1 citations · 2 across the 10 of their papers we have counts for
5 papers · 1 filter
The end-of-month option in futures contracts and the Gittins index of holding the underlying
Erhan Bayraktar
The end-of-month option allows the short in a futures contract to choose when to deliver during a window in which the delivery price is fixed. We characterize optimal delivery thro…
Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences
Erhan Bayraktar, Emmet Lawless
We study an infinite-horizon optimal consumption-investment problem for an investor with Epstein-Zin stochastic differential utility in an incomplete market with stochastic investm…
Automation, Income Incidence, and Capital Accumulation in Incomplete Markets
Erhan Bayraktar
This paper studies how automation changes the stationary distribution of income, consumption, and wealth in an incomplete-market economy. An automating sector trades off productivi…
Tractable bank capital structure: optimal control under Basel III constraints
Erhan Bayraktar, Etienne Chevalier, Vathana Ly Vath +1
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a di…
Mean-field games with rough common noise: the compactification approach
Erhan Bayraktar, Xihao He, Xiang Yu +1
We study mean-field game (MFG) problems with rough common noise, in which the representative state dynamics are governed by a controlled rough stochastic differential equation driv…