Mathematics – Probability
Scientist
Mathematics
Probability
Scientist
Carnegie Mellon and Oxford
A model for a large investor trading at market indifference prices. I: single-period case
A model for a large investor trading at market indifference prices. II: continuous-time case
Integral representation of martingales and endogenous completeness of financial models
On a stochastic differential equation arising in a price impact model
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
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