Coventry CV4 7AL
United Kingdom
University of Warwick - Department of Statistics
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Bubbles; Strict local martingales; JLS model; Optimal investent; Utility maximisation; Power utility
financial bubble, incomplete financial market, fundamental value, superreplication, strict local martingale, numéraire, viability, efficiency, no dominance efficiency, no dominance
Nonlinear Price Impact, Portfolio Choice, Asymptotics
Single jump; Strict local martingales; Stochastic integrals; Local martingale deflators; No arbitrage; No unbounded profit with bounded risk
equilibrium, transaction costs, liquidity premium
optimal consumption, random endowment, asymptotic analysis
option valuation, put-call parity, absence of arbitrage, NUPBR, NFLVR, risk-neutral valuation, consistent valuation, maximal strategies, viability, efficiency, semi- efficient markets, completeness, incomplete markets
portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing
Mathematical Finance, Merton Problem, Stochastic Control, Expected Utility Maximization, Numeraire Change
Trading costs, Radner equilibrium, asymptotics, stability, transaction tax
Asset Pricing, Radner Equilibrium, Transaction Costs, Forward-Backward SDEs
Recursive utility, utility bubble, Euler equation.
liquidity provision, Nash competition, adverse selection, inventory costs
Epstein--Zin stochastic differential utility, lifetime investment and consumption, backward stochastic differential equations, optional strong supermartingales.
portfolio selection, ρ-arbitrage, convex risk measures, dual characterisation, sensitivity to large losses, Expected Shortfall
portfolio selection, coherent risk measures, dual characterisation, ρ-arbitrage, fundamental theorem of asset pricing
BSDEs, Epstein--Zin preferences, investment-consumption problem, proper solutions.
