
Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
Investing and Stopping
– Journal of Applied Probability
(2014)
51,
898
(DOI: 10.1239/jap/1421763316)
EVOLUTION OF FIRM SIZE
– International Journal of Theoretical and Applied Finance
(2014)
17,
1450031
(DOI: 10.1142/s0219024914500319)
The joint law of the extrema, final value and signature of a stopped
random walk
Failure and Rescue in an Interbank Network
– Management Science
(2013)
59,
882
(DOI: 10.1287/mnsc.1120.1569)
Optimal Time to Exchange Two Baskets
– Journal of Applied Probability
(2011)
48,
21
(DOI: 10.1239/jap/1300198133)
Market selection: hungry misers and bloated bankrupts
– Mathematics and Financial Economics
(2011)
5,
47
(DOI: 10.1007/s11579-011-0046-1)
THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING
– Mathematical Finance
(2010)
20,
597
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