Erhan Bayraktar
Personal Details
First Name: Erhan
Middle Name:
Last Name: Bayraktar
Suffix:
RePEc Short-ID: pba1177
Email: [This author has chosen not to make the email address public]
Homepage:
http://www.math.lsa.umich.edu/~erhan/
Postal Address:
Phone:
Affiliation
- Department of Mathematics, University of Michigan
- Homepage: http://www.lsa.umich.edu/math/
Location: USA, Ann Arbor
Works
Working papers
- Erhan Bayraktar & Yuchong Zhang, 2014. "Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs," Papers 1404.7406, arXiv.org.
- Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809, arXiv.org.
- Erhan Bayraktar & Zhou Zhou, 2014. "On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints," Papers 1402.2596, arXiv.org, revised Feb 2014.
- Erhan Bayraktar & David Promislow & Virginia Young, 2014. "Purchasing Life Insurance to Reach a Bequest Goal," Papers 1402.5300, arXiv.org.
- Erhan Bayraktar & Yuchong Zhang, 2013. "Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty," Papers 1309.1420, arXiv.org, revised Sep 2013.
- Erhan Bayraktar & Zhou Zhou, 2013. "On model-independent pricing/hedging using shortfall risk and quantiles," Papers 1307.2493, arXiv.org.
- Erhan Bayraktar & Zhou Zhou, 2013. "On an Optimal Stopping Problem of an Insider," Papers 1301.3100, arXiv.org, revised Apr 2014.
- Erhan Bayraktar & Song Yao, 2013. "On the Robust Optimal Stopping Problem," Papers 1301.0091, arXiv.org, revised Jul 2014.
- Erhan Bayraktar & Sergey Nadtochiy, 2013. "Weak reflection principle for L\'evy processes," Papers 1308.2250, arXiv.org, revised Jul 2014.
- Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013. "On hedging American options under model uncertainty," Papers 1309.2982, arXiv.org, revised Feb 2014.
- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013. "A note on the Fundamental Theorem of Asset Pricing under model uncertainty," Papers 1309.2728, arXiv.org, revised Apr 2014.
- Erhan Bayraktar & Zhou Zhou, 2013. "On utility maximization with derivatives under model uncertainty," Papers 1307.4813, arXiv.org.
- Erhan Bayraktar & Xiang Yu, 2013. "On the Market Viability under Proportional Transaction Costs," Papers 1312.3917, arXiv.org.
- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012. "On optimal dividends in the dual model," Papers 1211.7365, arXiv.org, revised Jun 2013.
- Erhan Bayraktar & Virginia R. Young, 2012.
"Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin,"
Papers
1206.6268, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2008. "Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.
- Nicole Bauerle & Erhan Bayraktar, 2012. "A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance," Papers 1210.3800, arXiv.org, revised Jul 2013.
- Erhan Bayraktar & Zhou Zhou, 2012. "On controller-stopper problems with jumps and their applications to indifference pricing of American options," Papers 1212.4894, arXiv.org, revised Nov 2013.
- Erhan Bayraktar & Mike Ludkovski, 2012. "Inventory Management with Partially Observed Nonstationary Demand," Papers 1206.6283, arXiv.org.
- Erhan Bayraktar & Virginia R. Young, 2012. "Life Insurance Purchasing to Maximize Utility of Household Consumption," Papers 1205.5958, arXiv.org, revised Jun 2013.
- Erhan Bayraktar & Michael Ludkovski, 2011. "Liquidation in Limit Order Books with Controlled Intensity," Papers 1105.0247, arXiv.org, revised Jan 2012.
- Erhan Bayraktar & Arash Fahim, 2011. "A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems," Papers 1109.5752, arXiv.org, revised Nov 2013.
- Erhan Bayraktar & Ross Kravitz, 2011.
"Stability of exponential utility maximization with respect to market perturbations,"
Papers
1107.2716, arXiv.org, revised Dec 2012.
- Bayraktar, Erhan & Kravitz, Ross, 2013. "Stability of exponential utility maximization with respect to market perturbations," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1671-1690.
- Erhan Bayraktar & Yu-Jui Huang, 2011. "Robust maximization of asymptotic growth under covariance uncertainty," Papers 1107.2988, arXiv.org, revised Sep 2013.
