# zbMATH — the first resource for mathematics

## Applied Mathematical Finance

 Short Title: Appl. Math. Finance Publisher: Taylor & Francis (Routledge), London ISSN: 1350-486X; 1466-4313/e Online: http://www.tandfonline.com/loi/ramf20
 Documents Indexed: 475 Publications (since 1994) References Indexed: 426 Publications with 10,237 References.
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#### Authors

 8 Benth, Fred Espen 8 Eberlein, Ernst W. 8 Jaimungal, Sebastian 7 Atkinson, Colin 7 Forsyth, Peter A. 7 Siu, Tak Kuen 6 Avellaneda, Marco 6 Cartea, Álvaro 6 Chiarella, Carl 5 Cherubini, Umberto 5 Elliott, Robert James 5 Hagan, Patrick S. 5 Howison, Sam D. 5 Madan, Dilip B. 5 Rutkowski, Marek 5 Vetzal, Kenneth R. 5 Zagst, Rudi 4 Goard, Joanna M. 4 Kwok, Yue-Kuen 4 Oosterlee, Cornelis Willebrordus 4 Sircar, Ronnie 3 Baldeaux, Jan 3 Bayraktar, Erhan 3 Bermin, Hans-Peter 3 Caginalp, Gunduz 3 Cheang, Gerald H. L. 3 Donnelly, Ryan 3 Escobar, Marcos 3 Fouque, Jean-Pierre 3 Glau, Kathrin 3 Götz, Barbara 3 Guéant, Olivier 3 Jamshidian, Farshid 3 Jonsson, Mattias 3 Lépinette, Emmanuel 3 Lorig, Matthew J. 3 Matsumoto, Koichi 3 Mokkhavesa, Sutee 3 Ninomiya, Syoiti 3 Papanicolaou, George C. 3 Platen, Eckhard 3 Rebonato, Riccardo 3 Vaugirard, Victor E. 3 Woodward, Diana E. 3 Zheng, Wendong 2 Ahn, Hyungsok 2 Albrecher, Hansjörg 2 Almgren, Robert F. 2 Bacinello, Anna Rita 2 Baptiste, Julien 2 Bensoussan, Alain 2 Bouchaud, Jean-Philippe 2 Boyle, Phelim P. 2 Buchen, Peter W. 2 Carr, Peter P. 2 Challet, Damien 2 Chesney, Marc 2 Crouhy, Michel G. 2 Dang, Duy Minh 2 Doust, Paul 2 Duck, Peter W. 2 Ekström, Erik 2 Ericsson, Jan 2 Fabozzi, Frank J. 2 Figueroa, Marcelo G. 2 Forde, Martin 2 Galai, Dan 2 Gamba, Andrea 2 Geman, Hélyette 2 Grasselli, Matheus R. 2 Gzyl, Henryk 2 Hughston, Lane P. 2 Ishii, Ryosuke 2 Jackson, Kenneth R. 2 Jacquier, Antoine 2 Johnson, Paul V. 2 Joshi, Mark S. 2 Kallsen, Jan 2 Keller, Joseph Bishop 2 Kennedy, Joanne E. 2 Keppo, Jussi 2 Kingdon, J. 2 Konstandatos, Otto 2 Korn, Ralf 2 Ku, Hyejin 2 Labahn, George 2 Leung, Tim 2 Levendorskiĭ, Sergeĭ Zakharovich 2 Lord, Roger 2 Mai, Jan-Frederik 2 Mancino, Maria Elvira 2 Mayer, Philipp A. 2 Nejad, Sina 2 Ortu, Fulvio 2 Pacelli, Graziella 2 Pagès, Gilles 2 Papageorgiou, Evan 2 Para’s, Antonio 2 Perez Arribas, Imanol 2 Peskir, Goran ...and 603 more Authors
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#### Fields

 473 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 116 Probability theory and stochastic processes (60-XX) 36 Statistics (62-XX) 28 Numerical analysis (65-XX) 17 Partial differential equations (35-XX) 17 Systems theory; control (93-XX) 15 Operations research, mathematical programming (90-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 4 Computer science (68-XX) 2 Integral equations (45-XX) 2 Geophysics (86-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX)

#### Citations contained in zbMATH Open

333 Publications have been cited 2,634 times in 2,087 Documents Cited by Year
Optimal execution with nonlinear impact functions and trading-enchanced risk. Zbl 1064.91058
Almgren, Robert F.
