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International Journal of Theoretical and Applied Finance

Short Title: Int. J. Theor. Appl. Finance
Publisher: World Scientific, Singapore
ISSN: 0219-0249; 1793-6322/e
Online: https://www.worldscientific.com/loi/ijtaf
Comments: Indexed cover-to-cover
Documents Indexed: 1,189 Publications (since 1998)
References Indexed: 1,165 Publications with 26,791 References.
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Authors

13 Kwok, Yue-Kuen
12 Elliott, Robert James
12 Fabozzi, Frank J.
12 Levendorskiĭ, Sergeĭ Zakharovich
12 Madan, Dilip B.
12 Schoutens, Wim
11 Avellaneda, Marco
11 Benth, Fred Espen
11 Brigo, Damiano
10 Jeanblanc, Monique
9 Bouchaud, Jean-Philippe
9 Rachev, Svetlozar T.
9 Rutkowski, Marek
8 Korn, Ralf
8 Leung, Tim
8 Oosterlee, Cornelis Willebrordus
8 Platen, Eckhard
8 Rebonato, Riccardo
8 Wu, Lixin
7 Gapeev, Pavel V.
7 Joshi, Mark S.
7 Konno, Hiroshi
7 Protter, Philip Elliott
7 Takahashi, Akihiko
7 Wilmott, Paul
7 Zubelli, Jorge P.
6 Arai, Takuji
6 Baviera, Roberto
6 Bielecki, Tomasz R.
6 Crepey, Stephane
6 Friedman, Craig
6 Jaimungal, Sebastian
6 Macrina, Andrea
6 Pallavicini, Andrea
6 Siu, Tak Kuen
6 Stoyanov, Stoyan V.
5 Aurell, Erik
5 Biagini, Francesca
5 Cartea, Álvaro
5 Chiarella, Carl
5 Cont, Rama
5 Ekström, Erik
5 Hughston, Lane P.
5 Hui, Cho-Hoi
5 Jarrow, Robert Alan
5 Lipton, Alexander
5 Lo, Chi-Fai
5 Meyer-Brandis, Thilo
5 Pistorius, Martijn R.
5 Ramponi, Alessandro
5 Sornette, Didier
5 Yamazaki, Akira
4 Albanese, Claudio
4 Bayraktar, Erhan
4 Bernard, Carole
4 Boyarchenko, Svetlana I.
4 Brody, Dorje C.
4 Capriotti, Luca
4 Carr, Peter P.
4 Cialenco, Igor
4 Forsyth, Peter A.
4 Frahm, Gabriel
4 Frey, Rüdiger
4 Gatheral, Jim
4 Gil-Alana, Luis Alberiko
4 Grorud, Axel
4 Hobson, David Graham
4 Mijatović, Aleksandar
4 Semeraro, Patrizia
4 Serva, Maurizio
4 Stanley, H. Eugene
4 Wagalath, Lakshithe
4 Zagst, Rudi
4 Zhu, Songping
3 Alfonsi, Aurélien
3 Antonelli, Fabio
3 Belomestny, Denis
3 Bernaschi, Massimo
3 Boyarchenko, Mitya
3 Broadie, Mark N.
3 Buescu, Cristin
3 Carmona, René A.
3 Ceci, Claudia
3 Charpin, Françoise
3 Cruz Rambaud, Salvador
3 D’Addona, Stefano
3 Dahl, Lars O.
3 Dokuchaev, Nikolai G.
3 Dorfleitner, Gregor
3 Dupire, Bruno
3 Filipović, Damir
3 Forde, Martin
3 Fouque, Jean-Pierre
3 Frittelli, Marco
3 Fukasawa, Masaaki
3 Gnoatto, Alessandro
3 Gopikrishnan, Parameswaran
3 Grasselli, Matheus R.
3 Grzelak, Lech A.
3 Guhr, Thomas
...and 1,534 more Authors

Publications by Year

Citations contained in zbMATH Open

775 Publications have been cited 4,821 times in 3,535 Documents Cited by Year
American options with regime switching. Zbl 1107.91325
Buffington, John; Elliott, Robert J.
