Constantinos Kardaras

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

7

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133

SSRN CITATIONS
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in Total Papers Citations

5

CROSSREF CITATIONS

18

Scholarly Papers (7)

1.

Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality

Number of pages: 35 Posted: 28 May 2015
Constantinos Kardaras, Hao Xing and Gordan Zitkovic
London School of Economics & Political Science (LSE), London School of Economics & Political Science (LSE) and University of Texas at Austin
Downloads 64 (372,298)
Citation 16

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backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE

2.

Valuation Equations for Stochastic Volatility Models

SIAM J. Finan. Math., 3(1), 351–373, 2012.
Number of pages: 25 Posted: 28 May 2016
Erhan Bayraktar, Constantinos Kardaras and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 20 (562,167)

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stochastic volatility models, valuation equations, Feynman–Kac theorem, strict local martingales, necessary and sufficient conditions for uniqueness

3.

Effective Risk Aversion in Thin Risk-Sharing Markets

Number of pages: 28 Posted: 01 Apr 2019
Michail Anthropelos, Constantinos Kardaras and George Vichos
University of Piraeus - Department of Banking and Financial Management, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 19 (568,598)
Citation 1

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effective risk aversion, nash equilibrium, noncompetitive risk sharing, thin markets, price impact

4.

Strict Local Martingale Deflators and Valuing American Call-Type Options

Finance Stochastics, Vol. 16, No. 2, 2012
Number of pages: 17 Posted: 28 May 2016
Erhan Bayraktar, Constantinos Kardaras and Hao Xing
University of Michigan at Ann Arbor - Department of Mathematics, London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE)
Downloads 15 (594,149)

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Strict local martingales, Deflators, American call options

5.

Filtration Shrinkage, the Structure of Deflators, and Failure of Market Completeness

Number of pages: 30 Posted: 16 Dec 2019
Constantinos Kardaras and Johannes Ruf
London School of Economics & Political Science (LSE) and London School of Economics & Political Science (LSE) - London School of Economics
Downloads 8 (642,070)

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Bayesian; Brownian Motion; Deflator; Levy Transform; Local Martingale; Market Completeness; Predictable Representation Property

6.

Equilibrium in Risk-Sharing Games

Number of pages: 48 Posted: 08 Jul 2016
Michail Anthropelos and Constantinos Kardaras
University of Piraeus - Department of Banking and Financial Management and London School of Economics & Political Science (LSE)
Downloads 7 (649,049)
Citation 3

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Nash equilibrium, risk sharing, heterogeneous beliefs, reporting of beliefs

7.

The Numéraire Property and Long‐Term Growth Optimality for Drawdown‐Constrained Investments

Mathematical Finance, Vol. 27, Issue 1, pp. 68-95, 2017
Number of pages: 28 Posted: 15 Jan 2017
Constantinos Kardaras, Jan Obłój and Eckhard Platen
London School of Economics & Political Science (LSE), University of Oxford and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 0 (719,294)
Citation 2
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drawdown constraints, numéraire property, asymptotic growth, portfolio risk management