Projects per year
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Projects
- 1 Active
Probabilistic approach to rough PDEs: Applications to finance and control
NSF - National Science Foundation
7/1/20 → 6/30/23
Project: Research project
Research Output
- 50 Citations
- 4 h-Index
- 14 Article
Computational aspects of robust optimized certainty equivalents and option pricing
Bartl, D., Drapeau, S. & Tangpi, L., Jan 1 2020, In : Mathematical Finance. 30, 1, p. 287-309 23 p.Research output: Contribution to journal › Article
1
Scopus
citations
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, J. & Tangpi, L., Jun 1 2020, In : Mathematics and Financial Economics. 14, 3, p. 433-460 28 p.Research output: Contribution to journal › Article
Theoretical and empirical analysis of trading activity
Pohl, M., Ristig, A., Schachermayer, W. & Tangpi, L., Jun 1 2020, In : Mathematical Programming. 181, 2, p. 405-434 30 p.Research output: Contribution to journal › Article
1
Scopus
citations
Concentration of dynamic risk measures in a Brownian filtration
Tangpi, L., May 2019, In : Stochastic Processes and their Applications. 129, 5, p. 1477-1491 15 p.Research output: Contribution to journal › Article
2
Scopus
citations
Duality for pathwise superhedging in continuous time
Bartl, D., Kupper, M., Prömel, D. J. & Tangpi, L., Jul 15 2019, In : Finance and Stochastics. 23, 3, p. 697-728 32 p.Research output: Contribution to journal › Article
Open Access
3
Scopus
citations