Edit Profile Larsson, Martin Compute Distance To: Compute Author ID: larsson.martin Published as: Larsson, M.; Larsson, Martin Documents Indexed: 32 Publications since 2009 all top 5 Co-Authors 2 single-authored 5 Filipović, Damir 5 Jarrow, Robert Alan 4 Müller, Bernhard 3 Pulido, Sergio 2 Acciaio, Beatrice 2 Capponi, Agostino 2 Cuchiero, Christa 2 Kchia, Younes 2 Protter, Philip Elliott 2 Svaluto-Ferro, Sara 1 Ehsan Khalili, M. 1 Jaber, Eduardo Abi 1 Kleisinger-Yu, Xi 1 Komaric, Vlatka 1 Krühner, Paul 1 Nešlehová, Johanna G. 1 Regez, Markus 1 Resnick, Sidney Ira 1 Ruf, Johannes 1 Schachermayer, Walter 1 Statti, Francesco 1 Trolle, Anders B. all top 5 Serials 4 The Annals of Applied Probability 4 Mathematical Finance 3 Electronic Journal of Probability 3 Finance and Stochastics 3 SIAM Journal on Financial Mathematics 2 Computers and Fluids 2 Stochastic Processes and their Applications 1 Advances in Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Journal of Mathematical Economics 1 Extremes 1 Annals of Finance 1 Stochastic Systems all top 5 Fields 19 Probability theory and stochastic processes (60-XX) 16 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Fluid mechanics (76-XX) 3 Biology and other natural sciences (92-XX) 2 Statistics (62-XX) 2 Numerical analysis (65-XX) 1 Number theory (11-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Mechanics of deformable solids (74-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 23 Publications have been cited 139 times in 117 Documents Cited by ▼ Year ▼ Polynomial diffusions and applications in finance. Zbl 1386.60237Filipović, Damir; Larsson, Martin 24 2016 Extremal behavior of Archimedean copulas. Zbl 1213.62084Larsson, Martin; Nešlehová, Johanna 18 2011 The meaning of market efficiency. Zbl 1278.91062Jarrow, Robert A.; Larsson, Martin 13 2012 Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip 12 2013 Affine Volterra processes. Zbl 1441.60052Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio 8 2019 Linking progressive and initial filtration expansions. Zbl 1317.60047Kchia, Younes; Larsson, Martin; Protter, Philip 8 2013 Polynomial diffusions on compact quadric sets. Zbl 1355.60107Larsson, Martin; Pulido, Sergio 7 2017 Global wake instabilities of low aspect-ratio flat-plates. Zbl 1408.76222Marquet, O.; Larsson, M. 7 2015 Filtration shrinkage, strict local martingales and the Föllmer measure. Zbl 1304.60050Larsson, Martin 6 2014 Numerical simulation of confined pulsating jets in human phonation. Zbl 1242.76374Larsson, Martin; Müller, Bernhard 5 2009 Polynomial jump-diffusions on the unit simplex. Zbl 1402.60105Cuchiero, Christa; Larsson, Martin; Svaluto-Ferro, Sara 4 2018 Affine processes with compact state space. Zbl 1390.60277Krühner, Paul; Larsson, Martin 4 2018 On aggregation and representative agent equilibria. Zbl 1406.91254Jarrow, Robert; Larsson, Martin 3 2018 Semi-static completeness and robust pricing by informed investors. Zbl 1415.91249Acciaio, Beatrice; Larsson, Martin 3 2017 Approximating functions on stratified sets. Zbl 1316.26011Drusvyatskiy, D.; Larsson, M. 3 2015 Extremal dependence measure and extremogram: the regularly varying case. Zbl 1329.60153Larsson, Martin; Resnick, Sidney I. 3 2012 Probability measure-valued polynomial diffusions. Zbl 07055668Cuchiero, Christa; Larsson, Martin; Svaluto-Ferro, Sara 2 2019 Immersed boundary method for viscous compressible flows around moving bodies. Zbl 1410.76285Ehsan Khalili, M.; Larsson, Martin; Müller, Bernhard 2 2018 The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter 2 2017 Informational efficiency under short sale constraints. Zbl 1338.91089Jarrow, Robert A.; Larsson, Martin 2 2015 Polynomial