| Liquidity risk, price impacts and the replication problem AF Roch Finance and Stochastics 15 (3), 399-419, 2011 | 67 | 2011 |
| Resilient price impact of trading and the cost of illiquidity A Roch, H Mete Soner International Journal of Theoretical and Applied Finance 16 (06), 1350037, 2013 | 62 | 2013 |
| Liquidity models in continuous and discrete time S Gökay, AF Roch, HM Soner Advanced mathematical methods for finance, 333-365, 2011 | 58 | 2011 |
| A liquidity-based model for asset price bubbles RA Jarrow, P Protter, AF Roch Quantitative Finance 12 (9), 1339-1349, 2012 | 42 | 2012 |
| Optimal execution cost for liquidation through a limit order market E Chevalier, VL Vath, S Scotti, A Roch International Journal of Theoretical and Applied Finance 19 (01), 1650004, 2016 | 14 | 2016 |
| Distilling liquidity costs from limit order books D Amaya, JY Filbien, C Okou, AF Roch Journal of Banking & Finance 94, 16-34, 2018 | 12 | 2018 |
| Optimal exit strategies for investment projects E Chevalier, VL Vath, A Roch, S Scotti Journal of Mathematical Analysis and Applications 425 (2), 666-694, 2015 | 12 | 2015 |
| Liquidity risk, volatility and financial bubbles A Roch | 7 | 2009 |
| Optimal dividend and capital structure with debt covenants E Chevalier, V Ly Vath, A Roch Journal of Optimization Theory and Applications 187, 535-565, 2020 | 5 | 2020 |
| Liquidity Risk and the Term Structure of Interest Rates R Jarrow, A Roch | 5 | 2013 |
| Viscosity Solutions and American Option Pricing in a Stochastic Volatility Model of the Ornstein‐Uhlenbeck Type AF Roch Journal of Probability and Statistics 2010 (1), 863585, 2010 | 5 | 2010 |
| Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing H Ishii, A Roch SIAM Journal on Financial Mathematics 12 (2), 604-640, 2021 | 4 | 2021 |
| Asymptotic asset pricing and bubbles A Roch Mathematics and Financial Economics 12 (2), 275-304, 2018 | 4 | 2018 |
| Optimal liquidation through a limit order book: A neural network and simulation approach A Roch Methodology and Computing in Applied Probability 25 (1), 3, 2023 | 2 | 2023 |
| Valuing Corporate Securities When the Firm’s Assets are Illiquid H Ben-Ameur, T Fakhfakh, A Roch Computational Economics 63 (2), 579-598, 2024 | 1 | 2024 |
| Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound H Guérin, D Mata, JF Renaud, A Roch arXiv preprint arXiv:2406.12067, 2024 | | 2024 |
| CAHIER DE RECHERCHE DE LA CHAIRE FINTECH AMF–FINANCE MONTRÉAL DO Gobeil, H Jiang, A Roch | | 2024 |
| An optimization dichotomy for capital injections and absolutely continuous dividend strategies JF Renaud, A Roch, C Simard arXiv preprint arXiv:2311.10191, 2023 | | 2023 |
| An optimization dichotomy for capital injections and absolutely continuous dividend strategies A Roch, C Simard arXiv. org Papers, 2023 | | 2023 |
| CAHIER DE RECHERCHE DE LA CHAIRE FINTECH AMF–FINANCE MONTRÉAL C Lorand, A Roch | | 2022 |
Halil Mete SonerDepartment of Operations Research and Financial Engineering, Princeton UniversityVerified email at princeton.edu
