Recently, I am interested in pension fund investment and design, non-competitive/thin financial markets and contingent claim equilibrium pricing. All of my works are listed below.
- “Time-consistent Pension Fund Management in Stochastically Changing Markets and Evolving Horizons“. Joint work with E. Blontzou and T. Zariphopoulou.
- “Strategic Informed Trading and the Value of Private Information“. Joint work with S. Robertson, submitted for publication.
- “Continuous-time Equilibrium Returns in Markets with Price Impact and Transaction Costs “. Joint work with C. Stefanakis, submitted for publication.
- “On the Expansion of Risk Pooling“. Joint work with R. Feng and S. Kim, submitted for publication.
- “Linear Risk Sharing in Intergenerational Pension“. Joint work with A. Chen, S. Vanduffel and M. Wilke. Scandinavian Actuarial Journal, to appear.
- “Optimal Investment and Equiibrium Pricing under Ambiguity“, joint work with P. Schneider. Review of Finance, to appear.
- “Price Impact under Heterogeneous Beliefs and Restricted Participation“, joint work with C. Kardaras. Journal of Economic Theory 215, January, 105774 (2024).
- “On Valuation and Investments of Pension Plans in Discrete Incomplete Markets“, joint work with E. Blontzou. Risks 11(6):103 (2023) (In the Special Issue: Frontiers in Quantitative Finance and Risk Management).
- “Competition in Fund Management and Forward Relative Performance Criteria“, joint work with T. Geng and T. Zariphopoulou. SIAM Journal of Financial Mathematics, 13:4, 1271-1301 (2022).
- “Optimal Investment, Derivative Demand and Arbitrage under Price Impact“, joint work with S. Robertson and K. Spiliopoulos. Mathematical Finance, 31, 3-35 (2021). A video presentation of this work is available here.
- “Nash Equilibria in Optimal Reinsurance Bargaining“, joint work with T.J. Boonen, Insurance: Mathematics and Economics, 93, 196-205 (2020). The final version is available here.
- “The Effective Risk Aversion in Thin Risk-Sharing Markets“, joint work with C. Kardaras and G. Vichos. Mathematical Finance, 30, 1565 -1590 (2020). The final version is available here.
- “An Equilibrium Model for Spot and Forward Prices of Commodities“, joint work with M. Kupper and A. Papapantoleon, Mathematics of Operations Research, 43 (1), 152-180 (2018). The final version is available here.
- “Equilibrium in Risk-Sharing Games“, joint work with C. Kardaras, Finance and Stochastics 21, 815-865 (2017). A video presentation of this paper is available here and the published version here.
- “The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets”, joint work with S. Robertson and K. Spiliopoulos, Annals of Applied Probability 27 (3), 1778-1830 (2017). The published version is available here.
- “The Effect of Market Power on Risk-Sharing“, Mathematics and Financial Economics 11 (3), 323-368 (2017). A final version is available here.
- “Forward Exponential Performance Criteria: Pricing & Optimal Risk Sharing“, SIAM Journal of Financial Mathematics 5 (1), 626-655 (2014). The final version is available here.
- “Contract Pricing and Utility Sharing”, joint work with Nikolaos E. Frangos, Stylianos Z. Xanthopoulos and Athanasios N. Yannacopoulos, IMA Journal of Management Mathematics 25 (3): 329-352 (2014).
- “Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability”, joint work with Gordan Zitkovic, Annals of Finance 6, 107-135 (2010).
- “On Agents’ Agreement and Partial Equilibrium Pricing in Incomplete Markets’’, joint work with Gordan Zitkovic, Mathematical Finance 20 (3), 411-446 (2010).
- A link for my Ph.D. Thesis, for the (really) interested ones.
- Χρηματοοικονομικά Παράγωγα: Ασπίδες προστασίας ή όπλα μαζικής καταστροφής, Ημερησία, 24/04/2010.
- Οι κερδοσκόποι, η Γερμανία και τα CDS, Eλεύθερος Τύπος, 29/05/2010.
- Σχετικά με το χρονοδιάγραμμα του μνημονίου, Τύπος της Κυριακής, 07/11/2010.