Concepedia
Statistics
Publications
13
Citations
588
H-Index
12
Active since
2004
Affiliations
University of Cambridge(Current)
The University of Texas at Austin
Michael R. Tehranchi is an author at University of Cambridge specializing in business, engineering, and asset pricing.
Top concepts
BusinessEngineeringAsset PricingFinanceEconomicsOption PricingEconomic AnalysisFinancial EconomicsQuantitative FinanceVariational Inequalities
Publications per year
2004–2019
Optimal Basket Liquidation for CARA Investors is Deterministic
Alexander Schied, Torsten Schöneborn, Michael R. Tehranchi · Applied Mathematical Finance · 2010 · 149 citations
Optimal Basket Liquidation, Price Impact Model, Financial Mathematics +16
Can the implied volatility surface move by parallel shifts?
L. C. G. Rogers, Michael R. Tehranchi · Finance and Stochastics · 2008 · 75 citations
Parallel Shifts
Asymptotics of Implied Volatility far from Maturity
Michael R. Tehranchi · Journal of Applied Probability · 2009 · 67 citations
Asymptotic Implied Volatility, Volatility Modeling, Option Pricing +6
Explicit solutions of some utility maximization problems in incomplete markets
Michael R. Tehranchi · Stochastic Processes and their Applications · 2004 · 52 citations
Mathematical Programming, Economics, Engineering +11
Optimal portfolio choice in the bond market
Nathanael David Ringer, Michael R. Tehranchi · Finance and Stochastics · 2006 · 51 citations
Economics, Portfolio Optimization, Asset Pricing +7
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