M. Tehranchi

activity

20042018

most citedA Characterization of Hedging Portfolios for Interest Rate Contingent Claims

59 citations · 92 across the 11 of their papers we have counts for

collaborators

Showing 2013Show all

3 papers · 1 filter

math.PR2013★ 2 cited

Inequalities for the Gaussian measure of convex sets

Michael R. Tehranchi

This note presents families of inequalities for the Gaussian measure of convex sets which extend the recently proven Gaussian correlation inequality in various directions.

q-fin.PM2013

Optimal investment for all time horizons and Martin boundary of space-time diffusions

Sergey Nadtochiy, Michael Tehranchi

This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple tim…

math.PR2013★ 1 cited

If $B$ and $f (B)$ are Brownian motions, then $f$ is affine

Michael R. Tehranchi

It is shown that if the processes $B$ and $f (B)$ are both Brownian motions (without a random time change) then $f$ must be an affine function. As a by-product of the proof, it is s…

Inequalities for the Gaussian measure of convex sets

Optimal investment for all time horizons and Martin boundary of space-time diffusions

If B and f(B) are Brownian motions, then f is affine

If $B$ and $f (B)$ are Brownian motions, then $f$ is affine