- Erhan Bayraktar & Ross Kravitz, 2010. "On the Stability of Utility Maximization Problems," Papers 1010.4322, arXiv.org, revised Mar 2011.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
- Erhan Bayraktar & Song Yao, 2010.
"Quadratic Reflected BSDEs with Unbounded Obstacles,"
Papers
1005.3565, arXiv.org, revised Mar 2011.
- Bayraktar, Erhan & Yao, Song, 2012. "Quadratic reflected BSDEs with unbounded obstacles," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.
- Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010.
"Minimizing the Probability of Lifetime Ruin under Stochastic Volatility,"
Papers
1003.4216, arXiv.org, revised May 2011.
- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011. "Minimizing the probability of lifetime ruin under stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.
- Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song, 2010. "Outperforming the market portfolio with a given probability," Papers 1006.3224, arXiv.org, revised Aug 2012.
- Erhan Bayraktar & Yu-Jui Huang, 2010. "On the Multi-Dimensional Controller and Stopper Games," Papers 1009.0932, arXiv.org, revised Jan 2013.
- Erhan Bayraktar & Song Yao, 2009. "Optimal Stopping for Non-linear Expectations," Papers 0905.3601, arXiv.org, revised Jan 2011.
- Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit, 2009. "On the Existence of Consistent Price Systems," Papers 0911.3789, arXiv.org, revised Jun 2013.
- Erhan Bayraktar & Ioannis Karatzas & Song Yao, 2009. "Optimal Stopping for Dynamic Convex Risk Measures," Papers 0909.4948, arXiv.org, revised Nov 2009.
- Erhan Bayraktar & Mike Ludkovski, 2009. "Optimal Trade Execution in Illiquid Markets," Papers 0902.2516, arXiv.org.
- Erhan Bayraktar & Hao Xing, 2009. "Regularity of the Optimal Stopping Problem for Jump Diffusions," Papers 0902.2479, arXiv.org, revised Mar 2012.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2009. "Strict Local Martingale Deflators and Pricing American Call-Type Options," Papers 0908.1082, arXiv.org, revised Dec 2009.
- Erhan Bayraktar & Hao Xing, 2009. "On the uniqueness of classical solutions of Cauchy problems," Papers 0908.1086, arXiv.org, revised Sep 2009.
- Erhan Bayraktar & Virginia R. Young, 2008. "Minimizing the Probability of Ruin when Consumption is Ratcheted," Papers 0806.2358, arXiv.org.
- Erhan Bayraktar & Hasanjan Sayit, 2008.
"On the Stickiness Property,"
Papers
0801.0718, arXiv.org, revised Sep 2009.
- Erhan Bayraktar & Hasanjan Sayit, 2010. "On the stickiness property," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008.
"Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities,"
Papers
0802.3250, arXiv.org.
- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009. "Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 33(3), pages 676-691, March.
- Erhan Bayraktar & Virginia R. Young, 2008. "Optimal Investment Strategy to Minimize Occupation Time," Papers 0805.3981, arXiv.org, revised Nov 2008.
- Erhan Bayraktar & Hasanjan Sayit, 2008.
"No Arbitrage Conditions For Simple Trading Strategies,"
Papers
0801.4047, arXiv.org, revised Jan 2009.
- Erhan Bayraktar & Hasanjan Sayit, 2010. "No arbitrage conditions for simple trading strategies," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "A Limit Theorem for Financial Markets with Inert Investors," Papers math/0703831, arXiv.org.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control,"
Papers
0704.2244, arXiv.org, revised Aug 2010.
- Erhan Bayraktar & Virginia Young, 2011. "Proving regularity of the minimal probability of ruin via a game of stopping and control," Finance and Stochastics, Springer, vol. 15(4), pages 785-818, December.
- Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007. "Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis," Papers math/0703834, arXiv.org.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Minimizing the Probability of Lifetime Ruin under Borrowing Constraints,"
Papers
math/0703850, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2007. "Minimizing the probability of lifetime ruin under borrowing constraints," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.
- Erhan Bayraktar, 2007.
"On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps,"
Papers
math/0703538, arXiv.org, revised Jan 2009.
- Erhan Bayraktar, 2009. "On the perpetual American put options for level dependent volatility models with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.
- Erhan Bayraktar & Masahiko Egami, 2007.
"A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays,"
Papers
math/0703825, arXiv.org, revised Jan 2009.
