Donnelly, Ryan; Jaimungal, Sebastian Exploratory control with Tsallis entropy for latent factor models. (English) Zbl 07822812 SIAM J. Financ. Math. 15, No. 1, 26-53 (2024). MSC: 93E20 94A17 PDFBibTeX XMLCite \textit{R. Donnelly} and \textit{S. Jaimungal}, SIAM J. Financ. Math. 15, No. 1, 26--53 (2024; Zbl 07822812) Full Text: DOI arXiv
Protter, Philip E.; Wu, Qianfan; Yang, Shihao Order book queue Hawkes Markovian modeling. (English) Zbl 07822811 SIAM J. Financ. Math. 15, No. 1, 1-25 (2024). MSC: 62P05 91G70 60G10 60J05 PDFBibTeX XMLCite \textit{P. E. Protter} et al., SIAM J. Financ. Math. 15, No. 1, 1--25 (2024; Zbl 07822811) Full Text: DOI arXiv
Doldi, Alessandro; Frittelli, Marco; Gianin, Emanuela Rosazza Short communication: are shortfall systemic risk measures one dimensional? (English) Zbl 07796345 SIAM J. Financ. Math. 15, No. 1, SC1-SC14 (2024). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{A. Doldi} et al., SIAM J. Financ. Math. 15, No. 1, SC1-SC14 (2024; Zbl 07796345) Full Text: DOI arXiv
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo; Oberpriller, Katharina Liquidity based modeling of asset price bubbles via random matching. (English) Zbl 07796344 SIAM J. Financ. Math. 14, No. 4, 1304-1342 (2023). MSC: 60G07 91G15 91G30 PDFBibTeX XMLCite \textit{F. Biagini} et al., SIAM J. Financ. Math. 14, No. 4, 1304--1342 (2023; Zbl 07796344) Full Text: DOI arXiv
Gao, Chengfan; Gao, Siping; Hu, Ruimeng; Zhu, Zimu Convergence of the backward deep BSDE method with applications to optimal stopping problems. (English) Zbl 1527.60031 SIAM J. Financ. Math. 14, No. 4, 1290-1303 (2023). MSC: 60G40 60H35 65C30 PDFBibTeX XMLCite \textit{C. Gao} et al., SIAM J. Financ. Math. 14, No. 4, 1290--1303 (2023; Zbl 1527.60031) Full Text: DOI arXiv
Coache, Anthony; Jaimungal, Sebastian; Cartea, Álvaro Conditionally elicitable dynamic risk measures for deep reinforcement learning. (English) Zbl 07784068 SIAM J. Financ. Math. 14, No. 4, 1249-1289 (2023). MSC: 68T37 91-08 91G10 91G70 93E35 PDFBibTeX XMLCite \textit{A. Coache} et al., SIAM J. Financ. Math. 14, No. 4, 1249--1289 (2023; Zbl 07784068) Full Text: DOI arXiv
Bayraktar, Erhan; Han, Bingyan Short communication: existence of Markov equilibrium control in discrete time. (English) Zbl 07784067 SIAM J. Financ. Math. 14, No. 4, SC60-SC71 (2023). MSC: 49J45 49L20 28B20 91A80 PDFBibTeX XMLCite \textit{E. Bayraktar} and \textit{B. Han}, SIAM J. Financ. Math. 14, No. 4, SC60-SC71 (2023; Zbl 07784067) Full Text: DOI arXiv
Maggis, Marco Short communication: The birth of (a robust) arbitrage theory in de Finetti’s early contributions. (English) Zbl 1528.91075 SIAM J. Financ. Math. 14, No. 4, SC49-SC59 (2023). MSC: 91G30 91-03 PDFBibTeX XMLCite \textit{M. Maggis}, SIAM J. Financ. Math. 14, No. 4, SC49-SC59 (2023; Zbl 1528.91075) Full Text: DOI arXiv
Baldacci, Bastien; Bergault, Philippe; Derchu, Joffrey; Rosenbaum, Mathieu On bid and ask side-specific tick sizes. (English) Zbl 07770150 SIAM J. Financ. Math. 14, No. 4, 1215-1248 (2023). MSC: 91G15 49L20 PDFBibTeX XMLCite \textit{B. Baldacci} et al., SIAM J. Financ. Math. 14, No. 4, 1215--1248 (2023; Zbl 07770150) Full Text: DOI arXiv
Pesenti, Silvana M.; Jaimungal, Sebastian Portfolio optimization within a Wasserstein ball. (English) Zbl 07770149 SIAM J. Financ. Math. 14, No. 4, 1175-1214 (2023). MSC: 91G10 91G70 62H05 PDFBibTeX XMLCite \textit{S. M. Pesenti} and \textit{S. Jaimungal}, SIAM J. Financ. Math. 14, No. 4, 1175--1214 (2023; Zbl 07770149) Full Text: DOI arXiv
Peng, Jing; Wei, Pengyu; Xu, Zuo Quan Relative growth rate optimization under behavioral criterion. (English) Zbl 1527.91151 SIAM J. Financ. Math. 14, No. 4, 1140-1174 (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{J. Peng} et al., SIAM J. Financ. Math. 14, No. 4, 1140--1174 (2023; Zbl 1527.91151) Full Text: DOI arXiv
Ech-Chafiq, Zineb El Filali; Labordère, Pierre Henry; Lelong, Jérôme Pricing Bermudan options using regression trees/random forests. (English) Zbl 1528.91073 SIAM J. Financ. Math. 14, No. 4, 1113-1139 (2023). MSC: 91G20 60G40 62L20 91G60 68W25 PDFBibTeX XMLCite \textit{Z. E. F. Ech-Chafiq} et al., SIAM J. Financ. Math. 14, No. 4, 1113--1139 (2023; Zbl 1528.91073) Full Text: DOI arXiv
