Constantinos Kardaras

London School of Economics & Political Science (LSE)

Houghton Street

London, WC2A 2AE

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

197

SSRN CITATIONS
Rank 31,798

SSRN RANKINGS

Top 31,798

in Total Papers Citations

9

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), Boston University - Questrom School of Business and University of Texas at Austin
Downloads 91 (349,615)
Citation 17

Abstract:

Loading...

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

2.

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

Number of pages: 32 Posted: 16 Dec 2019 Last Revised: 31 Aug 2020
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 29 (582,125)
Citation 1

Abstract:

Loading...

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

3.

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 Boston University - Questrom School of Business
Downloads 25 (607,458)

Abstract:

Loading...

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

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 22 (647,837)
Citation 1

Abstract:

Loading...

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

Effective Risk Aversion in Thin Risk‐Sharing Markets

Mathematical Finance, Vol. 30, Issue 4, pp. 1565-1590, 2020
Number of pages: 26 Posted: 07 Oct 2020
Michail Anthropelos, Constantinos Kardaras and Georgios Vichos
University of Piraeus - Department of Banking and Financial Management, London School of Economics & Political Science (LSE) and London School of Economics and Political Science
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

5.

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 Boston University - Questrom School of Business
Downloads 18 (656,508)

Abstract:

Loading...

Strict local martingales, Deflators, American call options

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 12 (701,738)
Citation 5

Abstract:

Loading...

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 (810,019)
Citation 2
  • Add to Cart

Abstract:

Loading...

drawdown constraints, numéraire property, asymptotic growth, portfolio risk management