2003
Calibrating volatility surfaces via relative-entropy minimization. Zbl 1007.91015
Avellaneda, Marco; Friedman, Craig; Holmes, Richard; Samperi, Dominick
1997
Multigrid for American option pricing with stochastic volatility. Zbl 1009.91034
Clarke, Nigel; Parrott, Kevin
1999
Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. Zbl 1134.91526
Cartea, Álvaro; Figueroa, Marcelo G.
2005
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
2007
Volatility skews and extensions of the Libor market model. Zbl 1013.91041
Andersen, Leif; Andreasen, Jesper
2000
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
2010
Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
2007
Weak approximation of stochastic differential equations and application to derivative pricing. Zbl 1134.91524
Ninomiya, Syoiti; Victoir, Nicolas
2008
General Black-Scholes models accounting for increased market volatility from hedging strategies. Zbl 1009.91023
Sircar, K. Ronnie; Papanicolaou, George
1998
Managing the volatility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model. Zbl 1097.91514
Avellaneda, Marco; Para’s, Antonio
1996
Optimal basket liquidation for CARA investors is deterministic. Zbl 1206.91077
Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael
2010
Toward real-time pricing of complex financial derivatives. Zbl 1097.91530
Ninomiya, S.; Tezuka, S.
1996
On modelling and pricing weather derivatives. Zbl 1013.91036
Alaton, Peter; Djehiche, Boualem; Stillberger, David
2002
On the pricing and hedging of volatility derivatives. Zbl 1108.91316
Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik
2004
On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342
Elliott, Robert J.; Siu, Tak Kuen
2009
Optimal exercise boundary for an American put option. Zbl 1009.91025
Kuske, Rachel A.; Keller, Joseph B.
1998
Equivalent Black volatilities. Zbl 1009.91033
Hagan, Patrick S.; Woodward, Diana E.
1999
An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022
Boyle, Phelim P.; Tian, Yisong
1998
A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
1999
Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021
Benth, Fred Espen; Šaltytė-Benth, Jūratė
2005
Stochastic volatility effects on defaultable bonds. Zbl 1142.91523
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
2006
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
2011
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
2008
On American options under the variance gamma process. Zbl 1160.91346
Almendral, Ariel; Oosterlee, Cornelis W.
2007
The dynamic interaction of speculation and diversification. Zbl 1113.91019
Chiarella, Carl; Dieci, Roberto; Gardini, Laura
2005
Sharp upper and lower bounds for basket options. Zbl 1138.91457
Laurence, Peter; Wang, Tai-Ho
2005
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
2014
Optimal financial portfolios. Zbl 1151.91542
Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J.
2007
Mean-variance optimal adaptive execution. Zbl 1239.91153
Lorenz, Julian; Almgren, Robert
2011
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell
2007
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
2008
Binomial models for option valuation – examining and improving. Zbl 1097.91513
1996
Interpolation methods for curve construction. Zbl 1142.91526
Hagan, Patrick S.; West, Graeme
2006
Stochastic volatility model with time-dependent skew. Zbl 1148.91021
2005
Bond, futures and option evaluation in the quadratic interest rate model. Zbl 1097.91525
Jamshidian, Farshid
1996
Energy futures prices: term structure models with Kalman filter estimation. Zbl 1016.91033
Manoliu, Mihaela; Tompaidis, Stathis
2002
Modelling asset prices for algorithmic and high-frequency trading. Zbl 1396.91680
Cartea, Álvaro; Jaimungal, Sebastian
2013
Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066
Bélanger, A. C.; Forsyth, P. A.; Labahn, G.
2009
Optimal quantization for the pricing of swing options. Zbl 1169.91337
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
2009
Convex hedging in incomplete markets. Zbl 1151.91537
Rudloff, Birgit
2007
On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422
Fergusson, Kevin; Platen, Eckhard
2006
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. I: Barrier options. Zbl 1281.91166
Howison, Sam; Steinberg, Mario
2007
Stochastic volatility, smile & asymptotics. Zbl 1009.91032
Sircar, K. Ronnie; Papanicolaou, George C.
1999
Bivariate option pricing with copulas. Zbl 1013.91050
Cherubini, U.; Luciano, E.
