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Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2024)
Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance.
Annals of Applied Probability, 34 (3).
2566 - 2599.
ISSN 1050-5164
Anthropelos, Michail and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2024)
Price impact under heterogeneous beliefs and restricted participation.
Journal of Economic Theory, 215.
ISSN 0022-0531
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott
(2021)
Ergodic robust maximization of asymptotic growth.
Annals of Applied Probability, 31 (4).
pp. 1787-1819.
ISSN 1050-5164
Anthropelos, Michail, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Vichos, Georgios
(2020)
Effective risk aversion in thin risk-sharing markets.
Mathematical Finance, 30 (4).
1565 - 1590.
ISSN 0960-1627
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes
ORCID: 0000-0003-3616-2194
(2020)
Filtration shrinkage, the structure of deflators, and failure of market completeness.
Finance and Stochastics, 24 (4).
871 - 901.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Ruf, Johannes
ORCID: 0000-0003-3616-2194
(2019)
Projections of scaled bessel processes.
Electronic Communications in Probability, 24.
ISSN 1083-589X
Biagini, Sara, Bouchard, Bruno, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Nutz, Marcel
(2017)
Robust fundamental theorem for continuous processes.
Mathematical Finance, 27 (4).
pp. 963-987.
ISSN 0960-1627
Anthropelos, Michail and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2017)
Equilibrium in risk-sharing games.
Finance and Stochastics, 21 (3).
pp. 815-865.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott
(2017)
Continuous-time perpetuities and time reversal of diffusions.
Finance and Stochastics, 21 (1).
pp. 65-110.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506, Obłój, Jan and Platen, Eckhard
(2017)
The numéraire property and long-term growth optimality for drawdown-constrained investments.
Mathematical Finance, 27 (1).
pp. 68-95.
ISSN 0960-1627
Kabanov, Yuri, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Song, Shiqi
(2016)
No arbitrage of the first kind and local martingale numéraires.
Finance and Stochastics, 20 (4).
pp. 1097-1108.
ISSN 0949-2984
Acciaio, Beatrice, Fontana, Claudio and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2016)
Arbitrage of the first kind and filtration enlargements in semimartingale financial models.
Stochastic Processes and Their Applications, 126 (6).
pp. 1761-1784.
ISSN 0304-4149
Karatzas, Ioannis and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2015)
Optional decomposition for continuous semimartingales under arbitrary filtrations.
Electronic Communications in Probability, 20 (59).
pp. 1-10.
ISSN 1083-589X
Kardaras, Constantinos ORCID: 0000-0001-6903-4506, Kreher, Dörte and Nikeghbali, Ashkan
(2015)
Strict local martingales and bubbles.
Annals of Applied Probability, 25 (4).
pp. 1827-1867.
ISSN 1050-5164
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2015)
Maximality and numéraires in convex sets of nonnegative random variables.
Journal of Functional Analysis, 268 (11).
pp. 3219-3231.
ISSN 0022-1236
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2015)
On the stochastic behaviour of optional processes up to random times.
Annals of Applied Probability, 25 (2).
pp. 429-464.
ISSN 1050-5164
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2015)
Valuation and parities for exchange options.
SIAM Journal on Financial Mathematics, 6 (1).
pp. 140-157.
ISSN 1945-497X
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2014)
Uniform integrability and local convexity in L0.
Journal of Functional Analysis, 266 (4).
pp. 1913-1927.
ISSN 0022-1236
Guasoni, Paolo, Kardaras, Constantinos ORCID: 0000-0001-6903-4506, Robertson, Scott and Xing, Hao
(2014)
Abstract, classic, and explicit turnpikes.
Finance and Stochastics, 18 (1).
pp. 75-114.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2014)
On the characterisation of honest times that avoid all stopping times.
Stochastic Processes and Their Applications, 124 (1).
pp. 373-384.
ISSN 0304-4149
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Platen, Eckhard
(2013)
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading.
Mathematical Finance, 23 (3).
pp. 579-590.
ISSN 0960-1627
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Žitković, Gordan
(2013)
Forward-convex convergence in probability of sequences of nonnegative random variables.
Proceedings of the American Mathematical Society, 141 (3).
pp. 919-929.
ISSN 0002-9939
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2013)
On the closure in the Emery topology of semimartingale wealth-process sets.
Annals of Applied Probability, 23 (4).
pp. 1355-1376.
