Thaleia Zariphopoulou
Affiliations: | Institute for Computational Engineering and Sciences | University of Texas at Austin, Austin, Texas, U.S.A. |
Area:
Mathematics, Finance, Operations ResearchWebsite:
https://web.ma.utexas.edu/users/zariphop/Google:
"Thaleia Zariphopoulou"Parents
Sign in to add mentor| Wendell Fleming | grad student | 1989 | Brown (Evolution Tree) | |
| (Optimal Investment - Consumption Models With Constraints) | ||||
Children
Sign in to add trainee| Mohsen Mazaheri | grad student | 2002 | UW Madison (MathTree) |
| Sasha F. Stoikov | grad student | 2005 | UT Austin |
| Ekaterina Sokolova | grad student | 2007 | UT Austin |
| Qimou Su | grad student | 2007 | UT Austin |
| Ti Zhou | grad student | 2008 | UT Austin |
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Publications
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| Angoshtari B, Zariphopoulou T, Zhou XY. (2020) Predictable Forward Performance Processes: The Binomial Case Siam Journal On Control and Optimization. 58: 327-347 |
| Huang S, Liang G, Zariphopoulou T. (2020) An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians Siam Journal On Control and Optimization. 58: 165-191 |
| Nadtochiy S, Zariphopoulou T. (2019) Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints Siam Journal On Financial Mathematics. 10: 698-722 |
| Lacker D, Zariphopoulou T. (2019) Mean field and n‐agent games for optimal investment under relative performance criteria Mathematical Finance. 29: 1003-1038 |
| Chong WF, Hu Y, Liang G, et al. (2018) An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior Finance and Stochastics. 23: 239-273 |
| Källblad S, Obłój J, Zariphopoulou T. (2018) Dynamically consistent investment under model uncertainty: the robust forward criteria Finance and Stochastics. 22: 879-918 |
| Liang G, Zariphopoulou T. (2017) Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE Siam Journal On Financial Mathematics. 8: 344-372 |
| Shkolnikov M, Sircar R, Zariphopoulou T. (2016) Asymptotic Analysis of Forward Performance Processes in Incomplete Markets and Their Ill-Posed HJB Equations Siam Journal On Financial Mathematics. 7: 588-618 |
| Fouque JP, Sircar R, Zariphopoulou T. (2015) Portfolio optimization and stochastic volatility asymptotics Mathematical Finance |
| Nadtochiy S, Zariphopoulou T. (2014) A class of homothetic forward investment performance processes with non-zero volatility Inspired by Finance: the Musiela Festschrift. 475-504 |