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Publications in Uncertainty

Valuation of Default-Sensitive Claims Under Imperfect Information (Publisher’s Erratum)

Finance and Stochastics

English

A Model of Optimal Portfolio Selection Under Liquidity Risk and Price Impact

Finance and Stochastics

English

On the Short-Time Behavior of the Implied Volatility for Jump-Diffusion Models With Stochastic Volatility

Finance and Stochastics

English

Optimal Capital and Risk Allocations for Law- And Cash-Invariant Convex Functions

Finance and Stochastics

English

The Cumulant Process and Esscher's Change of Measure

Finance and Stochastics

English

A Correction Note on the First Passage Time of an Ornstein-Uhlenbeck Process to a Boundary

Finance and Stochastics

English

MDP Algorithms for Portfolio Optimization Problems in Pure Jump Markets

Finance and Stochastics

English

Path Dependent Options on Yields in the Affine Term Structure Model

Finance and Stochastics

English

Un Résultat Pour Le Processus d'Exclusion À Longue Portée

Annales de l'institut Henri Poincare (B) Probability and Statistics

English

On Ballistic Diffusions in Random Environment

Annales de l'institut Henri Poincare (B) Probability and Statistics

English