Baldacci, Bastien; Bergault, Philippe; Possamaï, Dylan A mean-field game of market-making against strategic traders. (English) Zbl 1527.91156 SIAM J. Financ. Math. 14, No. 4, 1080-1112 (2023). MSC: 91G15 91A16 91G80 49N80 PDFBibTeX XMLCite \textit{B. Baldacci} et al., SIAM J. Financ. Math. 14, No. 4, 1080--1112 (2023; Zbl 1527.91156) Full Text: DOI arXiv
Bernis, Guillaume; Garcin, Matthieu; Scotti, Simone; Sgarra, Carlo Interest rates term structure models driven by Hawkes processes. (English) Zbl 07770145 SIAM J. Financ. Math. 14, No. 4, 1062-1079 (2023). MSC: 91G30 60G55 91G20 PDFBibTeX XMLCite \textit{G. Bernis} et al., SIAM J. Financ. Math. 14, No. 4, 1062--1079 (2023; Zbl 07770145) Full Text: DOI
Bayraktar, Erhan; Cohen, Asaf; Nellis, April A neural network approach to high-dimensional optimal switching problems with jumps in energy markets. (English) Zbl 07770144 SIAM J. Financ. Math. 14, No. 4, 1028-1061 (2023). MSC: 91B70 60H10 65C30 93E20 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 14, No. 4, 1028--1061 (2023; Zbl 07770144) Full Text: DOI arXiv
Ning, Brian (Xin); Jaimungal, Sebastian; Zhang, Xiaorong; Bergeron, Maxime Arbitrage-free implied volatility surface generation with variational autoencoders. (English) Zbl 07770143 SIAM J. Financ. Math. 14, No. 4, 1004-1027 (2023). MSC: 91G20 60G51 60H30 68T07 PDFBibTeX XMLCite \textit{B. Ning} et al., SIAM J. Financ. Math. 14, No. 4, 1004--1027 (2023; Zbl 07770143) Full Text: DOI arXiv
Feng, Qi; Zhang, Jianfeng Cubature method for stochastic Volterra integral equations. (English) Zbl 07770142 SIAM J. Financ. Math. 14, No. 4, 959-1003 (2023). MSC: 91G60 65D32 60H20 26A33 PDFBibTeX XMLCite \textit{Q. Feng} and \textit{J. Zhang}, SIAM J. Financ. Math. 14, No. 4, 959--1003 (2023; Zbl 07770142) Full Text: DOI arXiv
Zhang, Jianfeng Short communication: is a sophisticated agent always a wise one? (English) Zbl 07770141 SIAM J. Financ. Math. 14, No. 4, SC42-SC48 (2023). MSC: 91G80 49N05 91A10 PDFBibTeX XMLCite \textit{J. Zhang}, SIAM J. Financ. Math. 14, No. 4, SC42-SC48 (2023; Zbl 07770141) Full Text: DOI arXiv
Cuchiero, Christa; Gazzani, Guido; Svaluto-Ferro, Sara Signature-based models: theory and calibration. (English) Zbl 1522.91310 SIAM J. Financ. Math. 14, No. 3, 910-957 (2023). MSC: 91G60 65C20 91B70 62P05 PDFBibTeX XMLCite \textit{C. Cuchiero} et al., SIAM J. Financ. Math. 14, No. 3, 910--957 (2023; Zbl 1522.91310) Full Text: DOI arXiv
Duc, Luu H.; Jost, Jürgen How rough path lifts affect expected return and volatility: a rough model under transaction cost. (English) Zbl 1522.91241 SIAM J. Financ. Math. 14, No. 3, 879-909 (2023). MSC: 91G15 60H05 62P05 PDFBibTeX XMLCite \textit{L. H. Duc} and \textit{J. Jost}, SIAM J. Financ. Math. 14, No. 3, 879--909 (2023; Zbl 1522.91241) Full Text: DOI
Dolinsky, Yan; Zuk, Or Short communication: exponential utility maximization in a discrete time Gaussian framework. (English) Zbl 1522.91217 SIAM J. Financ. Math. 14, No. 3, SC31-SC41 (2023). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{Y. Dolinsky} and \textit{O. Zuk}, SIAM J. Financ. Math. 14, No. 3, SC31-SC41 (2023; Zbl 1522.91217) Full Text: DOI arXiv
Alvarez, Guillermo Alonso; Nadtochiy, Sergey; Webster, Kevin Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (English) Zbl 1520.91363 SIAM J. Financ. Math. 14, No. 3, 855-878 (2023). MSC: 91G10 PDFBibTeX XMLCite \textit{G. A. Alvarez} et al., SIAM J. Financ. Math. 14, No. 3, 855--878 (2023; Zbl 1520.91363) Full Text: DOI arXiv
Hu, Ying; Shi, Xiaomin; Xu, Zuo Quan Constrained monotone mean-variance problem with random coefficients. (English) Zbl 1520.91370 SIAM J. Financ. Math. 14, No. 3, 838-854 (2023). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{Y. Hu} et al., SIAM J. Financ. Math. 14, No. 3, 838--854 (2023; Zbl 1520.91370) Full Text: DOI arXiv
Zhitlukhin, Mikhail Capital growth and survival strategies in a market with endogenous prices. (English) Zbl 1520.91397 SIAM J. Financ. Math. 14, No. 3, 812-837 (2023). MSC: 91G15 PDFBibTeX XMLCite \textit{M. Zhitlukhin}, SIAM J. Financ. Math. 14, No. 3, 812--837 (2023; Zbl 1520.91397) Full Text: DOI arXiv
Landriault, David; Li, Bin; Pedraza, José M. Optimal stopping for exponential Lévy models with weighted discounting. (English) Zbl 1519.91230 SIAM J. Financ. Math. 14, No. 3, 777-811 (2023). MSC: 91G10 60G40 60G51 60G46 PDFBibTeX XMLCite \textit{D. Landriault} et al., SIAM J. Financ. Math. 14, No. 3, 777--811 (2023; Zbl 1519.91230) Full Text: DOI
