Paolo Guasoni

Finance · 2000–2012

A researcher in the Science corpus: 7 papers; trusts 17 researchers and is trusted by 18 researchers here, as inferred from the citation graph.

Subfields

• Finance — 50 citations into it; #1,490 of 10,518 by trust here, #3,946 by citations
• Economics and Econometrics — 35 citations into it; #3,338 of 23,481 by trust here, #11,468 by citations
• Management Science and Operations Research — 13 citations into it; #5,952 of 11,946 by trust here, #10,392 by citations

Whom Paolo Guasoni trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Walter Schachermayer
2. Yuri M. Kabanov
3. Christian Bender
4. Nicholas Barberis
5. Patrick Cheridito
6. Freddy Delbaen
7. Tommi Sottinen
8. Esko Valkeila
9. Marco Frittelli
10. Vladas Pipiras

Who trusts Paolo Guasoni overall

1. Peter K. Friz
2. T. Cass
3. Christian Bender
4. Walter Schachermayer
5. Miklós Rásonyi
6. Christoph Czichowsky
7. Nicolas Victoir
8. Min Dai
9. Tommi Sottinen
10. Christian Litterer

Papers from Paolo Guasoni's perspective

Ordered by how strongly the researchers Paolo Guasoni trusts endorse each paper. Same corpus, a different order for every researcher.

1. Arbitrage with fractional Brownian motion
2. Consistent price systems and face-lifting pricing under transaction costs
3. NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
4. The fundamental theorem of asset pricing for continuous processes under small transaction costs
5. Arbitrage Opportunities for a Class of Gladyshev Processes
6. The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
7. Arbitrage in fractional Brownian motion models (Finance and Stochastics)
8. The Malliavin Calculus and Related Topics
9. The Empirical Analysis of Long-term Memory in Stock Market
10. The Mathematics of Arbitrage

Their papers

• Consistent price systems and face-lifting pricing under transaction costs (2008) — 139 citations
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006) — 203 citations
• The fundamental theorem of asset pricing for continuous processes under small transaction costs (2010) — 131 citations
• Optimal investment with transaction costs and without semimartingales (2002) — 57 citations
• DYNAMIC TRADING VOLUME (2012) — 47 citations
• Portfolios and risk premia for the long run. (2012) — 56 citations
• Mean‐Variance Hedging for Stochastic Volatility Models (2000) — 77 citations