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Publications and Preprints
- Optimal Asset Liquidation Using Limit Order Book Information
(with Rolf Waeber) Working paper
- The price impact of order book events
(with R.
Cont and A.
Kukanov) To appear in Journal of Financial Econometrics
- Forecasting prices
in the presence of hidden liquidity
(with M.
Avellaneda and J.
Reed) Algorithmic Finance, Vol. 1, No. 1 (2011), pp. 35-43.
- A
stochastic model for order book dynamics
(with R. Talreja and R.
Cont) Operations Research, Vol. 58, No. 3, May-June
2010, pp. 217-224
- Option
market making under inventory risk
(with M. Saglam), Review of Derivatives
Research, Vol. 12, No. 1,2009, pp. 55-79.
- High-frequency
trading in a limit order book
(with M.
Avellaneda), Quantitative Finance, Vol. 8, No. 3,
217-224, 2008
- Option
pricing from the point of view of a trader
International Journal of Theoretical and Applied Finance, Vol.
9, No. 8, 1245-1243, 2006
- Dynamic asset allocation
and consumption in incomplete markets
(with T. Zariphopoulou) Australian Economic
Papers, 44(4), 414-454, 2005
- Optimal investments
in the presence of unhedgeable risks and
under CARA preferences (with T. Zariphopoulou) Working paper
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