All Stories

  1. Finite-time 4-expert prediction problem

    Article • Communications in Partial Differential Equations, January 2020, Taylor & Francis

    Professor Erhan Bayraktar

  2. High Order Bellman Equations and Weakly Chained Diagonally Dominant Tensors

    Article • SIAM Journal on Matrix Analysis and Applications, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  3. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates

    Article • SIAM Journal on Financial Mathematics, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  4. Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case

    Article • SIAM Journal on Financial Mathematics, January 2019, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  5. MINI-FLASH CRASHES, MODEL RISK, AND OPTIMAL EXECUTION

    Article • Market Microstructure and Liquidity, August 2018, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  6. No-Arbitrage and Hedging with Liquid American Options

    Article • Mathematics of Operations Research, August 2018, INFORMS

    Professor Erhan Bayraktar

  7. Path-dependent Hamilton–Jacobi equations in infinite dimensions

    Article • Journal of Functional Analysis, July 2018, Elsevier

    Professor Erhan Bayraktar

  8. Efficient Byzantine Sequential Change Detection

    Article • IEEE Transactions on Information Theory, May 2018, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  9. Solvability of the Nonlinear Dirichlet Problem with Integro-differential Operators

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  10. Martingale Optimal Transport with Stopping

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  11. Recombining Tree Approximations for Optimal Stopping for Diffusions

    Article • SIAM Journal on Financial Mathematics, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  12. Analysis of a Finite State Many Player Game Using Its Master Equation

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  13. A Numerical Scheme for a Mean Field Game in Some Queueing Systems Based on Markov Chain Approximation Method

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  14. Convergence of Implicit Schemes for Hamilton--Jacobi--Bellman Quasi-Variational Inequalities

    Article • SIAM Journal on Control and Optimization, January 2018, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  15. On the Controller-Stopper Problems with Controlled Jumps

    Article • Applied Mathematics & Optimization, December 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  16. Quantile Hedging in a semi-static market with model uncertainty

    Article • Mathematical Methods of Operations Research, October 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  17. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY

    Article • International Journal of Theoretical and Applied Finance, July 2017, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  18. On the robust Dynkin game

    Article • The Annals of Applied Probability, June 2017, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  19. On Zero-Sum Optimal Stopping Games

    Article • Applied Mathematics & Optimization, April 2017, Springer Science + Business Media

    Professor Erhan Bayraktar

  20. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering

    Article • Market Microstructure and Liquidity, March 2017, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  21. Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities

    Article • SIAM Journal on Control and Optimization, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  22. On an Optimal Stopping Problem of an Insider

    Article • Theory of Probability and Its Applications, January 2017, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  23. Optimal stopping with random maturity under nonlinear expectations

    Article • Stochastic Processes and their Applications, December 2016, Elsevier

    Professor Erhan Bayraktar

  24. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options

    Article • The Annals of Applied Probability, December 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  25. An $\alpha$-stable limit theorem under sublinear expectation

    Article • Bernoulli, November 2016, Bernoulli Society for Mathematical Statistics and Probability

    Professor Erhan Bayraktar

  26. Optimally investing to reach a bequest goal

    Article • Insurance Mathematics and Economics, September 2016, Elsevier

    Professor Erhan Bayraktar

  27. Risk Sensitive Control of the Lifetime Ruin Problem

    Article • Applied Mathematics & Optimization, August 2016, Springer Science + Business Media

    Professor Erhan Bayraktar

  28. Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty

    Article • Mathematics of Operations Research, August 2016, INFORMS

    Professor Erhan Bayraktar

  29. Stochastic Perron for Stochastic Target Problems

    Article • Journal of Optimization Theory and Applications, May 2016, Springer Science + Business Media

    Professor Erhan Bayraktar

  30. Minimizing the probability of lifetime drawdown under constant consumption

    Article • Insurance Mathematics and Economics, May 2016, Elsevier

    Professor Erhan Bayraktar

  31. Stochastic Perron for stochastic target games

    Article • The Annals of Applied Probability, April 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  32. Optimal investment to minimize the probability of drawdown

    Article • Stochastics, March 2016, Taylor & Francis

    Professor Erhan Bayraktar

  33. On a stopping game in continuous time

    Article • Proceedings of the American Mathematical Society, January 2016, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  34. A rank-based mean field game in the strong formulation

    Article • Electronic Communications in Probability, January 2016, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  35. Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming

