• Backward SDEs with constrained jumps and quasi-variational inequalities,  [pdf], (with I. Kharroubi, J. Ma and J. Zhang),  Annals of Probability, 2010, 38, 794-840.

• Optimal consumption policies in illiquid markets, [pdf], (with A. Cretarola, F. Gozzi and P. Tankov), to appear in Finance and Stochastics.

• Optimal investment with counterparty risk: a default-density modeling approach, revised version  [pdf], (with Y. Jiao), to appear in  Finance and Stochastics.

• Optimal portfolio liquidation with execution cost and risk, revised version  [pdf], (with I. Kharroubi), to appear in SIAM J. Financial Mathematics

• Optimal investment on finite horizon with random discrete order flow in illiquid markets, [pdf], (with P. Gassiat and M. Sirbu), to appear in International Journal of Theoretical and Applied Finance. 

•  Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management, [pdf], to appear in Stochastic Processes and their applications

• Numerical methods for an optimal order execution problem, [pdf], (with F. Guilbaud and M. Mnif), revised version. 

• Swing options valuation: a BSDE with constrained jumps approach, [pdf], (with M. Bernhart, P. Tankov and X. Warin).        

• Optimal investment under multiple defaults risk: a BSDE-decomposition approach, [pdf], (with. Y. Jiao and I. Kharroubi).

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