On the uniqueness of martingales with certain prescribed marginals. to appear in Journal of Applied Probability 50 (2)
Parallel shifts of ATM implied volatility.
(with Alex Schied and Torsten Schöneborn) Optimal basket liquidation for CARA investors is deterministic. Applied Mathematical Finance 17(6): 471--489. (2010)
Characterizing attainable claims: a new proof. Journal of Applied Probability 47 (4): 1013-1022. (2010)
The distribution of exponential Levy functionals.
Asymptotics of implied volatility far from maturity. Journal of Applied Probability 46 (3): 629--650. (2009).
(with Francois Berrier) Forward utility of investment and consumption.
Symmetric martingales and symmetric smiles. Stochastic Processes and Their Applications 119(10): 3785--3797. (2009)
(with Francois Berrier and Chris Rogers) A characterization of forward utility functions. (version May 2009)
(with Chris Rogers) Can the implied volatility surface move by parallel shifts? Finance and Stochastics 14(2) 235--248. (2010)
(with Nathaneal Ringer) Optimal portfolio choice in the bond market. Finance and Stochastics 10(4): 553--573. (2006)
A note on invariant measures for HJM models. Finance and Stochastics 9 (3): 389--398. (2005)
Explicit solutions of some utility maximization problems in incomplete markets. Stochastic Processes and Their Applications 114 (1): 109--125. (2004)
(with René Carmona) A characterization of hedging portfolios for interest rate contingent claims. The Annals of Applied Probability 14 (3): 1267--1294.(2004)