Items where Author is "Kardaras, Constantinos"

Article

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

Book Section

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