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Paolo Guasoni
Paolo Guasoni
Dublin City University and Universitŕ di Bologna
Verified email at dcu.ie - Homepage
Title
Cited by
Cited by
Year
No arbitrage under transaction costs, with fractional Brownian motion and beyond
P Guasoni
Mathematical Finance 16 (3), 569-582, 2006
2522006
Portfolio choice with transaction costs: a user’s guide
FE Benth, D Crisan, P Guasoni, K Manolarakis, J Muhle-Karbe, C Nee, ...
Paris-Princeton Lectures on Mathematical Finance 2013: Editors: Vicky …, 2013
213*2013
Consistent price systems and face-lifting pricing under transaction costs
P Guasoni, M Rásonyi, W Schachermayer
1552008
The fundamental theorem of asset pricing for continuous processes under small transaction costs
P Guasoni, M Rásonyi, W Schachermayer
Annals of Finance 6 (2), 157-191, 2010
1352010
Transaction costs, trading volume, and the liquidity premium
S Gerhold, P Guasoni, J Muhle-Karbe, W Schachermayer
Finance and Stochastics 18, 1-37, 2014
982014
Mean‐variance hedging for stochastic volatility models
F Biagini, P Guasoni, M Pratelli
Mathematical Finance 10 (2), 109-123, 2000
982000
The fundamental theorem of asset pricing under transaction costs
P Guasoni, E Lépinette, M Rásonyi
Finance and Stochastics 16, 741-777, 2012
862012
The incentives of hedge fund fees and high‐water marks
P Guasoni, J Obłój
Mathematical Finance 26 (2), 269-295, 2016
69*2016
Shape optimization problems over classes of convex domains
G Buttazzo, P Guasoni
Journal of Convex Analysis 4, 343-352, 1997
661997
Optimal importance sampling with explicit formulas in continuous time.
P Guasoni, S Robertson
Finance & Stochastics 12 (1), 2008
652008
Optimal investment with transaction costs and without semimartingales
P Guasoni
The Annals of Applied Probability 12 (4), 1227-1246, 2002
622002
Portfolios and risk premia for the long run
P Guasoni, S Robertson
552012
Super-replication and utility maximization in large financial markets
M De Donno, P Guasoni, M Pratelli
Stochastic processes and their applications 115 (12), 2006-2022, 2005
472005
Dynamic trading volume
P Guasoni, M Weber
Mathematical Finance 27 (2), 313-349, 2017
462017
Fragility of arbitrage and bubbles in local martingale diffusion models
P Guasoni, M Rásonyi
Finance and Stochastics 19, 215-231, 2015
42*2015
Nonlinear price impact and portfolio choice
P Guasoni, MH Weber
Mathematical Finance 30 (2), 341-376, 2020
322020
Asymmetric information in fads models
P Guasoni
Finance and Stochastics 10 (2), 159-177, 2006
322006
Trading fractional Brownian motion
P Guasoni, Z Nika, M Rásonyi
SIAM journal on financial mathematics 10 (3), 769-789, 2019
312019
Hedging, arbitrage and optimality with superlinear frictions
P Guasoni, M Rásonyi
312015
Shortfall aversion
P Guasoni, G Huberman, D Ren
Mathematical Finance 30 (3), 869-920, 2020
302020
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