Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
Duality in optimal investment and consumption problems with market frictions
– Mathematical Finance
(2007)
17,
225
Modeling liquidity effects in discrete time
– Mathematical Finance
(2006)
17,
15
Option Pricing With Markov-Modulated Dynamics
– SIAM Journal on Control and Optimization
(2006)
44,
2063
(doi: 10.1137/050623279)
One for all - The potential approach to pricing and hedging
– Progress in Industrial Mathematics at ECMI 2004
(2006)
8,
407
The squared Ornstein-Uhlenbeck market
– Mathematical Finance
(2004)
14,
487
Why is the effect of proportional transaction costs $O(δ^2/3)$?
(2004)
351,
303
Monte Carlo valuation of American options
– Mathematical Finance
(2003)
12,
271
(doi: 10.1111/1467-9965.02010)
Duality in constrained optimal investment and consumption problems: A synthesis
– PARIS-PRINCETON LECTURES ON MATHEMATICAL FINANCE 2002
(2003)
1814,
95
Paris-Princeton Lectures on Mathematical Finance 2002
(2003)
1814,
Optimal capital structure and endogenous default
– Finance and Stochastics
(2002)
6,
237
(doi: 10.1007/s007800100058)
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