3 papers in the archive (2024–2025), average empirical rigor 2.2/10, average math complexity 8.7/10. Quadrant mix: Lab Rats ×3.
Works mostly in Options & Derivatives Pricing, Risk Management & Tail Risk, Insurance & Actuarial Risk, Factor Investing & Asset Pricing.
Frequent co-authors: Amal Omrani (1), Tahir Choulli (1), Duc Thinh Vu (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 propose a constructive framework for the super-hedging problem of a European contingent claim under proportional transaction costs in discrete time. Our main contribution is an explicit recursive scheme that computes both the super-hedging price and the corresponding optimal strategy without rely
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents overtime, S is the discounted price process of d-tradable assets, and T is an arbitrary random time whose occurrence might
The NA condition is one of the pillars supporting the classical theory of financial mathematics. We revisit this condition for financial market models where a dynamic risk-measure defined on $L^0$ is fixed to characterize the family of acceptable wealths that play the role of non negative financial