ISSN 1050-5164
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Platen, Eckhard
(2012)
On the Dybvig-Ingersoll-Ross theorem.
Mathematical Finance, 22 (4).
pp. 729-740.
ISSN 0960-1627
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2012)
Market viability via absence of arbitrage of the first kind.
Finance and Stochastics, 16 (4).
pp. 651-667.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Robertson, Scott
(2012)
Robust maximization of asymptotic growth.
Annals of Applied Probability, 22 (4).
pp. 1576-1610.
ISSN 1050-5164
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2012)
A structural characterization of numéraires of convex sets of nonnegative random variables.
Positivity, 16 (2).
pp. 245-253.
ISSN 1385-1292
Bayraktar, Erhan, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Xing, Hao
(2012)
Valuation equations for stochastic volatility models.
SIAM Journal on Financial Mathematics, 3 (1).
pp. 351-373.
ISSN 1945-497X
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Platen, Eckhard
(2011)
On the semimartingale property of discounted asset-price processes.
Stochastic Processes and Their Applications, 121 (11).
pp. 2678-2691.
ISSN 0304-4149
Hamrick, Jeff, Huang, Yifei, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Taqqu, Murad S.
(2011)
Maximum penalized quasi-likelihood estimation of the diffusion function.
Quantitative Finance, 11 (11).
pp. 1675-1684.
ISSN 1469-7688
Ichiba, Tomoyuki and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2011)
Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation.
Journal of Applied Probability, 48 (3).
pp. 699-712.
ISSN 0021-9002
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Žitković, Gordan
(2011)
Stability of the utility maximization problem with random endowment in incomplete markets.
Mathematical Finance, 21 (2).
pp. 313-333.
ISSN 0960-1627
Bayraktar, Erhan, Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Xing, Hao
(2011)
Strict local martingale deflators and valuing American call-type options.
Finance and Stochastics, 16 (2).
pp. 275-291.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2011)
Generalized supermartingale deflators under limited information.
Mathematical Finance, 23 (1).
pp. 186-197.
ISSN 0960-1627
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints.
Stochastic Processes and Their Applications, 120 (3).
pp. 331-347.
ISSN 0304-4149
Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Platen, Eckhard
(2010)
Minimizing the expected market time to reach a certain wealth level.
SIAM Journal on Financial Mathematics, 1 (1).
pp. 16-29.
ISSN 1945-497X
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
Numéraire-invariant preferences in financial modeling.
Annals of Applied Probability, 20 (5).
pp. 1697-1728.
ISSN 1050-5164
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2009)
No-free-lunch equivalences for exponential Lévy models under convex constraints on investment.
Mathematical Finance, 19 (2).
pp. 161-187.
ISSN 0960-1627
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2008)
Balance, growth and diversity of financial markets.
Annals of Finance, 4 (3).
pp. 369-397.
ISSN 1614-2446
Karatzas, Ioannis and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2007)
The numéraire portfolio in semimartingale financial models.
Finance and Stochastics, 11 (4).
pp. 447-493.
ISSN 0949-2984
Fernholz, Robert, Karatzas, Ioannis and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2005)
Diversity and relative arbitrage in equity markets.
Finance and Stochastics, 9 (1).
pp. 1-27.
ISSN 0949-2984
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2014)
A time before which insiders would not undertake risk.
In: Kabanov, Yuri, Rutkowski, Marek and Zariphopoulou, Thaleia, (eds.)
Inspired by Finance: The Musiela Festschrift.
Springer International (Firm), Cham, Switzerland, pp. 349-362.
ISBN 9783319020686
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
Arbitrage strategy.
In: Cont, Rama, (ed.)
Encyclopedia of Quantitative Finance.
John Wiley & Sons, Chichester, UK.
ISBN 9780470057568
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
Finitely additive probabilities and the fundamental theorem of asset pricing.
In: Chiarella, Carl and Novikov, Alexander, (eds.)
Contemporary Quantitative Finance.
Springer Berlin / Heidelberg, Berlin, Germany, pp. 19-34.
ISBN 9783642034787
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
Free Lunch.
In: Cont, Rama, (ed.)
Encyclopedia of Quantitative Finance.
John Wiley & Sons, Chichester, UK.
ISBN 9780470057568
Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2010)
Stochastic discount factors.
In:
Encyclopedia of Quantitative Finance.
John Wiley & Sons, Chichester, UK.
ISBN 9780470057568