PUBLICATIONS & PREPRINTS

  1. with Bayraktar, E., Tang, W. and Zhang, Y. "McKean-Vlasov equations involving hitting times: blow-ups and global solvability." Preprint, arXiv:2010.14646 [math.PR], 2020.

  2. with Lim, T. and Obloj, J. "From optimal urban planning to weighted Lloyd's algorithm." In preparation, 2020.

  3. with Bayraktar, E. "Strong equivalence between metrics of Wasserstein type." Electron. Commun. Probab., 26(13), 1-13, 2021.

  4. with Eckstein, S., Lim, T. and Obloj, J. "Robust pricing and hedging of options on multiple assets and its numerics." SIAM J. Finan. Math., 12(1), 158-188, 2021.

  5. with Obloj, J. "Computational methods for martingale optimal transport problems." Ann. Appl. Probab., 29(6), 3311-3347, 2019.

  6. "A stability result on optimal Skorokhod embedding." Preprint, arXiv:1701.08204 [math.PR], 2017.

  7. with Claisse, J. and Henry-Labordere, P. "Some results on Skorokhod embedding and robust hedging with local time." J. Optim. Theory Appl., 179(2), 569-597, 2017.

  8. with Tan, X. and Touzi, N. "Tightness and duality of martingale transport on the Skorokhod space." Stochastic Process. Appl., 127(3), 927-956, 2017.

  9. with Tan, X. and Touzi, N. "On the monotonicity principle of optimal Skorokhod embedding problem." SIAM J. Control Optim., 54(5), 2478-2489, 2016.

  10. with Tan, X. and Touzi, N. "Optimal Skorokhod embedding under finitely many marginal constraints." SIAM J. Control Optim., 54(4), 2174-2201, 2016.

  11. with Martini, C., Neufcourt, L. and Jacquier, A. "Generalised arbitrage-free SVI volatility surfaces." SIAM J. Finan. Math., 7(1), 619-641, 2016.