- Erhan Bayraktar & Masahiko Egami, 2010. "A unified treatment of dividend payment problems under fixed cost and implementation delays," Computational Statistics, Springer, vol. 71(2), pages 325-351, April.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio,"
Papers
math/0701650, arXiv.org, revised Jul 2007.
- Erhan Bayraktar & Virginia Young, 2008. "Pricing options in incomplete equity markets via the instantaneous Sharpe ratio," Annals of Finance, Springer, vol. 4(4), pages 399-429, October.
- Erhan Bayraktar & Virginia R. Young, 2007. "Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin," Papers math/0703862, arXiv.org, revised Oct 2007.
- Erhan Bayraktar, 2007. "A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions," Papers math/0703782, arXiv.org, revised Dec 2008.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin,"
Papers
0705.0053, arXiv.org, revised Mar 2008.
- Bayraktar, Erhan & Young, Virginia R., 2008. "Mutual fund theorems when minimizing the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
- Erhan Bayraktar & Masahiko Egami, 2007.
"Optimizing Venture Capital Investments in a Jump Diffusion Model,"
Papers
math/0703823, arXiv.org, revised Jul 2007.
- Erhan Bayraktar & Masahiko Egami, 2008. "Optimizing venture capital investments in a jump diffusion model," Computational Statistics, Springer, vol. 67(1), pages 21-42, February.
- Erhan Bayraktar & H. Vincent Poor, 2007.
"Optimal Time to Change Premiums,"
Papers
math/0703828, arXiv.org.
- Erhan Bayraktar & H. Poor, 2008. "Optimal time to change premiums," Computational Statistics, Springer, vol. 68(1), pages 125-158, August.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Correspondence between Lifetime Minimum Wealth and Utility of Consumption,"
Papers
math/0703820, arXiv.org.
- Erhan Bayraktar & Virginia Young, 2007. "Correspondence between lifetime minimum wealth and utility of consumption," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.
- Erhan Bayraktar, 2007.
"Minimizing the Lifetime Shortfall or Shortfall at Death,"
Papers
math/0703824, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2009. "Minimizing the lifetime shortfall or shortfall at death," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.
- Erhan Bayraktar & Masahiko Egami, 2007.
"The Effects of Implementation Delay on Decision-Making Under Uncertainty,"
Papers
math/0703833, arXiv.org.
- Bayraktar, Erhan & Egami, Masahiko, 2007. "The effects of implementation delay on decision-making under uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 333-358, March.
- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
"Consistency Problems For Jump-Diffusion Models,"
Finance
0304003, EconWPA.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005. "Consistency Problems for Jump-diffusion Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 101-119.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003.
"Projecting the Forward Rate Flow on a Finite Dimensional Manifold,"
Finance
0303007, EconWPA.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006. "Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 777-785.
Articles
- Liang, Zhibin & Bayraktar, Erhan, 2014. "Optimal reinsurance and investment with unobservable claim size and intensity," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 156-166.
- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2014. "Optimal dividends in the dual model under transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 133-143.
- Bayraktar, Erhan & Kravitz, Ross, 2013.
"Stability of exponential utility maximization with respect to market perturbations,"
Stochastic Processes and their Applications,
Elsevier, vol. 123(5), pages 1671-1690.
- Erhan Bayraktar & Ross Kravitz, 2011. "Stability of exponential utility maximization with respect to market perturbations," Papers 1107.2716, arXiv.org, revised Dec 2012.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012. "Strict local martingale deflators and valuing American call-type options," Finance and Stochastics, Springer, vol. 16(2), pages 275-291, April.
- Bayraktar, Erhan & Yao, Song, 2012.
"Quadratic reflected BSDEs with unbounded obstacles,"
Stochastic Processes and their Applications,
Elsevier, vol. 122(4), pages 1155-1203.
- Erhan Bayraktar & Song Yao, 2010. "Quadratic Reflected BSDEs with Unbounded Obstacles," Papers 1005.3565, arXiv.org, revised Mar 2011.
- Erhan Bayraktar & Virginia Young, 2011.
"Proving regularity of the minimal probability of ruin via a game of stopping and control,"
Finance and Stochastics,
Springer, vol. 15(4), pages 785-818, December.
- Erhan Bayraktar & Virginia R. Young, 2007. "Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control," Papers 0704.2244, arXiv.org, revised Aug 2010.
