Publication>Published work
Mean field games with unbounded controlled common noise in portfolio management with
relative performance criteria (414k PDF) (with P. E. Souganidis),
Mathematics and Financial Economics, (2024), to appear.
On the analyticity of the value function in optimal investment and stochastically dominant markets (427k PDF) (with O. Mostovyi and M. Sirbu),
Pure and Applied Functional Analysis, in print.
Competition in fund management under forward relative performance criteria (410k PDF) (with T. Geng and M. Anthropelos),
SIAM Journal in Financial Mathematics, 13(4), (2022), 1271-1301.
Entropy regularization for mean field games with learning (607k PDF) (with X. Guo and R. Xu),
Mathematics of Operations Research, 47(4), (2022), 3239-3260.
N-player and mean-field games in Ito-diffusion markets with competitive or homophilous interaction (618k PDF) (with R. Hu),
Stochastic Analysis, Filtering, and Stochastic Optimization, Springer-Verlag, (Ed. with G. Yin), 2022.
In Memoriam: Mark H.A. Davis and his contributions to mathematical finance (265k PDF) (with J. Obloj),
Mathematical Finance, Special Issue in Memory of Professor Mark H. A. Davis, (Ed. with J. Obloj).
Forward rank-dependent performance criteria: time-consistent investment under probability distortions (478k PDF) (with X. He and M. Strub),
Mathematical Finance, 31(2), (2021), 683-721.
Computational medicine the present and the future: obstetrics and gynecology perspectives, (1782k PDF) (with R. Bukowski, K. Schulz, K. Stephens, D. Semeraro, J. Drake, G. Smith, C. Cordola, T. Hughes, C. Zarins, D. Kusnezov and T. Oden),
American Journal of Obstetrics and Gynecology, 224(1), (2021), 16-34.
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach (571k PDF) (with H. Wang and X.Y. Zhou),
Journal of Machine Learning Research, 21, (2020), 1-34.
Personalized robo-advising: an interactive investment process (899k PDF) (with A. Capponi and S. Olafsson),
Management Science, September 2021 (on line).
Predictable forward performance processes: The binomial case (410k PDF) (with B. Angoshtari and X.Y. Zhou),
SIAM Journal on Optimization and Control, 58(1), (2020), 327-347.
An approximation scheme for semi-linear parabolic PDEs with convex and coercive Hamiltonians (452k PDF) (with S. Huang and G. Liang),
SIAM Journal on Optimization and Control, 58(1), (2020), 165-191.
Mean field and N-agent games for optimal investment under relative performance concerns (617k PDF) (with D. Lacker),
Mathematical Finance, 29(4), (2019), 1003-1038.
Optimal contract for a fund manager with capital injections and endogenous trading constraints (424k PDF) (with S. Nadtochiy),
SIAM Journal in Financial Mathematics, 10(3), (2019), 698-722.
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (1672k PDF) (with W.F. Chong, Y. Hu and G. Liang),
Finance & Stochastics, 23(1), (2019), 239-273.
Dynamically consistent investment criteria under model uncertainty: the robust forward criteria (487k PDF) (with S. Kallblad and J. Obloj),
Finance & Stochastics, 22(4), (2018), 879-918.
Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models (283k PDF) (with G. Liang),
SIAM Journal on Financial Mathematics, 8(1), (2017), 344-372.
Portfolio optimization and stochastic volatility asymptotics (388k PDF) (with J.-P. Fouque and R. Sircar),
Mathematical Finance, 27(3), (2017), 704-745.
Forward exponential indifference valuation in an incomplete binomial model (226k PDF) (with M. Musiela and E. Sokolova),
Advanced Modeling in Mathematical Finance, In honor of E. Eberlein, Springer Proceedings in Mathematics and Statistics, (2016), 277-302.
Forward performance processes in incomplete markets and ill-posed HJB equations (399k PDF) (with M. Shkolnikov and R. Sircar),
SIAM Journal on Financial Mathematics, 7, (2016), 588-618.
Stochastic modeling and methods in portfolio management (406k PDF),
Proceedings of the International Congress of Mathematicians, Seoul (2014).
On the optimal wealth process in a log-normal market: applications to risk management (799k PDF) (with P. Monin),
Journal of Financial Engineering, 1(2), (2014).
A class of homothetic forward investment performance processes with non-zero volatility (454k PDF) (with S. Nadtochiy),
Inspired by Finance, A volume in honor of M. Musiela's 60th Birthday, Springer-Verlag, (Ed. with Y. Kabanov and M. Rutkowski) (2013), 475-505.
An approximation scheme for the solution of the optimal investment problem in an incomplete market (526k PDF) (with S. Nadtochiy),
SIAM Journal on Financial Mathematics, 4(1), (2013), 494-538.
