(with David Driver) An optimisation-based representation for reaction-diffusion equations Electronic Journal of Probability 25(143): 1--15. (2020)
A Black--Scholes inequality: applications and generalisation Finance and Stochastics. 24(1): 1-38. (2019)
(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 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)