchasing life insurance to reach a bequest goal
    Insurance: Mathematics and Economics, 2014, 58, (C), 204-216 Downloads View citations (5)
    See also Working Paper (2014)

2013

  1. Life Insurance Purchasing to Maximize Utility of Household Consumption
    North American Actuarial Journal, 2013, 17, (2), 114-135 Downloads View citations (6)
    See also Working Paper (2013)
  2. ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
    ASTIN Bulletin, 2013, 43, (3), 359-372 Downloads View citations (29)
    See also Working Paper (2013)
  3. Stability of exponential utility maximization with respect to market perturbations
    Stochastic Processes and their Applications, 2013, 123, (5), 1671-1690 Downloads View citations (6)
    See also Working Paper (2012)

2012

  1. Quadratic reflected BSDEs with unbounded obstacles
    Stochastic Processes and their Applications, 2012, 122, (4), 1155-1203 Downloads View citations (6)
    See also Working Paper (2011)
  2. Strict local martingale deflators and valuing American call-type options
    Finance and Stochastics, 2012, 16, (2), 275-291 Downloads View citations (5)

2011

  1. Minimizing the probability of lifetime ruin under stochastic volatility
    Insurance: Mathematics and Economics, 2011, 49, (2), 194-206 Downloads View citations (3)
    See also Working Paper (2011)
  2. Optimal stopping for non-linear expectations--Part I
    Stochastic Processes and their Applications, 2011, 121, (2), 185-211 Downloads View citations (20)
    Also in Stochastic Processes and their Applications, 2011, 121, (2), 212-264 (2011) Downloads View citations (17)
  3. Proving regularity of the minimal probability of ruin via a game of stopping and control
    Finance and Stochastics, 2011, 15, (4), 785-818 Downloads View citations (8)
    See also Working Paper (2010)

2010

  1. A unified treatment of dividend payment problems under fixed cost and implementation delays
    Mathematical Methods of Operations Research, 2010, 71, (2), 325-351 Downloads View citations (2)
    See also Working Paper (2009)
  2. Inventory management with partially observed nonstationary demand
    Annals of Operations Research, 2010, 176, (1), 7-39 Downloads View citations (8)
    See also Working Paper (2012)
  3. No arbitrage conditions for simple trading strategies
    Annals of Finance, 2010, 6, (1), 147-156 Downloads View citations (3)
    See also Working Paper (2009)
  4. On the One-Dimensional Optimal Switching Problem
    Mathematics of Operations Research, 2010, 35, (1), 140-159 Downloads View citations (13)
  5. On the stickiness property
    Quantitative Finance, 2010, 10, (10), 1109-1112 Downloads View citations (5)
    See also Working Paper (2009)
  6. Optimal investment strategy to minimize occupation time
    Annals of Operations Research, 2010, 176, (1), 389-408 Downloads View citations (5)
    See also Working Paper (2008)

2009

  1. Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities
    North American Actuarial Journal, 2009, 13, (1), 141-154 Downloads
  2. Minimizing the lifetime shortfall or shortfall at death
    Insurance: Mathematics and Economics, 2009, 44, (3), 447-458 Downloads
    See also Working Paper (2007)
  3. Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives
    Applied Mathematical Finance, 2009, 16, (5), 429-449 Downloads View citations (2)
  4. On the perpetual American put options for level dependent volatility models with jumps
    Quantitative Finance, 2009, 11, (3), 335-341 Downloads
    See also Working Paper (2009)
  5. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
    Mathematical Methods of Operations Research, 2009, 70, (3), 505-525 Downloads View citations (1)
  6. Relative Hedging of Systematic Mortality Risk
    North American Actuarial Journal, 2009, 13, (1), 106-140 Downloads
  7. Sequential tracking of a hidden Markov chain using point process observations
    Stochastic Processes and their Applications, 2009, 119, (6), 1792-1822 Downloads View citations (5)
  8. Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
    Journal of Economic Dynamics and Control, 2009, 33, (3), 676-691 Downloads View citations (15)
    See also Working Paper (2008)

2008

  1. An Analysis of Monotone Follower Problems for Diffusion Processes
    Mathematics of Operations Research, 2008, 33, (2), 336-350 Downloads View citations (6)
  2. Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
    Finance Research Letters, 2008, 5, (4), 204-212 Downloads View citations (2)
    See also Working Paper (2012)
  3. Minimizing the Probability of Lifetime Ruin under Random Consumption
    North American Actuarial Journal, 2008, 12, (4), 384-400 Downloads View citations (1)
  4. Minimizing the Probability of Ruin When Consumption is Ratcheted
    North American Actuarial Journal, 2008, 12, (4), 428-442 Downloads View citations (1)
    See also Working Paper (2008)
  5. Mutual fund theorems when minimizing the probability of lifetime ruin
    Finance Research Letters, 2008, 5, (2), 69-78 Downloads View citations (1)
    See also Working Paper (2008)
  6. Optimal time to change premiums
    Mathematical Methods of Operations Research, 2008, 68, (1), 125-158 Downloads
    See also Working Paper (2007)
  7. Optimizing venture capital investments in a jump diffusion model
    Mathematical Methods of Operations Research, 2008, 67, (1), 21-42 Downloads View citations (19)
    See also Working Paper (2007)
  8. Pricing Options on Defaultable Stocks
    Applied Mathematical Finance, 2008, 15, (3), 277-304 Downloads View citations (4)
  9. Pricing options in incomplete equity markets via the instantaneous Sharpe ratio
    Annals of Finance, 2008, 4, (4), 399-429 Downloads View citations (9)
    See also Working Paper (2007)

2007

  1. Correspondence between lifetime minimum wealth and utility of consumption
    Finance and Stochastics, 2007, 11, (2), 213-236 Downloads View citations (15)
    See also Working Paper (2007)
  2. Hedging life insurance with pure endowments
    Insurance: Mathematics and Economics, 2007, 40, (3), 435-444 Downloads View citations (2)
  3. Minimizing the probability of lifetime ruin under borrowing constraints
    Insurance: Mathematics and Economics, 2007, 41, (1), 196-221 Downloads View citations (19)
    See also Working Paper (2007)
  4. The effects of implementation delay on decision-making under uncertainty
    Stochastic Processes and their Applications, 2007, 117, (3), 333-358 Downloads View citations (6)
    See also Working Paper (2007)

2006

  1. A Limit Theorem for Financial Markets with Inert Investors
    Mathematics of Operations Research, 2006, 31, (4), 789-810 Downloads View citations (2)
    See also Working Paper (2007)
  2. PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (05), 777-785 Downloads
    See also Working Paper (2003)
  3. Poisson Disorder Problem with Exponential Penalty for Delay
    Mathematics of Operations Research, 2006, 31, (2), 217-233 Downloads View citations (3)

2005

  1. ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (03), 283-300 Downloads View citations (5)
  2. Consistency Problems for Jump-diffusion Models
    Applied Mathematical Finance, 2005, 12, (2), 101-119 Downloads
    See also Working Paper (2003)
  3. The standard Poisson disorder problem revisited
    Stochastic Processes and their Applications, 2005, 115, (9), 1437-1450 Downloads View citations (12)

2004

  1. ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (05), 615-643 Downloads View citations (8)
    See also Working Paper (2007)
 
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