    Article • SIAM Journal on Financial Mathematics, January 2016, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  36. Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

    Article • SIAM Journal on Control and Optimization, January 2016, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  37. Weak reflection principle for Lévy processes

    Article • The Annals of Applied Probability, December 2015, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  38. Doubly reflected BSDEs with integrable parameters and related Dynkin games

    Article • Stochastic Processes and their Applications, December 2015, Elsevier

    Professor Erhan Bayraktar

  39. Minimizing the expected lifetime spent in drawdown under proportional consumption

    Article • Finance Research Letters, November 2015, Elsevier

    Professor Erhan Bayraktar

  40. ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

    Article • Mathematical Finance, September 2015, Wiley

    Professor Erhan Bayraktar

  41. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case

    Article • North American Actuarial Journal, July 2015, Taylor & Francis

    Professor Erhan Bayraktar

  42. Quickest Detection with Discretely Controlled Observations

    Article • Sequential Analysis, January 2015, Taylor & Francis

    Professor Erhan Bayraktar

  43. Stochastic Perron's Method for the Probability of Lifetime Ruin Problem Under Transaction Costs

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  44. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  45. Byzantine Fault Tolerant Distributed Quickest Change Detection

    Article • SIAM Journal on Control and Optimization, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  46. On Hedging American Options under Model Uncertainty

    Article • SIAM Journal on Financial Mathematics, January 2015, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  47. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty

    Article • Risks, October 2014, MDPI AG

    Professor Erhan Bayraktar

  48. Bayesian Quickest Change-Point Detection With Sampling Right Constraints

    Article • IEEE Transactions on Information Theory, October 2014, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  49. Purchasing life insurance to reach a bequest goal

    Article • Insurance Mathematics and Economics, September 2014, Elsevier

    Professor Erhan Bayraktar

  50. Optimal reinsurance and investment with unobservable claim size and intensity

    Article • Insurance Mathematics and Economics, March 2014, Elsevier

    Professor Erhan Bayraktar

  51. Stochastic Perron’s method and verification without smoothness using viscosity comparison: Obstacle problems and Dynkin games

    Article • Proceedings of the American Mathematical Society, January 2014, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  52. On the Robust Optimal Stopping Problem

    Article • SIAM Journal on Control and Optimization, January 2014, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  53. Optimal dividends in the dual model under transaction costs

    Article • Insurance Mathematics and Economics, January 2014, Elsevier

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  54. On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options

    Article • SIAM Journal on Financial Mathematics, January 2014, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  55. On the Existence Of Consistent Price Systems

    Article • Stochastic Analysis and Applications, December 2013, Taylor & Francis

    Professor Erhan Bayraktar

  56. A stochastic approximation for fully nonlinear free boundary parabolic problems

    Article • Numerical Methods for Partial Differential Equations, December 2013, Wiley

    Professor Erhan Bayraktar

  57. Robust maximization of asymptotic growth under covariance uncertainty

    Article • The Annals of Applied Probability, October 2013, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  58. Quickest search over Brownian channels

    Article • Stochastics, September 2013, Taylor & Francis

    Professor Erhan Bayraktar

  59. ON OPTIMAL DIVIDENDS IN THE DUAL MODEL

    Article • Astin Bulletin, July 2013, Cambridge University Press

    Professor Erhan Bayraktar, Prof. Kazutoshi Yamazaki

  60. Stability of exponential utility maximization with respect to market perturbations

    Article • Stochastic Processes and their Applications, May 2013, Elsevier

    Professor Erhan Bayraktar

  61. Life Insurance Purchasing to Maximize Utility of Household Consumption

    Article • North American Actuarial Journal, April 2013, Taylor & Francis

    Professor Erhan Bayraktar

  62. A note on applications of stochastic ordering to control problems in insurance and finance

    Article • Stochastics, March 2013, Taylor & Francis

    Professor Erhan Bayraktar

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

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  64. On the Impulse Control of Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  65. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  66. On the Multidimensional Controller-and-Stopper Games

    Article • SIAM Journal on Control and Optimization, January 2013, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  67. Quickest change point detection with sampling right constraints

    Article • October 2012, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  68. Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case

    Article • Proceedings of the American Mathematical Society, October 2012, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  69. Outperforming the market portfolio with a given probability

    Article • The Annals of Applied Probability, August 2012, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  70. LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY

    Article • Mathematical Finance, June 2012, Wiley

    Professor Erhan Bayraktar

  71. Valuation Equations for Stochastic Volatility Models

    Article • SIAM Journal on Financial Mathematics, April 2012, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  72. Quadratic reflected BSDEs with unbounded obstacles

    Article • Stochastic Processes and their Applications, April 2012, Elsevier

    Professor Erhan Bayraktar

  73. Regularity of the Optimal Stopping Problem for Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2012, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  74. Minimizing the probability of lifetime ruin under stochastic volatility

    Article • Insurance Mathematics and Economics, September 2011, Elsevier

    Professor Erhan Bayraktar

  75. Proving regularity of the minimal probability of ruin via a game of stopping and control

    Article • Finance and Stochastics, June 2011, Springer Science + Business Media

    Professor Erhan Bayraktar

  76. Strict local martingale deflators and valuing American call-type options

    Article • Finance and Stochastics, March 2011, Springer Science + Business Media

    Professor Erhan Bayraktar

  77. On the perpetual American put options for level dependent volatility models with jumps

    Article • Quantitative Finance, March 2011, Taylor & Francis

    Professor Erhan Bayraktar

  78. Optimal stopping for non-linear expectations—Part I

    Article • Stochastic Processes and their Applications, February 2011, Elsevier

    Professor Erhan Bayraktar

  79. Optimal stopping for non-linear expectations—Part II

    Article • Stochastic Processes and their Applications, February 2011, Elsevier

    Professor Erhan Bayraktar

  80. On the Continuity of Stochastic Exit Time Control Problems

    Article • Stochastic Analysis and Applications, December 2010, Taylor & Francis

    Professor Erhan Bayraktar

  81. On the stickiness property

    Article • Quantitative Finance, December 2010, Taylor & Francis

    Professor Erhan Bayraktar

  82. A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES

    Article • Mathematical Finance, October 2010, Wiley

    Professor Erhan Bayraktar

  83. OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

    Article • Mathematical Finance, October 2010, Wiley

    Professor Erhan Bayraktar

  84. PRICING ASIAN OPTIONS FOR JUMP DIFFUSION

    Article • Mathematical Finance, September 2010, Wiley

    Professor Erhan Bayraktar

  85. On the One-Dimensional Optimal Switching Problem

    Article • Mathematics of Operations Research, February 2010, INFORMS

    Professor Erhan Bayraktar

  86. On the uniqueness of classical solutions of Cauchy problems

    Article • Proceedings of the American Mathematical Society, January 2010, American Mathematical Society (AMS)

    Professor Erhan Bayraktar

  87. Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives

    Article • Applied Mathematical Finance, November 2009, Taylor & Francis

    Professor Erhan Bayraktar

  88. A unified treatment of dividend payment problems under fixed cost and implementation delays

    Article • Mathematical Methods of Operations Research, September 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  89. Minimizing the lifetime shortfall or shortfall at death

    Article • Insurance Mathematics and Economics, June 2009, Elsevier

    Professor Erhan Bayraktar

  90. Sequential tracking of a hidden Markov chain using point process observations

    Article • Stochastic Processes and their Applications, June 2009, Elsevier

    Professor Erhan Bayraktar

  91. Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution

    Article • Sequential Analysis, April 2009, Taylor & Francis

    Professor Erhan Bayraktar

  92. No arbitrage conditions for simple trading strategies

    Article • Annals of Finance, March 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  93. Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities

    Article • Journal of Economic Dynamics and Control, March 2009, Elsevier

    Professor Erhan Bayraktar

  94. Inventory management with partially observed nonstationary demand

    Article • Annals of Operations Research, January 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  95. Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

    Article • Mathematical Methods of Operations Research, January 2009, Springer Science + Business Media

    Professor Erhan Bayraktar

  96. Relative Hedging of Systematic Mortality Risk

    Article • North American Actuarial Journal, January 2009, Taylor & Francis

    Professor Erhan Bayraktar

  97. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions

    Article • SIAM Journal on Control and Optimization, January 2009, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  98. Minimizing the Probability of Lifetime Ruin with Deferred Life Annuities

    Article • North American Actuarial Journal, January 2009, Taylor & Francis

    Professor Erhan Bayraktar

  99. Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions

    Article • SIAM Journal on Mathematical Analysis, January 2009, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  100. Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin

    Article • Finance Research Letters, December 2008, Elsevier

    Professor Erhan Bayraktar

  101. Optimal investment strategy to minimize occupation time

    Article • Annals of Operations Research, November 2008, Springer Science + Business Media

