about
Hedging with temporary price impactTRADING WITH SMALL PRICE IMPACTHedging Under an Expected Loss Constraint with Small Transaction CostsCorrigendum to “Martingale optimal transport in the Skorokhod space” [Stochastic Process. Appl. 125(10) (2015) 3893–3931]Utility maximization in an illiquid market in continuous timeHomogenization and Asymptotics for Small Transaction Costs: The Multidimensional CaseApproximating stochastic volatility by recombinant treesMartingale optimal transport and robust hedging in continuous timeOptimal dividend policy with random interest ratesRobust hedging with proportional transaction costsDual formulation of second order target problemsHomogenization and Asymptotics for Small Transaction CostsRESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITYUtility maximization in an illiquid marketSuperhedging and Dynamic Risk Measures under Volatility UncertaintyWeak approximation of G -expectationsWellposedness of second order backward SDEsMartingale representation theorem for the G -expectationMerton Problem with Taxes: Characterization, Computation, and ApproximationOptimal investment strategies with a reallocation constraintOption hedging for small investors under liquidity costsThe Dynamic Programming Equation for Second Order Stochastic Target ProblemsHEDGING UNDER GAMMA CONSTRAINTS BY OPTIMAL STOPPING AND FACE-LIFTINGSecond-order backward stochastic differential equations and fully nonlinear parabolic PDEsThe Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains TaxesSmall time path behavior of double stochastic integrals and applications to stochastic controlThe multi-dimensional super-replication problem under gamma constraintsA STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONSDynamic programming for stochastic target problems and geometric flowsStochastic Target Problems, Dynamic Programming, and Viscosity SolutionsSuperreplication Under Gamma ConstraintsOptimal Replication of Contingent Claims under Portfolio ConstraintsConvergence of the phase-field equations to the mullins-sekerka problem with kinetic undercoolingSingular Perturbations in ManufacturingA Viscosity Solution Approach to the Asymptotic Analysis of Queueing SystemsRegularity of the Value Function for a Two-Dimensional Singular Stochastic Control ProblemOn the Hamilton-Jacobi-Bellman equations in Banach spaces
P50
Q57635840-F5EB661F-EE23-46E9-A41C-9C43F393735CQ57635842-4301FEC3-F51D-4339-AD0F-3DB9B93702BDQ57635844-6B7003B9-0A14-4B6B-81B1-F97EB55DF269Q57635849-B7F85E4E-7180-4152-90AD-56D60B5ABCA6Q57635853-741CC591-1FE3-4763-A784-D9C2F2DEB9E0Q57635860-B0B5627E-987E-4789-B86F-C3CE779794FDQ57635864-A367F1BB-FAAF-4030-B953-328941261856Q57635867-0DCCC29C-6C46-496F-8B3D-1814F3F793F8Q57635871-53F8EB23-15A1-494A-9FD2-898B6CB62E9CQ57635873-6F9BF0FD-CCF1-4CF1-B1EA-9E6EDDA23C51Q57635877-5EBCEEEA-5D23-453B-AF42-FD151C820301Q57635884-F3E5771A-7358-4060-921F-2CAE63EE6578Q57635893-A7BA980B-6704-414A-9E5B-626DDF894148Q57635895-CC3AF2D2-7B57-453C-9525-C04ADC555270Q57635909-09B794DA-4AB0-4BC2-8385-823BC251DFB0Q57635912-DBF44108-37A9-4640-9AD0-B6C34D45D446Q57635913-4C4377C1-67EB-4D5C-BF5A-1DADBD836328Q57635916-EBCF84A1-2940-4AC7-AE9C-602E031989EEQ57635920-D15045A1-A201-4FB1-9BDF-1889A0B37D8EQ57635922-38766D8A-D917-4538-B5C0-331C859F9DA9Q57635925-CC4BC830-1DA2-4FCF-82FA-5A96D1E04BFCQ57635928-05F53CF5-CBE7-476F-B30A-6E1E8BD2CBDEQ57635932-690D6ED7-CB64-45F3-95EE-CE2F6E0F49DFQ57635935-4CFF424A-96A6-4AA2-8D7E-F58FED1B227DQ57635938-9877B8A2-BBBF-4F23-80AB-572EB37BCA4BQ57635940-34104AF3-ACCA-4244-94D3-2B92D955C700Q57635942-3EB007C6-488B-4ECE-B8A0-1088C131CF65Q57635948-7798C253-2852-41F1-9EA5-6B247E93DC68Q57635950-E28C7E55-67A1-406F-AAF1-79BF983417DDQ57635960-4CA1AEF1-3A20-46FA-A6BE-2AC1033125A6Q57635970-7FF036B7-8FA6-4D7D-9616-A44096188A72Q57635985-BAC58418-B1AE-4C84-8F4E-6A78205C380AQ57636013-1E88FACA-E7CE-4FBD-8208-7B5977588F0DQ57636036-9692EA74-43BF-4106-8889-CF5841CCFEC9Q57636065-647EDCEE-5AB9-4999-B78B-A6250ADBCB60Q57636081-9FB6CFA0-C498-4DE6-9FDE-1CF71B9ECB1EQ57636090-186395B9-7F14-4166-B284-5159BDBEBF5B
P50
description
researcher ORCID id 0000-0002-0824-1808
@en
wetenschapper
@nl
name
H. Mete Soner
@ast
H. Mete Soner
@en
H. Mete Soner
@nl
type
label
H. Mete Soner
@ast
H. Mete Soner
@en
H. Mete Soner
@nl
prefLabel
H. Mete Soner
@ast
H. Mete Soner
@en
H. Mete Soner
@nl
P106
P108
P1960
7u-pd8gAAAAJ
P31
P496
0000-0002-0824-1808