+44 1865 270502
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
No-arbitrage up to random horizon for quasi-left-continuous models
Finance and Stochastics page 1-37 (29 June 2017)
Projections, pseudo-stopping times and the immersion property
Lecture Notes in Mathematics volume 2168 page 459-467 (1 November 2016)
Projections, Pseudo-Stopping Times and the Immersion Property
volume XLVIII (23 September 2016)
On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration
Lecture Notes in Mathematics volume 2137 page 187-218 (1 January 2015)
Arbitrages in a Progressive Enlargement Setting
Full text available
Mathematical finance and stochastic processes.
I am focused on problems linked to information modelling in finance. In particular I have been working on additional information in
robust framework, arbitrages and enlargement of filtration theory.
Major / Recent Publications:
Robust framework for quantifying the value of information in pricing and hedging (2016), with Z. Hou and J. Obłój, preprint.
Classification of random times and applications (2016), with M. Jeanblanc and T. Choulli, preprint.
Book: Enlargement of Filtrations with Finance in view (2016), with M. Jeanblanc, in prepatarion for SpringerBriefs in Quantitative Finance, Springer.
Predictable representation property for progressive enlargements of a Poisson filtration (2015), with M. Jeanblanc and M. Rutkowski, preprint.
Projections, pseudo-stopping times and the Immersion property (2015), with L. Li, to appear in Séminaire de Probabilités XLVIII.
On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration (2015), with T. Choulli and M. Jeanblanc, In Memoriam Marc Yor - Séminaire de Probabilités XLVII, pp. 187-218.
Non-Arbitrage Under Additional Information for Thin Semimartingale Models (2015), with T. Choulli, J. Deng and M. Jeanblanc, preprint.
Non-Arbitrage under a Class of Honest Times (2014), with T. Choulli, J. Deng and M. Jeanblanc, preprint.
Non-Arbitrage up to Random Horizon for Semimartingale Models (2014), with T. Choulli, J. Deng and M. Jeanblanc, to appear in Finance and Stochastics
Arbitrages in a Progressive Enlargement Setting (2014), with T. Choulli, J. Deng and M. Jeanblanc, Arbitrage, Credit and Informational Risks, Peking University Series in Mathematics 5, pp. 53-86.
PhD Thesis: Random times, enlargement of filtration and arbitrages (2014), Université d'Evry Val d'Essonne.