Eberhard Mayerhofer

Mathematician in Limerick

Mathematical Finance and Stochastic Processes

Publications

For a complete list, including preprints, please consult www.arxiv.org and www.SSRN.com

TitleCoauthorsJournal

Options Portfolio Selection with Position Limits		Paolo Guasoni and Mingchuan ZhaoUnder review.
Asymptotic methods for transaction costsRisks, Special Issue: Optimal Investment and Risk Management, Vol. 12 No. 4 (2024), 64.
Almost Perfect Shadow PricesJournal of Risk and Financial Management 17 (2), 1-70.
Rogue TradersHuayuan Dong and Paolo GuasoniFinance and Stochastics 27, 539–603 (2023).
Leveraged Exchange Traded Funds:
Robust Replication and Performance Evaluation		Paolo GuasoniQuantitative Finance 23 (2023), no. 7-8, 1155-1176
Minimal L^p Densities with Prescribed MarginalsPaolo Guasoni and Mingchuan ZhaoBernoulli, 27 (2021) no. 1, 576-585.
Options Portfolio SelectionPaolo GuasoniOperations Research, 68 (2020) no. 3 p. 733-740.
Geometric Ergodicity of Affine Processes on ConesRobert 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 ConesTransactions of the AMS, Volume 371, Number 10, 15 May 2019, 7093-7109
Three Essays on StoppingRisks, 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 LeveragePaolo GuasoniMathematical Finance, 29 (2019) no. 1 p. 249-284.
A Characterization of Wishart Processes and Wishart DistributionsPiotr Graczyk and Jacek MaleckiStochastic Processes and their Applications, Vol 128, Issue 4, April 2018, 1386-1404
Affine Processes on Symmetric ConesChrista Cuchiero, Martin Keller-Ressel and Josef TeichmannJournal of Theoretical Probability 29 (2016): 359-422
Exponential Moments of Affine ProcessesMartin Keller-ResselAnn. Appl. Probab. 25(2): 714-752 (April 2015). 
Wishart Processes and Wishart Distributions: An Affine Processes Point of ViewModern methods in multivariate statistics, Travaux en Cours, Hermann, Paris, 2014
Density Approximations for Multivariate Affine Jump-Diffusion ProcessesDamir Filipovic and Paul SchneiderJournal 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 > 1Stochastic Processes and Their Applications122 (2012), Issue 10, 3445-3459
A Characterization of the Martingale Property of Exponentially Affine ProcessesJohannes Muhle-Karbe and Alexander G. SmirnovStochastic Processes and Their Applications, Vol 121 (2011), Issue 3, 568-582
On strong solutions for positive definite jump-diffusionsOliver Pfaffel and Robert StelzerStochastic Processes and their Applications 121 (2011), Issue 9, 2072-2086
Affine processes on positive semidefinite matricesChrista Cuchiero, Damir Filipovic and Josef TeichmannAnnals of Applied Probability 2011, Vol. 21, No. 2, 397-463

On convexity of solutions of ordinary differential equationsMartin Keller-Ressel and Alexander G. Smirnov J. Math. Anal. Appl. 368 (2010), 247-253
Affine Diffusion Processes: Theory and ApplicationsDamir FilipovicRadon Series Comp. Appl. Math 8, 1-40, 2009
Design a site like this with WordPress.com
Get started