Sergey Isaenko Assistant professor in finance at John Molson Business School of Concordia University

• Personal information

Curricula Vita

• Publications

1. Dynamic Equilibrium with Overpriced Put Options Economic Notes, 2007, V36,1-26
2. The Term Structure of Interest Rate in a Pure Exchange Economy where Investors have Heterogeneous Recursive Preferences March 2004. The Quaterly Review of Economics and Finance, forthcoming
3. On the Super-Replicating Approach when Trading a Derivative is Limited Quantitative Finance, forthcoming
4. 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

• Working Papers

1. Contagion in Illiquid Market September 2007
2. Dynamic Equilibrium in Economy with Illiquid Stock Market June 2007
3. Diversification in Illiquid Market August 2006
4. Portfolio Choice under Transitory Price Impact and Bid--Ask Spread September 2005 (2006 EFA Conference)

• Work -in-Progress

1. On Pricing European Options in the Presence of Transitory Price Impact and Bid-Ask Spread.
2. Pricing Catastrophe Derivatives (with S. Perrakis).
3. Portfolio Choice under VaR-Limit and Stochastic Investment Set.

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