Publications

  1. A Simulation Approach to Optimal Stopping under Partial Information
    Stochastic Processes and Applications, to Appear, 2009. PDF.

  2. Optimal Execution in Illiquid Financial Markets (with E. Bayraktar)
    Mathematical Finance to Appear, 2009. Arxiv.

  3. Inventory Management with Partially Observed Nonstationary Demand (with E. Bayraktar)
    Annals of Operations Research, to Appear 2009. PDF.

  4. Ex Post Moral Hazard And Bayesian Learning In Insurance (with V. R. Young)
    Journal of Risk and Insurance, to Appear 2009. PDF.

  5. Optimal Risk Sharing under Distorted Probabilities (with V.R. Young)
    Mathematics and Financial Economics, 2(2): 87--105, 2009. Arxiv. Journal link.

  6. Sequential Tracking of a Hidden Markov Chain using Point Process Observations (with E. Bayraktar),
    Stochastic Processes and Applications, 119(6): 1792-1822, 2009. Arxiv.

  7. Valuation of Energy Storage: An Optimal Switching Approach (with R. Carmona)
    Quantitative Finance, to Appear 2009. PDF.

  8. Relative Hedging of Systematic Mortality Risk (with E. Bayraktar)
    North American Actuarial Journal, 13(1): 106-140, 2009. PDF.and Journal Link.

  9. Financial Hedging of Operational Flexibility,
    International Journal of Theoretical and Applied Finance, 11(8): 799-839, 2008. PDF. Journal Link.

  10. On Comonotonicity of Pareto Optimal Allocations (with L. Ruschendorf),
    Statistics and Probability Letters    , 78(10): 1181-1188, 2008. PDF.

  11. Indifference Pricing of Annuities and Pure Endowments under Stochastic Hazard and Interest Rates (with V.R. Young),
    Insurance: Mathematics and Economics    , 42(1): 14-30, 2008. PS.

  12. Filling the Gap between American and Russian Options: Adjustable Regret (with S. Dayanik),
    Stochastics    , 79(1): 61-83, 2007. PDF.

  13. Pricing Asset Scheduling Flexibility Using Optimal Switching (with R. Carmona)
    Applied Mathematical Finance, 15(6):405-447, 2008. PDF.

Other Publications and Preprints

  1. Finite Horizon Decision Timing with Partially Observable Poisson Processes (with S. Sezer). PDF.

  2. Spot Convenience Yield Models for Energy Markets (with R. Carmona)
    AMS Mathematics of Finance, G. Yin & Y. Zhang eds., vol. 351 of Contemporary Mathematics, pp. 65--80, 2004. PDF.

  3. Indifference Pricing of Commodity Forwards with Partial Observations and Basis Risk (with R Carmona). Working Paper, May 2004, revised July 2006 PDF.

  4. Energy Trading (with R. Carmona),
    SIAM News, July 2006. Reprinted in "Weather, Energy and Environmental Hedging: An Introduction", A.F.C. da Silva (ed.), Icfai University Press, 2007.

  5. Swing Options (with R. Carmona),
    Encyclopedia of Quantitative Finance, (R. Cont Ed.),     August 2008.

  6. Optimal Switching with Applications to Energy Tolling Agreements,
    PhD Thesis, Princeton University, June 2005.PDF.