Carmona, Rene; Leal, Laura Optimal execution with quadratic variation inventories. (English) Zbl 1520.91383 SIAM J. Financ. Math. 14, No. 3, 751-776 (2023). MSC: 91G15 62P05 91G60 60J70 PDFBibTeX XMLCite \textit{R. Carmona} and \textit{L. Leal}, SIAM J. Financ. Math. 14, No. 3, 751--776 (2023; Zbl 1520.91383) Full Text: DOI arXiv
Yang, Zhou; Zhang, Jing; Zhou, Chao Robust control problems of BSDEs coupled with value functions. (English) Zbl 1520.91378 SIAM J. Financ. Math. 14, No. 3, 721-750 (2023). MSC: 91G10 60H30 49L20 93E20 PDFBibTeX XMLCite \textit{Z. Yang} et al., SIAM J. Financ. Math. 14, No. 3, 721--750 (2023; Zbl 1520.91378) Full Text: DOI arXiv
Bartl, Daniel; Wiesel, Johannes Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. (English) Zbl 1520.91364 SIAM J. Financ. Math. 14, No. 2, 704-720 (2023). MSC: 91G10 93E20 60G40 PDFBibTeX XMLCite \textit{D. Bartl} and \textit{J. Wiesel}, SIAM J. Financ. Math. 14, No. 2, 704--720 (2023; Zbl 1520.91364) Full Text: DOI arXiv
Bosserhoff, Frank; Stadje, Mitja Robustness of delta hedging in a jump-diffusion model. (English) Zbl 1520.91398 SIAM J. Financ. Math. 14, No. 2, 663-703 (2023). MSC: 91G20 60J74 PDFBibTeX XMLCite \textit{F. Bosserhoff} and \textit{M. Stadje}, SIAM J. Financ. Math. 14, No. 2, 663--703 (2023; Zbl 1520.91398) Full Text: DOI arXiv
Fadina, Tolulope; Liu, Peng; Wang, Ruodu One axiom to rule them all: a minimalist axiomatization of quantiles. (English) Zbl 1520.91435 SIAM J. Financ. Math. 14, No. 2, 644-662 (2023). MSC: 91G70 62G08 PDFBibTeX XMLCite \textit{T. Fadina} et al., SIAM J. Financ. Math. 14, No. 2, 644--662 (2023; Zbl 1520.91435) Full Text: DOI
Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro Analysis of bank leverage via dynamical systems and deep neural networks. (English) Zbl 1520.91428 SIAM J. Financ. Math. 14, No. 2, 598-643 (2023). MSC: 91G45 60H30 37H15 62M45 PDFBibTeX XMLCite \textit{F. Lillo} et al., SIAM J. Financ. Math. 14, No. 2, 598--643 (2023; Zbl 1520.91428) Full Text: DOI arXiv
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Optimal consumption under a habit-formation constraint: the deterministic case. (English) Zbl 1518.91234 SIAM J. Financ. Math. 14, No. 2, 557-597 (2023). MSC: 91G10 49L12 35R35 PDFBibTeX XMLCite \textit{B. Angoshtari} et al., SIAM J. Financ. Math. 14, No. 2, 557--597 (2023; Zbl 1518.91234) Full Text: DOI arXiv
Qi, Hou-Duo Geometric characterization of maximum diversification return portfolio via Rao’s quadratic entropy. (English) Zbl 1518.91248 SIAM J. Financ. Math. 14, No. 2, 525-556 (2023). MSC: 91G10 90C20 PDFBibTeX XMLCite \textit{H.-D. Qi}, SIAM J. Financ. Math. 14, No. 2, 525--556 (2023; Zbl 1518.91248) Full Text: DOI
Chakraborty, Prakash; Cohen, Asaf; Young, Virginia R. Optimal dividends under model uncertainty. (English) Zbl 1517.91188 SIAM J. Financ. Math. 14, No. 2, 497-524 (2023). MSC: 91G05 93E20 91A15 PDFBibTeX XMLCite \textit{P. Chakraborty} et al., SIAM J. Financ. Math. 14, No. 2, 497--524 (2023; Zbl 1517.91188) Full Text: DOI arXiv
Gassiat, Paul Weak error rates of numerical schemes for rough volatility. (English) Zbl 1517.91280 SIAM J. Financ. Math. 14, No. 2, 475-496 (2023). MSC: 91G60 65C20 60G22 PDFBibTeX XMLCite \textit{P. Gassiat}, SIAM J. Financ. Math. 14, No. 2, 475--496 (2023; Zbl 1517.91280) Full Text: DOI arXiv
Ögetbil, Orcan; Hientzsch, Bernhard Extensions of Dupire formula: stochastic interest rates and stochastic local volatility. (English) Zbl 1517.91247 SIAM J. Financ. Math. 14, No. 2, 452-474 (2023). MSC: 91G30 91G20 35Q91 PDFBibTeX XMLCite \textit{O. Ögetbil} and \textit{B. Hientzsch}, SIAM J. Financ. Math. 14, No. 2, 452--474 (2023; Zbl 1517.91247) Full Text: DOI arXiv
Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying Beating a benchmark: dynamic programming may not be the right numerical approach. (English) Zbl 1516.91055 SIAM J. Financ. Math. 14, No. 2, 407-451 (2023). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{P. M. Van Staden} et al., SIAM J. Financ. Math. 14, No. 2, 407--451 (2023; Zbl 1516.91055) Full Text: DOI
