Optimal Dynamic Trading Strategies with Risk Limits April 2001 (with Domenico Cuoco and Hua He)
2002 FAME Research Prize for the best new research paper in the fields of asset management and financial engineering, Geneva, Switzerland).
Presented at AFA annual conference at Atlanta, GA, January 2002. Operations Research, forthcoming
On Pricing European Options in the Presence of Transitory Price Impact and Bid-Ask Spread.
Pricing Catastrophe Derivatives (with S. Perrakis).
Portfolio Choice under VaR-Limit and Stochastic Investment Set.
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