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1 !"#$%&' $'( $)*+* & $'( $)*+, '- -..$ $/$)*+0 & # 1 $2 $ $34)35 #$ #5 2 $ #5!! $&.$344*534)3 $ $)***5 65$7 ' $)**, $ ' $ )**05)**, 65$ ' $ )**)5)**0 6! $ $)*+*5)**) '( $.($)*+85)*++ #5! 2 $ %$34)95!:5 $.$)***!:5 $.$344)!(! $%.$-.$.&$&.)**, '( $. $)*++5)*+*
2 !. $! ;$&$34)0 &!($34)35 $ $34)35 2 $ #$344*534)3 $ $)***5 "( $ 65$)** $7 $ 65$)**,53444 <344=5344+> & ( $)**,5)**8 1.! 5 ( $. 3*!--- $$!<)**4> 2. 5 ( %(. <( 6.>$ )=<)**)> ( $. 94!--- $'. $-.$<)**)>)9))5)9)= 4.! 5 ( ;5 $ 94<)**3>=)95=9= 5.. ( <( >$.! $-&&-5!$$<)**3> 6. # ( %;<( >$ 9<)**9>)9,5)0+ 7. European option pricing with transaction costs (with M. H. A. Davis and V. Panas), SIAM Journal on Control and Optimization 31 (1993) Asymptotic results for long term investments (with C. F. Huang), Proceedings of International Conference in Finance, ESSEC-AFFI, La Baule, France (1993). 9. ( $ 93<)**0>,*5+, 10. (. <( >$!8<)**0> <( >$ $ &.5.$<)**,> 12. ( <( >$ ""9=<)**,> 9+,59*) 13. #. % <(?&;>$.1-- $ 7),<)**=>
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
4 34. Pricing early exercise claims in incomplete markets (with A. Oberman), Computational Management Science, 1 (2003) A wealth-dependent investment opportunity set: its effects on optimal consumption and portfolio decisions (with S. Choi, H.-K. Koo and G. Shim), Annals of Economics and Finance, 4 (2), (2003) An example of indifference prices under exponential preferences (with M. Musiela), Finance and Stochastics, 8 (2004) A valuation algorithm for indifference prices in incomplete markets (with M. Musiela), Finance and Stochastics, 8 (2004) Indifference prices of early exercise claims (with M. Musiela), Contemporary Mathematics, American Mathematical Society, 351, Proceedings of the AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance, G. Yin and Q. Zhang (eds.),ams, (2004) Bounds and asymptotic approximations when volatility is random (with R. Sircar), SIAM Journal on Control and Optimization, 43 (2005), Pricing Insurance via Stochastic Control: optimal consumption and terminal wealth (with V. Young), Finance, 25 (2005), Dynamic asset allocation and consumption choice in incomplete markets (with S. Stoikov), Australian Economic Papers, 44(4), (2005), Investment and valuation under backward and forward dynamic exponential utilities in a stochastic factor model (with M. Musiela), Advances in Mathematical Finance, (2007), Utility valuation of Credit Derivatives: Single and two-name case (with R. Sircar), Advances in Mathematical Finance, (2007), ; <( 7. " &>$ (!<344+>$38,53*) 0, # E $%$, (#!&3 - $& 7-'<>$<344+> 46. Investment performance measurement under asymptotically linear risk tolerance (with T. Zhou), Handbook of Numerical Analysis, P.G.Ciarlet (ed.), (2009), <( >$ /(&*<3>$<344*>$)=)5) 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), Optimal asset allocation in a stochastic factor model - an overview and open problems, RADON Series on Computational and Applied Mathematics, Advanced Financial Modeling, A. Hansjorg, W. Runggaldier and W. Schachermayer eds., 8 (2009), ,4 # <( " &>$ /($)4<34)4>$)*,534+
