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Mathematical Methods of Operations Research, ISSN 1432-2994, 10/2019
Journal Article
SIAM Journal on Financial Mathematics, ISSN 1945-497X, 2016, Volume 7, Issue 1, pp. 104 - 123
Journal Article
Mathematical Finance, ISSN 0960-1627, 10/2012, Volume 22, Issue 4, pp. 741 - 752
Journal Article
Stochastic Processes and their Applications, ISSN 0304-4149, 10/2017, Volume 127, Issue 10, pp. 3331 - 3353
We propose a unified approach where a security market is described by a liquidation value process. This allows to extend the frictionless models of the... 
Liquidation value | Arbitrage theory | European options | Transaction costs | FRICTION | SECURITIES MARKETS | LIQUIDITY | FUNDAMENTAL THEOREM | STATISTICS & PROBABILITY | TIME | PORTFOLIO SELECTION | FIXED COSTS | PROPORTIONAL TRANSACTION COSTS | PRICE IMPACT | CONSUMPTION
Journal Article
Mathematical Finance, ISSN 0960-1627, 10/2012, Volume 22, Issue 4, pp. 741 - 752
In 1985 Leland suggested an approach to price contingent claims under proportional transaction costs. Its main idea is to use the classical Black–Scholes... 
transaction costs | Black–Scholes formula | Leland’s strategy | approximate hedging
Journal Article
Mathematical Finance, ISSN 0960-1627, 10/2012, Volume 22, Issue 4, pp. 741 - 752
Journal Article
DYNAMIC SYSTEMS AND APPLICATIONS, ISSN 1056-2176, 09/2017, Volume 26, Issue 3-4, pp. 535 - 547
We consider a fractional version of the Heston model where the two standard Brownian motions are replaced by two fractional Brownian motions with Hurst... 
BROWNIAN-MOTION | MATHEMATICS | MATHEMATICS, APPLIED | STOCHASTIC VOLATILITY | DRIVEN | OPTIONS
Journal Article
Meteoritics & Planetary Science, ISSN 1086-9379, 03/2013, Volume 48, Issue 3, pp. 321 - 338
Lockne is a concentric impact structure due to a layered target where weak sediments and seawater covered a crystalline basement. A matrix‐supported,... 
GEOCHEMISTRY & GEOPHYSICS | HIIUMAA ISLAND | KARDLA | CHESAPEAKE BAY IMPACT | JAMTLAND | RESURGE | WATER | tvaren | wars ds | jamtland | v1612 | p82 | water | Geovetenskap och miljövetenskap | hiiumaa island | resurge | estonia | chesapeake bay impact | us geol surv prof pa | Earth and Related Environmental Sciences | kardla | 1999
Journal Article
Journal of Geophysical Research: Planets, ISSN 2169-9097, 07/2014, Volume 119, Issue 7, pp. 1680 - 1688
Journal Article
Theory of Probability and its Applications, ISSN 0040-585X, 2017, Volume 61, Issue 1, pp. 3 - 14
The seminal Modigliani-Miller theorem (1958) is a cornerstone of corporate finance theory. It provides conditions under which changes in a firm's capital... 
Banks | Leverage | Regulation | Modigliani–miller theorem | Absence of arbitrage opportunity | Modigliani-Miller theorem | leverage | BANKING | regulation | banks | INVESTMENT | RISK | STATISTICS & PROBABILITY | SELECTION | absence of arbitrage opportunity
Journal Article
Stochastics, ISSN 1744-2508, 04/2016, Volume 88, Issue 3, pp. 437 - 459
Journal Article
Beitrage zur Geschichte der Sprachwissenschaft, ISSN 0939-2815, 01/2014, Volume 24, Issue 1, pp. 71 - 110
Journal Article
Journal of Mathematical Analysis and Applications, ISSN 0022-247X, 10/2019, Volume 478, Issue 2, pp. 368 - 392
We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the... 
Essential supremum | Sublinear expectation | Random set | Selection | Set-valued expectation | Superlinear expectation | INTEGRALS | MATHEMATICS | MATHEMATICS, APPLIED | RISK
Journal Article
Applied Mathematical Finance, ISSN 1350-486X, 03/2018, Volume 25, Issue 2, pp. 148 - 179
In this article, we propose an approximation method based on Picard iterations deduced from the Doléans-Dade exponential formula. Our method allows to... 
Pricing European options
Journal Article
Journal of Mathematical Economics, ISSN 0304-4068, 12/2013, Volume 49, Issue 6, pp. 478 - 487
Inspired by the theory of financial markets with transaction costs, we study a concept of essential supremum in the framework where a random partial order in... 
Set-valued dynamic risk measures | Essential supremum | Random partial order | Transaction costs | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | MARKETS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Financial markets
Journal Article
FINANCE AND STOCHASTICS, ISSN 0949-2984, 07/2016, Volume 20, Issue 3, pp. 705 - 740
Journal Article
Journal of Mathematical Economics, ISSN 0304-4068, 12/2013, Volume 49, Issue 6, pp. 488 - 495
In the first part of the paper, we study concepts of supremum and maximum as subsets of a topological space endowed by preference relations. Several rather... 
Preference relation | Hedging | American option | Transaction costs | Partial order | Random cones | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
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