V.F. Neuhaus Centennial Professor
Department of Mathematics, College of Natural Sciences
Department of Information, Risk, and Operations Management
Red McCombs School of Business |
The University of Texas at Austin
Research>Publications
Investment performance measurement under asymptotically linear local risk tolerance
(279k PDF), (with T. Zhou),
Handbook of Numerical Analysis, A. Bensoussan (Ed.), in print
(2008)
Credit Derivatives and Risk Aversion
(261k PDF), (with T. Leung and R. Sircar), Advances in Econometrics,
T. Fomby, J.-P. Fouque and K.Solna eds., in print.
Utility valuation of Credit Derivatives and application to CDOs
(273k PDF), (with R. Sircar), Quantitative Finance, to appear.
Portfolio choice under dynamic investment performance criteria
(201k PDF), (with M. Musiela), Quantitative Finance, to appear.
Options: current perspectives
The New Palgrave Dictionary of Economics, Second Edition,
Steven N. Durlauf and Lawrence E. Blume (eds.), Palgrave Macmillan, (2008).
Optimal asset allocation under forward exponential criteria
(332k PDF), (with M. Musiela), Markov Processes and Related Topics: A Festschrift for T. G. Kurtz,
Lecture Notes - Monograph Series, Institute for Mathematical Statistics (2006). To appear.
Optimal investments in the presence of unhedgeable risks and under CARA preferences
(275k PDF), (with S. Stoikov), IMA Volume Series, Institute for Mathematics and its Applications, in press.
Derivatives pricing, investment management and the term structure of exponential utilities:
The case of binomial model
(with M. Musiela), Indifference Pricing, R. Carmona (ed.), Princeton University Press, in print.
Utility valuation of credit derivatives: single and two-name case
(260k PDF), (with R. Sircar), Advances in mathematical finance, (2007), 279-301.
Investment and valuation under backward and forward dynamic exponential utilities
in a stochastic factor model
(277k PDF), (with M. Musiela), Advances in mathematical finance, (2007), 303-334.
Dynamic asset allocation and consumption choice in incomplete markets
(323k PDF), (with S. Stoikov), Australian Economic Papers, 44(4) (2005), 414-454.
Bounds and asymptotic approximations when volatility is random (245k PDF),
(with R. Sircar), SIAM Journal on Control and Optimization, 43 (2005), 1328-1353.