London, WC2A 2AE
London School of Economics & Political Science (LSE)
in Total Papers Citations
backward stochastic differential equations, general equilibrium, incomplete markets, Radner equilibrium, systems of BSDE
Bayesian; Brownian Motion; Deflator; Levy Transform; Local Martingale; Market Completeness; Predictable Representation Property
stochastic volatility models, valuation equations, Feynman–Kac theorem, strict local martingales, necessary and sufficient conditions for uniqueness
effective risk aversion, nash equilibrium, noncompetitive risk sharing, thin markets, price impact
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effective risk aversion, Nash equilibrium, noncompetitive risk sharing, price impact, thin markets
Strict local martingales, Deflators, American call options
Nash equilibrium, risk sharing, heterogeneous beliefs, reporting of beliefs
drawdown constraints, numéraire property, asymptotic growth, portfolio risk management
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