5 51. Indifference valuation in incomplete binomial models (with M. Musiela and K. Sokolova), Mathematics in Action, 3(2), (2010), Portfolio choice under space-time monotone performance criteria (with M. Musiela), SIAM Journal on Financial Mathematics,1 (2010), Maturity-independent risk measures (with G. Zitkovic), SIAM Journal on Financial Mathematics,1 (2010), Stochastic partial differential equations and portfolio choice (with M. Musiela), Contemporary Quantitative Finance, Springer-Verlag, (2010), Initial investment choice and optimal future allocations under time-monotone performance criteria (with M. Musiela), International Journal of Theoretical and Applied Finance, 14(1) (2011), Forward indifference valuation of American options (with T. Leung and R. Sircar), Stochastics 84(5-6), (2012), An approximation scheme for the solution of the optimal investment problem in an incomplete market (with S. Nadtochiy), SIAM Journal on Financial Mathematics, 4(1), (2013). 58. A class of homothetic forward investment performance processes with non-zero volatility (with S. Nadtochiy), Inspired by Finance, Volume in honor of M. Musiela, Springer-Verlag, , (2013). PREPRINTS, WORK IN PROGRESS 1. Portfolio optimization and stochastic volatility asymptotics (with J.-P. Fouque and R. Sircar), submitted for publication (2013). 2. Qualitative analysis of optimal portfolios in log-normal markets (with S. Kallblad), preprint (2013). 3. Time-consistent investment under model uncertainty and robust forward performance criteria (with S. Kallblad and J. Obloj), preprint (2013). 4. Indifference valuation under forward valuation criteria: The case study of the binomial model (with M. Musiela and E. Sokolova), preprint (2011). 5. Infinitesimal mean-variance: convergence and time-consistency (with M. Musiela and P. Vitoria), in preparation. 6. Complete monotonicity and portfolio choice (with S. Kallblad), in preparation. 7. On probabilistic properties of the optimal wealth and portfolio processes in log-normal markets (with P. Monin), in preparation Course and invited lecture in "New trends and applications of Differential Equations and Dynamical Systems", University of Buenos Aires, Argentina 2014 WCMF 2014, University of California, Santa Barbara International Congress of Mathematicians, Invited Lecture, Seoul, 2014
6 Thematic program Mathematics of Systemic Risk, IPAM, Vancouver, Canada Mathematical Finance: Arbitrage and Portfolio Optimization, Banff International Research Station, Banff, Canada Meeting on Robust Management in Finance, Paris, France Workshop in Mathematical Finance, Banff International Research Station, Banff, Canada D( -F$'! "& $'$ University of Michigan, Ann Arbor University of California, Berkeley Princeton University 2013 WCMF 2013, University of California, Berkeley Meeting to honor the 70 th birthday of G. Papanicolaou, Stanford University, Palo Alto Meeting on Dynamic interactions and market equilibrium, Crete, Greece Chinese University