Agostino Capponi

Yuchong Zhang

Manag. Sci., 2024

Systemic Portfolio Diversification.

[BibT_eX]

[DOI]

Marko H. Weber

Oper. Res., 2024

Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks.

[BibT_eX]

[DOI]

CoRR, 2024

2023

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

[BibT_eX]

[DOI]

Sveinn Ólafsson

Humoud Alsabah

Manag. Sci., November, 2023

Advances in Blockchain and Crypto Economics.

[BibT_eX]

[DOI]

Manag. Sci., November, 2023

Disruption and Rerouting in Supply Chain Networks.

[BibT_eX]

[DOI]

John R. Birge

Peng-Chu Chen

Oper. Res., March, 2023

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.

[BibT_eX]

[DOI]

Chao Zhou

Math. Oper. Res., February, 2023

Do Private Transaction Pools Mitigate Frontrunning Risk?

[BibT_eX]

[DOI]

Ruizhe Jia

Ye Wang

IACR Cryptol. ePrint Arch., 2023

Decentralized Finance: Protocols, Risks, and Governance.

[BibT_eX]

[DOI]

Garud Iyengar

Jay Sethuraman

Found. Trends Priv. Secur., 2023

The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity.

[BibT_eX]

[DOI]

Ruizhe Jia

Brian Zhu

CoRR, 2023

Causal Inference (C-inf) - asymmetric scenario of typical phase transitions.

[BibT_eX]

[DOI]

CoRR, 2023

Causal Inference (C-inf) - closed form worst case typical phase transitions.

[BibT_eX]

[DOI]

CoRR, 2023

Phase Transitions: Explicit relations for sparse vector and low rank recovery.

[BibT_eX]

[DOI]

Proceedings of the IEEE International Symposium on Information Theory, 2023

Causal Inference - closed form expressions for worst case typical phase transitions.

[BibT_eX]

[DOI]

Proceedings of the IEEE International Symposium on Information Theory, 2023

2022

Large Sample Mean-Field Stochastic Optimization.

[BibT_eX]

[DOI]

Huafu Liao

SIAM J. Control. Optim., August, 2022

A Theory of Collateral Requirements for Central Counterparties.

[BibT_eX]

[DOI]

Jessie Jiaxu Wang

Hongzhong Zhang

Manag. Sci., 2022

Personalized Robo-Advising: Enhancing Investment Through Client Interaction.

[BibT_eX]

[DOI]

Sveinn Ólafsson

Thaleia Zariphopoulou

Manag. Sci., 2022

Systemic Risk-Driven Portfolio Selection.

[BibT_eX]

[DOI]

Alexey Rubtsov

Oper. Res., 2022

Market Efficient Portfolios in a Systemic Economy.

[BibT_eX]

[DOI]

Kerstin Awiszus

Stefan Weber

Oper. Res., 2022

2021

Call for Papers - <i>Management Science</i> Special Issue on Blockchains and Crypto Economics.

[BibT_eX]

[DOI]

Manag. Sci., 2021

Multiregional Oligopoly with Capacity Constraints.

[BibT_eX]

[DOI]

Manag. Sci., 2021

2020

A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning.

[BibT_eX]

[DOI]

Xu Sun

David D. Yao

Math. Oper. Res., 2020

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.

[BibT_eX]

[DOI]

Paul Glasserman

Marko H. Weber

Manag. Sci., 2020

2019

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices.

[BibT_eX]

[DOI]

Humoud Alsabah

Octavio Ruiz Lacedelli

Matt Stern

CoRR, 2019

2018

Portfolio Choice with Market-Credit-Risk Dependencies.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2018

Risk-Sensitive Asset Management and Cascading Defaults.

[BibT_eX]

[DOI]

John R. Birge

Math. Oper. Res., 2018

Clearinghouse Margin Requirements.

[BibT_eX]

[DOI]

W. Allen Cheng

Oper. Res., 2018

2017

Optimal Investment Under Information Driven Contagious Distress.

[BibT_eX]

[DOI]

SIAM J. Control. Optim., 2017

Optimal Credit Investment with Borrowing Costs.