- Bayraktar, Erhan & Yao, Song, 2011.
"Optimal stopping for non-linear expectations--Part II,"
Stochastic Processes and their Applications,
Elsevier, vol. 121(2), pages 212-264, February.
- Bayraktar, Erhan & Yao, Song, 2011. "Optimal stopping for non-linear expectations--Part I," Stochastic Processes and their Applications, Elsevier, vol. 121(2), pages 185-211, February.
- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
"Minimizing the probability of lifetime ruin under stochastic volatility,"
Insurance: Mathematics and Economics,
Elsevier, vol. 49(2), pages 194-206, September.
- Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010. "Minimizing the Probability of Lifetime Ruin under Stochastic Volatility," Papers 1003.4216, arXiv.org, revised May 2011.
- Erhan Bayraktar & Hasanjan Sayit, 2010.
"On the stickiness property,"
Quantitative Finance,
Taylor & Francis Journals, vol. 10(10), pages 1109-1112.
- Erhan Bayraktar & Hasanjan Sayit, 2008. "On the Stickiness Property," Papers 0801.0718, arXiv.org, revised Sep 2009.
- Erhan Bayraktar & Hasanjan Sayit, 2010.
"No arbitrage conditions for simple trading strategies,"
Annals of Finance,
Springer, vol. 6(1), pages 147-156, January.
- Erhan Bayraktar & Hasanjan Sayit, 2008. "No Arbitrage Conditions For Simple Trading Strategies," Papers 0801.4047, arXiv.org, revised Jan 2009.
- Erhan Bayraktar & Masahiko Egami, 2010.
"A unified treatment of dividend payment problems under fixed cost and implementation delays,"
Computational Statistics,
Springer, vol. 71(2), pages 325-351, April.
- Erhan Bayraktar & Masahiko Egami, 2007. "A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays," Papers math/0703825, arXiv.org, revised Jan 2009.
- Bayraktar, Erhan & Ludkovski, Michael, 2009. "Sequential tracking of a hidden Markov chain using point process observations," Stochastic Processes and their Applications, Elsevier, vol. 119(6), pages 1792-1822, June.
- Erhan Bayraktar, 2009.
"On the perpetual American put options for level dependent volatility models with jumps,"
Quantitative Finance,
Taylor & Francis Journals, vol. 11(3), pages 335-341.
- Erhan Bayraktar, 2007. "On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps," Papers math/0703538, arXiv.org, revised Jan 2009.
- Bayraktar, Erhan & Young, Virginia R., 2009.
"Minimizing the lifetime shortfall or shortfall at death,"
Insurance: Mathematics and Economics,
Elsevier, vol. 44(3), pages 447-458, June.
- Erhan Bayraktar, 2007. "Minimizing the Lifetime Shortfall or Shortfall at Death," Papers math/0703824, arXiv.org.
- Erhan Bayraktar & Bo Yang, 2009. "Multi-Scale Time-Changed Birth Processes for Pricing Multi-Name Credit Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(5), pages 429-449.
- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
"Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 33(3), pages 676-691, March.
- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008. "Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities," Papers 0802.3250, arXiv.org.
- Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Computational Statistics, Springer, vol. 70(3), pages 505-525, December.
- Erhan Bayraktar & Virginia Young, 2008.
"Pricing options in incomplete equity markets via the instantaneous Sharpe ratio,"
Annals of Finance,
Springer, vol. 4(4), pages 399-429, October.
- Erhan Bayraktar & Virginia R. Young, 2007. "Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio," Papers math/0701650, arXiv.org, revised Jul 2007.
- Erhan Bayraktar & H. Poor, 2008.
"Optimal time to change premiums,"
Computational Statistics,
Springer, vol. 68(1), pages 125-158, August.
- Erhan Bayraktar & H. Vincent Poor, 2007. "Optimal Time to Change Premiums," Papers math/0703828, arXiv.org.
- E. Bayraktar, 2008. "Pricing Options on Defaultable Stocks," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 277-304.
- Erhan Bayraktar & Masahiko Egami, 2008.
"Optimizing venture capital investments in a jump diffusion model,"
Computational Statistics,
Springer, vol. 67(1), pages 21-42, February.
- Erhan Bayraktar & Masahiko Egami, 2007. "Optimizing Venture Capital Investments in a Jump Diffusion Model," Papers math/0703823, arXiv.org, revised Jul 2007.
