Kostas Kardaras - Homepage

Constantinos Kardaras

Professor in Statistics
London School of Economics
10, Houghton street; London; WC2A 2AE
e-mail: k.kardaras@lse.ac.uk

Research

My research is focused on Probability and Stochastic Analysis, with applications in Mathematical Finance and Economics. Below, find a list of preprints and published work. Clicking on a title will either download the paper (if the paper is already published) or take you to the corresponding entry at the arXiv (if the paper is a preprint or has not yet appeared online). Copyright of the papers belong to the journals involved, wherever applicable.

Book

Portfolio Theory and Arbitrage: a course in Mathematical Finance (with Ioannis Karatzas), AMS Graduate Studies in Mathematics 214. ISBN:978-1-4704-6014-3.

Published and forthcoming papers

Price impact under heterogeneous beliefs and restricted participation (with Michail Anthropelos). Forthcoming in the Journal of Economic Theory.
Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance. Forthcoming in the Annals of Applied Probability.
Ergodic robust maximization of asymptotic growth (with Scott Robertson). Annals of Applied Probability, volume 31, number 4 (2021), pages 1787-1819.
Filtration shrinkage, the structure of deflators, and failure of market completeness (with Johannes Ruf). Finance & Stochastics, volume 24, issue 4 (2020), pages 871-901.
Effective risk aversion in thin risk-sharing markets (with Michail Anthropelos and Georgios Vichos). Mathematical Finance, volume 30, issue 4 (2020), pages 1565-1590.
Projections of scaled Bessel processes (with Johannes Ruf). Electronic Communications in Probability, volume 24, number 24 (2019), pages 1-11.
Continuous-time perpetuities and time-reversal of diffusions (with Scott Robertson). Finance & Stochastics, volume 21, issue 1 (2017), pages 65-110.
No arbitrage of the first kind and local martingale numéraires (with Yuri Kabanov and Shiqi Song). Finance & Stochastics, volume 20, issue 4 (2016), pages 1097-1108.
Robust Fundamental Theorem for continuous processes (with Sara Biagini, Bruno Bouchard and Marcel Nutz). Mathematical Finance, volume 27, issue 4 (2017), pages 963-987.
Optional Decomposition for continuous semimartingales under arbitrary filtrations (with Ioannis Karatzas). Electronic Communications in Probability, volume 20 (2015), no. 59, pages 1-10.
Equilibrium in risk-sharing games (with Michail Anthropelos). Finance & Stochastics, volume 21, issue 3 (2017), pages 815-865.
Arbitrage of the first kind and filtration enlargements in semimartingale financial models (with Beatrice Acciaio and Claudio Fontana). Stochastic Processes and their Applications, volume 126, issue 6 (2016), pages 1761-1784.
The numéraire property and long-term growth optimality for drawdown-constrained investments (with Jan Obloj and Eckhard Platen). Mathematical Finance, volume 27, issue 1 (2017), pages 68-95.
Maximality and numeraires in convex sets of nonnegative random variables. Journal of Functional Analysis, volume 268 (2015), pages 3219-3231.
Uniform integrability and local convexity in L⁰. Journal of Functional Analysis, volume 266 (2014), pages 1913-1927.
Valuation and parities for exchange options. SIAM Journal of Financial Mathematics, volume 6 (2015), pages 140-157.
Strict local martingales and bubbles (with Doerte Kreher and Ashkan Nikeghbali). Annals of Applied Probability, volume 25, number 4 (2015), pages 1827-1867.
On the stochastic behaviour of optional processes up to random times. Annals of Applied Probability, volume 25, number 2 (2015), pages 429-464.
Abstract, classic, and explicit turnpikes (with Paolo Guasoni, Scott Robertson and Hao Xing). Finance & Stochastics, volume 18, issue 1 (2014), pages 75-114.
On the characterisation of honest times that avoid all stopping times. Stochastic Processes and their Applications, volume 124, issue 1 (2014), pages 373-384.
On the closure in the Emery topology of semimartingale wealth-process sets. Annals of Applied Probability, volume 23, number 4 (2013), pages 1355-1376.
Valuation equations for stochastic volatility models (with Erhan Bayraktar and Hao Xing). SIAM Journal of Financial Mathematics, volume 3 (2012), pages 351-373.
Robust maximization of asymptotic growth (with Scott Robertson). Annals of Applied Probability, volume 22, number 4 (2012), pages 1576-1610.
Forward-convex convergence in probability of sequences of nonnegative random variables (with Gordan Zitkovic). Proceedings of the American Mathematical Society, volume 141, number 3 (2013), pages 919-929.
Strict local martingale deflators and pricing American call-type options (with Erhan Bayraktar and Hao Xing). Finance & Stochastics, volume 16, issue 2 (2012), pages 275-291.
Numéraire-invariant preferences in financial modeling. Annals of Applied Probability, volume 20, number 5 (2010), pages 1697-1728.
On the Dybvig-Ingersoll-Ross theorem (with Eckhard Platen). Mathematical Finance, volume 22, issue 4 (2012), pages 729-740.
A structural characterization of numeraires of convex sets of nonnegative random variables. Positivity, volume 16, issue 2 (2012), pages 245-253.
Maximum penalized quasi-likelihood estimation of the diffusion function (with Jeff Hamrick, Yifei Huang and Murad Taqqu). Quantitative Finance, volume 11, number 11 (2011), pages 1675-1684.
Minimizing the expected market time to reach a certain wealth level (with Eckhard Platen). SIAM Journal of Financial Mathematics, volume 1 (2010), pages 16-29.
Generalized supermartingale deflators under limited information. Mathematical Finance, volume 23, number 1 (2013), pages 186-197.
Market viability via absence of arbitrage of the first kind. Finance & Stochastics, volume 16, issue 4 (2012), pages 651-667.
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading (with Eckhard Platen). Mathematical Finance, volume 23, number 3 (2013), pages 579-590.
On the semimartingale property of discounted asset-price processes (with Eckhard Platen). Stochastic Processes and their Applications, volume 121, issue 11 (2011), pages 2678-2691.
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints. Stochastic Processes and their Applications, volume 120, issue 3 (2010), pages 331-347.
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation (with Tomoyuki Ichiba). Journal of Applied Probability, volume 48, issue 3 (2011), pages 699-712.
Stability of the utility maximization problem with random endowment in incomplete markets (with Gordan Zitkovic). Mathematical Finance, volume 21, issue 2 (2011), pages 313-333.
Balance, growth and diversity of financial markets. Annals of Finance, volume 4, number 3 (2008), pages 369-397.
The numéraire portfolio in semimartingale financial models (with Ioannis Karatzas). Finance & Stochastics, volume 11 (2007), pages 447-493.
No-free-lunch equivalences for exponential Lévy models of financial markets under convex constraints. Mathematical Finance, volume 19, issue 2 (2009), pages 161-187.
Diversity and arbitrage in models of equity markets (with Bob Fernholz and Ioannis Karatzas). Finance & Stochastics, volume 9 (2005), pages 1-27.