[BibT_eX]

[DOI]

Math. Oper. Res., 2017

Robust Optimization of Credit Portfolios.

[BibT_eX]

[DOI]

Math. Oper. Res., 2017

Systemic Influences on Optimal Equity-Credit Investment.

[BibT_eX]

[DOI]

Christoph Frei

Manag. Sci., 2017

Risk-Sensitive Cooperative Games for Human-Machine Systems.

[BibT_eX]

[DOI]

Reza Ghanadan

Matt Stern

CoRR, 2017

2016

Liability Concentration and Systemic Losses in Financial Networks.

[BibT_eX]

[DOI]

Peng-Chu Chen

David D. Yao

Oper. Res., 2016

2015

Dynamic Contracting: Accidents Lead to Nonlinear Contracts.

[BibT_eX]

[DOI]

Christoph Frei

SIAM J. Financial Math., 2015

Systemic Risk in Interbanking Networks.

[BibT_eX]

[DOI]

SIAM J. Financial Math., 2015

Dynamic credit investment in partially observed markets.

[BibT_eX]

[DOI]

José E. Figueroa-López

Andrea Pascucci

Finance Stochastics, 2015

2014

Pricing vulnerable claims in a Lévy-driven model.

[BibT_eX]

[DOI]

Stefano Pagliarani

Tiziano Vargiolu

Finance Stochastics, 2014

Bilateral credit valuation adjustment for large credit derivatives portfolios.

[BibT_eX]

[DOI]

Finance Stochastics, 2014

2012

A Variational Approach to Contracting under Imperfect Observations.

[BibT_eX]

[DOI]

Jaksa Cvitanic

Türkay Yolcu

SIAM J. Financial Math., 2012

2011

Stochastic Filtering for Diffusion Processes With Level Crossings.

[BibT_eX]

[DOI]

Ibrahim Fatkullin

Ling Shi

IEEE Trans. Autom. Control., 2011

2010

Expressing stochastic filters via number sequences.

[BibT_eX]

[DOI]

Alfonso Farina

Concetta Pilotto

Signal Process., 2010

A convex optimization approach to filtering in jump linear systems with state dependent transitions.

[BibT_eX]

[DOI]

Autom., 2010

2009

Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence.

[BibT_eX]

[DOI]

PhD thesis, 2009

Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk.

[BibT_eX]

[DOI]

Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A calibration method for structural models of credit risk with reporting bias.

[BibT_eX]

[DOI]

Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A Copula Function Approach to Infer Correlation in Prediction Markets.

[BibT_eX]

[DOI]

Umberto Cherubini

Proceedings of the Auctions, 2009

Stochastic filtering in jump systems with state dependent mode transitions.

[BibT_eX]

[DOI]

Concetta Pilotto

Proceedings of the American Control Conference, 2009

2008

A New Algorithm for On-line Coloring Bipartite Graphs.

[BibT_eX]

[DOI]

Hajo Broersma

Daniël Paulusma

SIAM J. Discret. Math., 2008

2007

Towards a theory of events.

[BibT_eX]

[DOI]

K. Mani Chandy

Michel Charpentier

Proceedings of the 2007 Inaugural International Conference on Distributed Event-Based Systems, 2007

2006

Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods.

[BibT_eX]

[DOI]

Proceedings of the 9th International Conference on Information Fusion, 2006

Connectivity for the Frisbee Architecture.

[BibT_eX]

[DOI]

Proceedings of the 9th International Conference on Information Fusion, 2006

On-Line Coloring of H-Free Bipartite Graphs.

[BibT_eX]

[DOI]

Hajo Broersma

Daniël Paulusma

Proceedings of the Algorithms and Complexity, 6th Italian Conference, 2006

2005

Accuracy of fused track for radar systems.

[BibT_eX]

[DOI]

Signal Process., 2005

Bounded families for the on-line <i>t</i>-relaxed coloring.

[BibT_eX]

[DOI]

Concetta Pilotto

Inf. Process. Lett., 2005

2003

A tutorial on the Deterministic two-party Communication Complexity

[BibT_eX]

[DOI]