Randomised rules for stopping problems.
J. Appl. Probab., 2020
Robust bounds for the American put.
Finance Stochastics, 2019
Probability weighting, stop-loss and the disposition effect.
J. Econ. Theory, 2018
Randomized strategies and prospect theory in a dynamic context.
J. Econ. Theory, 2017
Model uncertainty and the pricing of American options.
Finance Stochastics, 2017
Optimal Consumption and Sale Strategies for a Risk Averse Agent.
SIAM J. Financial Math., 2016
Robust price bounds for the forward starting straddle.
Finance Stochastics, 2015
Risk Aversion, Indivisible Timing Options, and Gambling.
Oper. Res., 2013
Model-independent hedging strategies for variance swaps.
Finance Stochastics, 2012
Comparison results for stochastic volatility models via coupling.
Finance Stochastics, 2010
Bounds for in-progress floating-strike Asian options using symmetry.
Ann. Oper. Res., 2007
Local martingales, bubbles and option prices.
Finance Stochastics, 2005
Local time, coupling and the passport option.
Finance Stochastics, 2000
Robust hedging of the lookback option.
Finance Stochastics, 1998
Design considerations for Digital's PowerStorm graphics processor.
IBM J. Res. Dev., 1996