2002
Asymptotic pricing of commodity derivatives using stochastic volatility spot models. Zbl 1156.91374
Hikspoors, Samuel; Jaimungal, Sebastian
2008
On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075
Grzelak, Lech A.; Oosterlee, Cornelis W.
2012
Stochastic volatility: option pricing using a multinomial recombining tree. Zbl 1134.91372
Florescu, Ionuţ; Viens, Frederi G.
2008
Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints. Zbl 1090.91054
Nakano, Yumiharu
2003
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
2013
Modelling the temperature time-dependent speed of mean reversion in the context of weather derivatives pricing. Zbl 1142.91575
Zapranis, A.; Alexandridis, A.
2008
Consistent modelling of VIX and equity derivatives using a $$3/2$$ plus jumps model. Zbl 1395.91429
2014
Fuzzy measures and asset prices: Accounting for information ambiguity. Zbl 1009.91006
Cherubini, Umberto
1997
American call options under jump-diffusion processes – A Fourier transform approach. Zbl 1169.91340
Chiarella, Carl; Ziogas, Andrew
2009
Small-time asymptotics for an uncorrelated local-stochastic volatility model. Zbl 1246.91129
Forde, Martin; Jacquier, Antoine
2011
A note on the Flesaker-Hughston model of the term structure of interest rates. Zbl 1009.91020
Rutkowski, Marek
1997
ADI schemes for pricing American options under the Heston model. Zbl 1396.91799
Haentjens, Tinne; in ’t Hout, Karel J.
2015
Numerical methods for non-linear Black-Scholes equations. Zbl 1229.91339
Heider, Pascal
2010
Simulations of transaction costs and optimal rehedging. Zbl 0832.90006
Mohamed, Benjamin
1994
Multi-asset portfolio optimization with transaction cost. Zbl 1106.91319
Atkinson, C.; Mokkhavesa, S.
2004
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
1999
The use and pricing of convertible bonds. Zbl 0876.90022
Nyborg, K. G.
1996
Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668
Kallsen, Jan; Pauwels, Arnd
2011
Boundary values and finite difference methods for the single factor term structure equation. Zbl 1179.91247
Ekström, Erik; Lötstedt, Per; Tysk, Johan
2009
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
2012
Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
2006
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. II: Bermudan options. Zbl 1281.91165
Howison, Sam
2007
Mean-semivariance efficient frontier: a downside risk model for portfolio selection. Zbl 1113.91018
Ballestero, Enrique
2005
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G.
2001
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020
Benth, Fred Espen
2003
Multiple time scales in volatility and leverage correlations: a stochastic volatility model. Zbl 1093.91537
Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe
2004
Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672
Kirkby, J. Lars
2017
A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries. Zbl 1188.91210
Buchen, Peter; Konstandatos, Otto
2009
Robust approximations for pricing Asian options and volatility swaps under stochastic volatility. Zbl 1233.91272
Forde, Martin; Jacquier, Antoine
2010
Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion. Zbl 1233.91315
Kawai, Reiichiro; Kohatsu-Higa, Arturo
2010
The endogenous price dynamics of emission allowances and an application to CO$$_2$$ option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
2012
Indifference pricing and hedging for volatility derivatives. Zbl 1213.91152
Grasselli, M. R.; Hurd, T. R.
2007
Delta, gamma and bucket hedging of interest rate derivatives. Zbl 0831.90012
Jarrow, Robert A.; Turnbull, Stuart M.
1994
Various passport options and their valuation. Zbl 1009.91038
Ahn, Hyungsok; Penaud, Antony; Wilmott, Paul
1999
A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik
2003
Pricing of swing options in a mean reverting model with jumps. Zbl 1156.91377
Kjaer, Mats
2008
A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim
2009
Exchange options under jump-diffusion dynamics. Zbl 1239.91160
Cheang, Gerald H. L.; Chiarella, Carl
2011
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
2011
The implied market price of weather risk. Zbl 1372.91108
Härdle, Wolfgang Karl; Cabrera, Brenda López
2012
Level-slope-curvature - fact or artefact? Zbl 1160.91334
Lord, Roger; Pelsser, Antoon
2007
Laplace transforms and American options. Zbl 1031.91053
2000
Pricing stock and bond derivatives with a multi-factor Gaussian model. Zbl 1011.91040
Bajeux-Besnainou, Isabelle; Portait, Roland
1998
A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach. Zbl 1072.91016
Kawai, Atsushi
2003
Enhancing trading strategies with order book signals. Zbl 1418.91454
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
2018
Mean variance hedging in a general jump model. Zbl 1229.91314
Kohlmann, Michael; Xiong, Dewen; Ye, Zhongxing
2010
A simple derivation of and Improvements to Jamshidian’s and Rogers’ upper bound methods for Bermudan options. Zbl 1186.91194
Joshi, Mark S.
