Michael Monoyios: Publications and Preprints
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- M Monoyios and O Mostovyi, Stability of the Epstein-Zin problem,
Mathematical Finance 34 (No. 4) (2024) 1263-1290
[pdf]
[doi]
- 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]
- A Davey, M Monoyios and H Zheng, Duality for optimal consumption
with randomly terminating income, Mathematical Finance
31 (2021) 1275-1314 [pdf]
- M Monoyios, Infinite horizon utility maximisation from
inter-temporal wealth (October 2020)
[pdf][arXiv]
- 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]
- 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]
- M Monoyios, Malliavin calculus method for asymptotic expansion of
dual control problems, SIAM Journal on Financial
Mathematics 4 (2013) 884-915 [pdf]
- 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]
- A Danilova, M Monoyios and A Ng, Optimal investment with inside
information and parameter uncertainty Mathematics and Financial
Economics 3 (2010) 13-38 [pdf]
- M Monoyios, Utility-based valuation and hedging of basis risk with
partial information Applied Mathematical Finance 17
(2010) 519-551 [pdf]
- 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]
- 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]
- M Monoyios, Optimal hedging and parameter uncertainty IMA Journal of
Management Mathematics 18 (2007) 331-351 [pdf]
- M Monoyios, The minimal entropy measure and an Esscher transform in an
incomplete market model Statistics and Probability
Letters 77 (2007) 1070-1076 [pdf]
- M Monoyios, Characterisation of optimal dual measures via distortion
Decisions in Economics and Finance 29 (2006) 95-119 [pdf]
- M Monoyios, Performance of utility-based strategies for hedging
basis risk Quantitative Finance 4 (2004) 245-255 [pdf]
- M Monoyios, Option pricing with transaction costs using a Markov
chain approximation Journal of Economic Dynamics and Control
28 (2004) 889-913 [pdf]
- M Monoyios, Efficient option pricing with transaction costs
Journal of Computational Finance 7 (2003) 107-128 [pdf]
- M Monoyios and L Sarno, Mean reversion in stock index futures
markets: A nonlinear analysis Journal of Futures Markets
22 (2002) 285-314 [pdf]
- J Hunter, C Ioannidis and M Monoyios, Transaction costs and
nonlinear adjustment in option prices Neural Network World
10 (2000) 255-269
- M Monoyios, Interpolating actions for supersymmetric quantum field theory
Physical Review D 40 (1989) 3357-3362 [pdf]
- M Monoyios, Preserving unitarity in a novel perturbative
technique for solving quantum field theory Zeitschrift fur Physik
C 42 (1989) 325-329 [pdf]
- 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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