Access Statistics for Erhan Bayraktar

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 7 0 0 2 43
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance 0 0 1 4 1 1 2 25
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions 0 0 0 9 0 0 1 32
A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems 0 0 0 6 0 0 1 23
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays 0 0 0 6 0 0 4 33
A note on the Fundamental Theorem of Asset Pricing under model uncertainty 0 0 0 4 2 3 16 32
A rank based mean field game in the strong formulation 0 0 1 13 1 1 3 8
An $\alpha$-stable limit theorem under sublinear expectation 0 0 0 7 1 1 4 29
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options 0 0 0 14 0 0 2 37
Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case 0 0 0 0 2 3 14 18
Comparing the $G$-Normal Distribution to its Classical Counterpart 0 0 0 4 2 2 6 24
Consistency Problems For Jump-Diffusion Models 0 0 0 347 0 0 5 890
Continuity of Utility Maximization under Weak Convergence 0 0 0 12 2 3 10 17
Correspondence between Lifetime Minimum Wealth and Utility of Consumption 0 0 0 6 0 1 1 36
Distribution-Constrained Optimal Stopping 0 0 1 4 1 1 3 14
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 0 0 0 5 0 0 0 10
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis 0 0 0 38 0 0 4 145
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs 0 0 4 4 1 1 2 2
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty 0 0 0 4 1 1 6 39
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering 0 0 0 30 1 1 9 22
Inventory Management with Partially Observed Nonstationary Demand 0 0 0 6 0 0 6 37
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 1 21 1 1 6 51
Liquidation in Limit Order Books with Controlled Intensity 0 0 0 9 0 0 5 95
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin 0 0 0 21 1 1 3 40
Mini-Flash Crashes, Model Risk, and Optimal Execution 0 0 0 21 2 3 16 25
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption 1 1 1 8 1 1 5 21
Minimizing the Lifetime Shortfall or Shortfall at Death 0 0 0 3 0 0 0 17
Minimizing the Probability of Lifetime Drawdown under Constant Consumption 0 0 0 2 2 2 7 24
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion 0 0 0 7 0 0 0 17
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints 0 0 0 18 0 1 3 71
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility 0 0 0 14 1 1 3 89
Minimizing the Probability of Ruin when Consumption is Ratcheted 0 0 0 10 1 1 4 46
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin 0 0 0 9 0 1 3 29
No Arbitrage Conditions For Simple Trading Strategies 0 0 0 21 0 0 2 97
No-arbitrage and hedging with liquid American options 0 0 0 6 0 0 4 14
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints 0 0 0 3 0 0 0 13
On Zero-sum Optimal Stopping Games 0 0 0 18 0 0 1 16
On a Stopping Game in continuous time 0 0 0 36 1 2 4 15
On an Optimal Stopping Problem of an Insider 0 0 0 5 0 0 1 17
On controller-stopper problems with jumps and their applications to indifference pricing of American options 0 0 0 0 1 1 2 59
On hedging American options under model uncertainty 0 0 0 5 0 0 2 23
On model-independent pricing/hedging using shortfall risk and quantiles 0 0 0 8 0 0 1 16
On non-uniqueness in mean field games 0 0 7 7 2 4 12 13
On optimal dividends in the dual model 0 1 1 19 1 3 3 24
On the Existence of Consistent Price Systems 0 0 0 17 0 0 0 84
On the Market Viability under Proportional Transaction Costs 0 0 0 13 0 0 1 21
On the Multi-Dimensional Controller and Stopper Games 0 1 1 15 0 1 2 46
On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time 0 0 7 7 0 0 5 5
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps 0 0 0 8 0 0 4 35
On the Robust Dynkin Game 0 0 0 16 1 1 1 15
On the Robust Optimal Stopping Problem 0 0 1 13 0 0 3 44
On the Stability of Utility Maximization Problems 0 0 0 14 0 0 1 31
On the Stickiness Property 0 0 0 7 1 2 34 115
On the quasi-sure superhedging duality with frictions 0 0 0 1 0 0 8 10
