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zbMATH — the first resource for mathematics

Finance and Stochastics

Short Title: Finance Stoch.
Publisher: Springer, Berlin/Heidelberg
ISSN: 0949-2984; 1432-1122/e
Online: http://link.springer.com/journal/volumesAndIssues/780
Comments: Indexed cover-to-cover
Documents Indexed: 680 Publications (since 1997)
References Indexed: 448 Publications with 13,758 References.
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Authors

21 Kabanov, Yuriĭ Mikhaĭlovich
12 Guasoni, Paolo
11 Jeanblanc, Monique
11 Muhle-Karbe, Johannes
10 Schachermayer, Walter
9 Bouchard, Bruno
9 Filipović, Damir
9 Hobson, David Graham
9 Kardaras, Constantinos
8 Carr, Peter P.
8 Delbaen, Freddy
8 Pham, Huyên
7 Benth, Fred Espen
7 Fukasawa, Masaaki
7 Karatzas, Ioannis
7 Schweizer, Martin
7 Soner, Halil Mete
7 Stricker, Christophe
7 Touzi, Nizar
6 Björk, Tomas
6 Campi, Luciano
6 Föllmer, Hans
6 Glasserman, Paul
6 Kupper, Michael
6 Linetsky, Vadim
6 Obloj, Jan K.
6 Protter, Philip Elliott
6 Rásonyi, Miklós
6 Rogers, L. C. G.
6 Schied, Alexander
6 Wang, Ruodu
6 Zariphopoulou, Thaleia
6 Žitković, Gordan
5 Bayraktar, Erhan
5 Belomestny, Denis
5 Çetin, Umut
5 Cvitanić, Jakša
5 Frittelli, Marco
5 Jarrow, Robert Alan
5 Jiao, Ying
5 Kallsen, Jan
5 Keller-Ressel, Martin
5 Lépinette, Emmanuel
5 Rüschendorf, Ludger
5 Yor, Marc
4 Alòs, Elisa
4 Bank, Peter
4 Bartl, Daniel
4 Carmona, René A.
4 Cheridito, Patrick
4 Choulli, Tahir
4 Cox, Alexander Matthew Gordon
4 Cuchiero, Christa
4 Dolinsky, Yan
4 Eberlein, Ernst W.
4 Fontana, Claudio
4 Fouque, Jean-Pierre
4 Frey, Rüdiger
4 Gerhold, Stefan
4 Gobet, Emmanuel
4 Jacod, Jean
4 Jouini, Elyès
4 Madan, Dilip B.
4 Mijatović, Aleksandar
4 Nutz, Marcel
4 Pergamenshchikov, Sergeĭ Markovich
4 Robertson, Scott
4 Rutkowski, Marek
4 Schoenmakers, John G. M.
4 Seifried, Frank Thomas
4 Shreve, Steven E.
4 Sircar, Ronnie
4 Song, Shiqi
4 Tehranchi, Michael R.
4 Villeneuve, Stéphane
3 Acciaio, Beatrice
3 Becherer, Dirk
3 Beiglböck, Mathias
3 Bender, Christian
3 Brigo, Damiano
3 Capponi, Agostino
3 Cherny, Alexander S.
3 Coculescu, Delia
3 Dassios, Angelos
3 Deng, Jun
3 Denis, Emmanuel
3 El Karoui, Nicole
3 Elie, Romuald
3 Elliott, Robert James
3 Embrechts, Paul
3 Federico, Salvatore
3 Figueroa-López, José E.
3 Forde, Martin
3 Geman, Hélyette
3 Gozzi, Fausto
3 Henderson, Vicky
3 Herdegen, Martin
3 Huang, Yu-Jui
3 Jacquier, Antoine
3 Jamshidian, Farshid
...and 696 more Authors