Forward indifference valuation of American options (382k PDF) (with T. Leung and R. Sircar),
Stochastics, 84(5-6), (2012), 741-770.
Initial investment choice and optimal future allocations under time-monotone performance criteria (with M. Musiela),
International Journal of Theoretical and Applied Finance, 14(1) (2011), 61-81.
Stochastic partial differential equations and portfolio choice (205k PDF) (with M. Musiela),
Contemporary Quantitative Finance, Springer-Verlag, (2010), 195-215.
Maturity-independent risk measures (264k PDF) (with G. Zitkovic),
SIAM Journal on Financial Mathematics, 1 (2010), 266-288.
Portfolio choice under space-time monotone performance criteria (339k PDF) (with M. Musiela),
SIAM Journal on Financial Mathematics, 1 (2010), 326-365.
Indifference valuation in incomplete binomial models (264k PDF) (with M. Musiela and K. Sokolova),
Mathematics in Action, 3(2), (2010), 1-36.
Utility valuation of Credit Derivatives and applications to CDOs (279k PDF) (with R. Sircar),
Quantitative Finance, 10 (2010), 195-208.
Optimal asset allocation in a stochastic factor model – an overview and open problems (249k PDF),
RADON Series on Computational and Applied Mathematics, Advanced Financial Modeling, A. Hansjorg, W. Runggaldier and W. Schachermayer eds., 8 (2009), 427-453.
Derivative pricing, investment management and the term structure of exponential utilities: The case of binomial model (273k PDF) (with M. Musiela),
Indifference Pricing, R. Carmona (ed.), Princeton University Press, (2009), 3-41.
Portfolio choice under dynamic investment performance criteria (206k PDF) (with M. Musiela),
Quantitative Finance, 9(2), (2009), 161-170.
Investment performance measurement under asymptotically linear risk tolerance (286k PDF) (with T. Zhou),
Handbook of Numerical Analysis, P.G.Ciarlet (ed.), (2009), 227-253.
Options: current perspectives (115k PDF),
The New Palgrave Dictionary of Economics, 2nd Edition, S. N. Durlauf and L. E. Blume (eds.), (2008).
On maturity-independent risk measures (174k PDF) (with G. Zitkovic),
Proceedings of 47th IEEE Conference on Decision and Control, (2008), 5569-6501.
Optimal asset allocation under forward exponential performance criteria (340k PDF) (with M. Musiela),
Markov Processes and Related Topics: A Festschrift for T. G. Kurtz, Lecture Notes - Monograph Series, Institute for Mathematical Statistics 4 (2008), 285-300.
Credit Derivatives and risk aversion (267k PDF) (with T. Leung and R. Sircar),
Advances in Econometrics, (2008), 275-291.
Utility valuation of Credit Derivatives: Single and two-name case (266k PDF) (with R. Sircar),
Advances in Mathematical Finance, (2007), 279-301.
Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model (283k PDF) (with M. Musiela),
Advances in Mathematical Finance, (2007), 303-334.
Dynamic asset allocation and consumption choice in incomplete markets (330k PDF) (with S. Stoikov),
Australian Economic Papers, 44(4), (2005), 414-454.
Pricing Insurance via Stochastic Control: optimal consumption and terminal wealth (with V. Young),
Finance, 25 (2005), 141-155.
Bounds and asymptotic approximations when volatility is random (250k PDF) (with R. Sircar),
SIAM Journal on Control and Optimization, 43 (2005), 1328-1353.
Indifference prices of early exercise claims (with M. Musiela),
Contemporary Mathematics, American Mathematical Society, 351, Proceedings of the AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, G. Yin and Q. Zhang (eds.), AMS, (2004) 259-272.
A valuation algorithm for indifference prices in incomplete markets (209k PDF) (with M. Musiela),
Finance and Stochastics, 8 (2004) 399-414.
An example of indifference prices under exponential preferences (160k PDF) (with M. Musiela),
Finance and Stochastics, 8 (2004) 229-239.
A wealth-dependent investment opportunity set: its effects on optimal consumption and portfolio decisions (with S. Choi, H.-K. Koo and G. Shim),
Annals of Economics and Finance, 4 (2), (2003) 427-469.
Pricing early exercise claims in incomplete markets (233k PDF) (with A. Oberman),
Computational Management Science, 1 (2003) 75-107.
Stochastic control methods in asset pricing,
Handbook of Stochastic Analysis and Applications, D. Kannan and V. Lakshmikantham (eds.), Marcel Dekker (2003) 102-145.
Pricing dynamic insurance risks: an expected utility approach (498k PDF) (with V. Young),
Scandinavian Actuarial Journal, 4 (2002) 16-30.
Optimal environmental management in the presence of irreversibilities (207k PDF) (with J. Scheinkman),
Journal of Economic Theory, 96 (2002) 180-207.