Bayer, Christian; Eigel, Martin; Sallandt, Leon; Trunschke, Philipp Pricing high-dimensional Bermudan options with hierarchical tensor formats. (English) Zbl 1516.91066 SIAM J. Financ. Math. 14, No. 2, 383-406 (2023). MSC: 91G60 65C05 91G20 60G44 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 14, No. 2, 383--406 (2023; Zbl 1516.91066) Full Text: DOI arXiv
Jacquier, Antoine; Oumgari, Mugad Deep curve-dependent PDEs for affine rough volatility. (English) Zbl 1516.91062 SIAM J. Financ. Math. 14, No. 2, 353-382 (2023). MSC: 91G20 35R15 60H30 68T07 PDFBibTeX XMLCite \textit{A. Jacquier} and \textit{M. Oumgari}, SIAM J. Financ. Math. 14, No. 2, 353--382 (2023; Zbl 1516.91062) Full Text: DOI arXiv
Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph Deep xVA solver: a neural network-based counterparty credit risk management framework. (English) Zbl 1516.91065 SIAM J. Financ. Math. 14, No. 1, 314-352 (2023). MSC: 91G40 91G60 68T07 PDFBibTeX XMLCite \textit{A. Gnoatto} et al., SIAM J. Financ. Math. 14, No. 1, 314--352 (2023; Zbl 1516.91065) Full Text: DOI arXiv
Angeris, Guillermo; Chitra, Tarun; Evans, Alex; Lorig, Matthew Short communication: a primer on perpetuals. (English) Zbl 1516.91057 SIAM J. Financ. Math. 14, No. 1, SC17-SC30 (2023). MSC: 91G15 PDFBibTeX XMLCite \textit{G. Angeris} et al., SIAM J. Financ. Math. 14, No. 1, SC17-SC30 (2023; Zbl 1516.91057) Full Text: DOI arXiv
Azcue, Pablo; Liang, Xiaoqing; Muler, Nora; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: asymptotic analysis. (English) Zbl 1511.91112 SIAM J. Financ. Math. 14, No. 1, 279-313 (2023). MSC: 91G05 93E20 35B51 PDFBibTeX XMLCite \textit{P. Azcue} et al., SIAM J. Financ. Math. 14, No. 1, 279--313 (2023; Zbl 1511.91112) Full Text: DOI arXiv
Tian, Dejian Pricing principle via Tsallis relative entropy in incomplete markets. (English) Zbl 1511.91155 SIAM J. Financ. Math. 14, No. 1, 250-278 (2023). MSC: 91G20 91G80 60H30 PDFBibTeX XMLCite \textit{D. Tian}, SIAM J. Financ. Math. 14, No. 1, 250--278 (2023; Zbl 1511.91155) Full Text: DOI arXiv
Richard, Alexandre; Tan, Xiaolu; Yang, Fan On the discrete-time simulation of the rough Heston model. (English) Zbl 1515.65333 SIAM J. Financ. Math. 14, No. 1, 223-249 (2023). MSC: 65R20 45D05 60H35 91G60 PDFBibTeX XMLCite \textit{A. Richard} et al., SIAM J. Financ. Math. 14, No. 1, 223--249 (2023; Zbl 1515.65333) Full Text: DOI arXiv
Gomes, Diogo; Gutierrez, Julian; Ribeiro, Ricardo A random-supply mean field game price model. (English) Zbl 1511.35350 SIAM J. Financ. Math. 14, No. 1, 188-222 (2023). MSC: 35Q91 35K40 91A06 91A16 91B24 49M41 49L25 60H30 PDFBibTeX XMLCite \textit{D. Gomes} et al., SIAM J. Financ. Math. 14, No. 1, 188--222 (2023; Zbl 1511.35350) Full Text: DOI arXiv
Feinstein, Zachary; Hurd, Thomas R. Contingent convertible obligations and financial stability. (English) Zbl 1518.91303 SIAM J. Financ. Math. 14, No. 1, 158-187 (2023). Reviewer: Jacek Jakubowski (Warszawa) MSC: 91G45 91G20 PDFBibTeX XMLCite \textit{Z. Feinstein} and \textit{T. R. Hurd}, SIAM J. Financ. Math. 14, No. 1, 158--187 (2023; Zbl 1518.91303) Full Text: DOI arXiv
Marisu, Godeliva Petrina; Pun, Chi Seng Bayesian estimation and optimization for learning sequential regularized portfolios. (English) Zbl 1511.91132 SIAM J. Financ. Math. 14, No. 1, 127-157 (2023). MSC: 91G10 90C05 93E20 PDFBibTeX XMLCite \textit{G. P. Marisu} and \textit{C. S. Pun}, SIAM J. Financ. Math. 14, No. 1, 127--157 (2023; Zbl 1511.91132) Full Text: DOI
Sabino, Piergiacomo Normal tempered stable processes and the pricing of energy derivatives. (English) Zbl 1511.91154 SIAM J. Financ. Math. 14, No. 1, 99-126 (2023). MSC: 91G20 60G10 60G51 PDFBibTeX XMLCite \textit{P. Sabino}, SIAM J. Financ. Math. 14, No. 1, 99--126 (2023; Zbl 1511.91154) Full Text: DOI arXiv
Aichinger, Florian; Desmettre, Sascha Utility maximization in multivariate Volterra models. (English) Zbl 1509.91036 SIAM J. Financ. Math. 14, No. 1, 52-98 (2023). MSC: 91G10 93E20 60G22 60H20 PDFBibTeX XMLCite \textit{F. Aichinger} and \textit{S. Desmettre}, SIAM J. Financ. Math. 14, No. 1, 52--98 (2023; Zbl 1509.91036) Full Text: DOI arXiv
Kreher, Dörte; Milbradt, Cassandra Jump diffusion approximation for the price dynamics of a fully state dependent limit order book model. (English) Zbl 1511.91144 SIAM J. Financ. Math. 14, No. 1, 1-51 (2023). MSC: 91G15 60J74 PDFBibTeX XMLCite \textit{D. Kreher} and \textit{C. Milbradt}, SIAM J. Financ. Math. 14, No. 1, 1--51 (2023; Zbl 1511.91144) Full Text: DOI arXiv
