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ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

- E. Bayraktar, A. Kyprianou, K. Yamazaki
- Mathematics, Economics
- ASTIN Bulletin
- 30 November 2012

Abstract We revisit the dividend payment problem in the dual model of Avanzi et al. ([2–4]). Using the fluctuation theory of spectrally positive Lévy processes, we give a short exposition in which we… Expand

Liquidation in Limit Order Books with Controlled Intensity

- E. Bayraktar, M. Ludkovski
- Computer Science, Mathematics
- ArXiv
- 1 May 2011

TLDR

Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

- E. Bayraktar, V. Young
- Mathematics, Economics
- 23 January 2007

We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative security requires… Expand

On the One-Dimensional Optimal Switching Problem

- E. Bayraktar, Masahiko Egami
- Computer Science, Mathematics
- Math. Oper. Res.
- 1 July 2007

TLDR

Minimizing the probability of lifetime ruin under borrowing constraints

- E. Bayraktar, V. Young
- Economics, Mathematics
- 28 March 2007

We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it… Expand

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities

- E. Bayraktar, M. Milevsky, David Promislow, V. Young
- Mathematics, Economics
- 21 February 2008

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market. We do this by assuming that the company issuing a mortality-contingent claim requires compensation for this… Expand

On Hedging American Options under Model Uncertainty

- E. Bayraktar, Yu-Jui Huang, Zhou Zhou
- Economics, Mathematics
- SIAM J. Financial Math.
- 11 September 2013

TLDR

Hedging life insurance with pure endowments

- E. Bayraktar, V. Young
- Economics
- 1 May 2007

Abstract We extend the work of Milevsky et al., [Milevsky, M.A., Promislow, S.D., Young, V.R., 2005. Financial valuation of mortality risk via the instantaneous Sharpe ratio (preprint)] and Young,… Expand

Stochastic Perron's method and verification without smoothness using viscosity comparison: The linear case

- E. Bayraktar, M. Sîrbu
- Mathematics, Computer Science
- 2 March 2011

We introduce a stochastic version of the classical Perron’s method to construct viscosity solutions to linear parabolic equations associated to stochastic differential equations. Using this method,… Expand

Stochastic Perron's Method for Hamilton-Jacobi-Bellman Equations

- E. Bayraktar, M. Sîrbu
- Mathematics, Computer Science
- SIAM J. Control. Optim.
- 10 December 2012

We show that the value function of a stochastic control problem is the unique solution of the associated Hamilton-Jacobi-Bellman (HJB) equation, completely avoiding the proof of the so-called dynamic… Expand

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