Publications
“Finanzmathematik”. In Springer–Taschenbuch der Mathematik, 1015–1029. 3rdrd ed. Springer–Verlag, 2013.
. “An FBSDE approach to market impact games with stochastic parameters”. Probability, Uncertainty and Quantitative Risk 6, no. 3 (2021): 237-260. https://www.aimsciences.org/article/doi/10.3934/puqr.2021012.
. “Exponential resilience and decay of market impact”. In Econophysics of order-driven markets, 225–236. Springer, Milan, 2011.
. “Existence and regularity for a class of infinite-measure $(\xi,\psi,K)$-superprocesses”. J. Theoret. Probab. 12 (1999): 1011–1035.
. “Dynamical models for market impact and algorithms for optimal order execution.”. In Handbook on Systemic Risk, 579–602. Cambridge University Press, 2013.
. “Duality theory for optimal investments under model uncertainty”. Statist. Decisions 23 (2005): 199–217.
. “Drift dependence of optimal trade execution strategies under transient price impact”. Finance Stoch. 17 (2013): 743–770.
. “Domains of weak continuity of statistical functionals with a view toward robust statistics”. J. Multivariate Anal. 158 (2017): 1–19.
. “Distributional transforms, probability distortions, and their applications”. Mathematics of Operations Research 46, no. 4 (2021): 1490-1512. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419388.
. “Cramer's condition and Sanov's theorem”. Statist. Probab. Lett. 39 (1998): 55–60.
. “Convex measures of risk and trading constraints”. Finance Stoch. 6 (2002): 429–447.
. “A control problem with fuel constraint and Dawson-Watanabe superprocesses”. Ann. Appl. Probab. 23 (2013): 2472–2499.
. “A control approach to robust utility maximization with logarithmic utility and time-consistent penalties”. Stochastic Process. Appl. 117 (2007): 980–1000.
. “Constructing functions with prescribed pathwise quadratic variation”. J. Math. Anal. Appl. 442 (2016): 117–137.
. “Constrained portfolio liquidation in a limit order book model”. In Advances in mathematics of finance, 83:9–25. Polish Acad. Sci. Inst. Math., Warsaw, 2008.
. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
. “Coherent and convex risk measures”. In Encyclopedia of quantitative finance, 355–363. John Wiley & Sons, 2010.
. “On a class of generalized Takagi functions with linear pathwise quadratic variation”. J. Math. Anal. Appl. 433 (2016): 974–990.
. “A central bank strategy for defending a currency peg”. Systems Control Lett. 144 (2020): 104761, 7.
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