2007
Passport options with stochastic volatility. Zbl 1013.91046
Henderson, Vicky; Hobson, David
2001
On pricing and reserving with-profits life insurance contracts. Zbl 1026.91060
Prieul, David; Putyatin, Vladislav; Nassar, Tarek
2001
Multi-asset barrier options and occupation time derivatives. Zbl 1089.91031
Wong, Hoi Ying; Kwok, Yue-Kuen
2003
Dynamic programming and mean-variance hedging in discrete time. Zbl 1088.91030
Černý, Aleš
2004
Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory. Zbl 1064.91043
2003
Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705
Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H.
2013
Convergence of a least-squares Monte Carlo algorithm for bounded approximating sets. Zbl 1169.91346
Zanger, Daniel Z.
2009
Efficient pricing of derivatives on assets with discrete dividends. Zbl 1142.91569
Vellekoop, M. H.; Nieuwenhuis, J. W.
2006
Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models. Zbl 1451.91186
Hambly, Ben; Kalsi, Jasdeep; Newbury, James
2020
Mean-field game strategies for optimal execution. Zbl 1410.91498
Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba
2019
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
2019
Generalised Lyapunov functions and functionally generated trading strategies. Zbl 1430.91089
Ruf, Johannes; Xie, Kangjianan
2019
Short maturity forward start Asian options in local volatility models. Zbl 1426.91274
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong
2019
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints. Zbl 1426.91262
Bouveret, Géraldine
2019
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality. Zbl 1433.91194
Guéant, Olivier; Manziuk, Iuliia
2019
Polynomial processes for power prices. Zbl 1433.91104
Ware, Tony
2019
Enhancing trading strategies with order book signals. Zbl 1418.91454
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
2018
Optimal decisions in a time priority queue. Zbl 1418.91465
Donnelly, Ryan; Gan, Luhui
2018
Extended Gini-type measures of risk and variability. Zbl 1418.91229
Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo Brutti
2018
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503
Benth, Fred Espen; Pircalabu, Anca
2018
Transition probability of Brownian motion in the octant and its application to default modelling. Zbl 1411.91601
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph
2018
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498
Fouque, Jean-Pierre; Hu, Ruimeng
2018
Option pricing in illiquid markets with jumps. Zbl 1411.91619
Cruz, José M. T. S.; Ševčovic, Daniel
2018
Optimal expected-shortfall portfolio selection with copula-induced dependence. Zbl 1418.91469
Gijbels, Irène; Herrmann, Klaus
2018
Dynamic index tracking and risk exposure control using derivatives. Zbl 1418.91522
Leung, Tim; Ward, Brian
2018
Real-world scenarios with negative interest rates based on the LIBOR market model. Zbl 1411.91591
Lopes, Sara Dutra; Vázquez, Carlos
2018
The optimal interaction between a hedge fund manager and investor. Zbl 1411.91527
Ramirez, Hugo Eduardo; Johnson, Paul V.; Duck, Peter; Howell, Sydney
2018
Hybrid Lévy models: design and computational aspects. Zbl 1411.91552
Eberlein, Ernst; Rudmann, Marcus
2018
Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672
Kirkby, J. Lars
2017
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models. Zbl 1398.91669
Dang, Duy-Minh; Jackson, Kenneth R.; Sues, Scott
2017
Price manipulation in a market impact model with dark pool. Zbl 1398.91529
Klöck, Florian; Schied, Alexander; Sun, Yuemeng
2017
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
2017
Optimal market making. Zbl 1398.91520
Guéant, Olivier
2017
Optimal accelerated share repurchases. Zbl 1398.91600
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H.