Fontana, Claudio Short communication: caplet pricing in affine models for alternative risk-free rates. (English) Zbl 1511.91149 SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{C. Fontana}, SIAM J. Financ. Math. 14, No. 1, SC1-SC16 (2023; Zbl 1511.91149) Full Text: DOI
Guyon, Julien The VIX future in Bergomi models: fast approximation formulas and joint calibration with S&P 500 skew. (English) Zbl 1503.91120 SIAM J. Financ. Math. 13, No. 4, 1418-1485 (2022). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{J. Guyon}, SIAM J. Financ. Math. 13, No. 4, 1418--1485 (2022; Zbl 1503.91120) Full Text: DOI
Cartea, Álvaro; Arribas, Imanol Pérez; Sánchez-Betancourt, Leandro Double-execution strategies using path signatures. (English) Zbl 1505.91360 SIAM J. Financ. Math. 13, No. 4, 1379-1417 (2022). MSC: 91G15 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM J. Financ. Math. 13, No. 4, 1379--1417 (2022; Zbl 1505.91360) Full Text: DOI
Liebrich, Felix-Benedikt; Nendel, Max Separability versus robustness of Orlicz spaces: financial and economic perspectives. (English) Zbl 1514.46022 SIAM J. Financ. Math. 13, No. 4, 1344-1378 (2022). MSC: 46E30 28A12 60G65 91G20 PDFBibTeX XMLCite \textit{F.-B. Liebrich} and \textit{M. Nendel}, SIAM J. Financ. Math. 13, No. 4, 1344--1378 (2022; Zbl 1514.46022) Full Text: DOI arXiv
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. (English) Zbl 1504.60061 SIAM J. Financ. Math. 13, No. 4, SC123-SC135 (2022). MSC: 60G40 49J45 49K40 91A11 91A15 PDFBibTeX XMLCite \textit{E. Bayraktar} et al., SIAM J. Financ. Math. 13, No. 4, SC123-SC135 (2022; Zbl 1504.60061) Full Text: DOI arXiv
Choi, Jin Hyuk; Weston, Kim Endogenous noise trackers in a Radner equilibrium. (English) Zbl 1504.91301 SIAM J. Financ. Math. 13, No. 4, 1326-1343 (2022). MSC: 91G15 34H05 PDFBibTeX XMLCite \textit{J. H. Choi} and \textit{K. Weston}, SIAM J. Financ. Math. 13, No. 4, 1326--1343 (2022; Zbl 1504.91301) Full Text: DOI arXiv
Bank, Peter; Körber, Laura Merton’s optimal investment problem with jump signals. (English) Zbl 1511.91124 SIAM J. Financ. Math. 13, No. 4, 1302-1325 (2022). Reviewer: Claudio Fontana (Paris) MSC: 91G10 93E20 60J74 PDFBibTeX XMLCite \textit{P. Bank} and \textit{L. Körber}, SIAM J. Financ. Math. 13, No. 4, 1302--1325 (2022; Zbl 1511.91124) Full Text: DOI arXiv
Anthropelos, Michail; Geng, Tianran; Zariphopoulou, Thaleia Competition in fund management and forward relative performance criteria. (English) Zbl 1511.91123 SIAM J. Financ. Math. 13, No. 4, 1271-1301 (2022). Reviewer: Claudio Fontana (Paris) MSC: 91G10 91G15 91A80 PDFBibTeX XMLCite \textit{M. Anthropelos} et al., SIAM J. Financ. Math. 13, No. 4, 1271--1301 (2022; Zbl 1511.91123) Full Text: DOI arXiv
Feinstein, Zachary Short communication: clearing prices under margin calls and the short squeeze. (English) Zbl 1511.91143 SIAM J. Financ. Math. 13, No. 4, SC113-SC122 (2022). Reviewer: Athanasios Yannacopoulos (Athína) MSC: 91G15 PDFBibTeX XMLCite \textit{Z. Feinstein}, SIAM J. Financ. Math. 13, No. 4, SC113-SC122 (2022; Zbl 1511.91143) Full Text: DOI arXiv
Shen, Yang; Zou, Bin Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models. (English) Zbl 1508.91511 SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022). Reviewer: Paweł Kliber (Poznan) MSC: 91G10 93E20 60H10 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 4, SC99-SC112 (2022; Zbl 1508.91511) Full Text: DOI arXiv
Liebrich, Felix-Benedikt; Maggis, Marco; Svindland, Gregor Model uncertainty: a reverse approach. (English) Zbl 1498.91510 SIAM J. Financ. Math. 13, No. 3, 1230-1269 (2022). MSC: 91G80 28A12 46E30 PDFBibTeX XMLCite \textit{F.-B. Liebrich} et al., SIAM J. Financ. Math. 13, No. 3, 1230--1269 (2022; Zbl 1498.91510) Full Text: DOI arXiv
Shreve, Steven; Wang, Jing Escrow and clawback. (English) Zbl 1498.91483 SIAM J. Financ. Math. 13, No. 3, 1191-1229 (2022). MSC: 91G45 91G80 90C39 91B43 PDFBibTeX XMLCite \textit{S. Shreve} and \textit{J. Wang}, SIAM J. Financ. Math. 13, No. 3, 1191--1229 (2022; Zbl 1498.91483) Full Text: DOI