Publications by Year

Citations contained in zbMATH Open

616 Publications have been cited 12,626 times in 7,051 Documents Cited by Year
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
412
2002
Processes of normal inverse Gaussian type. Zbl 0894.90011
Barndorff-Nielsen, Ole E.
338
1998
Generalized deviations in risk analysis. Zbl 1150.90006
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
141
2006
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis
123
1999
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
122
1999
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
117
2007
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
115
2000
Conditional and dynamic convex risk measures. Zbl 1092.91017
Detlefsen, Kai; Scandolo, Giacomo
112
2005
Moment explosions in stochastic volatility models. Zbl 1142.65004
Andersen, Leif B. G.; Piterbarg, Vladimir V.
111
2007
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
109
1997
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
Zariphopoulou, Thaleia
107
2001
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
104
2005
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
104
1998
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
104
2004
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich
103
2013
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
102
1998
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
100
2000
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
95
1999
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
89
2002
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
89
2004
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
88
2014
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
82
2005
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
81
2002
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
79
2003
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
78
2002
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
77
2017
Game options. Zbl 1066.91042
Kifer, Yuri
75
2000
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
74
2004
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
69
1997
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
69
2002
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
69
2001
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020
Alòs, Elisa; León, Jorge A.; Vives, Josep
69
2007
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
67
2003
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061
Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis
67
2001
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
66
2010
Stock market prices and long-range dependence. Zbl 0924.90029
Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim
66
1999
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040
Sass, Jörn; Haussmann, Ulrich G.
64
2004
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
63
2003
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
63
1999
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
62
2003
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
61
2006
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
58
2005
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021
Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.
58
1997
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
57
2001
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
Bion-Nadal, Jocelyne
57
2008
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
56
1999
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
55
2001
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
55
2002
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
55
2009
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
54
2002
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
53
2003
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
53
2009
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
52
2005
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
52
1998
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
51
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
51
2011
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
50
1999
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
50
1998
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
48
2013
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
48
2001
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
48
2003
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
48
1999
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
47
2003
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
47
1998
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
47
2013
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
47
2001
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
47
2000
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
46
1997
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
44
2003
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
44
2005
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
44
1997
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
44
2006
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
43
2015
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
43
2006
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
43
2011
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
43
2006
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
42
2005
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
42
2000
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
41
2006
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
41
2001
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
41
1999
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
41
2007
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
40
1998
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
40
2004
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
40
2012
On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep
40
2002
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
40
2008
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
39
1998
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
39
2014
Continuous-time term structure models: Forward measure approach. Zbl 0888.60037
Musiela, Marek; Rutkowski, Marek
38
1997
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
38
2001
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
38
2001
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
38
2002
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
37
2003
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
37
2004
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
37
2001
Lookback options and diffusion hitting times: a spectral expansion approach. Zbl 1065.60105
Linetsky, Vadim
37
2004
The rate of convergence of the binomial tree scheme. Zbl 1062.91027
Walsh, John B.
36
2003
Nonlinear expectations of random sets. Zbl 1461.91283
Molchanov, Ilya; Mühlemann, Anja
1
2021
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
1
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
1
2021
Infinite-dimensional polynomial processes. Zbl 1461.91310
Cuchiero, Christa; Svaluto-Ferro, Sara
1
2021
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
1
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
7
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
6
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
6
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
4
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
3
2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259
Chi, Yichun; Wei, Wei
3
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
3
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
2
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
2
2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2
2020
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie
2
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
1
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
1
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
1
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
1
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
1
2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190
Albani, Vinicius V. L.; Zubelli, Jorge P.
1
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
1
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
1
2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
1
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
10
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
9
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060
Hambly, Ben; Søjmark, Andreas
7
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
6
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
6
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
6
2019
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia
6
2019
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
5
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
5
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
5
2019
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Zbl 1425.91401
Hefter, Mario; Jentzen, Arnulf
5
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
4
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
4
2019
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
3
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
2
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
2
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
2
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
1
2019
Dual utilities on risk aggregation under dependence uncertainty. Zbl 1426.91115
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu
1
2019
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. Zbl 1444.91216
Kühn, Christoph; Molitor, Alexander
1
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
1
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
1
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 07074033
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
1
2019
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789
Hou, Zhaoxu; Obłój, Jan
26
2018
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
23
2018
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Zbl 1401.91141
Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos
16
2018
Time-consistent stopping under decreasing impatience. Zbl 1391.60086
Huang, Yu-Jui; Nguyen-Huu, Adrien
14
2018
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
13
2018
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
11
2018
Optimal liquidation under stochastic liquidity. Zbl 1391.91164
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter
11
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
9
2018
Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353
Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia
8
2018
An expansion in the model space in the context of utility maximization. Zbl 1396.91692
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan
8
2018
Stability of Radner equilibria with respect to small frictions. Zbl 1416.91349
Herdegen, Martin; Muhle-Karbe, Johannes
7
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
6
2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
6
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
5
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
4
2018
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284
Beissner, Patrick; Riedel, Frank
4
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
3
2018
A risk-neutral equilibrium leading to uncertain volatility pricing. Zbl 1422.91716
Muhle-Karbe, Johannes; Nutz, Marcel
3
2018
Financial equilibrium with asymmetric information and random horizon. Zbl 1422.91799
Çetin, Umut
2
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Zbl 1396.91782
Keller-Ressel, Martin
2
2018
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Zbl 1416.91358
Pennanen, Teemu; Perkkiö, Ari-Pekka
1
2018
Sensitivity analysis of long-term cash flows. Zbl 1416.91382
Park, Hyungbin
1
2018
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Zbl 1416.60064
Brzeźniak, Zdzisław; Kok, Tayfun
1
2018
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
77
2017
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
30
2017
Alpha-CIR model with branching processes in sovereign interest rate modeling. Zbl 1378.91123
Jiao, Ying; Ma, Chunhua; Scotti, Simone
16
2017
Change of numeraire in the two-marginals martingale transport problem. Zbl 1369.91174
Campi, Luciano; Laachir, Ismail; Martini, Claude
15
2017
Pathwise superreplication via Vovk’s outer measure. Zbl 1391.91153
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin; Perkowski, Nicolas; Prömel, David J.
15
2017
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
15
2017
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
10
2017
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
9
2017
Optimal consumption and investment with Epstein-Zin recursive utility. Zbl 1352.93102
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas
9
2017
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
8
2017
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
8
2017
Multilevel Monte Carlo for exponential Lévy models. Zbl 1403.91371
Giles, Michael B.; Xia, Yuan
6
2017
Hedging with small uncertainty aversion. Zbl 1360.91141
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, Frank Thomas
6
2017
Equilibrium in risk-sharing games. Zbl 1416.91012
Anthropelos, Michail; Kardaras, Constantinos
6
2017
Model uncertainty and the pricing of American options. Zbl 1380.91131
Hobson, David; Neuberger, Anthony
5
2017
Hedging under multiple risk constraints. Zbl 1360.91136
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter
4
2017
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka
4
2017
Computing deltas without derivatives. Zbl 1378.91117
Baños, D.; Meyer-Brandis, T.; Proske, F.; Duedahl, S.
4
2017
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Zbl 1390.91300
Herrmann, Sebastian; Muhle-Karbe, Johannes
4
2017
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. Zbl 1352.93107
Xing, Hao
4
2017
Market completion with derivative securities. Zbl 1377.91162
Schwarz, Daniel C.
4
2017
Local risk-minimization for Barndorff-Nielsen and Shephard models. Zbl 1378.91116
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi
3
2017
Bounds for VIX futures given S&P 500 smiles. Zbl 1422.91698
Guyon, Julien; Menegaux, Romain; Nutz, Marcel
3
2017
Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647
Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui
3
2017
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Zbl 1367.91165
Källblad, Sigrid
2
2017
Continuous-time perpetuities and time reversal of diffusions. Zbl 1390.91303
Kardaras, Constantinos; Robertson, Scott
2
2017
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Cited by 6,078 Authors

