Marek Musiela

Finance · 2001–2010

A researcher in the Science corpus: 8 papers; trusts 15 researchers and is trusted by 36 researchers here, as inferred from the citation graph.

Subfields

• Finance — 44 citations into it; #929 of 10,518 by trust here, #1,099 by citations
• Economics and Econometrics — 32 citations into it; #5,424 of 23,481 by trust here, #10,609 by citations
• Management Science and Operations Research — 15 citations into it; #10,003 of 11,946 by trust here, #10,893 by citations
• Demography — 8 citations into it; #2,664 of 4,236 by trust here, #3,433 by citations

Whom Marek Musiela trusts overall

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

1. Thaleia Zariphopoulou
2. Huyen Pham
3. Vicky Henderson
4. Jessica A. Wachter
5. Jun Liu
6. Marco Frittelli
7. Ioannis Karatzas
8. Julien Hugonnier
9. Dmitry O. Kramkov
10. Thomas Goll

Who trusts Marek Musiela overall

1. Thaleia Zariphopoulou
2. Michael Tehranchi
3. Damir Filipovi'c
4. Antoon Pelsser
5. Lisa Borland
6. Fred Espen Benth
7. Paul Glasserman
8. Damiano Brigo
9. Pauline Barrieu
10. Robert A. Jarrow

Papers from Marek Musiela's perspective

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

1. An example of indifference prices under exponential preferences (Finance and Stochastics)
2. On the Existence of Minimax Martingale Measures
3. Smooth Solutions to Optimal Investment Models with Stochastic Volatilities and Portfolio Constraints
4. Optimal consumption from investment and random endowment in incomplete semimartingale markets
5. On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper
6. VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
7. Optimal portfolios for logarithmic utility
8. Optimal investment in incomplete markets when wealth may become negative
9. Portfolio Selection in Stochastic Environments
10. Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (Journal of Financial and Quantitative Analysis)

Their papers

• An example of indifference prices under exponential preferences (2004) — 301 citations
• Portfolio choice under dynamic investment performance criteria (2009) — 116 citations
• Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007) — 83 citations
• Stochastic Partial Differential Equations and Portfolio Choice (2010) — 74 citations
• Optimal Asset Allocation under Forward Exponential Performance Criteria (2008) — 48 citations
• Correlations and bounds for stochastic volatility models (2007) — 107 citations
• Martingale Methods in Financial Modelling (2002) — 1,255 citations
• Option pricing, interest rates and risk management (2001) — 144 citations