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Mutual fund theorems when minimizing the probability of lifetime ruin,"
Finance Research Letters,
Elsevier, vol. 5(2), pages 69-78, June.
- Erhan Bayraktar & Virginia R. Young, 2007. "Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin," Papers 0705.0053, arXiv.org, revised Mar 2008.
- Bayraktar, Erhan & Young, Virginia R., 2008.
"Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin,"
Finance Research Letters,
Elsevier, vol. 5(4), pages 204-212, December.
- Erhan Bayraktar & Virginia R. Young, 2012. "Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin," Papers 1206.6268, arXiv.org.
- Erhan Bayraktar & Virginia Young, 2007.
"Correspondence between lifetime minimum wealth and utility of consumption,"
Finance and Stochastics,
Springer, vol. 11(2), pages 213-236, April.
- Erhan Bayraktar & Virginia R. Young, 2007. "Correspondence between Lifetime Minimum Wealth and Utility of Consumption," Papers math/0703820, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2007. "Hedging life insurance with pure endowments," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 435-444, May.
- Bayraktar, Erhan & Young, Virginia R., 2007.
"Minimizing the probability of lifetime ruin under borrowing constraints,"
Insurance: Mathematics and Economics,
Elsevier, vol. 41(1), pages 196-221, July.
- Erhan Bayraktar & Virginia R. Young, 2007. "Minimizing the Probability of Lifetime Ruin under Borrowing Constraints," Papers math/0703850, arXiv.org.
- Bayraktar, Erhan & Egami, Masahiko, 2007.
"The effects of implementation delay on decision-making under uncertainty,"
Stochastic Processes and their Applications,
Elsevier, vol. 117(3), pages 333-358, March.
- Erhan Bayraktar & Masahiko Egami, 2007. "The Effects of Implementation Delay on Decision-Making Under Uncertainty," Papers math/0703833, arXiv.org.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006.
"Projecting The Forward Rate Flow Onto A Finite Dimensional Manifold,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 9(05), pages 777-785.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003. "Projecting the Forward Rate Flow on a Finite Dimensional Manifold," Finance 0303007, EconWPA.
- Erhan Bayraktar & H. Vincent Poor, 2005. "Arbitrage In Fractal Modulated Black–Scholes Models When The Volatility Is Stochastic," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 283-300.
- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
"Consistency Problems for Jump-diffusion Models,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 12(2), pages 101-119.
- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003. "Consistency Problems For Jump-Diffusion Models," Finance 0304003, EconWPA.
- Bayraktar, Erhan & Dayanik, Savas & Karatzas, Ioannis, 2005. "The standard Poisson disorder problem revisited," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1437-1450, September.
NEP Fields
34 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):- NEP-CMP: Computational Economics (2) 2011-10-09 2012-07-08
- NEP-ECM: Econometrics (2) 2003-04-12 2013-08-16
- NEP-FDG: Financial Development & Growth (1) 2009-09-26
- NEP-FMK: Financial Markets (1) 2003-04-09
- NEP-GTH: Game Theory (1) 2010-09-18
- NEP-IAS: Insurance Economics (3) 2012-06-05 2012-10-27 2014-03-01
- NEP-MIC: Microeconomics (2) 2012-07-08 2013-01-12
- NEP-ORE: Operations Research (2) 2010-05-02 2010-08-28
- NEP-RMG: Risk Management (3) 2003-04-09 2012-07-08 2013-07-15
- NEP-SOG: Sociology of Economics (2) 2014-02-15 2014-02-15
- NEP-SPO: Sports & Economics (1) 2013-08-16
- NEP-UPT: Utility Models & Prospect Theory (7) 2010-10-30 2011-07-27 2012-06-05 2012-07-08 2013-07-20 2013-12-20 2014-02-15. Author is listed
Statistics
This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors
Most cited item
- Bayraktar, Erhan & Young, Virginia R., 2007. "Hedging life insurance with pure endowments," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 435-444, May.
Most downloaded item (past 12 months)
- Erhan Bayraktar & Sergey Nadtochiy, 2013. "Weak reflection principle for L\'evy processes," Papers 1308.2250, arXiv.org, revised Jul 2014.
Access and download statistics for all items
Co-authorship network on CollEc
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