Contributed papers and book chapters

Incomplete stochastic equilibria with exponential utilities close to Pareto optimality (with Hao Xing and Gordan Zitkovic). Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative Volume to Honor Mark H. A. Davis's Contributions, Springer (2022), pages 267-292.
A time before which insiders would not undertake risk. Inspired by Finance (The Musiela Festschrift), Springer (2013), pages 349-362.
Finitely additive probabilities and the Fundamental Theorem of Asset Pricing. Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer (2010), pages 19-34.
Arbitrage strategy. Encyclopædia of Quantitative Finance, John Wiley and Sons Inc.
Free lunch. Encyclopædia of Quantitative Finance, John Wiley and Sons Inc.
Stochastic discount factors. Encyclopædia of Quantitative Finance, John Wiley and Sons Inc.

Preprints

Estimation of growth in fund models (with Hyeng Keun Koo and Johannes Ruf).

FAQs

Below you will find answers to some questions that I am asked frequently enough to comment on.

Why are you using "Constantinos" as your name in papers? First and foremost, let me state for the record that this certainly is not a matter of tax evasion. My passport refers to me as "Konstantinos", making it my name for all legal purposes. Now, during the work on what resulted as the first published paper that has my name on (Diversity and arbitrage in models of equity markets), Ioannis Karatzas (the mastermind behind the paper) wrote down my name as "Constantinos". I looked at it a bit, contemplated a little more, and realized that I like it. There is a certain air of Byzantine era associated to "C", as opposed to "K". Then, it got stuck. Too late to stop now...
I am interested in your research and I want to work with you! What should I do? The quintessential attribute that you must possess is an indifferent attitude towards gloomy grey weather. If this checks out (and, please double-check), then you should read all about the application procedure for PhD in the Statistics department - click here for more information.

Propaganda

Want to try Linux? Start with Solus - especially the Budgie version!
For more advanced Linux kids: Arch.
Use R for statistical computing. RStudio is a great cross-platform frontend for R.
If a fun of Python for scientific computing, give Julia a go.
Serious about (safe) programming? Try Rust.
For beautiful scientific documents, use TeXstudio.
A great all-around editor is Visual Studio Code.

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