Publications

• Efficiency and Equilibria in Games of Optimal Derivative Design; Mathematics and Financial Economics, to appear (with Santiago Moreno-Bromberg)
• On derivatives with illiquid underlying and market manipulation; Quantitative Finance, 11 (7), 1051-1066 (with Felix Naujokat)
• On securitization, market completion and equilibrium risk transfer; Mathematics and Financial Economics, 2 (4), 211-252 (2010)  (with Traian Pirvu and Goncalo Dos Reis)
• Dynamic systems of social interactions; Journal of Economic Behavior and Organization, 73, 158-170 (2010)
  
• A limit theorem for systems of social interactions; Journal of Mathematical Economics, 45, 609-623, 2009 (with Jose Scheinkman)
• Risk minimization and optimal derivative design in a Principal Agent game;   Mathematics and Financial Economics, 2, 1-27, 2008 (with Santiago Moreno)
• Queuing, social interactions and the microstructure of financial markets; Macroeconomic Dynamics, 12, 211-233, 2008 (with Christian Rothe)
• On non-ergodic asset prices; Economic Theory, 34, 207-234, 2008 (with Jan Wenzelburger)
• On the spanning property of risk bonds priced by equilibrium; Mathematics of Operations Research, 32(4), 784-807, 2007 (with Matthias Müller)
• Stochastic Cascades, Credit Contagion, and Large Portfolio Losses; Journal of Economic Behavior and Organization, 63, 25-54, 2007 ( Internet Supplement)
• A limit theorem for financial markets with inert investors; Mathematics of Operations Research, 31, 789-810, 2006 (with Erhan Bayraktar and Ronnie Sircar)
• Equilibria in Systems of Social Interactions; Journal of Economic Theory, 130, 44-77, 2006 (with Jose Scheinkman)
• Rational Expectations equilibria of economies with local interactions; Journal of Economic Theory, 127, 74-116, 2006 (with Alberto Bisin and Onür Özgür)
• A simple model of trading climate risk; Vierteljahrshefte zur Wirtschaftsforschung, 74, 175-195, 2005 (with Sabastien Chaumont, Peter Imkeller and Matthias Müller)
• Equilibria in Financial Markets with Heterogeneous Agents: A probabilistic Perspective; Journal of Mathematical Economics 41, 123-155, 2005 (with Hans Föllmer and Alan Kirman)
• Financial price fluctuations in a stock market model with many interacting gents; Economic Theory 25, 917-932, 2005
• Stationary equilibria in discounted stochastic games with weakly interacting players; Games and Economic Behavior 52, 83-108, 2005
• Stability of linear stochastic difference equations in strategically controlled random environments; Advances in Applied Probability, 35, 961-981, 2004
• Asymptotics of locally interacting Markov chains with global signals; Advances in Applied Probability, 34, 416-440, 2002
• Convergence of locally and globally interacting Markov chains; Stochachstic Processes and their Applications, 96, 99-121, 2001 (with Hans Föllmer)
• The stochastic equation Y(t+1) = A(t) Y(t) + B(t) with non-stationary coefficients; Journal of Applied Probability, 38, 80-95, 2001 
  

Refereed publications in handbooks and periodicals

• Ergodicity and non-ergodicity in economics; The New Palgrave Dictionary of Economics, 2nd Edition (ed. L. Blume, S. Durlauf), 2007
• Queuing theoretic approaches to financial price fluctuations; Handbook of Financial Engineering (ed. J. Birge and V. Linetsky), 2007 (with E. Bayraktar and R. Sircar)
  

Books

• Asymptotics of locally and globally interacting Markov chains arising in microstructure models of financial markets ; Shaker-Verlag, Aachen, 2000