Nutz, Marcel; Wiesel, Johannes; Zhao, Long Martingale Schrödinger bridges and optimal semistatic portfolios. (English) Zbl 1503.91131 Finance Stoch. 27, No. 1, 233-254 (2023). MSC: 91G20 91G10 60G42 60H30 PDFBibTeX XMLCite \textit{M. Nutz} et al., Finance Stoch. 27, No. 1, 233--254 (2023; Zbl 1503.91131) Full Text: DOI arXiv
Jaber, Eduardo Abi The characteristic function of Gaussian stochastic volatility models: an analytic expression. (English) Zbl 1498.91443 Finance Stoch. 26, No. 4, 733-769 (2022). MSC: 91G20 60G15 PDFBibTeX XMLCite \textit{E. A. Jaber}, Finance Stoch. 26, No. 4, 733--769 (2022; Zbl 1498.91443) Full Text: DOI arXiv
Hambly, Ben; Kolliopoulos, Nikolaos Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. (English) Zbl 1447.91161 Finance Stoch. 24, No. 3, 757-794 (2020). MSC: 91G10 60H15 PDFBibTeX XMLCite \textit{B. Hambly} and \textit{N. Kolliopoulos}, Finance Stoch. 24, No. 3, 757--794 (2020; Zbl 1447.91161) Full Text: DOI arXiv
Hambly, Ben; Søjmark, Andreas An SPDE model for systemic risk with endogenous contagion. (English) Zbl 1469.91060 Finance Stoch. 23, No. 3, 535-594 (2019). Reviewer: Stefan Tappe (Freiburg) MSC: 91G45 91G80 60H15 PDFBibTeX XMLCite \textit{B. Hambly} and \textit{A. Søjmark}, Finance Stoch. 23, No. 3, 535--594 (2019; Zbl 1469.91060) Full Text: DOI arXiv
Schwarz, Daniel C. Market completion with derivative securities. (English) Zbl 1377.91162 Finance Stoch. 21, No. 1, 263-284 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60G44 60H05 60H10 PDFBibTeX XMLCite \textit{D. C. Schwarz}, Finance Stoch. 21, No. 1, 263--284 (2017; Zbl 1377.91162) Full Text: DOI arXiv
Bouchard, Bruno; Loeper, Grégoire; Zou, Yiyi Almost-sure hedging with permanent price impact. (English) Zbl 1369.91172 Finance Stoch. 20, No. 3, 741-771 (2016). MSC: 91G20 93E20 49L20 60H30 PDFBibTeX XMLCite \textit{B. Bouchard} et al., Finance Stoch. 20, No. 3, 741--771 (2016; Zbl 1369.91172) Full Text: DOI arXiv
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. (English) Zbl 1369.91180 Finance Stoch. 20, No. 3, 543-588 (2016). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H30 35Q91 91B70 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., Finance Stoch. 20, No. 3, 543--588 (2016; Zbl 1369.91180) Full Text: DOI arXiv
Bank, Peter; Kramkov, Dmitry A model for a large investor trading at market indifference prices. I: Single-period case. (English) Zbl 1312.91080 Finance Stoch. 19, No. 2, 449-472 (2015). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 91G20 52A41 60G60 PDFBibTeX XMLCite \textit{P. Bank} and \textit{D. Kramkov}, Finance Stoch. 19, No. 2, 449--472 (2015; Zbl 1312.91080) Full Text: DOI arXiv
Bichuch, Maxim; Sturm, Stephan Portfolio optimization under convex incentive schemes. (English) Zbl 1360.91132 Finance Stoch. 18, No. 4, 873-915 (2014). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 60H30 93E20 PDFBibTeX XMLCite \textit{M. Bichuch} and \textit{S. Sturm}, Finance Stoch. 18, No. 4, 873--915 (2014; Zbl 1360.91132) Full Text: DOI arXiv
Gao, Kun; Lee, Roger Asymptotics of implied volatility to arbitrary order. (English) Zbl 1307.91175 Finance Stoch. 18, No. 2, 349-392 (2014). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{K. Gao} and \textit{R. Lee}, Finance Stoch. 18, No. 2, 349--392 (2014; Zbl 1307.91175) Full Text: DOI
