My research is focused on the fields of **Probability** and **Stochastic Analysis** and, in particular, on its applications in **Mathematical Finance and Economics**.
Below you will find a list of preprints and published work. Clicking on a title will either download the paper (if the paper is already published) or will 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 this is applicable.

## Preprints

- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to Mathematical Finance.
- Equilibrium in thin security markets under restricted participation (with Michail Anthropelos).
- Ergodic robust maximization of asymptotic growth (with Scott Robertson).
- Effective risk aversion in thin risk-sharing markets (with Michail Anthropelos and Georgios Vichos).
- Incomplete stochastic equilibria for dynamic monetary utility (with Hao Xing and Gordan Zitkovic).

## Published and forthcoming papers in peer-reviewed journals

- Projections of scaled Bessel processs (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 L
^{0}.**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.

## (Peer-reviewed) contributed papers and book chapters

- A time before which insiders would not undertake risk.
**Inspired by Finance (Musiela Festschrift)**, Springer (2013). - Finitely additive probabilities and the Fundamental Theorem of Asset Pricing.
**Contemporary Quantitative Finance (Platen Festschrift)**, 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.