Michael Monoyios: Publications and Preprints

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  1. M Monoyios and O Mostovyi, Stability of the Epstein-Zin problem, forthcoming in Mathematical Finance (2024) [pdf][doi]

  2. M Monoyios, Duality for optimal consumption under no unbounded profit with bounded risk, Annals of Applied Probability 32 (No. 5) (2022) 3572-3613 [pdf] [doi]

  3. A Davey, M Monoyios and H Zheng, Duality for optimal consumption with randomly terminating income, Mathematical Finance 31 (2021) 1275-1314 [pdf]

  4. M Monoyios, Infinite horizon utility maximisation from inter-temporal wealth (October 2020) [pdf][arXiv]

  5. V Henderson, K Kladivko, M Monoyios and C Reisinger, Executive stock option exercise with full and partial information on a drift change point, SIAM Journal on Financial Mathematics 11 (2020) 1007-1062 [pdf]

  6. M Monoyios, Computing the distortion function, Technical note (a short didactic note on how to compute a function which appears in the distortion solution to some investment problems) (2020) [pdf]

  7. M Monoyios, Malliavin calculus method for asymptotic expansion of dual control problems, SIAM Journal on Financial Mathematics 4 (2013) 884-915 [pdf]

  8. M Monoyios and A Ng ,Optimal exercise of an executive stock option by an insider International Journal of Theoretical and Applied Finance 14 (2011) 83-106 [pdf]

  9. A Danilova, M Monoyios and A Ng, Optimal investment with inside information and parameter uncertainty Mathematics and Financial Economics 3 (2010) 13-38 [pdf]

  10. M Monoyios, Utility-based valuation and hedging of basis risk with partial information Applied Mathematical Finance 17 (2010) 519-551 [pdf]

  11. M Monoyios, Optimal investment and hedging under partial and inside information. In Advanced Financial Modelling, H. Albrecher, W. J. Runggaldier and W. Schachermayer (eds.) Radon Series on Computational and Applied Mathematics 8 (2009) 371-410 [pdf]

  12. M Monoyios, Utility indifference pricing with market incompleteness, in: Nonlinear Models in Mathematical Finance: New Research Trends in Option Pricing (ed. Ehrhardt M) (2008) 67-100, Nova Science Publishers, Hauppauge, New York [pdf]

  13. M Monoyios, Optimal hedging and parameter uncertainty IMA Journal of Management Mathematics 18 (2007) 331-351 [pdf]

  14. M Monoyios, The minimal entropy measure and an Esscher transform in an incomplete market model Statistics and Probability Letters 77 (2007) 1070-1076 [pdf]

  15. M Monoyios, Characterisation of optimal dual measures via distortion Decisions in Economics and Finance 29 (2006) 95-119 [pdf]

  16. M Monoyios, Performance of utility-based strategies for hedging basis risk Quantitative Finance 4 (2004) 245-255 [pdf]

  17. M Monoyios, Option pricing with transaction costs using a Markov chain approximation Journal of Economic Dynamics and Control 28 (2004) 889-913 [pdf]

  18. M Monoyios, Efficient option pricing with transaction costs Journal of Computational Finance 7 (2003) 107-128 [pdf]

  19. M Monoyios and L Sarno, Mean reversion in stock index futures markets: A nonlinear analysis Journal of Futures Markets 22 (2002) 285-314 [pdf]

  20. J Hunter, C Ioannidis and M Monoyios, Transaction costs and nonlinear adjustment in option prices Neural Network World 10 (2000) 255-269

  21. M Monoyios, Interpolating actions for supersymmetric quantum field theory Physical Review D 40 (1989) 3357-3362 [pdf]

  22. M Monoyios, Preserving unitarity in a novel perturbative technique for solving quantum field theory Zeitschrift fur Physik C 42 (1989) 325-329 [pdf]

  23. H F Jones and M Monoyios, The principle of minimal sensitivity applied to a new perturbative scheme in quantum field theory International Journal of Modern Physics A 4 (1989) 1735-1746
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