Thaleia Zariphopoulou

Thaleia Zariphopoulou's AcademicInfluence.com Rankings

Business

#588

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#646

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Finance

#66

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#70

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Thaleia Zariphopoulou

Mathematics

#3251

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#4843

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Mathematical Finance

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Historical Rank

Measure Theory

#3257

World Rank

#3850

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mathematics Degrees

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Why Is Thaleia Zariphopoulou Influential?

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According to Wikipedia, Thaleia Zariphopoulou is a Greek-American mathematician specializing in mathematical finance. She is the Chair in Mathematics and the V. H. Neuhaus Centennial Professor of Finance at the University of Texas at Austin.

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Thaleia Zariphopoulou's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

European option pricing with transaction costs (1993) (415)
A solution approach to valuation with unhedgeable risks (2001) (342)
An example of indifference prices under exponential preferences (2004) (293)
Hedging in incomplete markets with HARA utility (1997) (230)
Consumption-investment models with constraints (1991) (142)
Bounds on prices of contingent claims in an intertemporal economy with proportional transaction costs and general preferences (1999) (137)
A valuation algorithm for indifference prices in incomplete markets (2004) (105)
An Optimal Investment/Consumption Model with Borrowing (1991) (101)
Portfolio choice under dynamic investment performance criteria (2009) (101)
Investment-consumption models with transaction fees and Markov-chain parameters (1992) (96)
Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (2002) (92)
Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities (1999) (89)
Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random (2004) (86)
Portfolio Choice under Space-Time Monotone Performance Criteria (2010) (86)
Mean field and n‐agent games for optimal investment under relative performance criteria (2017) (82)
American options and transaction fees (1995) (79)
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007) (78)
Optimal Investment With Undiversifiable Income Risk (1993) (77)
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017) (75)
Stochastic Partial Differential Equations and Portfolio Choice (2010) (71)
Reinforcement Learning in Continuous Time and Space: A Stochastic Control Approach (2020) (65)
Numerical schemes for investment models with singular transactions (1994) (62)
Optimal investment and consumption models with non-linear stock dynamics (1999) (55)
Pricing early exercise contracts in incomplete markets (2003) (55)
Optimal Consumption and Portfolio Choice With Borrowing Constraints (2015) (52)
Optimal Asset Allocation under Forward Exponential Performance Criteria (2008) (43)
Utility valuation of multi-name credit derivatives and application to CDOs (2010) (39)
Turnpike behavior of long-term investments (1999) (34)
Optimal Environmental Management in the Presence of Irreversibilities (2001) (33)
Viscosity Solutions and Numerical Schemes for Investment / Consumption Models with Transaction Costs (1997) (31)
Maturity-independent risk measures (2007) (31)
Entropy Regularization for Mean Field Games with Learning (2020) (31)
A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (2014) (30)
Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations (2015) (29)
Investments and forward utilities (2006) (28)
Utility valuation of credit derivatives: Single and two-name cases (2007) (27)
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models Via Ergodic and Infinite Horizon BSDE (2015) (25)
Optimal asset allocation in a stochastic factor model-an overview and open problems (2009) (25)
Exploration versus Exploitation in Reinforcement Learning: A Stochastic Control Approach (2018) (24)
Stochastic control methods in asset pricing (2001) (23)
Optimal Investment - Consumption Models With Constraints (1989) (23)
Credit Derivatives and Risk Aversion (2007) (22)
Dynamic Asset Allocation and Consumption Choice in Incomplete Markets (2005) (22)
Investment-consumption models with transaction costs and Markov-chain parameters (1990) (22)
Forward indifference valuation of American options (2011) (20)
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (2016) (20)
Portfolio Optimization & Stochastic Volatility Asymptotics (2013) (20)
Indifference Prices and Related Measures (2001) (19)
Pricing insurance via stochastic control: Optimal consumption and terminal wealth (2004) (19)
Dynamically consistent investment under model uncertainty: the robust forward criteria (2018) (18)