jump-diffusion models. Zbl 1450.60038Filipović, Damir; Larsson, Martin 1 2020 Stochastic exponentials and logarithms on stochastic intervals. A survey. Zbl 07053198Larsson, Martin; Ruf, Johannes 1 2019 Matrix-valued Bessel processes. Zbl 1335.60147Larsson, Martin 1 2015 Polynomial jump-diffusion models. Zbl 1450.60038Filipović, Damir; Larsson, Martin 1 2020 Affine Volterra processes. Zbl 1441.60052Jaber, Eduardo Abi; Larsson, Martin; Pulido, Sergio 8 2019 Probability measure-valued polynomial diffusions. Zbl 07055668Cuchiero, Christa; Larsson, Martin; Svaluto-Ferro, Sara 2 2019 Stochastic exponentials and logarithms on stochastic intervals. A survey. Zbl 07053198Larsson, Martin; Ruf, Johannes 1 2019 Polynomial jump-diffusions on the unit simplex. Zbl 1402.60105Cuchiero, Christa; Larsson, Martin; Svaluto-Ferro, Sara 4 2018 Affine processes with compact state space. Zbl 1390.60277Krühner, Paul; Larsson, Martin 4 2018 On aggregation and representative agent equilibria. Zbl 1406.91254Jarrow, Robert; Larsson, Martin 3 2018 Immersed boundary method for viscous compressible flows around moving bodies. Zbl 1410.76285Ehsan Khalili, M.; Larsson, Martin; Müller, Bernhard 2 2018 Polynomial diffusions on compact quadric sets. Zbl 1355.60107Larsson, Martin; Pulido, Sergio 7 2017 Semi-static completeness and robust pricing by informed investors. Zbl 1415.91249Acciaio, Beatrice; Larsson, Martin 3 2017 The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter 2 2017 Polynomial diffusions and applications in finance. Zbl 1386.60237Filipović, Damir; Larsson, Martin 24 2016 Global wake instabilities of low aspect-ratio flat-plates. Zbl 1408.76222Marquet, O.; Larsson, M. 7 2015 Approximating functions on stratified sets. Zbl 1316.26011Drusvyatskiy, D.; Larsson, M. 3 2015 Informational efficiency under short sale constraints. Zbl 1338.91089Jarrow, Robert A.; Larsson, Martin 2 2015 Matrix-valued Bessel processes. Zbl 1335.60147Larsson, Martin 1 2015 Filtration shrinkage, strict local martingales and the Föllmer measure. Zbl 1304.60050Larsson, Martin 6 2014 Discretely sampled variance and volatility swaps versus their continuous approximations. Zbl 1267.91073Jarrow, Robert; Kchia, Younes; Larsson, Martin; Protter, Philip 12 2013 Linking progressive and initial filtration expansions. Zbl 1317.60047Kchia, Younes; Larsson, Martin; Protter, Philip 8 2013 The meaning of market efficiency. Zbl 1278.91062Jarrow, Robert A.; Larsson, Martin 13 2012 Extremal dependence measure and extremogram: the regularly varying case. Zbl 1329.60153Larsson, Martin; Resnick, Sidney I. 3 2012 Extremal behavior of Archimedean copulas. Zbl 1213.62084Larsson, Martin; Nešlehová, Johanna 18 2011 Numerical simulation of confined pulsating jets in human phonation. Zbl 1242.76374Larsson, Martin; Müller, Bernhard 5 2009 all cited Publications top 5 cited Publications all top 5 Cited by 208 Authors 9 Larsson, Martin 8 Jarrow, Robert Alan 7 Nešlehová, Johanna G. 5 Cui, Zhenyu 5 Filipović, Damir 4 Cuchiero, Christa 4 Genest, Christian 4 Protter, Philip Elliott 3 Ackerer, Damien 3 Biagini, Francesca 3 Drusvyatskiy, Dmitriy 3 Frahm, Gabriel 3 Hua, Lei 3 Jiao, Ying 3 Marquet, Olivier 3 Pulido, Sergio 3 Ruf, Johannes 2 Aulbach, Stefan 2 Badescu, Alexandru M. 2 Balbás, Alejandro 2 Balbás, Beatriz 2 Balbás, Raquel 2 Bartl, Daniel 2 Cadot, Olivier 2 Falk, Michael 2 Fougères, Anne-Laure 2 Jaber, Eduardo Abi 2 Jeanblanc, Monique 2 Kardaras, Constantinos 2 Krühner, Paul 2 Kupper, Michael 2 Lee, Hon-Leung 2 Li, Libo 2 Svaluto-Ferro, Sara 2 Tankov, Peter 2 Thomas, Rekha R. 2 Zhang, Yinglin 1 Agoitia Hurtado, María Fernanda del Carmen 1 Aksamit, Anna 1 Alexander, Carol 1 Alfeus, Mesias 1 Arrouy, Pierre-Edouard 