205
2002
Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072
Lux, Thomas; Marchesi, Michele
93
2000
Option pricing for truncated Lévy processes. Zbl 0973.91037
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z.
64
2000
The spectral decomposition of the option value. Zbl 1107.91051
Linetsky, Vadim
58
2004
Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147
Cheridito, Patrick; Kupper, Michael
55
2011
The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283
Broadie, Mark; Jain, Ashish
54
2008
Insider trading in a continuous time market model. Zbl 0909.90023
Grorud, Axel; Pontier, Monique
51
1998
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
48
2010
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
47
2001
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009
Derman, Emanuel; Kani, Iraj
45
1998
Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206
Brigo, Damiano; Chourdakis, Kyriakos
43
2009
A multivariate variance gamma model for financial applications. Zbl 1152.91548
Semeraro, Patrizia
42
2008
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403
Gatheral, Jim; Schied, Alexander
42
2011
Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290
Forde, Martin; Jacquier, Antoine
42
2009
Random matrix theory and financial correlations. Zbl 0970.91059
Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe
42
2000
Crashes as critical points. Zbl 1153.91790
Johansen, Anders; Ledoit, Olivier; Sornette, Didier
37
2000
Drawdown measure in portfolio optimization. Zbl 1100.91040
Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael
36
2005
Pricing of the American put under Lévy processes. Zbl 1107.91050
Levendorskiĭ, S. Z.
35
2004
Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345
Sepp, Artur
34
2004
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
33
2000
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
29
2009
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines. Zbl 1178.91193
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, Andrew
29
2009
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
28
2008
Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130
Frey, Rüdiger; Backhaus, Jochen
28
2008
High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar
28
2003
A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175
Ehrhardt, Matthias; Mickens, Ronald E.
27
2008
Financial signal processing: a self calibrating model. Zbl 1153.91491
Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M.
26
2001
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
26
2010
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
25
2005
Information-based asset pricing. Zbl 1152.91487
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
24
2008
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
24
2012
Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024
Avellaneda, Marco
24
1998
Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324
Brigo, Damiano; Mercurio, Fabio
23
2002
Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451
Ikonen, Samuli; Toivanen, Jari
23
2007
A mathematical approach to order book modeling. Zbl 1292.91197
Abergel, Frédéric; Jedidi, Aymen
23
2013
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
22
2006
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
21
2006
Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465
Matacz, Andrew
21
2000
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
21
2010
Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086
Mercurio, Fabio
21
2010
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
21
2014
Asymmetrical information and incomplete markets. Zbl 1154.91542
Grorud, Axel; Pontier, Monique
20
2001
Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203
Bordag, L. A.; Chmakova, A. Y.
20
2007
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
19
2008
Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191
Meyer-Brandis, Thilo; Tankov, Peter
19
2008
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101
Andersen, Leif; Lipton, Alexander
19
2013
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
19
2000
Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie
18
2013
Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308
van Haastrecht, Alexander; Pelsser, Antoon
18
2010
Optimal portfolios under the threat of a crash. Zbl 1111.91318
Korn, Ralf; Wilmott, Paul
18
2002
On the relationship between the call price surface and the implied volatility surface close to expiry. Zbl 1291.91210
Roper, Michael; Rutkowski, Marek
18
2009
Expansion formulas for European options in a local volatility model. Zbl 1205.91153
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
17
2010
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
17
2004
Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156
Leung, Tim; Li, Xin
17
2015
Weighted Monte Carlo: a new technique for calibrating asset-pricing models. Zbl 1153.91458
Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua
16
2001
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
16
2001
Option pricing with VG-like models. Zbl 1175.91178
Finlay, Richard; Seneta, Eugene
16
2008
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
16
2004
Portfolio optimization under partial information with expert opinions. Zbl 1236.91126
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf
16
2012
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
16
2012
Pricing Parisian-style options with a lattice method. Zbl 1153.91459
Avellaneda, Marco; Wu, Lixin
15
1999
The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513
Hugonnier, Julien-N.