2017
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574
Criens, David; Glau, Kathrin; Grbac, Zorana
2017
Sharper asset ranking from total drawdown durations. Zbl 1398.62286
Challet, Damien
2017
The affine inflation market models. Zbl 1398.91619
Waldenberger, Stefan
2017
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. Zbl 1398.91671
Itkin, Andrey
2017
Two asset-barrier option under stochastic volatility. Zbl 1398.91592
Goetz, Barbara; Escobar, Marcos; Zagst, Rudi
2017
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
2016
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. Zbl 1396.91741
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W.
2016
Market calibration under a long memory stochastic volatility model. Zbl 1396.91760
Pospíšil, Jan; Sobotka, Tomáš
2016
Pricing occupation-time options in a mixed-exponential jump-diffusion model. Zbl 1396.91713
Aoudia, Djilali Ait; Renaud, Jean-François
2016
Pitfalls of the Fourier transform method in affine models, and remedies. Zbl 1396.91803
Levendorskiĭ, Sergei
2016
Indifference fee rate for variable annuities. Zbl 1396.91295
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo
2016
Analysis of VIX markets with a time-spread portfolio. Zbl 1396.91758
Papanicolaou, A.
2016
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
2016
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Zbl 1396.91801
Joshi, Mark S.; Zhu, Dan
2016
On the method of optimal portfolio choice by cost-efficiency. Zbl 1396.91702
Rüschendorf, Ludger; Wolf, Viktor
2016
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Zbl 1396.91774
Zheng, Wendong; Zeng, Pingping
2016
ADI schemes for pricing American options under the Heston model. Zbl 1396.91799
Haentjens, Tinne; in &rsquo;t Hout, Karel J.
2015
Pricing path-dependent options with discrete monitoring under time-changed Lévy processes. Zbl 1396.91769
Umezawa, Yuji; Yamazaki, Akira
2015
Implied volatility of leveraged ETF options. Zbl 1396.91748
Leung, Tim; Sircar, Ronnie
2015
Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805
Pagès, Gilles; Sagna, Abass
2015
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
2015
Optimal execution and block trade pricing: a general framework. Zbl 1396.91687
Guéant, Olivier
2015
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance. Zbl 1396.91798
2015
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model. Zbl 1396.91710
Ahlip, Rehez; Rutkowski, Marek
2015
Correction to: “Exchange option under jump-diffusion dynamics”. Zbl 1406.91435
Caldana, Ruggero; Cheang, Gerald H. L.; Chiarella, Carl; Fusai, Gianluca
2015
Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane
2015
A note on dual-curve construction: Mr. Crab’s bootstrap. Zbl 1396.91778
Baviera, Roberto; Cassaro, Alessandro
2015
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models. Zbl 1396.91772
Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue Kuen
2015
Effect of volatility clustering on indifference pricing of options by convex risk measures. Zbl 1396.91744
Kumar, Rohini
2015
A new variance reduction technique for estimating value-at-risk. Zbl 1396.91802
Korn, Ralf; Pupashenko, Mykhailo
2015
Stochastic models for oil prices and the pricing of futures on oil. Zbl 1396.91756
Oud, Mohammed A. Aba; Goard, Joanna
2015
The British lookback option with fixed strike. Zbl 1396.91742
Kitapbayev, Yerkin
2015
Perpetual exchange options under jump-diffusion dynamics. Zbl 1396.91722
Cheang, Gerald H. L.; Lian, Guanghua
2015
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
2014
Consistent modelling of VIX and equity derivatives using a $$3/2$$ plus jumps model. Zbl 1395.91429
2014
Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497
Eberlein, Ernst; Glau, Kathrin
2014
An extension of the chaos expansion approximation for the pricing of exotic basket options. Zbl 1396.91727
Funahashi, Hideharu; Kijima, Masaaki
2014
Optimal trade execution under stochastic volatility and liquidity. Zbl 1395.91398
Cheridito, Patrick; Sepin, Tardu
2014
Option pricing with transaction costs and stochastic interest rate. Zbl 1395.91466
Sengupta, Indranil
2014
Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394
Alfonsi, Aurélien; Acevedo, José Infante
2014
A radial basis function scheme for option pricing in exponential Lévy models. Zbl 1395.91433
Brummelhuis, Raymond; Chan, Ron T. L.
