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In 1973 F. Black and M. Scholes published their pathbreaking paper [BS73] on option
pricing. The key idea—attributed to R. Merton in a footnote of the Black-Scholes paper—is …

Let χ be a family of stochastic processes on a given filtered probability space (Ω, F,(Ft) t∈ T,
P) with T⊆ R+. Under the assumption that the set Me of equivalent martingale measures for …

The continued rise in metabolic diseases such as obesity and type 2 diabetes mellitus poses
a global health burden, necessitating further research into factors implicated in the onset …

We solve the problem of hedging a contingent claim B by maximizing the expected
exponential utility of terminal net wealth for a locally bounded semimartingale X. We prove a …

We study uncertainty averse preferences, that is, complete and transitive preferences that
are convex and monotone. We establish a representation result, which is at the same time …

We propose a new scheme for built-in test (BIT) that uses multiple-polynomial linear
feedback shift registers (MP-LFSR's). The same MP-LFSR that generates random patterns to …

We develop a methodology for optimal design of financial instruments aimed to hedge some
forms of risk that is not traded on financial markets. The idea is to minimize the risk of the …

In this paper two kinds of cumulant processes are studied in a general setting. These
processes generalize the cumulant of an infinitely divisible random variable and they appear …

This paper accompanies a previous one by D. Kramkov and the present author. While in 17
we considered utility functions U: R+→ R satisfying the Inada conditions U'(0)=∞ and …