Zhang, Gongqiu; Li, Lingfei Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients. (English) Zbl 1498.91467 SIAM J. Financ. Math. 13, No. 3, 1144-1190 (2022). MSC: 91G20 91G60 60J28 60J60 PDFBibTeX XMLCite \textit{G. Zhang} and \textit{L. Li}, SIAM J. Financ. Math. 13, No. 3, 1144--1190 (2022; Zbl 1498.91467) Full Text: DOI
Gurdogan, Hubeyb; Kercheval, Alec Multiple anchor point shrinkage for the sample covariance matrix. (English) Zbl 07591711 SIAM J. Financ. Math. 13, No. 3, 1112-1143 (2022). MSC: 62P05 62H25 PDFBibTeX XMLCite \textit{H. Gurdogan} and \textit{A. Kercheval}, SIAM J. Financ. Math. 13, No. 3, 1112--1143 (2022; Zbl 07591711) Full Text: DOI
Kong, Linghui; Qin, Cong; Yue, Xingye Realization utility with path-dependent reference points. (English) Zbl 1498.91421 SIAM J. Financ. Math. 13, No. 3, 1063-1111 (2022). MSC: 91G15 35Q91 PDFBibTeX XMLCite \textit{L. Kong} et al., SIAM J. Financ. Math. 13, No. 3, 1063--1111 (2022; Zbl 1498.91421) Full Text: DOI
Wang, Xiangyu; Xia, Jianming; Xu, Zuo Quan; Yang, Zhou Short communication: minimal quantile functions subject to stochastic dominance constraints. (English) Zbl 1498.91508 SIAM J. Financ. Math. 13, No. 3, SC87-SC98 (2022). MSC: 91G70 60E15 PDFBibTeX XMLCite \textit{X. Wang} et al., SIAM J. Financ. Math. 13, No. 3, SC87-SC98 (2022; Zbl 1498.91508) Full Text: DOI arXiv
Avanesyan, Levon; Sircar, Ronnie Power mixture forward performance processes. (English) Zbl 1500.35280 SIAM J. Financ. Math. 13, No. 3, 1040-1062 (2022). MSC: 35Q91 35K55 91G10 35J15 60H10 PDFBibTeX XMLCite \textit{L. Avanesyan} and \textit{R. Sircar}, SIAM J. Financ. Math. 13, No. 3, 1040--1062 (2022; Zbl 1500.35280) Full Text: DOI arXiv
Biagini, Sara; Gozzi, Fausto; Zanella, Margherita Robust portfolio choice with sticky wages. (English) Zbl 1498.91377 SIAM J. Financ. Math. 13, No. 3, 1004-1039 (2022). MSC: 91G10 93E20 34K50 PDFBibTeX XMLCite \textit{S. Biagini} et al., SIAM J. Financ. Math. 13, No. 3, 1004--1039 (2022; Zbl 1498.91377) Full Text: DOI arXiv
Belak, Christoph; Chen, An; Mereu, Carla; Stelzer, Robert Optimal investment with time-varying stochastic endowments. (English) Zbl 1498.91376 SIAM J. Financ. Math. 13, No. 3, 969-1003 (2022). MSC: 91G10 93E20 49L25 PDFBibTeX XMLCite \textit{C. Belak} et al., SIAM J. Financ. Math. 13, No. 3, 969--1003 (2022; Zbl 1498.91376) Full Text: DOI arXiv
Fouque, Jean-Pierre; Jaimungal, Sebastian; Saporito, Yuri F. Optimal trading with signals and stochastic price impact. (English) Zbl 1498.91415 SIAM J. Financ. Math. 13, No. 3, 944-968 (2022). MSC: 91G15 93E20 34D15 PDFBibTeX XMLCite \textit{J.-P. Fouque} et al., SIAM J. Financ. Math. 13, No. 3, 944--968 (2022; Zbl 1498.91415) Full Text: DOI arXiv
Meng, Hui; Wei, Pengyu; Zhang, Wanlu; Zhuang, Sheng Chao Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility. (English) Zbl 07574021 SIAM J. Financ. Math. 13, No. 3, 903-943 (2022). MSC: 62P05 91G05 93E20 PDFBibTeX XMLCite \textit{H. Meng} et al., SIAM J. Financ. Math. 13, No. 3, 903--943 (2022; Zbl 07574021) Full Text: DOI
Coculescu, Delia; Dandapani, Aditi Insiders and their free lunches: the role of short positions. (English) Zbl 1505.91362 SIAM J. Financ. Math. 13, No. 3, 877-902 (2022). MSC: 91G15 60G46 60H30 PDFBibTeX XMLCite \textit{D. Coculescu} and \textit{A. Dandapani}, SIAM J. Financ. Math. 13, No. 3, 877--902 (2022; Zbl 1505.91362) Full Text: DOI arXiv
dos Reis, Gonçalo; Platonov, Vadim Forward utility and market adjustments in relative investment-consumption games of many players. (English) Zbl 1498.91385 SIAM J. Financ. Math. 13, No. 3, 844-876 (2022). MSC: 91G10 91A16 91B16 93E20 PDFBibTeX XMLCite \textit{G. dos Reis} and \textit{V. Platonov}, SIAM J. Financ. Math. 13, No. 3, 844--876 (2022; Zbl 1498.91385) Full Text: DOI arXiv
Park, Kyunghyun; Wong, Hoi Ying Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity. (English) Zbl 1503.91104 SIAM J. Financ. Math. 13, No. 3, 802-843 (2022). Reviewer: Gianluca Cassese (Milano) MSC: 91G10 93E20 60H30 60G65 PDFBibTeX XMLCite \textit{K. Park} and \textit{H. Y. Wong}, SIAM J. Financ. Math. 13, No. 3, 802--843 (2022; Zbl 1503.91104) Full Text: DOI
Gapeev, Pavel V.; Li, Libo Perpetual American standard and lookback options with event risk and asymmetric information. (English) Zbl 1508.91559 SIAM J. Financ. Math. 13, No. 3, 773-801 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 91G20 60G40 35R35 60J60 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{L. Li}, SIAM J. Financ. Math. 13, No. 3, 773--801 (2022; Zbl 1508.91559) Full Text: DOI