15
1999
Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791
Johansen, Anders; Sornette, Didier
15
2001
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
15
2019
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
15
2009
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
15
2011
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177
Löhne, Andreas; Rudloff, Birgit
15
2014
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071
Ramponi, Alessandro
15
2012
A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif
14
2008
Implied and local volatilities under stochastic volatility. Zbl 1153.91536
Lee, Roger W.
14
2001
Stochastic portfolio optimization with log utility. Zbl 1138.91468
Pang, Tao
14
2006
Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188
Hurd, T. R.
14
2009
Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331
Elliott, Robert; Hinz, Juri
14
2002
Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036
Korn, Ralf; Kraft, Holger
14
2003
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
14
2012
Conditional certainty equivalent. Zbl 1213.91170
Frittelli, Marco; Maggis, Marco
14
2011
A risk-neutral stochastic volatility model. Zbl 0909.90036
Zhu, Yingzi; Avellaneda, Marco
14
1998
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
13
2010
Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177
Boyarchenko, Mitya; Levendorskiĭ, Sergei
13
2009
Approximating Lévy processes with a view to option pricing. Zbl 1206.91079
Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar
13
2010
A closer look at the Epps effect. Zbl 1079.91537
Renò, Roberto
13
2003
Stress testing the resilience of financial networks. Zbl 1236.91137
Amini, Hamed; Cont, Rama; Minca, Andreea
13
2012
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios
13
2011
On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036
Djehiche, Boualem; Hamadène, Said
13
2009
Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020
Buckley, I. R. C.; Korn, R.
13
1998
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
Mania, M.; Tevzadze, R.
13
2003
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
13
2017
Pricing multi-asset options with an external barrier. Zbl 0987.91030
Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong
13
1998
The entropy theory of stock option pricing. Zbl 1153.91503
Gulko, Les
12
1999
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
12
2012
A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211
Ceci, Claudia; Gerardi, Anna
12
2006
Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem. Zbl 1137.91474
Stabile, Gabriele
12
2006
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
12
2004
Calibrated option bounds. Zbl 1100.91045
King, Alan J.; Koivu, Matti; Pennanen, Teemu
12
2005
The entropy theory of bond option pricing. Zbl 1107.91337
Gulko, Les
12
2002
Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors. Zbl 1138.91453
Sadefo Kamdem, Jules
12
2005
The heat-kernel most-likely-path approximation. Zbl 1236.91147
Gatheral, Jim; Wang, Tai-Ho
12
2012
Hedging (co)variance risk with variance swaps. Zbl 1282.91299
Da Fonseca, José; Grasselli, Martino; Ielpo, Florian
12
2011
Lévy simple structural models. Zbl 1291.91218
Baxter, Martin
12
2007
Pricing and hedging in a dynamic credit model. Zbl 1291.91223
Elouerkhaoui, Youssef
12
2007
Robust bounds for derivative prices in Markovian models. Zbl 1447.91183
Sester, Julian
3
2020
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
3
2020
Some pricing tools for the variance gamma model. Zbl 1448.91289
Aguilar, Jean-Philippe
2
2020
Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217
Gapeev, Pavel V.; Jeanblanc, Monique
1
2020
Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. Zbl 1444.91195
Biedova, Olga; Steblovskaya, Victoria
1
2020
A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. Zbl 1441.91075
Grishenko, Olesya; Han, Xiao; Nistor, Victor
1
2020
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
1
2020
Systemic risk: the effect of market confidence. Zbl 1459.91215
Bichuch, Maxim; Chen, Ke
1
2020
Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371
de Gennaro Aquino, Luca; Bernard, Carole
1
2020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
15
2019
Rational approximation of the rough Heston solution. Zbl 1458.91211
Gatheral, Jim; Radoičić, Radoš
5
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
3
2019
Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar
2
2019
Optimal liquidation under stochastic price impact. Zbl 1411.91477
Barger, Weston; Lorig, Matthew
2
2019
Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634
Chen, Yanhong; Hu, Yijun
2
2019
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
2
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
2
2019
Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate. Zbl 1411.91583
Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing
2
2019
Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604
Avellaneda, M.; Papanicolaou, A.
