5 papers in the archive (2023–2026), average empirical rigor 1/10, average math complexity 9/10. Quadrant mix: Lab Rats ×5.
Works mostly in Fixed Income & Interest Rates, Stochastic Control & Optimal Stopping.
Frequent co-authors: Mikhail Urusov (4), Alexis Anagnostakis (2), Jongjin Park (1), Hyungbin Park (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions “no increasing profit” (NIP), “no strong arbitrage” (NSA) and “no unbounded profit with bounded risk” (NUPBR) in one-dimensional general diffusion markets. These are markets with one risky asset, which is mod
This work studies the relationships among sublinear valuation rules, uncertainty structures, and local specifications in a time-homogeneous Markovian framework with killing. These objects are linked, under finiteness and locality of the upper generator and a Lyapunov condition, by three maps: robust
In this paper, we investigate a financial market model consisting of a risky asset, modeled as a general diffusion parameterized by a scale function and a speed measure, and a bank account process with a constant interest rate. This flexible class of financial market models allows for features such
We establish deterministic necessary and sufficient conditions for the no-arbitrage notions NA (“no arbitrage”), NUPBR (“no unbounded profit with bounded risk”) and NFLVR (“no free lunch with vanishing risk”) in general diffusion market models with finite and infinite time horizons. These are single
In a seminal paper, F. Delbaen and W. Schachermayer proved that the classical NA (“no arbitrage”) condition implies the existence of an “absolutely continuous local martingale measure” (ACLMM). It is known that in general the existence of an ACLMM alone is not sufficient for NA. In this paper we inv