Maxim Bichuch
3400 North Charles St.
Baltimore, MD 21218
USA
Phone: (410) 516-4924
Fax: (410) 516-7459
Email: 
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Publications and Preprints
Decentralized Payment Clearing using Blockchain and Optimal
Bidding,
with
H. Amini
and Z.
Feinshtein
Preprint
(submitted)
Endogenous
Inverse Demand
Functions,
with Z.
Feinshtein
Preprint
(submitted)
Optimal
Investment with
Correlated
Stochastic
Volatility Factors,
with J.P. Fouque
Preprint
(submitted)
Optimal
Switching
between
Locking Down
and Opening
the Economy
Because of an
Infection,
To
appear in SIAM Journal on Control and Optimization,
Preprint
A Repo
Model of Fire
Sales with
VWAP and LOB
Pricing
Mechanism,
with Z.
Feinshtein
European
Journal of Operational Research, 296(1), 353-367,
Preprint
Optimal Regulatory Charge for Maximal Photovoltaic
Distrusted Generation, with
B. Hobbs,
X.
Song and Y. Wang
Journal of
Energy Markets, 14(1), 61-97
, Preprint
Systemic Risk: The
Effect of Market Confidence,
with K.
Chen
Intl. J. of
Theoretical & Applied Finance, 23(7), 2050043,
Preprint
On the
Value of Lossless Storage for
Reducing Ramping Cost, with
E. Mallada and Y. Shen
2020
European Control Conference (ECC), 1526-1532, Preprint
The
Learning Premium,
with P. Guasoni
Mathematics
and Financial Economics, 14, 175-205,
Preprint
Robust XVA,
with A. Capponi
and S. Sturm
Mathematical Finance, 30(3), 738-781, Preprint
Optimization of
Fire Sales and Borrowing in Systemic Risk,
with Z.
Feinshtein
SIAM Journal on Financial
Mathematics, 10(1),68-88, Preprint
Optimal
Investment with Transaction Costs and Stochastic Volatility Part
II: Finite Horizon, with R. Sircar
SIAM Journal on
Control and Optimization,
57(1),
427-467,
Preprint, Supplemental Appendix
Arbitrage-Free XVA,
with A.
Capponi and
S. Sturm
Mathematical
Finance,
28(2),
582-620,
Preprint
Arbitrage-Free
Pricing of XVA - Part II: PDE Representation and Numerical
Analysis, with A. Capponi
and S. Sturm
Preprint (working
paper)
Arbitrage-Free
Pricing of XVA - Part I: Framework and Explicit Examples,
with A.
Capponi and
S. Sturm
Preprint
(working paper)
Investing
with Liquid and Illiquid Assets,
with P. Guasoni
Mathematical
Finance, 28(1), 119-152,
Preprint
Optimal
Investment with Transaction Costs and Stochastic Volatility Part
I: Infinite Horizon , with R. Sircar
SIAM Journal on
Control and Optimization,
55(6), 3799-3832,
Preprint
Portfolio Optimization
Under Convex Incentive Schemes, with S. Sturm
Finance and Stochastics,
18(4),873-915,
Preprint
Pricing a Contingent
Claim Liability with Transaction Costs Using
Asymptotic Analysis for Optimal Investment
Finance and Stochastics,
18(3), 651-694,
Preprint
Utility Maximization
Trading Two Futures with Transaction Costs,
with S.
Shreve
SIAM Journal on Financial
Mathematics, 4(1),26-85,
Preprint
Asymptotic Analysis
for Optimal Investment in Finite Time with
Transaction Costs
SIAM Journal on Financial
Mathematics, 3(1),
433-458,
Preprint
Asymptotic Analysis
for Optimal Investment with Transaction Costs in
Finite Time with Two Correlated Futures Contracts
PhD Thesis Carnegie
Mellon University, 2010 under the supervision
of Steven
Shreve.
PDF
Last update: September 1, 2021.