Investment Performance Measurement Under Asymptotically Linear Local Risk Tolerance1 (2009) (18)
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA (2011) (18)
Utility Valuation of Credit Derivatives and Application to CDOs (2006) (17)
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion (2019) (17)
Personalized Robo-Advising: Enhancing Investment through Client Interactions (2019) (17)
Computation of distorted probabilities for diffusion processes via stochastic control methods (2000) (15)
Time-Consistent Investment Under Model Uncertainty: The Robust Forward Criteria (2013) (15)
Predictable Forward Performance Processes: The Binomial Case (2016) (14)
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets (2013) (14)
Indi erence Prices of Early Exercise Claims (2003) (14)
Indifference valuation in incomplete binomial models (2010) (13)
$N$-player and Mean-field Games in It\^{o}-diffusion Markets with Competitive or Homophilous Interaction (2021) (12)
Qualitative Analysis of Optimal Investment Strategies in Log-Normal Markets (2014) (12)
Personalized Robo-Advising: Enhancing Investment Through Client Interaction (2021) (12)
Numerical Schemes for Variational Inequalities Arising in International Asset Pricing (2001) (9)
The single period binomial model (2008) (9)
An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians (2018) (8)
Competition in Fund Management and Forward Relative Performance Criteria (2020) (7)
On the Optimal Wealth Process in a Log-Normal Market: Applications to Risk Management (2014) (6)
Portfolio Selection with Transaction Costs (1995) (5)
A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Consumption and Portfolio Decisions (2003) (5)
Stochastic analysis and applications 2014 : in honour of Terry Lyons (2014) (5)
Passive and Competitive Investment Strategies under Relative Forward Performance Criteria (2017) (5)
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints (2018) (5)
Computational Medicine, Present and the Future: Obstetrics and Gynecology Perspective. (2020) (5)
Stochastic Analysis and Applications 2014 (2014) (4)
Temporal and Spatial Turnpike-Type Results Under Forward Time-Monotone Performance Criteria (2017) (4)
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior (2018) (4)
Forward Exponential Indifference Valuation in an Incomplete Binomial Model (2016) (3)
Comment on ‘The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices’ (1999) (3)
On the Black's equation for the risk tolerance function (2017) (3)
Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic factor models (2015) (3)
Chapter One. The Single Period Binomial Model (2008) (3)
Dynamically consistent investment under model uncertainty: the robust forward criteria (2018) (2)
On Level Curves of Value Functions in Optimization Models of Expected Utility (2000) (2)
A pricing algorithm for incomplete markets (2002) (2)
On the analyticity of the value function in optimal investment (2020) (1)
Forward performance processes in incomplete markets and ill-posed HJB equations (2015) (1)
Initial investment choice and optimal future allocations (2010) (1)
Inspired by finance : the Musiela Festschrift (2014) (1)
Personalized Robo-Advising : an Interactive Investment Process (2019) (0)
Maturity-independent risk measures ( an abridged version ) (2008) (0)
A Hopf-Lax splitting approximation for semilinear parabolic PDEs with convex and quadratic growth gradients (2018) (0)
2 0 M ay 2 01 8 Predictable Forward Performance Processes : The Binomial Case ∗ (2018) (0)
M F ] 1 9 M ar 2 01 9 Predictable Forward Performance Processes : The Binomial Case ∗ (2021) (0)
2 Forward Investment Performance Measurement and Indifference Valuation (2010) (0)
Options: Current perspectives (2007) (0)
Exponential forward indi ¤ erence prices in incomplete binomial models (2015) (0)
1 New approximations in local volatility models (2017) (0)
Merton Problem under Fast Mean-Reverting Stochastic Volatility (2014) (0)
An ergodic BSDE approach to entropic risk measure and its large time behavior (2016) (0)
Topics in portfolio choice: qualitative properties, time consistency and investment under model uncertainty (2014) (0)
In memoriam: Mark H. A. Davis and his contributions to mathematical finance (2021) (0)
Stochastic modeling and methods in optimal portfolio construction (2021) (0)
One The Single Period Binomial Model (2008) (0)
Asset valuation with unhedgeable risks (1999) (0)
A note on the minimal martingale and the minimal entropy measures in incomplete binomial models (2008) (0)
Free Boundary Problems in Asset Pricing with Transaction Costs (2001) (0)
Pricing Models with Transaction Fees (1999) (0)

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Thaleia Zariphopoulou's Academic­Influence.com Rankings

Why Is Thaleia Zariphopoulou Influential?

Thaleia Zariphopoulou's Published Works

Published Works

Other Resources About Thaleia Zariphopoulou

What Schools Are Affiliated With Thaleia Zariphopoulou?

Thaleia Zariphopoulou's AcademicInfluence.com Rankings