Advanced Methods in Mathematical Finance

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A martingale fixed-point problem in optimal reserve exploration

A measure-valued SDE with applications to interest rates and stochastic volatility

A result on integral functionals with infinitely many constraints

Agency, Firm Growth and Managerial Turnover

An Analytical Approximation for Pricing VWAP Options

Brownian trading excursions

Continuity Problems in Boundary Crossing Problems

Debt negotiation with firms’ cross-holdings of securities

Degenerate Backward SPDE with Singular Terminal Value and Related Applications in Mathematical Finance

Dynamics of order positions and related queues in a limit order book

Evolution of models in evolving markets

Existence and uniqueness of viscosity solutions for second order integro-differential equations without monotonicity condition

General one-dimensional diffusion: characterization, optimal stopping problem

Grossissement de filtration en temps discret

Group solvency tests, intragroup transfers and intragroup diversification: a set-valued perspective

Incomplete stochastic equilibria and a system of quadratic BSDEs

Information Asymmetries, Volatility, Liquidity, and the Tobin Tax

Investment timing, collateral, and financing constraints

Joint distribution of spectrally negative Lévy process and its occupation time, with step option pricing in view

Malliavin differentiability of BSDEs

Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

Multidimensional quadratic BSDEs with separated generators

No arbitrage conditions in the multi-curve modelling of the term structure of interest rates

On optimal stopping with expectation constraints

On the Chaotic Representation Property of Certain Families of Martingales

On the dual problem of utility maximization in incomplete markets

On the Estimation Methods for Risk Measurement

On the Skorokhod embedding problem and FBSDE

On the supremum of fractional Brownian motion and related processes

Polynomial preserving processes and discrete-tenor interest rate models

Random Periodic Processes, Periodic Measures and Ergodicity

Rare event simulation related to financial risks: efficient estimation and sensitivity analysis

Recent development in martingale optimal transport

Risk Minimization under Mortality and Its Stochastics.

Robust Detection of Unobservable Disorder in Poisson rate

Sensitivity Analysis in Lévy Fixed Income Theory

Universal Arbitrage Aggregator in Discrete Time under Uncertainty,

Variational View to Optimal Stopping with Application to Real Options

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