[kostas kardaras   ::   boston university   ::   department of mathematics and statistics]

i wanna go to...   ::   foreword   ::   personal [and academic] info   ::   publications   ::   teaching

[published and accepted papers]   ::   below is a list of things i did and somehow got accepted in journals. you can click on the title and it will take you to the corresponding entry at arxiv.org, where you can find the abstract and pdf file of the paper. note that this version may not be identical to the version of the paper that appears in the journal and should, therefore, not be used for quoting or referring to.

• arbitrage strategy.    entry for the encyclopedia of quantitative finance, John Wiley and Sons Inc.
• free lunches.    entry for the encyclopedia of quantitative finance, John Wiley and Sons Inc.
• stochastic discount factors.    entry for the encyclopedia of quantitative finance, John Wiley and Sons Inc.
• the continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints.   to appear in stochastic processes and their applications.
• stability of the utility maximization problem with random endowment in incomplete markets   [with gordan zitkovic].   to appear in mathematical finance.
• minimizing the expected market time to reach a certain wealth level.   [with eckhard platen].    to appear in SIAM journal of financial mathematics.
• balance, growth and diversity of financial markets.    annals of finance, volume 4, number 3 (2008), pages 369 - 397.
• the numéraire portfolio in semimartingale financial models   [with ioannis karatzas].    finance and stochastics, number 11 (2007), pages 447 - 493.
• no-free-lunch equivalences for exponential lévy models of financial markets under convex constraints.    mathematical finance, volume 19, issue 2 (2009), pages 161 - 342.
• diversity and arbitrage in models of equity markets   [with bob ferhnolz and ioannis karatzas].    finance and stochastics, number 9 (2005), pages 1 - 27.

[submitted papers]   ::   the ones whose fate is yet to be decided:

• strict local martingale deflators and pricing american call-type options  [with erhan bayraktar and hao xing].
• viability of infinite-asset financial models where constrained agents with limited information act.
• numéraire-invariant preferences in financial modeling.
• market viability via absence of arbitrages of the first kind.
• on the dybvig-ingersoll-ross theorem   [with eckhard platen].
• multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading   [with eckhard platen].
• on the semimartingale property of discounted asset-price processes   [with eckhard platen].

[works-in-progress]   ::   these are things that interest me at the moment and may or may not work out:

• drift and diffusion coefficient estimation.    i am very excited by this, mostly because i think that the paper will eventually have a very cool title [not like the one here]. i always wanted to write a paper with a very cool title. i hope i can make it.
• pricing and hedging barrier options in diffusion financial market models via 3-dimensional bessel processes.    efficient estimation for prices and sensitivities, with focus on short maturities, where asymptotic expansions near time zero provide useful control variates.
• monte-carlo estimation of diffusion first-passage-time densities.    [with tomoyuki ichiba].    an unbiased estimator for diffusion first-passage-time densities is introduced that achieves better order of convergence than what usual nonparametric methods give.
• topology of information.    how different is my knowledge of the world from yours? a measure of distance between filtration is suggested and continuity of the utility maximization problem is sought after.

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