(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 simple proof. Journal of Applied Probability 47: 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)