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Faculty/Staff Directory

Thaleia Zariphopoulou

RLM 11.170 (512-471-7170)
CBA 5.236 (512-471-9432)


Jean-Pierre Fouque, Ronnie Sircar, and Thaleia Zariphopoulou. 2017. Portfolio Optimization and Stochastic Volatiliy Asymptomics. Mathematical Finance 27(3), 704-745.
M. Musiela and Thaleia Zariphopoulou. 2011. Initial Investment Choice and Optimal Future Allocations Under Tim-Monotone Performance Criteria. International Journal of Theoretical & Applied Finance 14 (1), 61-81.
Ronnie Sircar and Thaleia Zariphopoulou. 2010. Utility valuation of multi-name credit derivatives and application to CDOs. Quantitative Finance 10(2), 195-208.
M. Musiela and Thaleia Zariphopoulou. 2009. Portfolio choice under dynamic investment performance criteria. Quantitative Finance 9 (2), 161-170.
Stoikov, Sasha F. and Thaleia Zariphopoulou. 2005. Dynamic asset allocation and consumption choice in incomplete markets. Australian Economic Papers 44, 414-454.
Marek Musiela and Thaleia Zariphopoulou. 2004. A Valuation Algorithm for Indifference Prices in Incomplete Markets. Finance and Stochastics 8, 399-414.
Marek Musiela and Thaleia Zariphopoulou. 2004. An Example of Indifference Prices Under Exponential Preferences. Finance and Stochastics 8, 229-239.
Virginia R. Young and Thaleia Zariphopoulou. 2002. Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility. Scandinavian Acturial Journal 2002, 246-279.
Thaleia Zariphopoulou. 2001. A Solution Approach to Valuation With Unhedgeable Risks. Finance and Stochastics 5, 61-82.
George M. Constantinides and Thaleia Zariphopoulou. 2001. Bounds on Derivative Prices in an Intertemporal Setting With Proportional Transaction Costs and Multiple Securities. Mathematical Finance 11, 331-346.
Jose A. Scheinkman and Thaleia Zariphopoulou. 2001. Optimal Environmental Management in the Presence of Irreversibilities. Journal of Economic Theory 96, 180-207.
Virginia R. Young and Thaleia Zariphopoulou. 2000. Computation of Distorted Probabilities for Diffusion Processes Via Stochastic Control Methods. Insurance: Mathematics and Economics 27, 1-18.
Christian-Ioan Tiu, Virginia R. Young, and Thaleia Zariphopoulou. 2000. On Level Curves of Value Functions in Optimization Models of Expected Utility. Mathematical Finance 10, 323-338.
Thaleia Zariphopoulou. 2000. Transaction Costs in Portfolio Management and Derivative Pricing. Introduction to Mathematical Finance.
George M. Constantinides and Thaleia Zariphopoulou. 1999. Bounds on Prices of Contingent Claims in an Intertemporal Economy With Proportional Transaction Costs and General Preferences. Finance and Stochastics 3, 345-369.
Thaleia Zariphopoulou. 1999. Optimal Investment and Consumption Models With Non-Linear Stock Dynamics. Mathematical Methods of Operations Research 50, 271-296.
Chi-fu Huang and Thaleia Zariphopoulou. 1999. Turnpike Behavior of Long-Term Investments. Finance and Stochastics 3, 15-34.
Jean-Luc Vila and Thaleia Zariphopoulou. 1998. Optimal Consumption and Portfolio Choice With Borrowing Constraints. Journal of Economic Theory 7, 402-431.
D. Duffie, W.H. Flemming, H.M. Soner, and Thaleia Zariphopoulou. 1997. Hedging in Incomplete Markets With HARA Utility. Journal of Economic Dynamics and Control 21, 753-782.
Agnes Tourin and Thaleia Zariphopoulou. 1995. Portfolio Selection With Transaction Costs. Progress in Probability 36, 385-391.
Thaleia Zariphopoulou. 1994. Consumption-Investment Models With Constraints. SIAM Journal on Control and Optimization 32, 59-85.
Agnes Tourin and Thaleia Zariphopoulou. 1994. Numerical Schemes for Investment Models With Singular Transactions. Computational Economics 7, 287-307.
M.H.A. Davis, V. Panas, and Thaleia Zariphopoulou. 1993. European Option Pricing With Transaction Costs. SIAM Journal on Control and Optimization 31, 470-493.
Thaleia Zariphopoulou and D. Duffie. 1993. Optimal Investment With Undiversifiable Income Risk. Mathematical Finance 3, 135-148.
Thaleia Zariphopoulou. 1992. Investment-Consumption Models With Transaction Fees and Markov-Chain Parameters. SIAM Journal on Control and Optimization 30, 613-636.
Wendell H. Fleming and Thaleia Zariphopoulou. 1991. An Optimal Investment-Consumption Model With Borrowing. Mathematics of Operations Research 16, 802-822.