Veraguas, Julio Backhoff; Reppen, A. Max; Tangpi, Ludovic Stochastic control of optimized certainty equivalents. (English) Zbl 1498.91507 SIAM J. Financ. Math. 13, No. 3, 745-772 (2022). MSC: 91G70 93E20 49L20 49L25 PDFBibTeX XMLCite \textit{J. B. Veraguas} et al., SIAM J. Financ. Math. 13, No. 3, 745--772 (2022; Zbl 1498.91507) Full Text: DOI arXiv
Avellaneda, Marco; Healy, Brian; Papanicolaou, Andrew; Papanicolaou, George Principal eigenportfolios for U.S. equities. (English) Zbl 1497.91269 SIAM J. Financ. Math. 13, No. 3, 702-744 (2022). MSC: 91G10 62P05 62H25 PDFBibTeX XMLCite \textit{M. Avellaneda} et al., SIAM J. Financ. Math. 13, No. 3, 702--744 (2022; Zbl 1497.91269) Full Text: DOI
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora Optimal ratcheting of dividends in a Brownian risk model. (English) Zbl 1497.91331 SIAM J. Financ. Math. 13, No. 3, 657-701 (2022). MSC: 91G50 49L25 93E20 PDFBibTeX XMLCite \textit{H. Albrecher} et al., SIAM J. Financ. Math. 13, No. 3, 657--701 (2022; Zbl 1497.91331) Full Text: DOI arXiv
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes Erratum to: “The robust superreplication problem: a dynamic approach”. (English) Zbl 1497.91305 SIAM J. Financ. Math. 13, No. 2, 653-655 (2022). MSC: 91G20 91G15 62P05 60B05 PDFBibTeX XMLCite \textit{L. Carassus} et al., SIAM J. Financ. Math. 13, No. 2, 653--655 (2022; Zbl 1497.91305) Full Text: DOI
Tissot-Daguette, Valentin Short communication: projection of functionals and fast pricing of exotic options. (English) Zbl 1497.91341 SIAM J. Financ. Math. 13, No. 2, SC74-SC86 (2022). MSC: 91G60 65C05 91G20 41A45 PDFBibTeX XMLCite \textit{V. Tissot-Daguette}, SIAM J. Financ. Math. 13, No. 2, SC74-SC86 (2022; Zbl 1497.91341) Full Text: DOI arXiv
Bayer, Christian; Fukasawa, Masaaki; Nakahara, Shonosuke Short communication: on the weak convergence rate in the discretization of rough volatility models. (English) Zbl 1497.91338 SIAM J. Financ. Math. 13, No. 2, SC66-SC73 (2022). MSC: 91G60 65M22 91G20 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 13, No. 2, SC66-SC73 (2022; Zbl 1497.91338) Full Text: DOI arXiv
Wang, Gu Performance fees with stochastic benchmark. (English) Zbl 1491.91124 SIAM J. Financ. Math. 13, No. 2, 619-652 (2022). MSC: 91G10 PDFBibTeX XMLCite \textit{G. Wang}, SIAM J. Financ. Math. 13, No. 2, 619--652 (2022; Zbl 1491.91124) Full Text: DOI
Campbell, Steven; Leonard Wong, Ting-Kam Functional portfolio optimization in stochastic portfolio theory. (English) Zbl 1491.91114 SIAM J. Financ. Math. 13, No. 2, 576-618 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{S. Campbell} and \textit{T.-K. Leonard Wong}, SIAM J. Financ. Math. 13, No. 2, 576--618 (2022; Zbl 1491.91114) Full Text: DOI arXiv
Neuman, Eyal; Voß, Moritz Optimal signal-adaptive trading with temporary and transient price impact. (English) Zbl 1489.91238 SIAM J. Financ. Math. 13, No. 2, 551-575 (2022). MSC: 91G10 93E20 60H30 PDFBibTeX XMLCite \textit{E. Neuman} and \textit{M. Voß}, SIAM J. Financ. Math. 13, No. 2, 551--575 (2022; Zbl 1489.91238) Full Text: DOI arXiv
Goldberg, Lisa R.; Papanicolaou, Alex; Shkolnik, Alex The dispersion bias. (English) Zbl 1493.62582 SIAM J. Financ. Math. 13, No. 2, 521-550 (2022). MSC: 62P05 PDFBibTeX XMLCite \textit{L. R. Goldberg} et al., SIAM J. Financ. Math. 13, No. 2, 521--550 (2022; Zbl 1493.62582) Full Text: DOI arXiv
Vellekoop, Michel; Gaudenzi, Marcellino Exact solutions and approximations for optimal investment strategies and indifference prices. (English) Zbl 1491.91150 SIAM J. Financ. Math. 13, No. 2, 491-520 (2022). MSC: 91G20 90C39 PDFBibTeX XMLCite \textit{M. Vellekoop} and \textit{M. Gaudenzi}, SIAM J. Financ. Math. 13, No. 2, 491--520 (2022; Zbl 1491.91150) Full Text: DOI
Fujii, Masaaki; Takahashi, Akihiko Strong convergence to the mean field limit of a finite agent equilibrium. (English) Zbl 1489.91282 SIAM J. Financ. Math. 13, No. 2, 459-490 (2022). MSC: 91G30 91A16 91B69 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, SIAM J. Financ. Math. 13, No. 2, 459--490 (2022; Zbl 1489.91282) Full Text: DOI arXiv
