# Erhan Bayraktar

## Personal Details

First Name: | Erhan |

Middle Name: | |

Last Name: | Bayraktar |

Suffix: | |

RePEc Short-ID: | pba1177 |

[This author has chosen not to make the email address public] | |

http://www.math.lsa.umich.edu/~erhan/ | |

## Affiliation

### Department of Mathematics, University of Michigan

http://www.lsa.umich.edu/math/USA, Ann Arbor

## Research output

Jump to: Working papers Articles### Working papers

- Erhan Bayraktar & Alexander Munk, 2017.
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**Mini-Flash Crashes, Model Risk, and Optimal Execution**," Papers 1705.09827, arXiv.org. - Erhan Bayraktar & Zhou Zhou, 2016.
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**Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty**," Papers 1604.04608, arXiv.org, revised Jun 2017.- Erhan Bayraktar & Zhou Zhou, 2017.
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**Super-Hedging American Options With Semi-Static Trading Strategies Under Model Uncertainty**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-10, September.

- Erhan Bayraktar & Zhou Zhou, 2017.
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- Erhan Bayraktar & Yuchong Zhang, 2016.
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**A rank based mean field game in the strong formulation**," Papers 1603.06312, arXiv.org, revised Oct 2016. - Erhan Bayraktar & Christopher W. Miller, 2016.
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**Distribution-Constrained Optimal Stopping**," Papers 1604.03042, arXiv.org, revised Jul 2017. - Erhan Bayraktar & Zhou Zhou, 2016.
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**No-arbitrage and hedging with liquid American options**," Papers 1605.01327, arXiv.org, revised Jan 2018. - Erhan Bayraktar & Alexander Munk, 2016.
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**High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering**," Papers 1605.03653, arXiv.org, revised Mar 2017. - Erhan Bayraktar & Jiaqi Li, 2016.
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**Stochastic Perron for Stochastic Target Problems**," Papers 1604.03906, arXiv.org, revised May 2016. - Erhan Bayraktar & Zhou Zhou, 2015.
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**Arbitrage, hedging and utility maximization using semi-static trading strategies with American options**," Papers 1502.06681, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Song Yao, 2015.
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**On the Robust Dynkin Game**," Papers 1506.09184, arXiv.org, revised Sep 2016. - Erhan Bayraktar & Virginia R. Young, 2015.
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**Optimally Investing to Reach a Bequest Goal**," Papers 1503.00961, arXiv.org, revised May 2016.- Bayraktar, Erhan & Young, Virginia R., 2016.
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**Optimally investing to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 1-10.

- Bayraktar, Erhan & Young, Virginia R., 2016.
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- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
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**Minimizing the Probability of Lifetime Drawdown under Constant Consumption**," Papers 1507.08713, arXiv.org, revised May 2016.- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
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**Minimizing the probability of lifetime drawdown under constant consumption**," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.

- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
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- Erhan Bayraktar & Asaf Cohen, 2015.
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**Risk Sensitive Control of the Lifetime Ruin Problem**," Papers 1503.05769, arXiv.org, revised Jul 2016. - Erhan Bayraktar & Xiang Yu, 2015.
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**Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices**," Papers 1504.00310, arXiv.org, revised Jul 2017. - Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
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**Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption**," Papers 1508.01914, arXiv.org, revised Aug 2015.- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
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**Minimizing the expected lifetime spent in drawdown under proportional consumption**," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.

- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
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- Erhan Bayraktar & Virginia R. Young & David Promislow, 2015.
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**Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case**," Papers 1503.02237, arXiv.org. - Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
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**Optimal Investment to Minimize the Probability of Drawdown**," Papers 1506.00166, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Song Yao, 2015.
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**Optimal Stopping with Random Maturity under Nonlinear Expectations**," Papers 1505.07533, arXiv.org, revised Jul 2016.- Bayraktar, Erhan & Yao, Song, 2017.
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**Optimal stopping with random maturity under nonlinear expectations**," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2586-2629.

- Bayraktar, Erhan & Yao, Song, 2017.
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- Erhan Bayraktar & Alexander Munk, 2014.
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**An $\alpha$-stable limit theorem under sublinear expectation**," Papers 1409.7960, arXiv.org, revised Jun 2016. - Erhan Bayraktar & David Promislow & Virginia Young, 2014.
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**Purchasing Life Insurance to Reach a Bequest Goal**," Papers 1402.5300, arXiv.org, revised Jul 2014.- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
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**Purchasing life insurance to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 204-216.

- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
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- Erhan Bayraktar & Zhou Zhou, 2014.
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**On a Stopping Game in continuous time**," Papers 1409.6773, arXiv.org, revised Jul 2015. - Erhan Bayraktar & Gu Wang, 2014.
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**Quantile Hedging in a Semi-Static Market with Model Uncertainty**," Papers 1408.4848, arXiv.org, revised Sep 2017. - Erhan Bayraktar & Zhou Zhou, 2014.
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**On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints**," Papers 1402.2596, arXiv.org, revised Mar 2015.- Erhan Bayraktar & Zhou Zhou, 2017.
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**On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints**," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 988-1012, October.

- Erhan Bayraktar & Zhou Zhou, 2017.
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- Erhan Bayraktar & Zhou Zhou, 2014.
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**On Zero-sum Optimal Stopping Games**," Papers 1408.3692, arXiv.org, revised Mar 2017. - Erhan Bayraktar & David Promislow & Virginia Young, 2014.
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**Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming**," Papers 1412.2262, arXiv.org, revised Feb 2016. - Erhan Bayraktar & Alexander Munk, 2014.
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**Comparing the $G$-Normal Distribution to its Classical Counterpart**," Papers 1407.5139, arXiv.org, revised Dec 2014. - Erhan Bayraktar & Yuchong Zhang, 2014.
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**Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs**," Papers 1404.7406, arXiv.org, revised Nov 2014. - Erhan Bayraktar & Yuchong Zhang, 2014.
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**Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion**," Papers 1402.1809, arXiv.org, revised Nov 2014. - Erhan Bayraktar & Song Yao, 2014.
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**Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games**," Papers 1412.2053, arXiv.org, revised Jul 2015.- Bayraktar, Erhan & Yao, Song, 2015.
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**Doubly reflected BSDEs with integrable parameters and related Dynkin games**," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.

- Bayraktar, Erhan & Yao, Song, 2015.
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- Erhan Bayraktar & Jiaqi Li, 2014.
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**Stochastic Perron for stochastic target games**," Papers 1408.6799, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Zhou Zhou, 2013.
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**On model-independent pricing/hedging using shortfall risk and quantiles**," Papers 1307.2493, arXiv.org. - Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013.
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**A note on the Fundamental Theorem of Asset Pricing under model uncertainty**," Papers 1309.2728, arXiv.org, revised Sep 2014.- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
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**A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty**," Risks, MDPI, Open Access Journal, vol. 2(4), pages 1-9, October.

- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
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- Erhan Bayraktar & Yuchong Zhang, 2013.
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**Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty**," Papers 1309.1420, arXiv.org, revised Aug 2015.- Erhan Bayraktar & Yuchong Zhang, 2016.
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**Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty**," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1039-1054, August.

- Erhan Bayraktar & Yuchong Zhang, 2016.
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- Erhan Bayraktar & Xiang Yu, 2013.
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**On the Market Viability under Proportional Transaction Costs**," Papers 1312.3917, arXiv.org, revised Jan 2017. - Erhan Bayraktar & Zhou Zhou, 2013.
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**On an Optimal Stopping Problem of an Insider**," Papers 1301.3100, arXiv.org, revised Apr 2015. - Erhan Bayraktar & Sergey Nadtochiy, 2013.
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**Weak reflection principle for L\'evy processes**," Papers 1308.2250, arXiv.org, revised Oct 2015. - Erhan Bayraktar & Song Yao, 2013.
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**On the Robust Optimal Stopping Problem**," Papers 1301.0091, arXiv.org, revised Apr 2016. - Erhan Bayraktar & Yu-Jui Huang & Zhou Zhou, 2013.
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**On hedging American options under model uncertainty**," Papers 1309.2982, arXiv.org, revised Apr 2015. - Erhan Bayraktar & Zhou Zhou, 2013.
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**On utility maximization with derivatives under model uncertainty**," Papers 1307.4813, arXiv.org. - Erhan Bayraktar & Virginia R. Young, 2012.
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**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.
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**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.

