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Preprints
- The Indifference Value of the Weak Information
with F. Baudoin, preprint (2024), 34 pages.
[pdf]
- An Approach to the Greeks for Indifference Pricing
preprint (2024), 51 page.
[pdf]
- On Perturbations of Preferences and Indifference Price Invariance
with A. Teplyaev, preprint (2024), 38 pages.
[pdf]
Published/accepted papers
- Quadratic Expansions in Optimal Investment with Respect to Perturbations of the Semimartingale Model
with M. Sîrbu, Finance and Stochastics (2024), Vol. 28(2), pp. 553-613.
[published version]
- Stability of the Epstein-Zin Problem
with M. Monoyios, Mathematical Finance (2024), Vol. 34(4), pp. 1263-1290.
[arXiv] [published version]
- On the Analyticity of the Value Function in Optimal Investment and Stochastically Dominant Markets
with M. Sîrbu and T. Zariphopoulou,
Pure and Applied Functional Analysis: Special Issue "Control, Systems Theory and Related Topics Dedicated to the memory of Professor Wendell H. Fleming" (2024), Vol. 9(3), pp. 825-862.
[arXiv][published version]
- Pricing of Contingent Claims in Large Markets
with P. Siorpaes, forthcoming in Finance and Stochastics (2024), 49 pages.
[pdf]
- Representation of Indifference Prices on a Finite Probability Space
with J. Freitas and J. Huang, forthcoming in Involve (2024), 22 pages.
[pdf]
This paper is part of an REU project conducted under my supervision.
- The Information Premium on a Finite Probability Space
with J. Koerner and J.S. Lee, Missouri Journal of Mathematical Sciences (2024), Vol. 36(1), pp. 68-88.
[published version]
This paper is part of an REU project conducted under my supervision.
- Differentiation of Measures on an Arbitrary Measurable Space
with P. Siorpaes, Journal of Mathematical Analysis and Applications (2023), published online, 25 pages. [preprint]
[earlier version]
- Fair Pricing and Hedging Under Small Perturbations of the Numéraire on a Finite Probability Space
with W. Busching, D. Hintz, and A. Pozdnyakov, Involve (2022), Vol. 15(4), pp. 649-668.
[published version]
[arXiv]
This paper is part of an REU project conducted under my supervision.
- Asymptotic Analysis of the Expected Utility Maximization when Wealth Can Become Negative
Thesis of my Ph.D. student O. Pavlenko (2022).
[pdf]
- Stability of the Indirect Utility Process
SIAM Journal on Financial Mathematics (2021), Vol. 12(2) pp. 641-671. [published version]
[arXiv]
- Optimal Investment and Consumption with Labor Income in Incomplete Markets
with M. Sîrbu, Annals of Applied Probability (2020),
Vol. 30(2), pp. 747-787.
[published version] [arXiv]
- Asymptotic Analysis of the Expected Utility Maximization Problem with Respect to Perturbations of the Numéraire
Stochastic Processes and their Applications (2020), Vol. 130(7) pp. 4444-4469.
[published version] [arXiv]
- Stability and Asymptotic Analysis of the Föllmer-Schweizer Decomposition on a Finite Probability Space
with S. Boese, T. Cui, S. Johnston, and G. Molino, Involve (2020), Vol. 13(4), pp. 607-623. [published version][arXiv]
This paper is part of an REU project conducted under my supervision.
- Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations
with M. Sîrbu, Finance and Stochastics (2019), Vol. 23(3), pp. 595-640. [published version] [arXiv]
- Utility Maximization in a Large Market
Mathematical Finance (2018), Vol. 28(1): pp. 106-118. [published version] [arXiv]
-
An Expansion in the Model Space in the Context of Utility Maximization
with K. Larsen and G. Žitković, Finance and Stochastics (2018), Vol. 22(2), pp. 297-326. [published version] [arXiv]
- Optimal Consumption of Multiple Goods in Incomplete Markets
Journal of Applied Probability (2018), Vol. 55(3), pp. 810-822. [published version] [arXiv]
- Optimal Investment with Intermediate Consumption under No Unbounded Profit with Bounded Risk
with H. Chau, A. Cosso, and C. Fontana, Journal of Applied Probability (2017), Vol. 54(3), pp. 710-719. [published version] [arXiv]
- Optimal
Investment with Intermediate Consumption and Random Endowment
Mathematical Finance (2017), Vol. 27(1), pp. 96-114.
[published version] [arXiv]
- Necessary and Sufficient Conditions in the Problem of Optimal
Investment with Intermediate Consumption
Finance and Stochastics (2015), Vol. 19(1), pp. 135-159.
[published version] [arXiv]
- On the Stability of the Least Squares Monte Carlo
Optimization Letters (2013), Vol. 7(2), pp. 259-265. [published version] [arXiv]
- On Maximum Speedup Ratio of Restart Algorithms Portfolios
with O. Prokopyev and O. Shylo, INFORMS Journal on Computing (2013), Vol. 25(2), pp. 222-229.
- Signal Processing under Active Monitoring
Information Theories and Applications (2005), Vol. 12, pp. 49-56.
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