Academic staff
Researcher interests: Stochastic Finance, Applied Probability
FACULTY / SCHOOL: Faculty of Social Sciences
DEPARTMENT: Statistics
Selected Publications
extended weak convergence and utility maximization with proportional transaction costs (2019)|
arXiv preprint arXiv:1912.08863|
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a note on costs minimization with stochastic target constraints (2019)|
arXiv: Probability|
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the value of insider information for super replication with quadratic transaction costs (2019)|
arXiv preprint arXiv:1910.09855|
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costs minimization with stochastic target constraints (2019)|
arXiv preprint arXiv:1907.02429|
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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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super replication in fully incomplete markets (2018)|
Mathematical Finance|
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continuous time duality for super replication with transient price impact (2018)|
arXiv preprint arXiv:1808.09807|
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numerical scheme for dynkin games under model uncertainty (2018)|
Electronic Journal of Probability|
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recombining tree approximations for optimal stopping for diffusions (2018)|
Siam Journal on Financial Mathematics|
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