## Mike Tehranchi's papers

(with David Driver) An optimisation-based representation for reaction-diffusion equations
A Black--Scholes inequality: applications and generalisation

(with Jonathan Ross and Henrik Latter)
MRI turbulence and thermal instability in accretion disks.
Monthly Notices of the Royal Astronomical Society. (2017)

A Gaussian correlation inequality for convex sets.
Electronic Communications in Probability 22(51): 1-7 (2017)

If B and f(B) are Brownian
motions, then f is affine. Rocky Mountain
Journal of Mathematics 47(3): 947-953 (2017)

(with Si Cheng)
Polynomial term structure models

(with Omri Ross and Steve Satchell) An equilibrium model of market efficiency with Bayesian learning:
Explicit modes of convergence to rational expectations equilibrium

Arbitrage theory
witout a numeraire

Uniform bounds for Black-Scholes implied volatility. SIAM Journal on Financial Mathematics 7(1): 893-916 (2016)

(with Sergey Nadtochiy)
Optimal investment for all time horizons and Martin boundary of space-time diffusions.
Mathematical Finance 27(2): 438-470. (2017)

On the uniqueness of martingales with certain
prescribed marginals. Journal of Applied Probability 50 (2): 309-601. (2013)

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)