Mathematician in Limerick
Mathematical Finance and Stochastic Processes
Publications
For a complete list, including preprints, please consult www.arxiv.org and www.SSRN.com
Title | Coauthors | Journal |
Options Portfolio Selection with Position Limits | Paolo Guasoni and Mingchuan Zhao | Under review. |
Asymptotic methods for transaction costs | Risks, Special Issue: Optimal Investment and Risk Management, Vol. 12 No. 4 (2024), 64. | |
Almost Perfect Shadow Prices | Journal of Risk and Financial Management 17 (2), 1-70. | |
Rogue Traders | Huayuan Dong and Paolo Guasoni | Finance and Stochastics 27, 539–603 (2023). |
Leveraged Exchange Traded Funds: Robust Replication and Performance Evaluation | Paolo Guasoni | Quantitative Finance 23 (2023), no. 7-8, 1155-1176 |
Minimal L^p Densities with Prescribed Marginals | Paolo Guasoni and Mingchuan Zhao | Bernoulli, 27 (2021) no. 1, 576-585. |
Options Portfolio Selection | Paolo Guasoni | Operations Research, 68 (2020) no. 3 p. 733-740. |
Geometric Ergodicity of Affine Processes on Cones | Robert Stelzer and Johanna Vestweber | Stochastic Processes and their Applications, Volume 130, Issue 7, July 2020, 4141-4173 |
On Wishart and non-central Wishart Distributions on Symmetric Cones | Transactions of the AMS, Volume 371, Number 10, 15 May 2019, 7093-7109 | |
Three Essays on Stopping | Risks, Special Issue: Exit Problems for Lévy and Markov Processes with One-Sided Jumps and Related Topics, Vol. 7 No. 4 (2019), 105 | |
The Limits of Leverage | Paolo Guasoni | Mathematical Finance, 29 (2019) no. 1 p. 249-284. |
A Characterization of Wishart Processes and Wishart Distributions | Piotr Graczyk and Jacek Malecki | Stochastic Processes and their Applications, Vol 128, Issue 4, April 2018, 1386-1404 |
Affine Processes on Symmetric Cones | Christa Cuchiero, Martin Keller-Ressel and Josef Teichmann | Journal of Theoretical Probability 29 (2016): 359-422 |
Exponential Moments of Affine Processes | Martin Keller-Ressel | Ann. Appl. Probab. 25(2): 714-752 (April 2015). |
Wishart Processes and Wishart Distributions: An Affine Processes Point of View | Modern methods in multivariate statistics, Travaux en Cours, Hermann, Paris, 2014 | |
Density Approximations for Multivariate Affine Jump-Diffusion Processes | Damir Filipovic and Paul Schneider | Journal of Econometrics, Vol 176, Issue 2, October 2013, 93-111 |
On the existence of non-central Wishart Distributions | Journal of Multivariate Analysis 114 (2013) 448-456 | |
Affine Processes on Positive Semidefinite d x d Matrices Have Jumps of Finite Variation in Dimension d > 1 | Stochastic Processes and Their Applications122 (2012), Issue 10, 3445-3459 | |
A Characterization of the Martingale Property of Exponentially Affine Processes | Johannes Muhle-Karbe and Alexander G. Smirnov | Stochastic Processes and Their Applications, Vol 121 (2011), Issue 3, 568-582 |
On strong solutions for positive definite jump-diffusions | Oliver Pfaffel and Robert Stelzer | Stochastic Processes and their Applications 121 (2011), Issue 9, 2072-2086 |
Affine processes on positive semidefinite matrices | Christa Cuchiero, Damir Filipovic and Josef Teichmann | Annals of Applied Probability 2011, Vol. 21, No. 2, 397-463 |
On convexity of solutions of ordinary differential equations | Martin Keller-Ressel and Alexander G. Smirnov | J. Math. Anal. Appl. 368 (2010), 247-253 |
Affine Diffusion Processes: Theory and Applications | Damir Filipovic | Radon Series Comp. Appl. Math 8, 1-40, 2009 |