- Bayraktar, Erhan & Young, Virginia R., 2008.
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- Erhan Bayraktar & Virginia R. Young, 2012.
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**Life Insurance Purchasing to Maximize Utility of Household Consumption**," Papers 1205.5958, arXiv.org, revised Jun 2013. - Erhan Bayraktar & Mike Ludkovski, 2012.
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**Inventory Management with Partially Observed Nonstationary Demand**," Papers 1206.6283, arXiv.org.- Erhan Bayraktar & Michael Ludkovski, 2010.
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**Inventory management with partially observed nonstationary demand**," Annals of Operations Research, Springer, vol. 176(1), pages 7-39, April.

- Erhan Bayraktar & Michael Ludkovski, 2010.
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- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
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**On optimal dividends in the dual model**," Papers 1211.7365, arXiv.org, revised Jun 2013.- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
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**On Optimal Dividends In The Dual Model**," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.

- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
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- Erhan Bayraktar & Zhou Zhou, 2012.
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**On controller-stopper problems with jumps and their applications to indifference pricing of American options**," Papers 1212.4894, arXiv.org, revised Nov 2013. - Nicole Bauerle & Erhan Bayraktar, 2012.
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**A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance**," Papers 1210.3800, arXiv.org, revised Jul 2013. - Erhan Bayraktar & Michael Ludkovski, 2011.
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**Liquidation in Limit Order Books with Controlled Intensity**," Papers 1105.0247, arXiv.org, revised Jan 2012.- Erhan Bayraktar & Michael Ludkovski, 2014.
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**Liquidation In Limit Order Books With Controlled Intensity**," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.

- Erhan Bayraktar & Michael Ludkovski, 2014.
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- Erhan Bayraktar & Arash Fahim, 2011.
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**A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems**," Papers 1109.5752, arXiv.org, revised Nov 2013. - Erhan Bayraktar & Ross Kravitz, 2011.
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**Stability of exponential utility maximization with respect to market perturbations**," Papers 1107.2716, arXiv.org, revised Dec 2012.- Bayraktar, Erhan & Kravitz, Ross, 2013.
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**Stability of exponential utility maximization with respect to market perturbations**," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1671-1690.

- Bayraktar, Erhan & Kravitz, Ross, 2013.
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- Erhan Bayraktar & Yu-Jui Huang, 2011.
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**Robust maximization of asymptotic growth under covariance uncertainty**," Papers 1107.2988, arXiv.org, revised Sep 2013. - Erhan Bayraktar & Song Yao, 2010.
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**Quadratic Reflected BSDEs with Unbounded Obstacles**," Papers 1005.3565, arXiv.org, revised Mar 2011.- Bayraktar, Erhan & Yao, Song, 2012.
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**Quadratic reflected BSDEs with unbounded obstacles**," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1155-1203.

- Bayraktar, Erhan & Yao, Song, 2012.
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- Erhan Bayraktar & Ross Kravitz, 2010.
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**On the Stability of Utility Maximization Problems**," Papers 1010.4322, arXiv.org, revised Mar 2011. - Erhan Bayraktar & Xueying Hu & Virginia R. Young, 2010.
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**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.
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**Minimizing the probability of lifetime ruin under stochastic volatility**," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.

- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011.
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- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
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**Valuation equations for stochastic volatility models**," Papers 1004.3299, arXiv.org, revised Dec 2011.- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012.
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**Valuation equations for stochastic volatility models**," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.

- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012.
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- Erhan Bayraktar & Yu-Jui Huang & Qingshuo Song, 2010.
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**Outperforming the market portfolio with a given probability**," Papers 1006.3224, arXiv.org, revised Aug 2012. - Erhan Bayraktar & Yu-Jui Huang, 2010.
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**On the Multi-Dimensional Controller and Stopper Games**," Papers 1009.0932, arXiv.org, revised Jan 2013. - Erhan Bayraktar & Ioannis Karatzas & Song Yao, 2009.
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**Optimal Stopping for Dynamic Convex Risk Measures**," Papers 0909.4948, arXiv.org, revised Nov 2009. - Erhan Bayraktar & Hao Xing, 2009.
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**Regularity of the Optimal Stopping Problem for Jump Diffusions**," Papers 0902.2479, arXiv.org, revised Mar 2012. - Erhan Bayraktar & Song Yao, 2009.
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**Optimal Stopping for Non-linear Expectations**," Papers 0905.3601, arXiv.org, revised Jan 2011. - Erhan Bayraktar & Hao Xing, 2009.
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**On the uniqueness of classical solutions of Cauchy problems**," Papers 0908.1086, arXiv.org, revised Sep 2009. - Erhan Bayraktar & Mike Ludkovski, 2009.
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**Optimal Trade Execution in Illiquid Markets**," Papers 0902.2516, arXiv.org. - Erhan Bayraktar & Mikko S. Pakkanen & Hasanjan Sayit, 2009.
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**On the Existence of Consistent Price Systems**," Papers 0911.3789, arXiv.org, revised Jun 2013. - Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2009.
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**Strict Local Martingale Deflators and Pricing American Call-Type Options**," Papers 0908.1082, arXiv.org, revised Dec 2009. - Erhan Bayraktar & Hasanjan Sayit, 2008.
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**On the Stickiness Property**," Papers 0801.0718, arXiv.org, revised Sep 2009.- Erhan Bayraktar & Hasanjan Sayit, 2010.
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**On the stickiness property**," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1109-1112.

- Erhan Bayraktar & Hasanjan Sayit, 2010.
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- Erhan Bayraktar & Hasanjan Sayit, 2008.
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**No Arbitrage Conditions For Simple Trading Strategies**," Papers 0801.4047, arXiv.org, revised Jan 2009.- Erhan Bayraktar & Hasanjan Sayit, 2010.
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**No arbitrage conditions for simple trading strategies**," Annals of Finance, Springer, vol. 6(1), pages 147-156, January.

- Erhan Bayraktar & Hasanjan Sayit, 2010.
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- Erhan Bayraktar & Virginia R. Young, 2008.
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**Minimizing the Probability of Ruin when Consumption is Ratcheted**," Papers 0806.2358, arXiv.org. - Erhan Bayraktar & Virginia R. Young, 2008.
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**Optimal Investment Strategy to Minimize Occupation Time**," Papers 0805.3981, arXiv.org, revised Nov 2008.- Erhan Bayraktar & Virginia Young, 2010.
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**Optimal investment strategy to minimize occupation time**," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.

- Erhan Bayraktar & Virginia Young, 2010.
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- Erhan Bayraktar & Moshe Milevsky & David Promislow & Virginia Young, 2008.
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**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.
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**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.

- Bayraktar, Erhan & Milevsky, Moshe A. & David Promislow, S. & Young, Virginia R., 2009.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin**," Papers 0705.0053, arXiv.org, revised Mar 2008.- Bayraktar, Erhan & Young, Virginia R., 2008.
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**Mutual fund theorems when minimizing the probability of lifetime ruin**," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.

- Bayraktar, Erhan & Young, Virginia R., 2008.
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- Erhan Bayraktar & H. Vincent Poor, 2007.
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**Optimal Time to Change Premiums**," Papers math/0703828, arXiv.org.- Erhan Bayraktar & H. Poor, 2008.
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**Optimal time to change premiums**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 125-158, August.

- Erhan Bayraktar & H. Poor, 2008.
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- Erhan Bayraktar & Masahiko Egami, 2007.
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**Optimizing Venture Capital Investments in a Jump Diffusion Model**," Papers math/0703823, arXiv.org, revised Jul 2007.- Erhan Bayraktar & Masahiko Egami, 2008.
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**Optimizing venture capital investments in a jump diffusion model**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 21-42, February.

- Erhan Bayraktar & Masahiko Egami, 2008.
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- Erhan Bayraktar, 2007.
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**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 & Masahiko Egami, 2007.
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**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.
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**A unified treatment of dividend payment problems under fixed cost and implementation delays**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 325-351, April.

- Erhan Bayraktar & Masahiko Egami, 2010.
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- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
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**A Limit Theorem for Financial Markets with Inert Investors**," Papers math/0703831, arXiv.org.- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2006.
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**A Limit Theorem for Financial Markets with Inert Investors**," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 789-810, November.

- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2006.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Minimizing the Probability of Lifetime Ruin under Borrowing Constraints**," Papers math/0703850, arXiv.org.- Bayraktar, Erhan & Young, Virginia R., 2007.
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**Minimizing the probability of lifetime ruin under borrowing constraints**," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.