of Hong Kong, Hong Kong Fields Institute, Commodities, Energy and Environmental Finance, Toronto, Canada Meeting on Stochastics and Finance (plenary lecture), Angers, France Workshop in Mathematical Finance, Zurich, Switzerland 2012 Probability, Control and Finance, conference to honor I. Karatzas s 60 th birthday, Columbia University, New York, NY Course on Asset allocation and utility theory, Summer School on Stochastic Finance, University of Athens, Athens, Greece Summer School on Mathematical Finance, Lisbon, Portugal Workshop on Finance and Partial Differential Equations, Yerevan, Armenia Workshop on Perspectives in Analysis and Probability, (plenary lecture), ETH, Zurich 2011 University of Heidelberg, Heidelberg, Germany (public lecture and Math Colloquium) 6 th Bachelier Colloquium, Metabief, France Princeton University, Princeton, NJ University of Cambridge, Cambridge, United Kingdom Workshop on SPDE and applications, Le Mans, France London School of Economics, London, United Kingdom Women in Applied Mathematics Workshop, Crete, Greece 4 th Western Conference in Mathematical Finance, USC, CA International Conference on Mathematical Finance and Economics, Istanbul, Turkey Conference on Financial Mathematics, Al-Akhawayn, Morocco Stochastic Processes and their Applications, Oxaca, Mexico 2010 Workshop on New directions in Mathematical Finance, IPAM, Los Angeles Workshop on Foundations of Mathematical Finance, Fields Institute, Toronto, Canada 5 th Bachelier Colloquium, Metabief, France Heriot-Watt University, King s College, London, United Kingdom
7 University of Leipzig, Leipzig, Germany Stanford University, Palo Alto, CA Oxford-Columbia Workshop in Financial Mathematics, New York Conference on Stochastic Processes and their applications, Osaka, Japan 6 th Oxford-Princeton Workshop on Financial Mathematics and Stochastic Analysis, Oxford, United Kingdom International Research Forum, Hong Kong Meeting on Partial Differential Equations and Finance, Rutgers University 2009 AMS National Meeting, Washington 5 th Oxford-Princeton Workshop on Financial Mathematics and Stochastic Analysis, Princeton Meeting on D F$$( - $& ;$&( 9 6$ $& '%$ ( $- $!!!.$.$!.D2 F$&$ 2008 AMS National Meeting, San Diego University of Oxford Conference on Stochastic Analysis in Finance and Insurance, Oberwolfach, Germany Brown University CBMS-NSF Conference in Mathematical Finance, University of California, Santa Barbara 5 th European Congress of Mathematicians, Amsterdam, Holland 5 th World Congress of the Bachelier Finance Society, London, UK Kick-off Workshop, Special semester on Stochastics with emphasis in Finance, RICAM, Linz, Austria International Congress on Price, Liquidity and Credit Risks, Konstanz, Germany Optimization and optimal control, Special semester on Stochastics with emphasis in Finance, RICAM, Linz, Austria Dahlem Conference, Humboldt University, Berlin, Germany SIAM Conference on Control and Optimization, Cancun, Mexico = 6 & < >$7 $ H"! (! I$#%($/ 55& $@ &.D-.. F$.$ % 6; $! &$-%..D F$$.$$! $ $ 2 $&$