2
2019
Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605
Bouzianis, George; Hughston, Lane P.
2
2019
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. Zbl 1426.91269
Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, Sergii M.; Dias, José Carlos
1
2019
American options and incomplete information. Zbl 1426.91265
Ekström, Erik; Vannestål, Martin
1
2019
Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113
Lars Kirkby, J.; Deng, Shi-Jie
1
2019
Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia
1
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
Madan, Dilip B.; Schoutens, Wim
1
2019
Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563
Jafari, Hossein; Rahimi, Ghazaleh
1
2019
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
1
2019
Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756
Shibata, Takashi; Nishihara, Michi
1
2019
On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761
Alfeus, Mesias; Schlögl, Erik
1
2019
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
1
2019
Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404
Siu, Tak Kuen; Elliott, Robert J.
1
2019
Multi-currency credit default swaps. Zbl 1411.91546
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea
1
2019
Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622
Neufeld, Ariel
5
2018
Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. Zbl 1395.91501
Patel, Kuldip Singh; Mehra, Mani
4
2018
Pricing temperature derivatives under weather forecasts. Zbl 1396.91734
Hess, Markus
4
2018
Bayesian inference for the tangent portfolio. Zbl 1419.91576
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema
3
2018
Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
3
2018
Most-likely-path in Asian option pricing under local volatility models. Zbl 1396.91714
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho
3
2018
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. Zbl 1395.91531
Criens, David
3
2018
Explicit Heston solutions and stochastic approximation for path-dependent option pricing. Zbl 1395.91454
Kouritzin, Michael A.
3
2018
Option pricing in the variance-gamma model under the drift jump. Zbl 1395.91449
Ivanov, Roman V.
2
2018
Local risk-minimization with multiple assets under illiquidity with applications in energy markets. Zbl 1395.91434
Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo
2
2018
Mean reversion trading with sequential deadlines and transaction costs. Zbl 1395.91411
Kitapbayev, Yerkin; Leung, Tim
2
2018
Sensitivities of Asian options in the Black-Scholes model. Zbl 1395.91463
Pirjol, Dan; Zhu, Lingjiong
2
2018
Smooth upper bounds for the price function of American style options. Zbl 1395.91431
Bhim, Louis; Kawai, Reiichiro
2
2018
XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar
2
2018
Efficient long-dated swaption volatility approximation in the forward-LIBOR model. Zbl 1395.91476
Van Appel, Jacques; Mcwalter, Thomas A.
1
2018
Corrigendum to: “Pricing and valuation under the real-world measure”. Zbl 1395.91403
Frahm, Gabriel
1
2018
A dynamic model of central counterparty risk. Zbl 1419.91646
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi
1
2018
Decomposition formula for jump diffusion models. Zbl 1419.91652
Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J.
1
2018
An empirical approach to financial crisis indicators based on random matrices. Zbl 1398.91682
Douady, Raphael; Kornprobst, Antoine
1
2018
First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment. Zbl 1398.91614
Saporito, Yuri F.
1
2018
Lévy-Vasicek models and the long-bond return process. Zbl 1398.91623
Brody, Dorje C.; Hughston, Lane P.; Meier, David M.