- Bayraktar, Erhan & Young, Virginia R., 2007.
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- Erhan Bayraktar, 2007.
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**On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps**," Papers math/0703538, arXiv.org, revised Jan 2009.- Erhan Bayraktar, 2009.
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**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, 2009.
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- Erhan Bayraktar & H. Vincent Poor & Ronnie Sircar, 2007.
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**Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis**," Papers math/0703834, arXiv.org.- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
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**Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.

- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**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.
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**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 Young, 2011.
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- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
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**Queueing Theoretic Approaches to Financial Price Fluctuations**," Papers math/0703832, arXiv.org. - Erhan Bayraktar & Masahiko Egami, 2007.
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**The Effects of Implementation Delay on Decision-Making Under Uncertainty**," Papers math/0703833, arXiv.org.- Bayraktar, Erhan & Egami, Masahiko, 2007.
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**The effects of implementation delay on decision-making under uncertainty**," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 333-358, March.

- Bayraktar, Erhan & Egami, Masahiko, 2007.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin**," Papers math/0703862, arXiv.org, revised Oct 2007. - Erhan Bayraktar, 2007.
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**Minimizing the Lifetime Shortfall or Shortfall at Death**," Papers math/0703824, arXiv.org.- Bayraktar, Erhan & Young, Virginia R., 2009.
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**Minimizing the lifetime shortfall or shortfall at death**," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.

- Bayraktar, Erhan & Young, Virginia R., 2009.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio**," Papers math/0701650, arXiv.org, revised Jul 2007.- Erhan Bayraktar & Virginia Young, 2008.
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**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 Young, 2008.
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- Erhan Bayraktar & Virginia R. Young, 2007.
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**Correspondence between Lifetime Minimum Wealth and Utility of Consumption**," Papers math/0703820, arXiv.org.- Erhan Bayraktar & Virginia Young, 2007.
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**Correspondence between lifetime minimum wealth and utility of consumption**," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April.

- Erhan Bayraktar & Virginia Young, 2007.
"
- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
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**Consistency Problems For Jump-Diffusion Models**," Finance 0304003, EconWPA.- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2005.
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**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, 2005.
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- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2003.
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**Projecting the Forward Rate Flow on a Finite Dimensional Manifold**," Finance 0303007, EconWPA.- Erhan Bayraktar & Li Chen & H. Vincent Poor, 2006.
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**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, 2006.
"

### Articles

- Erhan Bayraktar & Zhou Zhou, 2017.
"
**Super-Hedging American Options With Semi-Static Trading Strategies Under Model Uncertainty**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(06), pages 1-10, September.- Erhan Bayraktar & Zhou Zhou, 2016.
"
**Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty**," Papers 1604.04608, arXiv.org, revised Jun 2017.

- Erhan Bayraktar & Zhou Zhou, 2016.
"
- Erhan Bayraktar & Zhou Zhou, 2017.
"
**On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints**," Mathematical Finance, Wiley Blackwell, vol. 27(4), pages 988-1012, October.- Erhan Bayraktar & Zhou Zhou, 2014.
"
**On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints**," Papers 1402.2596, arXiv.org, revised Mar 2015.

- Erhan Bayraktar & Zhou Zhou, 2014.
"
- Bayraktar, Erhan & Yao, Song, 2017.
"
**Optimal stopping with random maturity under nonlinear expectations**," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2586-2629.- Erhan Bayraktar & Song Yao, 2015.
"
**Optimal Stopping with Random Maturity under Nonlinear Expectations**," Papers 1505.07533, arXiv.org, revised Jul 2016.

- Erhan Bayraktar & Song Yao, 2015.
"
- Bayraktar, Erhan & Young, Virginia R., 2016.
"
**Optimally investing to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 1-10.- Erhan Bayraktar & Virginia R. Young, 2015.
"
**Optimally Investing to Reach a Bequest Goal**," Papers 1503.00961, arXiv.org, revised May 2016.

- Erhan Bayraktar & Virginia R. Young, 2015.
"
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"
**Minimizing the probability of lifetime drawdown under constant consumption**," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Minimizing the Probability of Lifetime Drawdown under Constant Consumption**," Papers 1507.08713, arXiv.org, revised May 2016.

- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
- Erhan Bayraktar & Yuchong Zhang, 2016.
"
**Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty**," Mathematics of Operations Research, INFORMS, vol. 41(3), pages 1039-1054, August.- Erhan Bayraktar & Yuchong Zhang, 2013.
"
**Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty**," Papers 1309.1420, arXiv.org, revised Aug 2015.

- Erhan Bayraktar & Yuchong Zhang, 2013.
"
- Bayraktar, Erhan & Yao, Song, 2015.
"
**Doubly reflected BSDEs with integrable parameters and related Dynkin games**," Stochastic Processes and their Applications, Elsevier, vol. 125(12), pages 4489-4542.- Erhan Bayraktar & Song Yao, 2014.
"
**Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games**," Papers 1412.2053, arXiv.org, revised Jul 2015.

- Erhan Bayraktar & Song Yao, 2014.
"
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"
**Minimizing the expected lifetime spent in drawdown under proportional consumption**," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
**Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption**," Papers 1508.01914, arXiv.org, revised Aug 2015.

- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015.
"
- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2014.
"
**A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty**," Risks, MDPI, Open Access Journal, vol. 2(4), pages 1-9, October.- 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 Sep 2014.

- Erhan Bayraktar & Yuchong Zhang & Zhou Zhou, 2013.
"
- Erhan Bayraktar & Michael Ludkovski, 2014.
"
**Liquidation In Limit Order Books With Controlled Intensity**," Mathematical Finance, Wiley Blackwell, vol. 24(4), pages 627-650, October.- Erhan Bayraktar & Michael Ludkovski, 2011.
"
**Liquidation in Limit Order Books with Controlled Intensity**," Papers 1105.0247, arXiv.org, revised Jan 2012.

- Erhan Bayraktar & Michael Ludkovski, 2011.
"
- 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 & Promislow, S. David & Young, Virginia R., 2014.
"
**Purchasing life insurance to reach a bequest goal**," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 204-216.- Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
**Purchasing Life Insurance to Reach a Bequest Goal**," Papers 1402.5300, arXiv.org, revised Jul 2014.

- Erhan Bayraktar & David Promislow & Virginia Young, 2014.
"
- 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 & 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 & Ross Kravitz, 2011.
"
- Bayraktar, Erhan & Kyprianou, Andreas E. & Yamazaki, Kazutoshi, 2013.
"
**On Optimal Dividends In The Dual Model**," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 43(03), pages 359-372, September.- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 2012.
"
**On optimal dividends in the dual model**," Papers 1211.7365, arXiv.org, revised Jun 2013.

- Erhan Bayraktar & Andreas Kyprianou & Kazutoshi Yamazaki, 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 & Song Yao, 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 & Yao, Song, 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 & 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 & Xueying Hu & Virginia R. Young, 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 & 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 R. Young, 2007.
"
- 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 & Hasanjan Sayit, 2008.
"
- 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, 2008.
"
- Erhan Bayraktar & Virginia Young, 2010.
"
**Optimal investment strategy to minimize occupation time**," Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.- Erhan Bayraktar & Virginia R. Young, 2008.
"
**Optimal Investment Strategy to Minimize Occupation Time**," Papers 0805.3981, arXiv.org, revised Nov 2008.

- Erhan Bayraktar & Virginia R. Young, 2008.
"
- Erhan Bayraktar & Masahiko Egami, 2010.
"
**On the One-Dimensional Optimal Switching Problem**," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 140-159, February. - Erhan Bayraktar & Michael Ludkovski, 2010.
"
**Inventory management with partially observed nonstationary demand**," Annals of Operations Research, Springer, vol. 176(1), pages 7-39, April.- Erhan Bayraktar & Mike Ludkovski, 2012.
"
**Inventory Management with Partially Observed Nonstationary Demand**," Papers 1206.6283, arXiv.org.

- Erhan Bayraktar & Mike Ludkovski, 2012.
"
- Erhan Bayraktar & Masahiko Egami, 2010.
"
**A unified treatment of dividend payment problems under fixed cost and implementation delays**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), 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.

- Erhan Bayraktar & Masahiko Egami, 2007.
"
- 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.