8 & # &. $ $-. '&$!$$ && $ 6; $7J.$ ; $ 6$$6! 6; H.%-I$.$/ 6. '& <7 >$;$? & $ $& '% $ =4 ' $ $.; & & 344=$' ( 6; $. $ %.$ &.$ "$ $ $ &! # 1 < >$(#$7. 6 $(#$7.' % $'$. $'$. 6; - $@$& ;$&( #.6; $& - $&&!$ 6; ";$&&!$ 6; $% '$'$/...< >$! $ $ $! $A & $7.$.$%$!!.$7$-.. $A( $ 6.$7%$ &5!&5&!? &" $&(%$ 6; %% -G $!$ $ % $(A;$A &!$#%($/ %%.5 %$! $" $ $ &&-$&$/ & $ $
9 % $(A;$A 2 < ;>$2K43$&$ ";!< ;>$&$/ '&$!$$! &..$%$! $$ -'$ $/ & D F$&.$$!! G & $ $'. & &5&.$7$ &! $&.$!#"&$ %% $(A;$A.! &! $&$@ E";. $. $!$7$ & <3 >$.D -F$! &$$! &. #& $#! $&$@ 6.<653444>$ $ $! $ $/ &< >$&$/ < >$ $% &!$#%($/ 6. '& $/J $ %55?-- -..$ ;$? 6; $ $&$@ ";$(A;$A 65$$6! &!.$ $:!**E! %$$6! -$"$/!#"&$ %% $$/ 6; ";$#%($/ 6; $& %$.& & $'J.$ $$/ 6; $ $: $$B
10 7$7.$.& $(A;$A -$%.$-. &&D F$;$/ $ $: & $ $.& $(A;$A &.< >$&.$.$.$!7 $ $? -$B$&( 1 &"..$ $! -&&-$$! &.. < >$ 7$ &( 1 2 $2H*8$&$ ";. $!$#%($/ &.$! $ 6; $% $'$/ $!.$!$/$&( 1!$%5.$!7 &! $@$#!:5 $$ -&&-$$ ';-.$!(! $%.$-. $!(! $%.$-.L $! & $ $?.$.$!7 ( -.$$6! &! $& 7$# 6; ; ( $.$.$!7 & # $!:5 $$ &! $&.$. - $$. - $ $ #"&M!&!.$.$7 "..!&< >$$# $! & $ $? 6. 5& 7$& 7$#
11 &.$ $#.& $$&( 1!.$!$7'$ 6; $!$ $ 6; # $!$%5.$!7 $! $A $;$/ &! $ $. $#%($/!.$!$$ #"&M!&.$#$7 &5!"!56; $$.$.$!7 '( $$"! 6$$6! 94!--- $'. $-..& -..$&.$!&M&#'"#!.$"?$'1 5?%-G $.$!?$$ #"&M!&&! %% $ $ 3*!--- $$! " <">$$!"! $"G $ & $ $!:5 $$!$' $ <344=5344+> 5 < => (0<&!/> -..<)M)M34485)3M9)M344+)M)M344*5)3M9)M34)4> $)$344,5 %&!(- '$34)3534)9 %&!(& $34)0 %/34)0$7'$34)0
12 %& '$1&344*5 %- $.$34))534)9 ' 57% ($34)3 & Editorial Positions Associate Editor of SIAM Journal on Control and Optimization, 2004-present Associate Editor of SIAM Journal on Financial Mathematics, 2008-present Associate Editor of Mathematical Finance, 1999-present Associate Editor of Decisions in Economics and Finance, 2001-present - $ & /&34)45 - ""$)** Editorial Board member of SIAM Series in Financial Mathematics (2013-present).1 < > 5.1<( &%/B ;>, 6$ $34), 5.1<( "&> (; D7G $ %;$..$!$7$34), % & + 6. ' & $'$34)0 5.1<( "&$ />.D( -F$'! " & <'!"&>$?34)0 5.1<( '%>.D& F$ #$34)9 5.1<(?5G$@/;/ > (; D F$!$ $ 34)3 % & D+ 6.%% & F$! %$34)3 5.1<(!@ 1&> 6; D!. F$#5! $34)) 5.1<( "> 6; D( ; F$ #5! $34)) % & D -G F$". $34)) % & D( F $!$7$34)4
13 % #.1. D! 5.1<( :AB> D! ( F$#5! $34)) 5.1 <( / B ; &%> 3 6 $ $:$344* %# *&!.$$344* %& &!D -..F$(A;$344+ #.1 D# 1 ; F$ &.$(#$3448 %& &! -..$' $344= %& &&!<&! >. $344, %#.1. 6; D&5. F$'$$3440 #.1& D36. ' & F$ $/$3443 /';<5 N$. > 6/<5 N$$';> /7.<#N$ #>?7<5 N$! $A> & <#N$ >?"<#N$% > /&<5 N$& > <5 N$ >! '. $:$&@%$1$ <34)9>$".<34))>$B<344+>$@&;<3448>$2&<3448>$&& ; <344,>$1<3443>$<3443>$&<3444> Current I. Angus, P. Goswami, A. Kontaxis, J. Li
14 Y. Choi (2012), Y. Wu (2012), X. Yu (2012), Y. Zhao (2012), D. Schwartz (2012), G. Liang (2010), B. Yang (2010), A. Ditanna (2009), M. Anthropelos (2008), R. Elie (2007), S. Kolos (2005), W. Hann (2005), B. Choi (2002), R. Melbourn (2000), C. Mueller (2000), T. Simmons (2000), B. Franklin (1999), Y. Oguz (1997), M. Giand-Abizatti (1996), M. Cho (1994), A. Tourin (1992)
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