selected scholarly activity
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chapters
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conferences
- An Application of the Double Skorokhod Formula. Springer Proceedings in Mathematics and Statistics. 127-131. 2015
- Portfolio optimization under the Value-at-Risk constraint. Quantitative Finance. 125-136. 2007
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journal articles
- Spread Option Pricing Under Finite Liquidity Framework. Risks. 12:173. 2024
- A population model with pseudo exponential survival. Carpathian Journal of Mathematics. 40:627-641. 2024
- The Equilibrium Solutions for a Nonlinear Separable Population Model. Mathematics. 12:273-273. 2024
- MINIMIZING BANKRUPTCY PROBABILITY OF A LIFE INSURER - SOME ANALYTICAL CONSIDERATIONS. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 85:91-100. 2023
- Stochastic production planning with regime switching. Journal of Industrial and Management Optimization. 19:1697-1713. 2023
- Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time. European Actuarial Journal. 12:249-273. 2022
- A stochastic production planning problem. Fixed Point Theory. 23:179-198. 2022
- Optimal annuitization post-retirement with labor income 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- THE FUNDS MARKET BANK PROBLEM. UPB Scientific Bulletin, Series A: Applied Mathematics and Physics. 84:103-110. 2022
- A stochastic control problem with regime switching. Carpathian Journal of Mathematics. 37:427-440. 2021
- Pricing spread option with liquidity adjustments 2021
- Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model 2020
- An elliptic partial differential equation and its application. Applied Mathematics Letters. 101:106059-106059. 2020
- Portfolio Optimization under Correlation Constraint. Risks. 8:15-15. 2020
- Optimal sharing rule for a household with a portfolio management problem. Mathematical Social Sciences. 101:88-98. 2019
- An extension of the Clark–Haussmann formula and applications. Stochastics. 91:895-904. 2019
- Multi-Period Investment Strategies under Cumulative Prospect Theory. Journal of Risk and Financial Management. 12:83-83. 2019
- A MATHEMATICAL MODEL AND THE OPTIMAL STRATEGY IN THE TRANSACTIONS BETWEEN ONE BANK AND THE CENTRAL BANK. Proceedings of the Romanian Academy Series A - Mathematics Physics Technical Sciences Information Science. 20:107-113. 2019
- Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution. SIAM Journal on Financial Mathematics. 9:54-89. 2018
- Longevity Bond Pricing in Equilibrium. SSRN Electronic Journal. 2018
- Risk Management under Omega Measure. Risks. 5:27-27. 2017
- Risk minimization and portfolio diversification. Quantitative Finance. 16:1325-1332. 2016
- Numerical Analysis for Spread Option Pricing Model in Illiquid underlying Asset Market: Full Feedback Model. Applied Mathematics and Information Sciences. 10:1271-1281. 2016
- Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. Mathematics of Operations Research. 41:174-195. 2016
- Risk Minimization and Portfolio Diversification. SSRN Electronic Journal. 2016
- One bank problem in the federal funds market 2015
- Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model. International Journal of Computer Mathematics. 91:2603-2620. 2014
- Investment–consumption with regime-switching discount rates. Mathematical Social Sciences. 71:142-150. 2014
- A Multiperiod Equilibrium Pricing Model. Journal of Applied Mathematics. 2014:1-14. 2014
- Cumulative Prospect Theory with Skewed Return Distribution. SSRN Electronic Journal. 2014
- Non-linear equity portfolio variance reduction under a mean–variance framework—A delta–gamma approach. Operations Research Letters. 41:694-700. 2013
- Utility Indifference Pricing: A Time Consistent Approach. Applied Mathematical Finance. 20:304-326. 2013
- A Multi Period Equilibrium Pricing Model. SSRN Electronic Journal. 2013
- Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution. Insurance, Mathematics & Economics. 51:303-309. 2012
- Multi-stock portfolio optimization under prospect theory. Mathematics and Financial Economics. 6:337-362. 2012
- Time-Consistent Portfolio Management. SIAM Journal on Financial Mathematics. 3:1-32. 2012
- On Investment-Consumption with Regime-Switching 2011
- CRRA Utility Maximization under Risk Constraints 2011
- On Mean-Variance Analysis 2011
- Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences. SSRN Electronic Journal. 2011
- On securitization, market completion and equilibrium risk transfer. Mathematics and Financial Economics. 2:211-252. 2010
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS. Mathematical Finance. 19:423-455. 2009
- Investment and consumption without commitment. Mathematics and Financial Economics. 2:57-86. 2008
- On a Non-Standard Stochastic Control Problem 2008
- A Portfolio Decomposition Formula 2007
- On Robust Utility Maximization 2007
- Satisfying convex risk limits by trading. Finance and Stochastics. 9:177-195. 2005
- CRRA utility maximization under dynamic risk constraints. Communications on Stochastic Analysis. 7.
- Risk Measures and Portfolio Optimization. Journal of Risk and Financial Management. 7:113-129.
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preprints
- A Nonlinear Population Model 2023
- Portfolio Time Consistency and Utility Weighted Discount Rates 2023
- A nonlinear population model 2023
- The funds market bank problem 2021
- Stochastic production planning with regime switching 2020
- Practical Partial Equilibrium Framework for Pricing of Mortality-Linked Instruments in Continuous Time 2020
- Portfolio Optimization under Correlation Constraint 2019
- A Stochastic production planning problem 2019
- An elliptic partial differential equations system and its application 2019
- An elliptic partial differential equation and its application 2019
- Portfolio Optimization under Correlation Constraint 2019
- An Extension of Clark-Haussman Formula and Applications 2017
- Multi-period investment strategies under Cumulative Prospect Theory 2016
- Risk management under Omega measure 2015
- Risk minimization and portfolio diversification 2014
- Numerical analysis for Spread option pricing model in illiquid underlying asset market: full feedback model 2014
- Optimal Sharing Rule for a Household with a Portfolio Management Problem 2014
- Investment and Consumption with Regime-Switching Discount Rates 2013
- A Multi Period Equilibrium Pricing Model 2012
- Utility Indifference Pricing: A Time Consistent Approach 2011
- Time consistent portfolio management 2010
- Investment and Consumption without Commitment 2007
- Maximizing the Growth Rate under Risk Constraints 2007