67 Siu, Tak Kuen
44 Bayraktar, Erhan
43 Elliott, Robert James
39 Madan, Dilip B.
39 Wang, Ruodu
35 Muhle-Karbe, Johannes
33 Bouchard, Bruno
33 Platen, Eckhard
33 Touzi, Nizar
33 Yang, Hailiang
31 Øksendal, Bernt Karsten
30 Rüschendorf, Ludger
30 Young, Virginia R.
29 Benth, Fred Espen
29 Hobson, David Graham
29 Jacquier, Antoine
29 Kupper, Michael
29 Schachermayer, Walter
28 Belomestny, Denis
28 Filipović, Damir
28 Jeanblanc, Monique
28 Obloj, Jan K.
28 Rásonyi, Miklós
27 Dolinsky, Yan
27 Guasoni, Paolo
27 Kardaras, Constantinos
27 Rutkowski, Marek
27 Soner, Halil Mete
26 Bo, Lijun
26 Gobet, Emmanuel
25 Biagini, Francesca
25 Jarrow, Robert Alan
25 Levendorskiĭ, Sergeĭ Zakharovich
25 Schoenmakers, John G. M.
24 Eberlein, Ernst W.
24 Pham, Huyên
24 Protter, Philip Elliott
23 Leonenko, Nikolai N.
23 Pascucci, Andrea
22 Kallsen, Jan
22 Rudloff, Birgit
22 Schied, Alexander
22 Wang, Yongjin
21 Bielecki, Tomasz R.
21 Brigo, Damiano
21 Ekström, Erik
21 Hu, Yijun
21 Mishura, Yuliya Stepanivna
21 Schoutens, Wim
21 Tankov, Peter
21 Teichmann, Josef
21 Xiong, Dewen
21 Zheng, Harry H.
20 Balbás, Alejandro
20 Barndorff-Nielsen, Ole Eiler
20 Karatzas, Ioannis
20 Lépinette, Emmanuel
20 Linetsky, Vadim
20 Meyer-Brandis, Thilo
20 Sircar, Ronnie
20 Zeng, Yan
19 Campi, Luciano
19 Nutz, Marcel
19 Pistorius, Martijn R.
19 Puccetti, Giovanni
19 Schweizer, Martin
19 Wong, Hoi Ying
19 Yuen, Kam Chuen
19 Žitković, Gordan
18 Beiglböck, Mathias
18 Bender, Christian
18 Carr, Peter P.
18 Choulli, Tahir
18 Crepey, Stephane
18 Ferrari, Giorgio
18 Figueroa-López, José E.
18 Jin, Zhuo
18 Joshi, Mark S.
18 Kabanov, Yuriĭ Mikhaĭlovich
18 Larsson, Martin
18 Li, Zhongfei
18 Steffensen, Mogens
18 Svindland, Gregor
17 Cheridito, Patrick
17 Cui, Zhenyu
17 El Karoui, Nicole
17 Fontana, Claudio
17 Fouque, Jean-Pierre
17 Frittelli, Marco
17 Fukasawa, Masaaki
17 Kohlmann, Michael
17 Leung, Tim
17 Lorig, Matthew J.
17 Papapantoleon, Antonis
17 Riedel, Frank
17 Rosazza Gianin, Emanuela
17 Sass, Jörn
16 Bäuerle, Nicole
16 Capponi, Agostino
16 Ceci, Claudia
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Cited in 432 Journals