On the uniqueness of classical solutions of Cauchy problems 0 0 0 16 2 2 8 74
On utility maximization with derivatives under model uncertainty 0 0 0 15 1 1 4 30
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin 0 0 0 7 0 0 2 60
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates 0 1 1 7 1 2 9 13
Optimal Investment Strategy to Minimize Occupation Time 0 0 0 7 0 0 1 36
Optimal Investment to Minimize the Probability of Drawdown 1 1 1 11 2 2 11 37
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices 0 0 0 8 0 0 4 26
Optimal Stopping for Dynamic Convex Risk Measures 0 0 0 16 0 0 2 38
Optimal Stopping for Non-linear Expectations 0 1 1 11 1 2 6 29
Optimal Stopping with Random Maturity under Nonlinear Expectations 0 0 0 1 0 0 1 12
Optimal Time to Change Premiums 0 0 0 1 0 0 6 18
Optimal Trade Execution in Illiquid Markets 0 0 1 23 0 0 4 58
Optimally Investing to Reach a Bequest Goal 0 0 0 13 2 2 4 35
Optimizing Venture Capital Investments in a Jump Diffusion Model 0 0 1 15 1 1 5 52
Outperforming the market portfolio with a given probability 0 0 0 17 0 0 0 67
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio 0 0 0 17 0 0 2 59
Projecting the Forward Rate Flow on a Finite Dimensional Manifold 0 0 0 140 2 2 7 379
Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control 0 0 0 6 0 0 4 49
Purchasing Life Insurance to Reach a Bequest Goal 0 0 0 12 1 1 3 23
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming 0 0 1 23 0 0 3 16
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 35 0 0 3 16
Quadratic Reflected BSDEs with Unbounded Obstacles 0 0 0 7 0 0 2 44
Quantile Hedging in a Semi-Static Market with Model Uncertainty 0 0 1 24 0 0 5 22
Queueing Theoretic Approaches to Financial Price Fluctuations 0 0 0 20 0 0 4 55
Regularity of the Optimal Stopping Problem for Jump Diffusions 0 0 0 15 1 1 1 63
Risk Sensitive Control of the Lifetime Ruin Problem 0 0 0 2 0 0 1 16
Robust maximization of asymptotic growth under covariance uncertainty 0 0 0 0 0 0 1 30
Stability of exponential utility maximization with respect to market perturbations 0 0 0 11 0 0 4 82
Stochastic Perron for Stochastic Target Problems 0 0 0 3 0 0 1 12
Stochastic Perron for stochastic target games 0 0 0 20 1 1 6 18
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs 0 0 0 6 0 0 1 15
Strict Local Martingale Deflators and Pricing American Call-Type Options 0 0 0 13 1 1 2 54
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty 0 0 0 6 1 2 10 24
The Effects of Implementation Delay on Decision-Making Under Uncertainty 0 0 1 12 0 2 13 88
Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case 0 0 0 9 1 1 7 12
Transport plans with domain constraints 0 0 0 2 2 3 8 20
Valuation equations for stochastic volatility models 0 0 0 27 0 0 2 72
Valuation equations for stochastic volatility models 0 0 1 1 0 0 2 8
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities 0 0 0 19 0 2 7 64
Weak reflection principle for L\'evy processes 0 0 0 18 0 0 2 19
Total Working Papers 2 6 35 1,528 51 73 415 4,599


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Limit Theorem for Financial Markets with Inert Investors 0 0 0 0 0 0 1 3
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty 0 0 0 2 1 3 13 45
A unified treatment of dividend payment problems under fixed cost and implementation delays 0 0 0 0 0 0 2 11
ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC 0 0 0 0 1 1 5 8
An Analysis of Monotone Follower Problems for Diffusion Processes 0 0 0 0 0 1 3 4
Consistency Problems for Jump-diffusion Models 0 0 0 2 0 0 4 39
Correspondence between lifetime minimum wealth and utility of consumption 0 0 0 14 0 0 1 47
Distribution‐constrained optimal stopping 0 0 1 1 0 1 4 7
Doubly reflected BSDEs with integrable parameters and related Dynkin games 0 0 0 0 0 0 3 13
ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS 0 0 0 0 0 0 1 4
Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty 0 0 0 1 0 0 7 26
Hedging life insurance with pure endowments 0 0 0 51 0 0 1 122