- Erhan Bayraktar, 2007.
"
- 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. - Erhan Bayraktar & Hao Xing, 2009.
"
**Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December. - 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 & Moshe Milevsky & David Promislow & Virginia Young, 2008.
"
- 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. - 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, 2007.
"
- Erhan Bayraktar & Masahiko Egami, 2008.
"
**Optimizing venture capital investments in a jump diffusion model**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), 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.

- Erhan Bayraktar & Masahiko Egami, 2007.
"
- 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 R. Young, 2012.
"
- E. Bayraktar, 2008.
"
**Pricing Options on Defaultable Stocks**," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(3), pages 277-304. - 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 & Virginia R. Young, 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.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Erhan Bayraktar & Masahiko Egami, 2008.
"
**An Analysis of Monotone Follower Problems for Diffusion Processes**," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 336-350, May. - Erhan Bayraktar & H. Poor, 2008.
"
**Optimal time to change premiums**," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 68(1), pages 125-158, August.- Erhan Bayraktar & H. Vincent Poor, 2007.
"
**Optimal Time to Change Premiums**," Papers math/0703828, arXiv.org.

- Erhan Bayraktar & H. Vincent Poor, 2007.
"
- Bayraktar, Erhan & Young, Virginia R., 2007.
"
**Hedging life insurance with pure endowments**," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 435-444, May. - 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.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- 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 & Masahiko Egami, 2007.
"
- 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.

- Erhan Bayraktar & Virginia R. Young, 2007.
"
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2006.
"
**A Limit Theorem for Financial Markets with Inert Investors**," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 789-810, November.- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"
**A Limit Theorem for Financial Markets with Inert Investors**," Papers math/0703831, arXiv.org.

- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007.
"
- 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 & Li Chen & H. Vincent Poor, 2003.
"
- Erhan Bayraktar & Savas Dayanik, 2006.
"
**Poisson Disorder Problem with Exponential Penalty for Delay**," Mathematics of Operations Research, INFORMS, vol. 31(2), pages 217-233, May. - 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. - 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. - 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.

- Li Chen & Erhan Bayraktar & H. Vincent Poor, 2003.
"
- Erhan Bayraktar & H. Vincent Poor & K. Ronnie Sircar, 2004.
"
**Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis**," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(05), pages 615-643.- 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 & H. Vincent Poor & Ronnie Sircar, 2007.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### Rankings

This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
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### Co-authorship network on CollEc

### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 56 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-UPT:
**Utility Models & Prospect Theory**(10) 2010-10-30 2011-07-27 2012-06-05 2012-07-08 2013-07-20 2013-12-20 2014-02-15 2015-02-28 2015-03-05 2015-04-11. Author is listed - NEP-GTH:
**Game Theory**(6) 2010-09-18 2014-08-25 2014-09-05 2014-10-22 2016-04-09 2016-05-14. Author is listed - NEP-RMG:
**Risk Management**(6) 2003-04-09 2012-07-08 2013-07-15 2014-08-25 2015-03-13 2015-06-05. Author is listed - NEP-IAS: Insurance Economics (4) 2012-06-05 2012-10-27 2014-03-01 2015-01-03
- NEP-HPE: History & Philosophy of Economics (3) 2014-10-22 2015-07-04 2016-05-14
- NEP-MIC: Microeconomics (3) 2012-07-08 2013-01-12 2016-05-14
- NEP-ORE: Operations Research (3) 2010-05-02 2010-08-28 2014-09-05
- NEP-CMP: Computational Economics (2) 2011-10-09 2012-07-08
- NEP-ECM: Econometrics (2) 2003-04-12 2013-08-16
- NEP-MST: Market Microstructure (2) 2015-02-28 2017-06-04
- NEP-SOG: Sociology of Economics (2) 2014-02-15 2014-02-15
- NEP-AGE: Economics of Ageing (1) 2015-03-13
- NEP-DCM: Discrete Choice Models (1) 2017-06-04
- NEP-FDG: Financial Development & Growth (1) 2009-09-26
- NEP-FMK: Financial Markets (1) 2003-04-09
- NEP-GER: German Papers (1) 2015-08-30
- NEP-MFD: Microfinance (1) 2015-03-05
- NEP-PKE: Post Keynesian Economics (1) 2016-05-08
- NEP-SPO: Sports & Economics (1) 2013-08-16

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