Berdjane, Belkacem; Pergamenshchikov, Serguei Optimal consumption and investment for markets with random coefficients. (English) Zbl 1278.91127 Finance Stoch. 17, No. 2, 419-446 (2013). Reviewer: Tomáš Cipra (Praha) MSC: 91G10 91G80 90C39 93E20 PDFBibTeX XMLCite \textit{B. Berdjane} and \textit{S. Pergamenshchikov}, Finance Stoch. 17, No. 2, 419--446 (2013; Zbl 1278.91127) Full Text: DOI arXiv
Alòs, Elisa A decomposition formula for option prices in the Heston model and applications to option pricing approximation. (English) Zbl 1259.91081 Finance Stoch. 16, No. 3, 403-422 (2012). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{E. Alòs}, Finance Stoch. 16, No. 3, 403--422 (2012; Zbl 1259.91081) Full Text: DOI Link
Fukasawa, Masaaki Asymptotic analysis for stochastic volatility: martingale expansion. (English) Zbl 1303.91177 Finance Stoch. 15, No. 4, 635-654 (2011). MSC: 91G20 91B70 60F05 60G22 60G44 60H07 PDFBibTeX XMLCite \textit{M. Fukasawa}, Finance Stoch. 15, No. 4, 635--654 (2011; Zbl 1303.91177) Full Text: DOI
Çetin, Umut; Soner, H. Mete; Touzi, Nizar Option hedging for small investors under liquidity costs. (English) Zbl 1226.91072 Finance Stoch. 14, No. 3, 317-341 (2010). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{U. Çetin} et al., Finance Stoch. 14, No. 3, 317--341 (2010; Zbl 1226.91072) Full Text: DOI Link
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed Smart expansion and fast calibration for jump diffusions. (English) Zbl 1195.91153 Finance Stoch. 13, No. 4, 563-589 (2009). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G20 60J75 60H07 91G80 PDFBibTeX XMLCite \textit{E. Benhamou} et al., Finance Stoch. 13, No. 4, 563--589 (2009; Zbl 1195.91153) Full Text: DOI arXiv HAL
Antonelli, Fabio; Scarlatti, Sergio Pricing options under stochastic volatility: a power series approach. (English) Zbl 1199.91200 Finance Stoch. 13, No. 2, 269-303 (2009). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G20 60H10 PDFBibTeX XMLCite \textit{F. Antonelli} and \textit{S. Scarlatti}, Finance Stoch. 13, No. 2, 269--303 (2009; Zbl 1199.91200) Full Text: DOI
Alòs, Elisa; León, Jorge A.; Vives, Josep On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (English) Zbl 1145.91020 Finance Stoch. 11, No. 4, 571-589 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91B28 91B70 60H07 PDFBibTeX XMLCite \textit{E. Alòs} et al., Finance Stoch. 11, No. 4, 571--589 (2007; Zbl 1145.91020) Full Text: DOI Link
Ly Vath, Vathana; Mnif, Mohamed; Pham, Huyên A model of optimal portfolio selection under liquidity risk and price impact. (English) Zbl 1145.91025 Finance Stoch. 11, No. 1, 51-90 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 93E20 60H30 49L25 PDFBibTeX XMLCite \textit{V. Ly Vath} et al., Finance Stoch. 11, No. 1, 51--90 (2007; Zbl 1145.91025) Full Text: DOI
Alòs, Elisa A generalization of the Hull and White formula with applications to option pricing approximation. (English) Zbl 1101.60044 Finance Stoch. 10, No. 3, 353-365 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 60H30 60H07 91G20 PDFBibTeX XMLCite \textit{E. Alòs}, Finance Stoch. 10, No. 3, 353--365 (2006; Zbl 1101.60044) Full Text: DOI
Buehler, Hans Consistent variance curve models. (English) Zbl 1101.91031 Finance Stoch. 10, No. 2, 178-203 (2006). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 91B26 PDFBibTeX XMLCite \textit{H. Buehler}, Finance Stoch. 10, No. 2, 178--203 (2006; Zbl 1101.91031) Full Text: DOI