Bounds on derivative prices in an inter temporal setting with proportional costs and multiple securities (199k PDF) (with G. Constantinides),
Mathematical Finance, 11 (2001) 331-346.
Free boundary problems in asset pricing,
Complementarity: applications, algorithms and extensions, M.C. Ferris, O.L. Mangasarian and J.-S. Pang (eds.), Kluwer Academic Publishers (2001) 104-136.
A solution approach to valuation with unhedgeable risks (145k PDF),
Finance and Stochastics, 5 (2001) 61-82.
Numerical schemes for variational inequalities arising in international asset pricing (479k PDF) (with J.E. Hodder and A. Tourin),
Computational Economics, 17 (2001) 43-80.
Computation of distorted probabilities for diffusion processes via stochastic control methods (137k PDF) (with V. Young),
Insurance: Mathematics and Economics, 27 (2000) 1-18.
Asset valuation with unhedgeable risks,
Proceedings of Conference on Decision and Control, (2000) 18-27.
On level curves of value functions in optimization models of expected utility (236k PDF) (with C. Tiu),
Mathematical Finance, 10 (2000) 323-338.
Transaction costs in portfolio management and derivative pricing,
Introduction to Mathematical Finance, Symposia in Applied Mathematics, AMS, D. Heath and R. Swindle (eds.) (2000) 101-164.
Optimal investment and consumption models with nonlinear stock dynamics (198k PDF),
Mathematical Methods of Operations Research, 50 (1999) 271-296.
Comment on “The valuation of contingent claims under portfolio constraints: Reservation buying and selling prices”,
European Finance Review, 3 (1999) 389-392.
Bounds on prices of contingent claims in an inter-temporal economy with proportional transaction costs and general preferences (170k PDF) (with G. Constantinides),
Finance and Stochastics, 3 (1999) 345-369.
Turnpike behavior of long-term investments (204k PDF) (with C.F. Huang),
Finance and Stochastics, 2 (1999) 1-20.
Pricing Models with transaction fees (with J. E. Hodder),
Stochastic Analysis, Control, Optimization and Applications: a volume in honor of W.H. Fleming, W.M. McEneaney, G.Yin and Q. Zhang (eds.), in Systems and Control: Foundations and Applications, Birkhäuser, Boston (1999) 567-584.
Optimal consumption and portfolio choice with borrowing constraints (465k PDF) (with J. L. Vila),
Journal of Economic Theory, 7 (1998) 402-431.
Viscosity solutions and numerical schemes for models with singular policies (with A. Tourin),
Numerical Methods in Finance, Newton Institute, Cambridge University Press (1997) 245-269.
Hedging in incomplete markets with HARA utility (1525k PDF) (with D. Duffie, W. H. Fleming and H. M. Soner),
Journal of Economic Dynamics and Control, 21 (1997) 753-782.
Optimal consumption and investment when investment opportunities are better for the rich than for the poor (with H. Koo),
Proceedings of International Conference in Finance, AFFI, Geneva, Switzerland (1996).
Optimal environmental management in the presence of irreversibilities (with J. Scheinkman),
Proceedings of Fondazione Eri Enrico Mattei, Nota di Lavorno 15 (1996).
Portfolio selection with transaction costs (with A. Tourin),
Progress in Probability, 36 (1995) 385-391.
American options and transaction fees (with M. H. A. Davis),
Mathematical Finance, Springer-Verlag, (1995).
Numerical schemes for investment models with singular transactions (with A. Tourin),
Computational Economics, 7 (1994) 287-307.
Consumption and investment models with constraints (2283k PDF),
SIAM Journal on Control and Optimization, 32 (1994) 59-85.
Asymptotic results for long term investments (with C. F. Huang),
Proceedings of International Conference in Finance, ESSEC-AFFI, La Baule, France (1993).
European option pricing with transaction costs (2498k PDF) (with M. H. A. Davis and V. Panas),
SIAM Journal on Control and Optimization, 31 (1993) 470-493.
Optimal investment with undiversifiable income risk (with D. Duffie),
Mathematical Finance, 3 (1993) 135-148.
Pricing options with transaction costs (with M. H. A. Davis and V. Panas),
Proceedings of International Conference in Finance, ESSEC-AFFI, Paris, France (1992).
Investment-consumption models with transaction fees and Markov-chain parameters (1916k PDF),
SIAM Journal on Control and Optimization, 30 (1992) 613-636.
Consumption-investment models with constraints (359k PDF),
Proceedings of the 30th IEEE Conference on Decision and Control, Brighton, England, (1991) 1311-1316.
An optimal investment-consumption model with borrowing (683k PDF) (with W.H. Fleming),
Mathematics of Operations Research, 16 (1991) 802-822.
Investment-consumption models with transaction costs (283k PDF),
Proceedings of the 29th IEEE Conference Decision and Control, Honolulu, HI (1990).
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