Mathematics and Financial Economics

Title Publication Date Language Citations
On the equivalence of financial structures with long-term assets2016/03/29English
On optimal partitions, individual values and cooperative games: Does a wiser agent always produce a higher value?2016/04/25English
Jump-diffusion international asset allocation2015/12/15English
Informational efficiency and welfare2022/05/26English
A robust consumption model when the intensity of technological progress is ambiguous2022/08/17English
Stochastic dynamic utilities and intertemporal preferences2021/01/21English
Information and dynamic trading with the Gambler’s fallacy2022/03/25English
Climate change adaptation under heterogeneous beliefs2022/03/23English
The behavior of individual and aggregate stock prices2011/02/11English
On volatility smile and an investment strategy with out-of-the-money calls2015/08/09English
Preface to the special issue Stochastic Financial Economics2011/12/01English
A note on super-hedging for investor–producers2012/06/28English
Serendipity2014/09/01English
Optimal acquisition of a partially hedgeable house2014/11/26English
Preface to the special issue Mathematics in Finance2012/06/01English
Optimal contracts in portfolio delegation2016/03/01English
Foreword to the special issue on “Robustness, Knightian uncertainty, and games in finance”2017/12/14English
Arbitrage without borrowing or short selling?2016/09/27English
On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost2023/05/12English
Nash equilibria for relative investors with (non)linear price impact2024/02/28English
Dynamic debt issuance with jumps2023/11/22English
Optimal insurance design under belief-dependent utility and ambiguity2023/11/20English
Capital risk, fiscal policy, and the distribution of wealth2024/03/21English
The perturbation method applied to a robust optimization problem with constraint2024/03/18English
Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction2024/03/18English
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation2024/03/18English
Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise2024/03/27English
Mean-field ranking games with diffusion control2024/03/26English
Optimization of regional economic industrial structure based on fuzzy k-means algorithm2023/07/28English
Traditional and digital currencies in over-the-counter markets2023/07/22English