University of Sydney
Sydney, NSW 2006
Australia
The University of Sydney
SSRN RANKINGS
in Total Papers Citations
Time-inconsistency, optimal stopping, liquidation strategy, mean-variance problem, subgame perfect Nash equilibrium
Fundamental theorem of asset pricing, hedging duality, utility maximization, semi-static trading strategies, American options
Shorting American options, robust utility maximization, semi-static trading strategy, non-anticipative strategy, liquidating strategy, rondomized stopping time
American options, model independent pricing, semi-static hedging strategies
American options, super-hedging, model uncertainty, semi-static trading strategies, randomized models
Model uncertainty, bid-ask prices for options, semi-static hedging, non-dominated collection of probability measures, Fundamental Theorem of Asset Pricing, super-hedging, robust no-arbitrage, non-redundant options
Stopping games with priority, non-anticipative stopping strategies, American options
Time-inconsistency, optimal stopping, strong equilibria, weak equilibria, mild equilibria, non-exponential discounting, subgame perfect Nash equilibrium
Fundamental theorem of asset pricing, sub-(super-)hedging, model uncertainty, portfolio constraints, optional decomposition
fundamental theorem of asset pricing, sub‐(super‐)hedging, model uncertainty, portfolio constraints, optional decomposition
optimal relative performance criteria, mean field contribution games, free rider issue, centralized control, two-layer mean field game
Non-zero-sum, stopping games, Nash equilibrium
optimal stopping problem of an insider, Reflected Backward Stochastic Differential Equations (RBSDEs), Levy's modulus for Brownian motion
Time Inconsistency, Decreasing Impatience, Dividend Barrier, Non-Exponential Discounting, Equilibrium Strategy
Option Pricing, Strassen's Theorem, Kellerer's Theorem, Martingale optimal transport, domain constraints, bounded volatility/quadratic variation, G-expectations, Kantorovich duality, monotonicity principle
Non-zero-sum, stopping games, epsilon-Nash equilibrium
Time inconsistency, Stackelberg game, Markov strategy, precommitment strategy, equilibrium strategy.
Multi-player, stopping games, Nash equilibrium.
controller-stopper problems, jumps, decomposition, indifference pricing, American options, RBSDEs
Bid-ask spread, robust no arbitrage, Pareto maximizer, utility maximization, consistent price process
