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A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning.
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- Mathematics of Operations Research, 2020, v. 45, n. 3, p. 1127, doi. 10.1287/moor.2019.1025
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- Article
Risk-Sensitive Asset Management and Cascading Defaults.
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- Mathematics of Operations Research, 2018, v. 43, n. 1, p. 1, doi. 10.1287/moor.2017.0856
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- Article
Robust Optimization of Credit Portfolios.
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- Mathematics of Operations Research, 2017, v. 42, n. 1, p. 30, doi. 10.1287/moor.2016.0790
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- Article
PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK.
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- International Journal of Theoretical & Applied Finance, 2013, v. 16, n. 2, p. -1, doi. 10.1142/S0219024913500076
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- Article
CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION.
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- International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 1, p. 83, doi. 10.1142/S0219024909005129
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- Article
Robust XVA.
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- Mathematical Finance, 2020, v. 30, n. 3, p. 738, doi. 10.1111/mafi.12260
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- Article
Firm capital dynamics in centrally cleared markets.
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- Mathematical Finance, 2020, v. 30, n. 2, p. 664, doi. 10.1111/mafi.12236
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- Article
Credit portfolio selection with decaying contagion intensities.
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- Mathematical Finance, 2019, v. 29, n. 1, p. 137, doi. 10.1111/mafi.12177
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- Article
Arbitrage-free XVA.
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- Mathematical Finance, 2018, v. 28, n. 2, p. 582, doi. 10.1111/mafi.12146
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- Article
OPTIMAL INVESTMENT IN CREDIT DERIVATIVES PORTFOLIO UNDER CONTAGION RISK.
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- Mathematical Finance, 2016, v. 26, n. 4, p. 785, doi. 10.1111/mafi.12074
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- Article
DEFAULT AND SYSTEMIC RISK IN EQUILIBRIUM.
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- Mathematical Finance, 2015, v. 25, n. 1, p. 51, doi. 10.1111/mafi.12009
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- Article
PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME-SWITCHING MARKETS.
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- Mathematical Finance, 2014, v. 24, n. 2, p. 250, doi. 10.1111/j.1467-9965.2012.00533.x
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- Article
DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING.
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- Mathematical Finance, 2014, v. 24, n. 2, p. 207, doi. 10.1111/j.1467-9965.2012.00522.x
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- Article
ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS.
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- Mathematical Finance, 2014, v. 24, n. 1, p. 125, doi. 10.1111/j.1467-9965.2012.00520.x
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- Article
Advances in Blockchain and Crypto Economics.
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- Management Science, 2023, v. 69, n. 11, p. 6417, doi. 10.1287/mnsc.2023.intro.v69.n11
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- Article
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
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- Management Science, 2023, v. 69, n. 11, p. 6455, doi. 10.1287/mnsc.2023.4840
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- Article
Dynamic credit investment in partially observed markets.
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- Finance & Stochastics, 2015, v. 19, n. 4, p. 891, doi. 10.1007/s00780-015-0272-0
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- Article
Pricing vulnerable claims in a Lévy-driven model.
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- Finance & Stochastics, 2014, v. 18, n. 4, p. 755, doi. 10.1007/s00780-014-0239-6
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- Article
Bilateral credit valuation adjustment for large credit derivatives portfolios.
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- Finance & Stochastics, 2014, v. 18, n. 2, p. 431, doi. 10.1007/s00780-013-0217-4
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- Article
Dynamic Investment and Counterparty Risk.
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- Applied Mathematics & Optimization, 2018, v. 77, n. 1, p. 1, doi. 10.1007/s00245-016-9364-2
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- Article
Robo-Advising: Learning Investors' Risk Preferences via Portfolio Choices.
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- Journal of Financial Econometrics, 2021, v. 19, n. 2, p. 369, doi. 10.1093/jjfinec/nbz040
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- Article
Systemic Portfolio Diversification.
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- Operations Research, 2024, v. 72, n. 1, p. 110, doi. 10.1287/opre.2022.0290
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- Article
Disruption and Rerouting in Supply Chain Networks.
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- Operations Research, 2023, v. 71, n. 2, p. 750, doi. 10.1287/opre.2022.2409
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- Article
Systemic Risk-Driven Portfolio Selection.
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- Operations Research, 2022, v. 70, n. 3, p. 1598, doi. 10.1287/opre.2021.2234
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- Article
Market Efficient Portfolios in a Systemic Economy.
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- Operations Research, 2022, v. 70, n. 2, p. 715, doi. 10.1287/opre.2021.2172
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- Article
Clearinghouse Margin Requirements.
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- Operations Research, 2018, v. 66, n. 6, p. 1542, doi. 10.1287/opre.2018.1742
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- Article
Liability Concentration and Systemic Losses in Financial Networks.
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- Operations Research, 2016, v. 64, n. 5, p. 1121, doi. 10.1287/opre.2015.1402
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- Article
SYSTEMIC RISK: CLUSTERING AND CONTAGION MECHANISMS.
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- Review of Futures Markets, 2013, v. 21, p. 57
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- Article
Counterparty Risk in Over-the-Counter Markets.
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- Journal of Financial & Quantitative Analysis, 2022, v. 57, n. 3, p. 1058, doi. 10.1017/S0022109021000491
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- Article
Will banning naked CDS impact bond prices?
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- Annals of Finance, 2014, v. 10, n. 3, p. 481, doi. 10.1007/s10436-013-0243-4
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- Article
A Theory of Collateral Requirements for Central Counterparties.
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- Management Science, 2022, v. 68, n. 9, p. 6993, doi. 10.1287/mnsc.2021.4145
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- Article
Personalized Robo-Advising: Enhancing Investment Through Client Interaction.
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- Management Science, 2022, v. 68, n. 4, p. 2485, doi. 10.1287/mnsc.2021.4014
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- Article
Multiregional Oligopoly with Capacity Constraints.
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- Management Science, 2021, v. 67, n. 8, p. 4789, doi. 10.1287/mnsc.2020.3728
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- Article
Call for Papers—Management Science Special Issue on Blockchains and Crypto Economics.
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- Management Science, 2021, v. 67, n. 1, p. 6, doi. 10.1287/mnsc.2020.3888
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- Article
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
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- Management Science, 2020, p. 3581, doi. 10.1287/mnsc.2019.3353
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- Article
Systemic Influences on Optimal Equity-Credit Investment.
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- Management Science, 2017, v. 63, n. 8, p. 2756, doi. 10.1287/mnsc.2016.2460
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- Article