2014
Stochastic correlation and volatility mean-reversion – empirical motivation and derivatives pricing via perturbation theory. Zbl 1395.91439
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi
2014
Saddlepoint approximation methods for pricing derivatives on discrete realized variance. Zbl 1396.91773
Zheng, Wendong; Kwok, Yue Kuen
2014
Closed-form pricing of two-asset barrier options with stochastic covariance. Zbl 1395.91443
Götz, Barbara; Escobar, Marcos; Zagst, Rudi
2014
Approximate hedging in a local volatility model with proportional transaction costs. Zbl 1395.91455
Lépinette, Emmanuel; Tran, Tuan
2014
Tail VaR measures in a multi-period setting. Zbl 1395.91512
Katsuki, Yuta; Matsumoto, Koichi
2014
On the approximation of the SABR with mean reversion model: a probabilistic approach. Zbl 1395.91453
Kennedy, Joanne E.; Pham, Duy
2014
Implied filtering densities on the hidden state of stochastic volatility. Zbl 1395.91441
Fuertes, Carlos; Papanicolaou, Andrew
2014
Perpetual options on multiple underlyings. Zbl 1396.91726
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V.
2014
Rare shock, two-factor stochastic volatility and currency option pricing. Zbl 1396.91770
Wang, Guanying; Wang, Xingchun; Wang, Yongjin
2014
A multivariate default model with spread and event risk. Zbl 1396.91792
Mai, Jan-Frederik; Olivares, Pablo; Schenk, Steffen; Scherer, Matthias
2014
Modelling asset prices for algorithmic and high-frequency trading. Zbl 1396.91680
Cartea, Álvaro; Jaimungal, Sebastian
2013
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
2013
Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705
Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H.
2013
Stock loans in incomplete markets. Zbl 1457.91376
Grasselli, Matheus R.; Gómez, Cesar
2013
American options in the Heston model with stochastic interest rate and its generalizations. Zbl 1457.91367
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2013
Optimal selling of an asset with jumps under incomplete information. Zbl 1396.91694
Lu, Bing
2013
A simple stochastic rate model for rate equity hybrid products. Zbl 1396.91780
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Yor, Marc
2013
Joint modelling of gas and electricity spot prices. Zbl 1457.91278
Frikha, Noufel; Lemaire, Vincent
2013
Default times in a continuous time Markov chain economy. Zbl 1396.91821
Elliott, Robert J.; van der Hoek, John
2013
Pricing and hedging of lookback options in hyper-exponential jump diffusion models. Zbl 1396.91736
Hofer, Markus; Mayer, Philipp
2013
On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075
Grzelak, Lech A.; Oosterlee, Cornelis W.
2012
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
2012
The endogenous price dynamics of emission allowances and an application to CO$$_2$$ option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
2012
The implied market price of weather risk. Zbl 1372.91108
Härdle, Wolfgang Karl; Cabrera, Brenda López
2012
Stochastic expansion for the pricing of call options with discrete dividends. Zbl 1372.91107
Étoré, Pierre; Gobet, Emmanuel
2012
Pricing fixed-income securities in an information-based framework. Zbl 1372.91109
Hughston, Lane P.; Macrina, Andrea
2012
The stochastic intrinsic currency volatility model: a consistent framework for multiple FX rates and their volatilities. Zbl 1372.91074
Doust, Paul
2012
On the approximation of the SABR model: a probabilistic approach. Zbl 1373.62520
Kennedy, Joanne E.; Mitra, Subhankar; Pham, Duy
2012
The effect of correlation and transaction costs on the pricing of basket options. Zbl 1372.91101
Atkinson, C.; Ingpochai, P.
2012
Dynamic portfolio optimization in discrete-time with transaction costs. Zbl 1372.91094
Atkinson, Colin; Quek, Gary
2012
Options on realized variance in log-OU models. Zbl 1372.91105
Drimus, Gabriel G.