420 International Journal of Theoretical and Applied Finance
402 Quantitative Finance
374 Finance and Stochastics
363 Insurance Mathematics & Economics
291 Mathematical Finance
289 Stochastic Processes and their Applications
216 The Annals of Applied Probability
185 SIAM Journal on Financial Mathematics
165 European Journal of Operational Research
160 Mathematics and Financial Economics
136 Applied Mathematical Finance
130 Journal of Computational and Applied Mathematics
119 Journal of Economic Dynamics & Control
116 Statistics & Probability Letters
116 Stochastic Analysis and Applications
104 Stochastics
102 Journal of Applied Probability
91 Scandinavian Actuarial Journal
87 SIAM Journal on Control and Optimization
73 Applied Mathematics and Optimization
73 Annals of Finance
65 Advances in Applied Probability
64 Journal of Mathematical Analysis and Applications
64 Asia-Pacific Financial Markets
62 Annals of Operations Research
60 Mathematical Methods of Operations Research
56 Journal of Econometrics
53 Decisions in Economics and Finance
51 Journal of Mathematical Economics
50 Journal of Optimization Theory and Applications
48 Applied Mathematics and Computation
48 Bernoulli
48 Methodology and Computing in Applied Probability
48 Review of Derivatives Research
46 ASTIN Bulletin
44 The Annals of Probability
40 Mathematics of Operations Research
35 Journal of Industrial and Management Optimization
34 Stochastic Models
33 Communications in Statistics. Theory and Methods
31 Operations Research Letters
31 Mathematical Problems in Engineering
29 Mathematical Programming. Series A. Series B
27 North American Actuarial Journal
26 Computers & Mathematics with Applications
24 Chaos, Solitons and Fractals
24 Journal of Theoretical Probability
24 Discrete Dynamics in Nature and Society
23 Journal of Economic Theory
23 Operations Research
23 Computational Statistics and Data Analysis
22 Theory of Probability and its Applications
22 Journal of Multivariate Analysis
22 European Actuarial Journal
22 Mathematical Control and Related Fields
21 Physica A
21 Electronic Journal of Probability
21 Abstract and Applied Analysis
20 Lithuanian Mathematical Journal
20 Journal of Statistical Planning and Inference
20 Applied Stochastic Models in Business and Industry
20 Probability, Uncertainty and Quantitative Risk
19 Acta Mathematicae Applicatae Sinica. English Series
18 Probability Theory and Related Fields
18 Japan Journal of Industrial and Applied Mathematics
18 Monte Carlo Methods and Applications
17 International Journal of Computer Mathematics
17 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
17 Computational Management Science
17 Science China. Mathematics
16 The Annals of Statistics
16 Journal of Systems Science and Complexity
16 Statistics & Risk Modeling
15 Optimization
15 Stochastics and Dynamics
15 Electronic Journal of Statistics
15 International Journal of Stochastic Analysis
14 Dependence Modeling
13 Journal of Differential Equations
13 Journal of Functional Analysis
13 Mathematics and Computers in Simulation
13 Statistical Inference for Stochastic Processes
13 Communications in Nonlinear Science and Numerical Simulation
13 Econometric Theory
13 The ANZIAM Journal
13 Comptes Rendus. Mathématique. Académie des Sciences, Paris
13 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
12 Automatica
12 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
12 Acta Applicandae Mathematicae
12 International Journal of Approximate Reasoning
12 Mathematical and Computer Modelling
12 Applied Mathematics. Series B (English Edition)
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
12 Infinite Dimensional Analysis, Quantum Probability and Related Topics
12 Journal of Applied Mathematics
12 Journal of the Korean Statistical Society
11 Scandinavian Journal of Statistics
11 SIAM Journal on Optimization
11 Theory of Probability and Mathematical Statistics
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Cited in 51 Fields

5,596 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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494 Calculus of variations and optimal control; optimization (49-XX)
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72 Integral equations (45-XX)
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