Dr Anna Aksamit

F07 - Carslaw Building
The University of Sydney


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Research interests

Mathematical finance and stochastic processes

I am focused on problems linked to information modelling in finance. In particular I have been working on additional information in robust framework, arbitrages and enlargement of filtration theory.

Teaching and supervision

Timetable

A_Aksamit

Selected publications

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Books

  • Aksamit, A., Jeanblanc, M. (2017). Enlargement of Filtration with Finance in View. Cham: Springer International Publishing. [More Information]

Book Chapters

  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). Arbitrages in a Progressive Enlargement Setting. In Caroline Hillairet, Monique Jeanblanc, Ying Jiao (Eds.), Arbitrage, Credit and Informational Risks, (pp. 53-86). Singapore: World Scientific Publishing. [More Information]
  • Aksamit, A., Li, L. (2016). Projections, Pseudo-Stopping Times and the Immersion Property. In Donati-Martin C., Lejay A., Rouault A. (Eds.), Seminaire de Probabilites XLVIII. Lecture Notes in Mathematics, (pp. 459-467). Cham: Springer International Publishing Switzerland. [More Information]
  • Aksamit, A., Choulli, T., Jeanblanc, M. (2015). On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration. In Donati-Martin C., Lejay A., Rouault A. (Eds.), In Memoriam Marc Yor - Seminaire de Probabilites XLVII. Lecture Notes in Mathematics, (pp. 187-218). Cham: Springer International Publishing. [More Information]

Journals

  • Aksamit, A., Jeanblanc, M., Rutkowski, M. (2018). Integral representations of martingales for progressive enlargements of filtrations. Stochastic Processes and their Applications. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). No-arbitrage under a class of honest times. Finance and Stochastics, 22(1), 127-159. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). No-arbitrage under additional information for thin semimartingale models. Stochastic Processes and their Applications. [More Information]
  • Aksamit, A., Deng, S., Obloj, J., Tan, X. (2018). The robust pricing-hedging duality for American options in discrete time financial markets. Mathematical Finance. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2017). No-arbitrage up to random horizon for quasi-left-continuous models. Finance and Stochastics, 21(4), 1103-1139. [More Information]

2018

  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). Arbitrages in a Progressive Enlargement Setting. In Caroline Hillairet, Monique Jeanblanc, Ying Jiao (Eds.), Arbitrage, Credit and Informational Risks, (pp. 53-86). Singapore: World Scientific Publishing. [More Information]
  • Aksamit, A., Jeanblanc, M., Rutkowski, M. (2018). Integral representations of martingales for progressive enlargements of filtrations. Stochastic Processes and their Applications. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). No-arbitrage under a class of honest times. Finance and Stochastics, 22(1), 127-159. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2018). No-arbitrage under additional information for thin semimartingale models. Stochastic Processes and their Applications. [More Information]
  • Aksamit, A., Deng, S., Obloj, J., Tan, X. (2018). The robust pricing-hedging duality for American options in discrete time financial markets. Mathematical Finance. [More Information]

2017

  • Aksamit, A., Jeanblanc, M. (2017). Enlargement of Filtration with Finance in View. Cham: Springer International Publishing. [More Information]
  • Aksamit, A., Choulli, T., Deng, J., Jeanblanc, M. (2017). No-arbitrage up to random horizon for quasi-left-continuous models. Finance and Stochastics, 21(4), 1103-1139. [More Information]

2016

  • Aksamit, A., Li, L. (2016). Projections, Pseudo-Stopping Times and the Immersion Property. In Donati-Martin C., Lejay A., Rouault A. (Eds.), Seminaire de Probabilites XLVIII. Lecture Notes in Mathematics, (pp. 459-467). Cham: Springer International Publishing Switzerland. [More Information]

2015

  • Aksamit, A., Choulli, T., Jeanblanc, M. (2015). On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration. In Donati-Martin C., Lejay A., Rouault A. (Eds.), In Memoriam Marc Yor - Seminaire de Probabilites XLVII. Lecture Notes in Mathematics, (pp. 187-218). Cham: Springer International Publishing. [More Information]

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