Mathematics
Prof. Paolo Guasoni
| Name: | Prof. Paolo Guasoni |
|---|---|
| Phone Number | 8921 |
| Room: | X145 |
| E-Mail Address: | |
| Work Area: | Stokes Chair |
| Homepage | Personal Homepage |
Prof. Paolo Guasoni
Selected Peer Reviewed Journals
- Paolo Guasoni Emmanuel Lepinette, Miklos Rasonyi. 2011. The Fundamental Theorem of Asset Pricing under Transaction Costs. Finance And Stochastics,
- Paolo Guasoni, Gur Huberman, Zhenyu Wang. 2011. Performance Maximization of Actively Managed Funds. Journal Of Financial Economics, 101, 3, pp574-595.
- Paolo Guasoni, Sara Biagini. 2011. Relaxed Utility Maximization in Complete Markets. Mathematical Finance, 21, 4, pp703-722.
- Paolo Guasoni, Scott Robertson. 2011. Portfolios and Risk Premia for the Long Run. Annals Of Applied Probability,
- Paolo Guasoni, Miklos Rasonyi, Walter Schachermayer. 2010. The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs. Annals Of Finance, 6, 2, pp157-191.
- Paolo Guasoni, Scott Robertson. 2008. Optimal Importance Sampling with Explicit Formulas in Continuous Time. Finance And Stochastics, 12, 1, pp1-19.
- Paolo Guasoni, Miklos Rasonyi, Walter Schachermayer. 2008. Consistent Price Systems and Face-Lifting Pricing under Transaction Costs. Annals Of Applied Probability, 18, 2, pp491-520.
- Paolo Guasoni. 2006. No Arbitrage with Transaction Costs, with Fractional Brownian Motion and Beyond. Mathematical Finance, 16, 3, pp569-582.
- Paolo Guasoni. 2006. Asymmetric Information in Fads Models. Finance And Stochastics, 10, 2, pp159-177.
Selected Non-peer Reviewed Journals
- Paolo Guasoni, Scott Robertson. 2007. Importance Sampling with Basket Options . Wilmott, November/December,