1
2018
Shortfall risk minimization under fixed transaction costs. Zbl 1396.91699
Nayman, Niv
1
2018
Arbitrage pricing theory in ergodic markets. Zbl 1396.91822
Frahm, Gabriel
1
2018
Quanto pricing in stochastic correlation models. Zbl 1396.91765
Teng, Long; Ehrhardt, Matthias; Günther, Michael
1
2018
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
1
2018
Multivariate option pricing models with Lévy and Sato VG marginal processes. Zbl 1395.91444
Guillaume, Florence
1
2018
Dynamic mean-variance optimization problems with deterministic information. Zbl 1395.91420
Schweizer, Martin; Zivoi, Danijel; Šikić, Mario
1
2018
Kyle-Back’s model with a random horizon. Zbl 1395.91435
Corcuera, José Manuel; Di Nunno, Giulia
1
2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis
1
2018
Bank panics and fire sales, insolvency and illiquidity. Zbl 1416.91415
Hurd, T. R.
1
2018
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
13
2017
Set-valued shortfall and divergence risk measures. Zbl 1396.91807
Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit
12
2017
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
8
2017
Affine models with stochastic market price of risk. Zbl 1396.91784
Rebonato, Riccardo
6
2017
A generalized contagion process with an application to credit risk. Zbl 1396.91788
Dassios, Angelos; Zhao, Hongbiao
5
2017
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
5
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
5
2017
Irreversible investments and ambiguity aversion. Zbl 1415.91305
Cartea, Álvaro; Jaimungal, Sebastian
4
2017
Convex regularization of local volatility estimation. Zbl 1396.91711
Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P.
4
2017
Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy
4
2017
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift. Zbl 1396.91703
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf
4
2017
Tighter bounds for implied volatility. Zbl 1396.91729
Gatheral, Jim; Matić, Ivan; Radoičić, Radoš; Stefanica, Dan
4
2017
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257
Cong, F.; Oosterlee, C. W.
3
2017
An explicit implied volatility formula. Zbl 1415.91290
Stefanica, Dan; Radoičić, Radoš
3
2017
General semi-Markov model for limit order books. Zbl 1396.91764
Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia
3
2017
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics. Zbl 1415.91303
Vrins, Frédéric
2
2017
On cash settled IRR-swaptions and Markov functional modeling. Zbl 1360.91138
Bermin, Hans-Peter; Williams, Gareth
2
2017
Conic trading in a Markovian steady state. Zbl 1390.91304
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2
2017
Equilibrium equity price with optimal dividend policy. Zbl 1360.91162
Yamazaki, Akira
2
2017
Functional analytic (ir-)regularity properties of SABR-type processes. Zbl 1396.91579
Döring, Leif; Horvath, Blanka; Teichmann, Josef
2
2017
Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750
Liu, Yue; Privault, Nicolas
2
2017
Optimal investment in hedge funds under loss aversion. Zbl 1396.91709
Zou, Bin
2
2017
Rise and fall of synthetic CDO market: lessons learned. Zbl 1395.62323
Jabłecki, Juliusz
2
2017
Derivative pricing with collateralization and FX market dislocations. Zbl 1396.91753
Moreni, Nicola; Pallavicini, Andrea
2
2017
Stationary distribution of the volume at the best quote in a Poisson order book model. Zbl 1396.91766
Toke, Ioane Muni
2
2017
Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method. Zbl 1415.91318
Leung, Chi Man; Kwok, Yue Kuen
1
2017
Lost in contagion? Building a liquidation index from covariance dynamics. Zbl 1396.91816
Wagalath, Lakshithe
1
2017
Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching. Zbl 1396.91762
Safarov, Nemat; Atkinson, Colin
1
2017
Robust trading of implied skew. Zbl 1422.91717
Nadtochiy, Sergey; Obłój, Jan
1
2017
Performance analysis of the optimal strategy under partial information. Zbl 1360.91131
Ayed, Ahmed Bel Hadj; Loeper, Grégoire; El Aoud, Sofiene; Abergel, Frédéric
1
2017
On the calculation of risk measures using least-squares Monte Carlo. Zbl 1396.91797
Benedetti, Giuseppe
1
2017
Implicit transaction costs and the fundamental theorems of asset pricing. Zbl 1396.91673
Allaj, Erindi
1
2017
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift. Zbl 1396.91775
Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier
1
2017
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
1
2017
Ultra-fast pricing barrier options and CDSs. Zbl 1396.91749
Levendorskiĭ, Sergei
1
2017
On mean-variance hedging under partial observations and terminal wealth constraints. Zbl 1396.91695
Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya
1
2017
Analytic pricing of CoCo bonds. Zbl 1396.91767
Turfus, Colin; Shubert, Alexander
1
2017
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
1
2017
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Cited by 4,090 Authors

