Kardaras, Constantinos

Number of items: 47.
None
  • Kardaras, Constantinos (2015). Maximality and numéraires in convex sets of nonnegative random variables. Journal of Functional Analysis, 268(11), 3219-3231. https://doi.org/10.1016/j.jfa.2015.03.011
  • Kardaras, Constantinos (2014). Uniform integrability and local convexity in L0. Journal of Functional Analysis, 266(4), 1913-1927. https://doi.org/10.1016/j.jfa.2013.12.008
  • Guasoni, Paolo, Kardaras, Constantinos, Robertson, Scott, Xing, Hao (2014). Abstract, classic, and explicit turnpikes. Finance and Stochastics, 18(1), 75-114. https://doi.org/10.1007/s00780-013-0216-5
  • Kardaras, Constantinos (2014). On the characterisation of honest times that avoid all stopping times. Stochastic Processes and Their Applications, 124(1), 373-384. https://doi.org/10.1016/j.spa.2013.07.012
  • Kardaras, Constantinos (2014). A time before which insiders would not undertake risk. In Kabanov, Yuri, Rutkowski, Marek, Zariphopoulou, Thaleia (Eds.), Inspired by Finance: The Musiela Festschrift (pp. 349-362). Springer International (Firm). https://doi.org/10.1007/978-3-319-02069-3_16
  • Kardaras, Constantinos, Platen, Eckhard (2013). Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading. Mathematical Finance, 23(3), 579-590. https://doi.org/10.1111/j.1467-9965.2011.00511.x
  • Kardaras, Constantinos, Žitković, Gordan (2013). Forward-convex convergence in probability of sequences of nonnegative random variables. Proceedings of the American Mathematical Society, 141(3), 919-929. https://doi.org/10.1090/S0002-9939-2012-11373-5
  • Kardaras, Constantinos, Platen, Eckhard (2012). On the Dybvig-Ingersoll-Ross theorem. Mathematical Finance, 22(4), 729-740. https://doi.org/10.1111/j.1467-9965.2011.00476.x
  • Kardaras, Constantinos (2012). Market viability via absence of arbitrage of the first kind. Finance and Stochastics, 16(4), 651-667. https://doi.org/10.1007/s00780-012-0172-5
  • Kardaras, Constantinos (2012). A structural characterization of numéraires of convex sets of nonnegative random variables. Positivity, 16(2), 245-253. https://doi.org/10.1007/s11117-011-0120-1
  • Kardaras, Constantinos, Platen, Eckhard (2011). On the semimartingale property of discounted asset-price processes. Stochastic Processes and Their Applications, 121(11), 2678-2691. https://doi.org/10.1016/j.spa.2011.06.010
  • Hamrick, Jeff, Huang, Yifei, Kardaras, Constantinos, Taqqu, Murad S. (2011). Maximum penalized quasi-likelihood estimation of the diffusion function. Quantitative Finance, 11(11), 1675-1684. https://doi.org/10.1080/14697688.2011.615212
  • Ichiba, Tomoyuki, Kardaras, Constantinos (2011). Efficient estimation of one-dimensional diffusion first passage time densities via Monte Carlo simulation. Journal of Applied Probability, 48(3), 699-712. https://doi.org/10.1239/jap/1316796908
  • Kardaras, Constantinos, Žitković, Gordan (2011). Stability of the utility maximization problem with random endowment in incomplete markets. Mathematical Finance, 21(2), 313-333. https://doi.org/10.1111/j.1467-9965.2010.00433.x
  • Bayraktar, Erhan, Kardaras, Constantinos, Xing, Hao (2011). Strict local martingale deflators and valuing American call-type options. Finance and Stochastics, 16(2), 275-291. https://doi.org/10.1007/s00780-011-0155-y
  • Kardaras, Constantinos (2011). Generalized supermartingale deflators under limited information. Mathematical Finance, 23(1), 186-197. https://doi.org/10.1111/j.1467-9965.2011.00484.x
  • Kardaras, Constantinos (2010). The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints. Stochastic Processes and Their Applications, 120(3), 331-347. https://doi.org/10.1016/j.spa.2009.11.006
  • Kardaras, Constantinos, Platen, Eckhard (2010). Minimizing the expected market time to reach a certain wealth level. SIAM Journal on Financial Mathematics, 1(1), 16-29. https://doi.org/10.1137/080741124
  • Kardaras, Constantinos (2010). Arbitrage strategy. In Cont, Rama (Ed.), Encyclopedia of Quantitative Finance . John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf04001
  • Kardaras, Constantinos (2010). Finitely additive probabilities and the fundamental theorem of asset pricing. In Chiarella, Carl, Novikov, Alexander (Eds.), Contemporary Quantitative Finance (pp. 19-34). Springer Berlin / Heidelberg. https://doi.org/10.1007/978-3-642-03479-4_2
  • Kardaras, Constantinos (2010). Free Lunch. In Cont, Rama (Ed.), Encyclopedia of Quantitative Finance . John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf04013
  • Kardaras, Constantinos (2010). Stochastic discount factors. In Encyclopedia of Quantitative Finance . John Wiley & Sons. https://doi.org/10.1002/9780470061602.eqf03006
  • Kardaras, Constantinos (2009). No-free-lunch equivalences for exponential Lévy models under convex constraints on investment. Mathematical Finance, 19(2), 161-187. https://doi.org/10.1111/j.1467-9965.2009.00363.x