    Professor Erhan Bayraktar

  102. Minimizing the Probability of Ruin When Consumption is Ratcheted

    Article • North American Actuarial Journal, October 2008, Taylor & Francis

    Professor Erhan Bayraktar

  103. Minimizing the Probability of Lifetime Ruin under Random Consumption

    Article • North American Actuarial Journal, October 2008, Taylor & Francis

    Professor Erhan Bayraktar

  104. Mutual fund theorems when minimizing the probability of lifetime ruin

    Article • Finance Research Letters, June 2008, Elsevier

    Professor Erhan Bayraktar

  105. Pricing Options on Defaultable Stocks*

    Article • Applied Mathematical Finance, June 2008, Taylor & Francis

    Professor Erhan Bayraktar

  106. An Analysis of Monotone Follower Problems for Diffusion Processes

    Article • Mathematics of Operations Research, May 2008, INFORMS

    Professor Erhan Bayraktar

  107. Optimizing venture capital investments in a jump diffusion model

    Article • Mathematical Methods of Operations Research, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  108. Optimal time to change premiums

    Article • Mathematical Methods of Operations Research, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  109. Pricing options in incomplete equity markets via the instantaneous Sharpe ratio

    Article • Annals of Finance, September 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  110. Minimizing the probability of lifetime ruin under borrowing constraints

    Article • Insurance Mathematics and Economics, July 2007, Elsevier

    Professor Erhan Bayraktar

  111. Hedging life insurance with pure endowments

    Article • Insurance Mathematics and Economics, May 2007, Elsevier

    Professor Erhan Bayraktar

  112. The effects of implementation delay on decision-making under uncertainty

    Article • Stochastic Processes and their Applications, March 2007, Elsevier

    Professor Erhan Bayraktar

  113. Correspondence between lifetime minimum wealth and utility of consumption

    Article • Finance and Stochastics, February 2007, Springer Science + Business Media

    Professor Erhan Bayraktar

  114. Chapter 15 Queuing Theoretic Approaches to Financial Price Fluctuations

    Article • January 2007, Elsevier

    Professor Erhan Bayraktar

  115. Quickest Detection of a Minimum of Two Poisson Disorder Times

    Article • SIAM Journal on Control and Optimization, January 2007, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  116. A Limit Theorem for Financial Markets with Inert Investors

    Article • Mathematics of Operations Research, November 2006, INFORMS

    Professor Erhan Bayraktar

  117. Adaptive Poisson disorder problem

    Article • The Annals of Applied Probability, August 2006, Institute of Mathematical Statistics

    Professor Erhan Bayraktar

  118. PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD

    Article • International Journal of Theoretical and Applied Finance, August 2006, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  119. Poisson Disorder Problem with Exponential Penalty for Delay

    Article • Mathematics of Operations Research, May 2006, INFORMS

    Professor Erhan Bayraktar

  120. Prediction and tracking of long-range-dependent sequences

    Article • Systems & Control Letters, November 2005, Elsevier

    Professor Erhan Bayraktar

  121. The standard Poisson disorder problem revisited

    Article • Stochastic Processes and their Applications, September 2005, Elsevier

    Professor Erhan Bayraktar

  122. Consistency Problems for Jump‐diffusion Models

    Article • Applied Mathematical Finance, June 2005, Taylor & Francis

    Professor Erhan Bayraktar

  123. ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC

    Article • International Journal of Theoretical and Applied Finance, May 2005, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  124. Stochastic Differential Games in a Non-Markovian Setting

    Article • SIAM Journal on Control and Optimization, January 2005, Society for Industrial & Applied Mathematics (SIAM)

    Professor Erhan Bayraktar

  125. ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS

    Article • International Journal of Theoretical and Applied Finance, August 2004, World Scientific Pub Co Pte Lt

    Professor Erhan Bayraktar

  126. Risk Sensitive Control of the Lifetime Ruin Problem

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  127. Unanticipated Features of the Multidimensional G-Normal Distribution

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  128. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  129. On an Optimal Stopping Problem of an Insider

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar

  130. Quickest Detection of a Minimum of Disorder Times

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  131. Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets

    Article • Institute of Electrical & Electronics Engineers (IEEE)

    Professor Erhan Bayraktar

  132. Quantile Hedging in a Semi-Static Market with Model Uncertainty

    Article • SSRN Electronic Journal, Elsevier

    Professor Erhan Bayraktar