2012
Bonds and options in exponentially affine bond models. Zbl 1372.91102
Bermin, Hans-Peter
2012
Bias reduction for pricing American options by least-squares Monte Carlo. Zbl 1372.91118
Kan, Kin Hung (Felix); Reesor, R. Mark
2012
...and 233 more Documents
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#### Cited by 2,678 Authors

 33 Siu, Tak Kuen 29 Benth, Fred Espen 23 Forsyth, Peter A. 23 Zhu, Songping 22 Elliott, Robert James 19 Jaimungal, Sebastian 16 Cartea, Álvaro 15 Schied, Alexander 14 Cui, Zhenyu 13 Chiarella, Carl 13 Lorig, Matthew J. 12 Ballestra, Luca Vincenzo 12 Sircar, Ronnie 11 Bernard, Carole 11 Company, Rafael 11 Glau, Kathrin 11 Kim, Jeong-Hoon 11 Oosterlee, Cornelis Willebrordus 11 Vetzal, Kenneth R. 11 Westerhoff, Frank H. 10 Eberlein, Ernst W. 10 Escobar, Marcos 10 Jódar Sanchez, Lucas Antonio 10 Yang, Hailiang 10 Zagst, Rudi 9 Boyle, Phelim P. 9 Dang, Duy Minh 9 Goard, Joanna M. 9 Kawai, Reiichiro 9 Lian, Guanghua 9 Linetsky, Vadim 9 Muhle-Karbe, Johannes 9 Schöneborn, Torsten 8 Alfonsi, Aurélien 8 Bayer, Christian 8 Bayraktar, Erhan 8 Dieci, Roberto 8 Düring, Bertram 8 Ekström, Erik 8 Fouque, Jean-Pierre 8 Gobet, Emmanuel 8 He, Xinjiang 8 Joshi, Mark S. 8 Li, Shenghong 8 Pacelli, Graziella 8 Pham, Huyên 8 Soner, Halil Mete 8 Tan, Ken Seng 7 Brody, Dorje C. 7 Chan, Leunglung 7 Ching, Wai-Ki 7 Fabozzi, Frank J. 7 Ferrando, Sebastián Esteban 7 Figueroa-López, José E. 7 Grasselli, Martino 7 Guéant, Olivier 7 Kallsen, Jan 7 Kwok, Yue-Kuen 7 Leung, Tim 7 Li, Zhongfei 7 Mamon, Rogemar S. 7 Pagliarani, Stefano 7 Papapantoleon, Antonis 7 Pascucci, Andrea 7 Platen, Eckhard 7 Sgarra, Carlo 7 Vanduffel, Steven 7 Yoon, Ji-Hun 6 Avellaneda, Marco 6 Bouchard, Bruno 6 Carmona, René A. 6 Chen, Wenting 6 Dyshaev, Mikhaĭl Mikhaĭlovich 6 Fusai, Gianluca 6 Goutte, Stéphane 6 Hobson, David G. 6 Horst, Ulrich 6 Howison, Sam D. 6 Hughston, Lane P. 6 Ivanov, Roman V. 6 Khaliq, Abdul Q. M. 6 Kim, Geonwoo 6 Laurence, Peter 6 Li, Lingfei 6 Ludkovski, Michael 6 Pagès, Gilles 6 Rüschendorf, Ludger 6 Rutkowski, Marek 6 Šaltytė-Benth, Jūratė 6 Schoenmakers, John G. M. 6 Schoutens, Wim 6 Ševčovič, Daniel 6 Swishchuk, Anatoliy 6 Vanmaele, Michèle 6 Vázquez Cendón, Carlos 6 Wong, Hoi Ying 6 Yamazaki, Akira 6 Yao, Haixiang 6 Zanette, Antonino 6 Zhang, Jin E. ...and 2,578 more Authors
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#### Cited in 265 Journals

 216 International Journal of Theoretical and Applied Finance 214 Quantitative Finance 142 Applied Mathematical Finance 81 Insurance Mathematics & Economics 71 Mathematical Finance 62 Journal of Computational and Applied Mathematics 62 European Journal of Operational Research 56 Journal of Economic Dynamics & Control 56 SIAM Journal on Financial Mathematics 52 Finance and Stochastics 33 Applied Mathematics and Computation 33 Review of Derivatives Research 31 Computers & Mathematics with Applications 31 Annals of Operations Research 27 The Annals of Applied Probability 23 Stochastic Processes and their Applications 21 Mathematics and Financial Economics 20 Stochastic Analysis and Applications 20 Annals of Finance 19 International Journal of Computer Mathematics 19 Asia-Pacific Financial Markets 19 Stochastics 15 Journal of Econometrics 15 Mathematical Methods of Operations Research 14 Journal of Mathematical Analysis and Applications 14 Journal of Optimization Theory and Applications 13 Mathematics and Computers in Simulation 13 Discrete Dynamics in Nature and Society 13 North American Actuarial Journal 12 SIAM Journal on Control and Optimization 12 Statistics & Probability Letters 12 Decisions in Economics and Finance 11 Advances in Applied Probability 11 Mathematical Problems in Engineering 11 The ANZIAM Journal 10 Chaos, Solitons and Fractals 10 Applied Mathematics and Optimization 10 Journal of Complexity 10 Methodology and Computing in Applied Probability 10 ASTIN Bulletin 10 Journal of Industrial and Management Optimization 9 