An Asymptotic Analysis of the Mean-Variance Portfolio Selection

Growth Optimal Portfolio Selection Strategies With Transaction Costs

Kernel-Based Semi-log-optimal Empirical Portfolio Selection Strategies

Non Parametric Prediction

Principal Component and Constantly Re-balanced Portfolio - Slides

St. Petersburg Portfolio Games

Stochastic Calculus - Book

Bilateral Gamma Processes in Finance - Slides

A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in a Quantum Price-Time Space

A Consistent Pricing Model for Index Options and Volatility Derivatives

A General Method for Debiasing a Monte Carlo Estimator

A New Space-time Model for Volatility Clustering in the Financial Market

About the Pricing Equation in Finance

An Economic Analogy to Electrodynamics

Approximation of Geometric Fractional Brownian Motion

Arbitrage Models of Commodity Prices - Slides

Asymmetric Statistics of Order Books - The Role of Discreteness and Evidence for Strategic Order Placement

Central Limit Theorem for the Realized Volatility Based on Tick Time Sampling- Slides

Chaos Models in Economics

Confused Volatility