Publications
“Transient linear price impact and Fredholm integral equations”. Math. Finance 22 (2012): 445–474.
. “Exponential resilience and decay of market impact”. In Econophysics of order-driven markets, 225–236. Springer, Milan, 2011.
. “Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework”. Int. J. Theor. Appl. Finance 14 (2011): 353–368.
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“A limit theorem for Bernoulli convolutions and the Φ-variation of functions in the Takagi class.”. Journal of Theoretical Probability 35 (2022): 2853–2878. https://arxiv.org/abs/2102.02745.
. “Step roots of Littlewood polynomials and the extrema of functions in the Takagi class”. Mathematical Proceedings of the Cambridge Philosophical Society 173 (2022): 591–618. https://www.doi.org/10.1017/S0305004122000020.
. “A probabilistic approach to the Φ-variation of classical fractal functions with critical roughness”. Statist. Probab. Lett. 168 (2021): 108920, 6.
. “A control approach to robust utility maximization with logarithmic utility and time-consistent penalties”. Stochastic Process. Appl. 117 (2007): 980–1000.
. “Robust maximization of consumption with logarithmic utility.”. In Proceedings of the 2007 American Control Conference, 1120-1123, 2007, 1120-1123.
. “Robust utility maximization in a stochastic factor model”. Statist. Decisions 24 (2006): 109–125.
. “Price manipulation in a market impact model with dark pool”. Appl. Math. Finance 24 (2017): 417–450.
. “Domains of weak continuity of statistical functionals with a view toward robust statistics”. J. Multivariate Anal. 158 (2017): 1–19.
. “Quasi-Hadamard differentiability of general risk functionals and its application”. Stat. Risk Model. 32 (2015): 25–47.
. “Comparative and qualitative robustness for law-invariant risk measures”. Finance Stoch. 18 (2014): 271–295.
. “Qualitative and infinitesimal robustness of tail-dependent statistical functionals”. J. Multivariate Anal. 103 (2012): 35–47.
. “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.
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