Preprints |
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Convex functions on dual Orlicz spaces
(with Freddy Delbaen) Preprint arXiv:1611.06218 |
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Published/Accepted in Peer-reviewed Journals |
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| [8] |
A Robust Version of Convex Integral Functionals J. Convex Anal., 22, no. 3, 827–852, 2015 Journal, arXiv:1305.6023 |
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| [7] |
Maximum Lebesgue Extension of Monotone Convex Functions J. Funct. Anal., 266, issue 6, pp. 3572-3611, 2014 Jounal, arXiv:1304.7934 |
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| [6] |
On the Lebesgue Property of Monotone Convex Functions Math. Financ. Econ., 8, issue 2, pp.159-167, 2014 Journal, arXiv:1305.2271 |
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| [5] |
On Admissible Strategies in Robust Utility Maximization Math. Financ. Econ., 6, no. 2, 77–92, 2012 Journal, arXiv:1109.5512 |
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| [4] |
A Note on Utility Maximization with Unbounded Random Endowment Asia-Pacific Financial Markets, 18, No. 1, pp. 89-103, 2011 Journal, PDF |
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| [3] |
Robust Utility Maximization with Unbounded Random Endowment Adv. Math. Econ.,14, pp. 147-181, 2011 Journal, PDF |
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| [2] |
Robust Exponential Hedging and Indifference Valuation Int. J. Theor. Appl. Finance, 13, issue 7, pp. 1075-1101, 2010 Journal, PDF |
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| [1] |
Robust Exponential Hedging in a Brownian Setting JSIAM Letters, 1, pp.64-67, 2009 Journal |
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Non-Refereed Articles, Permanent Working Papers etc |
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Maximum Lebesgue Extension of Convex Risk Measures CARF Working Paper (earlier version of [7]), 2012 CARF-F-287 |
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Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem Earlier Version of [8], 2011 arXiv:1101.2968 |
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Robust Utility Maximization with Random Endowment and Valuation of Contingent Claims under Model Uncertainty PhD dissertation, Hitotsubashi University, 2010 |
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Robust Exponential Hedging and Indifference Valuation Proceedings of the 57th NCTAM, Japan, pp 539–540, 2008 |
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Robust Exponential Hedging and Robust Projections of Probability Measures with Linear Penalty Proceedings of the 28th JAFEE Winter Conference, pp 241–259, 2007 |
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Updated on 11.09.2018