Inventory management with partially observed nonstationary demand 0 0 0 1 0 0 6 13
LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY 0 0 0 1 0 1 3 17
Life Insurance Purchasing to Maximize Utility of Household Consumption 0 0 0 0 0 0 2 5
Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin 0 0 0 13 0 0 3 88
Minimizing the Probability of Lifetime Ruin under Random Consumption 0 0 0 0 0 0 0 1
Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities 0 0 0 0 0 0 1 2
Minimizing the Probability of Ruin When Consumption is Ratcheted 0 0 0 0 0 0 2 2
Minimizing the expected lifetime spent in drawdown under proportional consumption 1 1 1 2 2 2 5 21
Minimizing the lifetime shortfall or shortfall at death 0 0 0 4 0 0 1 37
Minimizing the probability of lifetime drawdown under constant consumption 1 1 1 1 1 1 3 12
Minimizing the probability of lifetime ruin under borrowing constraints 0 0 0 18 0 0 3 60
Minimizing the probability of lifetime ruin under stochastic volatility 0 0 0 12 0 0 1 47
Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives 0 0 0 0 0 0 0 40
Mutual fund theorems when minimizing the probability of lifetime ruin 0 0 0 15 0 1 3 94
No arbitrage conditions for simple trading strategies 0 1 1 26 0 1 3 85
No-Arbitrage and Hedging with Liquid American Options 0 0 0 0 0 0 0 0
ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS 0 0 0 1 0 1 1 10
ON OPTIMAL DIVIDENDS IN THE DUAL MODEL 0 0 0 0 1 2 2 8
On the One-Dimensional Optimal Switching Problem 0 0 0 0 3 3 9 12
On the market viability under proportional transaction costs 0 0 0 0 0 1 7 13
On the perpetual American put options for level dependent volatility models with jumps 0 0 0 2 0 0 1 17
On the quasi-sure superhedging duality with frictions 0 0 1 1 0 1 7 7
On the stickiness property 0 0 0 1 0 0 2 20
Optimal dividends in the dual model under transaction costs 0 0 0 3 0 0 5 40
Optimal investment strategy to minimize occupation time 0 0 0 1 0 0 0 6
Optimal reinsurance and investment with unobservable claim size and intensity 0 0 2 8 0 0 11 38
Optimal stopping for non-linear expectations--Part I 0 0 0 8 0 0 2 29
Optimal stopping for non-linear expectations--Part II 0 0 0 2 0 0 0 21
Optimal stopping with random maturity under nonlinear expectations 0 0 0 1 0 0 1 3
Optimal time to change premiums 0 0 0 0 0 0 1 8
Optimally investing to reach a bequest goal 0 0 0 5 0 0 2 22
Optimizing venture capital investments in a jump diffusion model 0 0 0 2 0 3 8 18
PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD 0 0 0 0 0 0 3 7
Poisson Disorder Problem with Exponential Penalty for Delay 0 0 0 0 0 0 2 3
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions 0 0 0 0 0 0 2 6
Pricing Options on Defaultable Stocks 0 0 0 25 0 0 0 97
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 0 0 0 36 0 0 4 104
Proving regularity of the minimal probability of ruin via a game of stopping and control 0 0 0 2 0 0 3 25
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case 0 0 0 0 0 0 0 0
Purchasing life insurance to reach a bequest goal 0 0 0 4 0 0 6 32
Quadratic reflected BSDEs with unbounded obstacles 0 0 0 1 0 0 2 15
Quantile Hedging in a semi-static market with model uncertainty 0 0 0 0 0 0 5 12
Relative Hedging of Systematic Mortality Risk 0 0 0 0 0 0 0 0
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY 0 0 0 1 0 2 5 20
Sequential tracking of a hidden Markov chain using point process observations 0 0 1 1 0 0 2 16
Stability of exponential utility maximization with respect to market perturbations 0 0 0 2 0 0 2 26
Stochastic Perron for Stochastic Target Problems 0 0 0 0 0 0 2 6
Strict local martingale deflators and valuing American call-type options 0 0 0 6 0 0 4 32
The effects of implementation delay on decision-making under uncertainty 0 0 0 1 0 0 1 23
The standard Poisson disorder problem revisited 0 0 0 3 0 0 1 15
Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities 0 2 2 34 0 5 11 121
Total Journal Articles 2 5 10 315 9 30 195 1,685


Statistics updated 2020-09-04