Professor of Finance
with Benjamin Lester and Pierre-Oliver Weill, Forthcoming: Review of Economic Studies, June 2019.
with Erwan Morellec, Journal of Financial Economics 125(2):266–285, 2017.
with Semyon Malamud and Erwan Morellec, Review of Financial Studies 28(2):391–445, 2015.
with Semyon Malamud and Erwan Morellec, Journal of Economic Theory 157:1130–1158, 2015.
with Rodolfo Prieto, Journal of Financial Economics 115(2):411–428, 2015.
with Pierre Collin Dufresne, Mathematics and Financial Economics 8(1):29–69, 2014.
with Florian Pelgrin and Pascal Saint Amour. Review of Economic Studies 80(2):663–710, 2013.
with Tony Berrada. Journal of Banking and Finance 37(2):448–462, 2012.
Journal of Economic Theory 147(6):2260–2302, 2012.
with Semyon Malamud and Eugene Trubowitz, Econometrica 80(3):1249–1270, 2012.
with Michèle Breton and Tarek Masmoudi, Automatica 46:1176–1185, 2010.
with Ron Kaniel, Mathematical Finance 20(2):187–227, 2010.
with Pierre Collin-Dufresne, Stochastic Processes and Applications 117(6):742–765, 2007.
with Erwan Morellec, Journal of Economic Dynamics and Control 31(5):1781–1800, 2007.
with Tony Berrada and Marcel Rindisbacher, Journal of Financial Economics 83:719–750, 2007.
with Dmitry Kramkov and Walter Schachermayer, Mathematical Finance 15(2):203–212, 2005.
with Pierre Collin-Dufresne and Robert Goldstein, Econometrica 72(5):1377–1409, 2004.
with Dmitry Kramkov, Annals of Applied Probability 14(2):845–864, 2004.
The Feynman-Kac formula and pricing occupation time derivatives
International Journal of Theoretical and Applied Finance 2(2):153–178, 1999.
Dynamic Asset Pricing (EDFI, Spring 2020). This course provides an advanced introduction to the methods and results of dynamic asset pricing in continuous time. Topics include no-arbitrage restrictions on assets prices, portfolio and consumption choice problems, complete and incomplete markets equilibrium models with heterogenous agents, dynamic learning, optimization under portfolio constraints and non time additive preferences.
Derivatives (Master in Financial Engineering, Spring 2020). This course provides a detailed treatment of standard models for the valuation and hedging of derivatives products such as European options, American options, forward and futures contracts, and exotics. The course will be divided into two parts with the first part covering discrete time models and the second covering continuous time models. For more information visit the course website (requires a login).