Research Hub
Peer-Reviewed
- Optimal dividends under a drawdown constraint and a curious square-root rule
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
- A general approximation method for optimal stopping and random delay
- Price impact in Nash equilibria
- Entropy martingale optimal transport and nonlinear pricing–hedging duality
Pre-Prints
- Multivariate L’evy Models: Calibration and Pricing. (arXiv:2303.13346v1 [q-fin.PR])
- Why Are Immigrants Always Accused of Stealing People’s Jobs?. (arXiv:2303.13319v1 [econ.GN])
- Accurate solution of the Index Tracking problem with a hybrid simulated annealing algorithm. (arXiv:2303.13282v1 [cond-mat.stat-mech])
- A Unified Framework for Fast Large-Scale Portfolio Optimization. (arXiv:2303.12751v1 [q-fin.PM])
- Portfolio Optimization with Relative Tail Risk. (arXiv:2303.12209v1 [q-fin.PM])