Chair in Mathematics
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
Maturity-independent risk measures
(258k PDF), (with G. Zitkovic), SIAM Journal on Financial Mathematics , 1 (2010), 266-288.
Utility valuation of credit derivatives and applications to CDOs
(273k PDF), (with R. Sircar), Quantitative Finance 10 (2010), 195-208.
Optimal asset allocation in a stochastic factor model - an overview and open problems
(243k PDF), Advanced Financial Modelling, Radon Series Comp. Appl. Math, 8 (2009), 427-453.
Portfolio choice under dynamic investment performance criteria
(201k PDF), (with M. Musiela), Quantitative Finance 9 (2009), 161-170.
Investment performance measurement under asymptotically linear local risk tolerance
(279k PDF), (with T. Zhou), Handbook of Numerical Analysis, P.G. Ciarlet (ed.), 15 (2009), 227-253.
Derivative 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, (2009), 3-41.
Credit derivatives and risk aversion
(261k PDF), (with T. Leung and R. Sircar), Econometrics and Risk Management (Advances in Econometrics),
T. Fomby, J.-P. Fouque and K.Solna eds., (2008), 275-291.
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 performance 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 4 (2008), 285-300.
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.