Mathematics of Operations Research 9 Scandinavian Actuarial Journal 9 Computational Management Science 8 Journal of Applied Probability 8 Numerische Mathematik 8 Operations Research Letters 8 European Journal of Applied Mathematics 8 Monte Carlo Methods and Applications 8 Bernoulli 8 International Journal of Stochastic Analysis 7 Applied Numerical Mathematics 6 Optimization 6 Computers & Operations Research 6 Japan Journal of Industrial and Applied Mathematics 6 Journal of Applied Statistics 6 Journal of Systems Science and Complexity 5 Physica A 5 Communications in Statistics. Theory and Methods 5 Linear Algebra and its Applications 5 Computational Optimization and Applications 5 Abstract and Applied Analysis 5 Communications in Nonlinear Science and Numerical Simulation 5 Journal of Applied Mathematics 5 East Asian Journal on Applied Mathematics 5 4 Theory of Probability and its Applications 4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 4 Operations Research 4 Systems & Control Letters 4 Communications in Statistics. Simulation and Computation 4 Journal of Statistical Computation and Simulation 4 Computational Statistics and Data Analysis 4 SIAM Journal on Scientific Computing 4 Applied Stochastic Models in Business and Industry 4 Stochastic Models 4 European Actuarial Journal 4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 3 Lithuanian Mathematical Journal 3 Mathematics of Computation 3 Automatica 3 BIT 3 Fuzzy Sets and Systems 3 Acta Applicandae Mathematicae 3 Statistics 3 Applied Mathematics Letters 3 Mathematical and Computer Modelling 3 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 3 Automation and Remote Control 3 Theory of Probability and Mathematical Statistics 3 Computational and Applied Mathematics 3 Engineering Analysis with Boundary Elements 3 Chaos 3 Acta Mathematica Sinica. English Series 3 Nonlinear Analysis. Real World Applications 3 Discrete and Continuous Dynamical Systems. Series B 3 Stochastics and Dynamics 3 Journal of Statistical Mechanics: Theory and Experiment 3 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 3 Journal of Statistical Theory and Practice ...and 165 more Journals
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#### Cited in 47 Fields

 1,859 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 805 Probability theory and stochastic processes (60-XX) 373 Numerical analysis (65-XX) 267 Statistics (62-XX) 186 Systems theory; control (93-XX) 168 Operations research, mathematical programming (90-XX) 157 Partial differential equations (35-XX) 84 Calculus of variations and optimal control; optimization (49-XX) 35 Approximations and expansions (41-XX) 23 Integral equations (45-XX) 17 Ordinary differential equations (34-XX) 16 Integral transforms, operational calculus (44-XX) 16 Computer science (68-XX) 13 Geophysics (86-XX) 12 Harmonic analysis on Euclidean spaces (42-XX) 9 Operator theory (47-XX) 8 Functional analysis (46-XX) 7 Dynamical systems and ergodic theory (37-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Information and communication theory, circuits (94-XX) 5 Measure and integration (28-XX) 4 Number theory (11-XX) 4 Real functions (26-XX) 4 Biology and other natural sciences (92-XX) 3 Mathematical logic and foundations (03-XX) 3 Difference and functional equations (39-XX) 3 Convex and discrete geometry (52-XX) 2 Combinatorics (05-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 Special functions (33-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Mechanics of particles and systems (70-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Quantum theory (81-XX) 2 Mathematics education (97-XX) 1 General and overarching topics; collections (00-XX) 1 History and biography (01-XX) 1 Functions of a complex variable (30-XX) 1 Potential theory (31-XX) 1 Geometry (51-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Optics, electromagnetic theory (78-XX) 1 Statistical mechanics, structure of matter (82-XX)