Academic staff
Researcher interests: Stochastic Finance, Applied Probability
FACULTY / SCHOOL: Faculty of Social Sciences
DEPARTMENT: Statistics
Selected Publications
super replication with fixed transaction costs (2019)|
Annals of Applied Probability|
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market delay and g expectations (2019)|
Stochastic Processes and their Applications|
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scaling limits for super replication with transient price impact (2018)|
arXiv preprint arXiv:1810.07832|
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super replication in fully incomplete markets (2018)|
Mathematical Finance|
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numerical scheme for dynkin games under model uncertainty (2018)|
Electronic Journal of Probability|
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continuity of utility maximization under weak convergence (2018)|
arXiv preprint arXiv:1811.01420|
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continuous time duality for super replication with transient price impact (2018)|
arXiv preprint arXiv:1808.09807|
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convex duality with transaction costs (2017)|
Mathematics of Operations Research|
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the scaling limit of superreplication prices with small transaction costs in the multivariate case (2017)|
Finance and Stochastics|
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corrigendum to martingale optimal transport in the skorokhod space stochastic process appl 125 10 2015 3893 3931 ()|
Stochastic Processes and their Applications|
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