Chevalier, Etienne; Pulido, Sergio; Zúñiga, Elizabeth American options in the Volterra Heston model. (English) Zbl 1491.91140 SIAM J. Financ. Math. 13, No. 2, 426-458 (2022). MSC: 91G20 60G40 44A10 PDFBibTeX XMLCite \textit{E. Chevalier} et al., SIAM J. Financ. Math. 13, No. 2, 426--458 (2022; Zbl 1491.91140) Full Text: DOI arXiv
Blanchard, Romain; Carassus, Laurence Short communication: Super-replication prices with multiple priors in discrete time. (English) Zbl 1491.91138 SIAM J. Financ. Math. 13, No. 2, SC53-SC65 (2022). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{R. Blanchard} and \textit{L. Carassus}, SIAM J. Financ. Math. 13, No. 2, SC53-SC65 (2022; Zbl 1491.91138) Full Text: DOI
Elizalde, Mauricio; Escudero, Carlos Short communication: Chances for the honest in honest versus insider trading. (English) Zbl 1491.91129 SIAM J. Financ. Math. 13, No. 2, SC39-SC52 (2022). MSC: 91G15 91G10 60H30 PDFBibTeX XMLCite \textit{M. Elizalde} and \textit{C. Escudero}, SIAM J. Financ. Math. 13, No. 2, SC39-SC52 (2022; Zbl 1491.91129) Full Text: DOI arXiv
Shen, Yang; Zou, Bin Mean-variance portfolio selection in contagious markets. (English) Zbl 1489.91239 SIAM J. Financ. Math. 13, No. 2, 391-425 (2022). MSC: 91G10 60G55 93E20 49N10 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 2, 391--425 (2022; Zbl 1489.91239) Full Text: DOI arXiv
Bergault, Philippe; Drissi, Fayçal; Guéant, Olivier Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. (English) Zbl 1486.49026 SIAM J. Financ. Math. 13, No. 1, 353-390 (2022). MSC: 49J55 49J15 49J20 93E20 PDFBibTeX XMLCite \textit{P. Bergault} et al., SIAM J. Financ. Math. 13, No. 1, 353--390 (2022; Zbl 1486.49026) Full Text: DOI arXiv
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Optimal investment and consumption under a habit-formation constraint. (English) Zbl 1489.91230 SIAM J. Financ. Math. 13, No. 1, 321-352 (2022). MSC: 91G10 93E20 35R35 PDFBibTeX XMLCite \textit{B. Angoshtari} et al., SIAM J. Financ. Math. 13, No. 1, 321--352 (2022; Zbl 1489.91230) Full Text: DOI arXiv
Vigna, Elena Tail optimality and preferences consistency for intertemporal optimization problems. (English) Zbl 1486.49040 SIAM J. Financ. Math. 13, No. 1, 295-320 (2022). MSC: 49L20 60G99 60J99 90C39 91G10 PDFBibTeX XMLCite \textit{E. Vigna}, SIAM J. Financ. Math. 13, No. 1, 295--320 (2022; Zbl 1486.49040) Full Text: DOI
Bellini, Fabio; Peri, Ilaria Short communication: An axiomatization of \(\Lambda\)-quantiles. (English) Zbl 1486.91096 SIAM J. Financ. Math. 13, No. 1, SC26-SC38 (2022). MSC: 91G70 62G08 PDFBibTeX XMLCite \textit{F. Bellini} and \textit{I. Peri}, SIAM J. Financ. Math. 13, No. 1, SC26-SC38 (2022; Zbl 1486.91096) Full Text: DOI arXiv
Cartea, Álvaro; Flora, Maria; Vargiolu, Tiziano; Slavov, Georgi Optimal cross-border electricity trading. (English) Zbl 1484.91314 SIAM J. Financ. Math. 13, No. 1, 262-294 (2022). MSC: 91B74 91B60 93E20 PDFBibTeX XMLCite \textit{Á. Cartea} et al., SIAM J. Financ. Math. 13, No. 1, 262--294 (2022; Zbl 1484.91314) Full Text: DOI
Martini, Claude; Mingone, Arianna No arbitrage SVI. (English) Zbl 1483.91238 SIAM J. Financ. Math. 13, No. 1, 227-261 (2022). MSC: 91G20 PDFBibTeX XMLCite \textit{C. Martini} and \textit{A. Mingone}, SIAM J. Financ. Math. 13, No. 1, 227--261 (2022; Zbl 1483.91238) Full Text: DOI arXiv
Jaimungal, Sebastian; Pesenti, Silvana M.; Wang, Ye Sheng; Tatsat, Hariom Robust risk-aware reinforcement learning. (English) Zbl 1484.91426 SIAM J. Financ. Math. 13, No. 1, 213-226 (2022). MSC: 91G10 91G70 90C17 PDFBibTeX XMLCite \textit{S. Jaimungal} et al., SIAM J. Financ. Math. 13, No. 1, 213--226 (2022; Zbl 1484.91426) Full Text: DOI arXiv
Bayer, Christian; Qiu, Jinniao; Yao, Yao Pricing options under rough volatility with backward SPDEs. (English) Zbl 1484.91469 SIAM J. Financ. Math. 13, No. 1, 179-212 (2022). MSC: 91G20 60H15 60G40 91G60 PDFBibTeX XMLCite \textit{C. Bayer} et al., SIAM J. Financ. Math. 13, No. 1, 179--212 (2022; Zbl 1484.91469) Full Text: DOI arXiv
Li, Yunzhang A high-order numerical method for BSPDEs with applications to mathematical finance. (English) Zbl 1484.65016 SIAM J. Financ. Math. 13, No. 1, 147-178 (2022). MSC: 65C30 60H15 65M60 65M12 65M15 91G60 PDFBibTeX XMLCite \textit{Y. Li}, SIAM J. Financ. Math. 13, No. 1, 147--178 (2022; Zbl 1484.65016) Full Text: DOI