  • Kardaras, Constantinos (2008). Balance, growth and diversity of financial markets. Annals of Finance, 4(3), 369-397. https://doi.org/10.1007/s10436-007-0083-1
  • Karatzas, Ioannis, Kardaras, Constantinos (2007). The numéraire portfolio in semimartingale financial models. Finance and Stochastics, 11(4), 447-493. https://doi.org/10.1007/s00780-007-0047-3
  • Fernholz, Robert, Karatzas, Ioannis, Kardaras, Constantinos (2005). Diversity and relative arbitrage in equity markets. Finance and Stochastics, 9(1), 1-27. https://doi.org/10.1007/s00780-004-0129-4
    • Public
  • Kardaras, Constantinos (2025). Financial equilibrium with preference updating. Mathematics and Financial Economics, 19(4), 851 - 875. https://doi.org/10.1007/s11579-025-00404-3 picture_as_pdf
  • Kardaras, Constantinos (2024). Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance. Annals of Applied Probability, 34(3), 2566 - 2599. https://doi.org/10.1214/23-AAP1942 picture_as_pdf
  • Anthropelos, Michail, Kardaras, Constantinos (2024). Price impact under heterogeneous beliefs and restricted participation. Journal of Economic Theory, 215, https://doi.org/10.1016/j.jet.2023.105774 picture_as_pdf
  • Kardaras, Constantinos, Robertson, Scott (2021). Ergodic robust maximization of asymptotic growth. Annals of Applied Probability, 31(4), 1787-1819. https://doi.org/10.1214/20-AAP1634 picture_as_pdf
  • Anthropelos, Michail, Kardaras, Constantinos, Vichos, Georgios (2020). Effective risk aversion in thin risk-sharing markets. Mathematical Finance, 30(4), 1565 - 1590. https://doi.org/10.1111/mafi.12258 picture_as_pdf
  • Kardaras, Constantinos, Ruf, Johannes (2019). Projections of scaled bessel processes. Electronic Communications in Probability, 24, https://doi.org/10.1214/19-ECP246 picture_as_pdf
  • Anthropelos, Michail, Kardaras, Constantinos (2017). Equilibrium in risk-sharing games. Finance and Stochastics, 21(3), 815-865. https://doi.org/10.1007/s00780-017-0323-9
  • Kardaras, Constantinos, Robertson, Scott (2017). Continuous-time perpetuities and time reversal of diffusions. Finance and Stochastics, 21(1), 65-110. https://doi.org/10.1007/s00780-016-0308-0
  • Kardaras, Constantinos, Obłój, Jan, Platen, Eckhard (2017). The numéraire property and long-term growth optimality for drawdown-constrained investments. Mathematical Finance, 27(1), 68-95. https://doi.org/10.1111/mafi.12081
  • Kabanov, Yuri, Kardaras, Constantinos, Song, Shiqi (2016). No arbitrage of the first kind and local martingale numéraires. Finance and Stochastics, 20(4), 1097-1108. https://doi.org/10.1007/s00780-016-0310-6
  • Acciaio, Beatrice, Fontana, Claudio, Kardaras, Constantinos (2016). Arbitrage of the first kind and filtration enlargements in semimartingale financial models. Stochastic Processes and Their Applications, 126(6), 1761-1784. https://doi.org/10.1016/j.spa.2015.12.004
  • Karatzas, Ioannis, Kardaras, Constantinos (2015). Optional decomposition for continuous semimartingales under arbitrary filtrations. Electronic Communications in Probability, 20(59), 1-10. https://doi.org/10.1214/ECP.v20-4090
  • Kardaras, Constantinos, Kreher, Dörte, Nikeghbali, Ashkan (2015). Strict local martingales and bubbles. Annals of Applied Probability, 25(4), 1827-1867. https://doi.org/10.1214/14-AAP1037
  • Kardaras, Constantinos (2015). On the stochastic behaviour of optional processes up to random times. Annals of Applied Probability, 25(2), 429-464. https://doi.org/10.1214/13-AAP976
  • Kardaras, Constantinos (2015). Valuation and parities for exchange options. SIAM Journal on Financial Mathematics, 6(1), 140-157. https://doi.org/10.1137/120884973
  • Kardaras, Constantinos (2013). On the closure in the Emery topology of semimartingale wealth-process sets. Annals of Applied Probability, 23(4), 1355-1376. https://doi.org/10.1214/12-AAP872
  • Kardaras, Constantinos, Robertson, Scott (2012). Robust maximization of asymptotic growth. Annals of Applied Probability, 22(4), 1576-1610. https://doi.org/10.1214/11-AAP802
  • Bayraktar, Erhan, Kardaras, Constantinos, Xing, Hao (2012). Valuation equations for stochastic volatility models. SIAM Journal on Financial Mathematics, 3(1), 351-373. https://doi.org/10.1137/110842302
  • Kardaras, Constantinos (2010). Numéraire-invariant preferences in financial modeling. Annals of Applied Probability, 20(5), 1697-1728. https://doi.org/10.1214/09-AAP669
    • Restricted
  • Kardaras, Constantinos, Ruf, Johannes (2020). Filtration shrinkage, the structure of deflators, and failure of market completeness. Finance and Stochastics, 24(4), 871 - 901. https://doi.org/10.1007/s00780-020-00435-2 picture_as_pdf
  • Biagini, Sara, Bouchard, Bruno, Kardaras, Constantinos, Nutz, Marcel (2017). Robust fundamental theorem for continuous processes. Mathematical Finance, 27(4), 963-987. https://doi.org/10.1111/mafi.12110 picture_as_pdf