52 Siu, Tak Kuen
39 Elliott, Robert James
32 Madan, Dilip B.
32 Zhu, Songping
29 Platen, Eckhard
27 Levendorskiĭ, Sergeĭ Zakharovich
25 Sornette, Didier
24 Jeanblanc, Monique
23 Crepey, Stephane
22 Yang, Hailiang
21 Brigo, Damiano
20 Benth, Fred Espen
20 Schoutens, Wim
20 Takahashi, Akihiko
19 Bielecki, Tomasz R.
19 Kwok, Yue-Kuen
18 Cui, Zhenyu
17 Ceci, Claudia
17 Oosterlee, Cornelis Willebrordus
17 Wang, Yongjin
16 Dong, Yinghui
16 Pistorius, Martijn R.
16 Rutkowski, Marek
15 Biagini, Francesca
15 Bo, Lijun
15 Fontana, Claudio
15 Jacquier, Antoine
15 Linetsky, Vadim
14 Capponi, Agostino
14 Company, Rafael
14 Forsyth, Peter A.
14 Jaimungal, Sebastian
14 Leung, Tim
14 Wang, Guojing
13 Colaneri, Katia
13 Gulisashvili, Archil
13 He, Xinjiang
13 Jódar Sanchez, Lucas Antonio
13 Leonenko, Nikolai N.
13 Ma, Jingtang
13 Macrina, Andrea
13 Protter, Philip Elliott
13 Scherer, Matthias
13 Yamazaki, Kazutoshi
13 Yin, Gang George
13 Zagst, Rudi
12 Eberlein, Ernst W.
12 Horst, Ulrich
12 Jarrow, Robert Alan
12 Kupper, Michael
12 Pagliarani, Stefano
12 Pascucci, Andrea
12 Sircar, Ronnie
12 Zeng, Yong
11 Boyarchenko, Svetlana I.
11 Brody, Dorje C.
11 Chan, Leunglung
11 Dang, Duy Minh
11 Fabozzi, Frank J.
11 Fouque, Jean-Pierre
11 Hainaut, Donatien
11 Hughston, Lane P.
11 Rudloff, Birgit
11 Runggaldier, Wolfgang J.
11 Vulkov, Lubin G.
11 Westerhoff, Frank H.
10 Cartea, Álvaro
10 Cialenco, Igor
10 Cont, Rama
10 Frey, Rüdiger
10 Gnoatto, Alessandro
10 Jiao, Ying
10 Lu, Xiaoping
10 Meyer-Brandis, Thilo
10 Obloj, Jan K.
10 Overbeck, Ludger
10 Pallavicini, Andrea
10 Swishchuk, Anatoliy
10 Zhang, Hongzhong
9 Ballestra, Luca Vincenzo
9 Bayraktar, Erhan
9 Bender, Christian
9 Bernard, Carole
9 Bormetti, Giacomo
9 Dassios, Angelos
9 Escobar, Marcos
9 Filipović, Damir
9 Gapeev, Pavel V.
9 Gobet, Emmanuel
9 Kallsen, Jan
9 Khaliq, Abdul Q. M.
9 Kim, Jeong-Hoon
9 Korn, Ralf
9 Kouritzin, Michael A.
9 Lorig, Matthew J.
9 Papapantoleon, Antonis
9 Pirjol, Dan
9 Rebonato, Riccardo
9 Rosazza Gianin, Emanuela
9 Schmidt, Thorsten
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6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
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