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Maxim Bichuch
Maxim Bichuch
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Title
Cited by
Cited by
Year
Arbitrage‐free XVA
M Bichuch, A Capponi, S Sturm
Mathematical Finance 28 (2), 582-620, 2018
592018
Asymptotic analysis for optimal investment in finite time with transaction costs
M Bichuch
SIAM Journal on Financial Mathematics 3 (1), 433-458, 2012
562012
Utility maximization trading two futures with transaction costs
M Bichuch, S Shreve
SIAM Journal on Financial Mathematics 4 (1), 26-85, 2013
402013
Portfolio optimization under convex incentive schemes
M Bichuch, S Sturm
Finance and Stochastics 18 (4), 873-915, 2014
312014
Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
M Bichuch
Finance and Stochastics 18 (3), 651-694, 2014
262014
Optimization of fire sales and borrowing in systemic risk
M Bichuch, Z Feinstein
SIAM Journal on Financial Mathematics 10 (1), 68-88, 2019
162019
Optimal investment with transaction costs and stochastic volatility part I: Infinite horizon
M Bichuch, R Sircar
SIAM Journal on Control and Optimization 55 (6), 3799–3832, 2017
15*2017
Investing with liquid and illiquid assets
M Bichuch, P Guasoni
Mathematical Finance 28 (1), 119-152, 2018
132018
Optimal investment with transaction costs and stochastic volatility part II: Finite horizon
M Bichuch, R Sircar
SIAM Journal on Control and Optimization 57 (1), 437-467, 2019
122019
Arbitrage-Free Pricing of XVA--Part I: Framework and Explicit Examples
M Bichuch, A Capponi, S Sturm
Available at SSRN, 2015
112015
Arbitrage-Free Pricing of XVA–Part II: PDE Representation and Numerical Analysis
M Bichuch, A Capponi, S Sturm
Available at SSRN 2568118, 2015
82015
A repo model of fire sales with VWAP and LOB pricing mechanisms
M Bichuch, Z Feinstein
European Journal of Operational Research 296 (1), 353-367, 2022
52022
Robust XVA
M Bichuch, A Capponi, S Sturm
Mathematical Finance 30 (3), 738-781, 2020
52020
Optimal Investment with Correlated Stochastic Volatility Factors
M Bichuch, JP Fouque
arXiv preprint arXiv:1908.07626, 2019
42019
Systemic Risk: the Effect of Market Confidence
M Bichuch, K Chen
International Journal of Theoretical and Applied Finance (IJTAF) 23 (07), 1-39, 2020
22020
Asymptotic analysis for optimal investment and consumption with transaction costs and two futures contracts
M Bichuch
Ph. D. dissertation, Department of Mathematical Sciences, Carnegie Mellon …, 2010
22010
Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration
M Bichuch, BF Hobbs, X Song, Y Wang
Journal of Energy Markets 14 (1), 2021
12021
The learning premium
M Bichuch, P Guasoni
Mathematics and Financial Economics 14 (1), 175-205, 2020
12020
When do you Stop Supporting your Bankrupt Subsidiary?
M Bichuch, N Detering
arXiv preprint arXiv:2201.12731, 2022
2022
Identification of Optimal Capacity Expansion and Differentiated Capacity Payments Under Risk Avers
M Bichuch, BF Hobbs, X Song
Available at SSRN 4002800, 2022
2022
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