1 Barros, Diogo 1 Bayer, Christian 1 Belzile, Léo R. 1 Ben Hammouda, Chiheb 1 Benini, Ernesto 1 Benth, Fred Espen 1 Bernard, Carole 1 Bilina Falafala, Roseline 1 Blanchet-Scalliet, Christophette 1 Blath, Jochen 1 Bonnefoy, Paul 1 Borée, Jacques 1 Bouchard, Bruno 1 Boumezoued, Alexandre 1 Brücker, Christoph 1 Bücher, Axel 1 Burzoni, Matteo 1 Buzzoni, Eugenio 1 Cambou, Mathieu 1 Campi, Luciano 1 Carini, Marco 1 Casanova, Adrián González 1 Charpentier, Arthur 1 Chatelain, Simon 1 Chau, Huy N. 1 Chen, Yuyu 1 Chiarella, Carl 1 Couch, Matthew 1 Dandapani, Aditi 1 Dastgerdi, Maryam Vahid 1 De Vanna, Francesco 1 De, Ashoke 1 Délery, Jean M. 1 Dette, Holger 1 Devineau, Laurent 1 Di Bernardino, Elena 1 Dollinger, Michael B. 1 Drees, Holger 1 Drusvyatskiy, Dmitry 1 Dunham, Eric M. 1 Durante, Fabrizio 1 El Karoui, Nicole 1 Fernández-Sánchez, Juan 1 Fontana, Claudio 1 Foroush Bastani, Ali 1 Fuller, Timo 1 Gijbels, Irène 1 Grasselli, Martino 1 Guasoni, Paolo 1 Hacisevki, Hasan 1 Han, Yuecai 1 He, Xinjiang 1 Herbert, Vincent 1 Hillairet, Caroline 1 Hobson, David G. 1 Hofmann, Martin 1 Horáček, Jaromir 1 Horvath, Blanka ...and 108 more Authors all top 5 Cited in 51 Serials 8 Journal of Multivariate Analysis 8 Finance and Stochastics 7 Computers and Fluids 7 Quantitative Finance 7 SIAM Journal on Financial Mathematics 6 Stochastic Processes and their Applications 5 Insurance Mathematics & Economics 5 International Journal of Theoretical and Applied Finance 5 Mathematics and Financial Economics 4 The Annals of Applied Probability 3 Electronic Journal of Probability 2 Advances in Applied Probability 2 Computer Methods in Applied Mechanics and Engineering 2 Journal of Fluid Mechanics 2 Fuzzy Sets and Systems 2 Journal of Economic Dynamics & Control 2 European Journal of Operational Research 2 Applied Mathematical Finance 2 Extremes 2 The ANZIAM Journal 2 Annals of Finance 2 Dependence Modeling 2 Probability, Uncertainty and Quantitative Risk 1 Fluid Dynamics 1 Israel Journal of Mathematics 1 Journal of Computational Physics 1 Journal of Mathematical Biology 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Probability 1 The Annals of Statistics 1 Applied Mathematics and Computation 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Control and Optimization 1 Theory and Decision 1 Transactions of the American Mathematical Society 1 Operations Research Letters 1 Stochastic Analysis and Applications 1 Statistics 1 SIAM Journal on Matrix Analysis and Applications 1 Annals of Operations Research 1 Test 1 Computational and Applied Mathematics 1 Journal of Convex Analysis 1 Electronic Communications in Probability 1 Bernoulli 1 Abstract and Applied Analysis 1 European Journal of Mechanics. B. Fluids 1 Decisions in Economics and Finance 1 Journal of Industrial and Management Optimization 1 Electronic Journal of Statistics 1 Stochastic Systems all top 5 Cited in 23 Fields 68 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 58 Probability theory and stochastic processes (60-XX) 29 Statistics (62-XX) 13 Fluid mechanics (76-XX) 9 Numerical analysis (65-XX) 3 Algebraic geometry (14-XX) 3 Linear and multilinear algebra; matrix theory (15-XX) 3 Operations research, mathematical programming (90-XX) 3 Biology and other natural sciences (92-XX) 2 Real functions (26-XX) 2 Partial differential equations (35-XX) 2 Functional analysis (46-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Mechanics of deformable solids (74-XX) 2 Systems theory; control (93-XX) 1 General and overarching topics; collections (00-XX) 1 Number theory (11-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Manifolds and cell complexes (57-XX) 1 Computer science (68-XX) Citations by Year