Cycladic head, 3000-2000 BC

    Research>Preprints>Technical Reports

Qualitative analysis of optimal investment strategies
in log-normal markets

(228k PDF), (with Sigrid Kallblad), (2014)

Investments and forward utilities
(173k PDF), (with M. Musiela), (2006)

A note on the term structure of risk aversion in utility-based pricing systems
(107k PDF), (with M. Musiela), (2002)

Remarks on hedging and numeraire consistency in an incomplete binomial model
(146k PDF), (with M. Musiela), (2002)

Indifference prices and related measures
(248k PDF), (with M. Musiela), (2001)

Closed Form Option Valuation with Smiles
(4,607k PDF), (with P. Carr and M. Tari), (1999)