Mathematics and Financial Economics Short Title: Math. Financ. Econ. Publisher: Springer, Berlin/Heidelberg ISSN: 1862-9679; 1862-9660/e Online: http://link.springer.com/journal/volumesAndIssues/11579 Comments: Indexed cover-to-cover Documents Indexed: 306 Publications (since 2007) References Indexed: 299 Publications with 9,072 References. all top 5 Latest Issues 16, No. 2 (2022) 16, No. 1 (2022) 15, No. 4 (2021) 15, No. 3 (2021) 15, No. 2 (2021) 15, No. 1 (2021) 14, No. 4 (2020) 14, No. 3 (2020) 14, No. 2 (2020) 14, No. 1 (2020) 13, No. 4 (2019) 13, No. 3 (2019) 13, No. 2 (2019) 13, No. 1 (2019) 12, No. 4 (2018) 12, No. 3 (2018) 12, No. 2 (2018) 12, No. 1 (2018) 11, No. 4 (2017) 11, No. 3 (2017) 11, No. 2 (2017) 11, No. 1 (2017) 10, No. 4 (2016) 10, No. 3 (2016) 10, No. 2 (2016) 10, No. 1 (2016) 9, No. 4 (2015) 9, No. 3 (2015) 9, No. 2 (2015) 9, No. 1 (2015) 8, No. 4 (2014) 8, No. 3 (2014) 8, No. 2 (2014) 8, No. 1 (2014) 7, No. 4 (2013) 7, No. 3 (2013) 7, No. 2 (2013) 7, No. 1 (2013) 6, No. 4 (2012) 6, No. 3 (2012) 6, No. 2 (2012) 6, No. 1 (2012) 5, No. 4 (2011) 5, No. 3 (2011) 5, No. 2 (2011) 5, No. 1 (2011) 4, No. 4 (2011) 4, No. 3 (2011) 4, No. 2 (2011) 4, No. 1 (2010) 3, No. 3-4 (2010) 3, No. 2 (2010) 3, No. 1 (2010) 2, No. 4 (2010) 2, No. 3 (2009) 2, No. 2 (2009) 2, No. 1 (2008) 1, No. 3-4 (2008) 1, No. 2 (2007) 1, No. 1 (2007) all top 5 Authors 7 Jarrow, Robert Alan 6 Schenk-Hoppé, Klaus Reiner 5 Flåm, Sjur Didrik 5 Madan, Dilip B. 4 Assa, Hirbod 4 Biagini, Francesca 4 Cvitanić, Jakša 4 Evstigneev, Igor V. 4 Horst, Ulrich 4 Lehalle, Charles-Albert 4 Malamud, Semyon 4 Meyer-Brandis, Thilo 4 Moreno-Bromberg, Santiago 4 Muhle-Karbe, Johannes 4 Rogers, L. C. G. 4 Rosazza Gianin, Emanuela 4 Rudloff, Birgit 3 Aïd, René 3 Callegaro, Giorgia 3 Campi, Luciano 3 Ekeland, Ivar 3 Ghossoub, Mario 3 Hens, Thorsten 3 Jouini, Elyès 3 Koch Medina, Pablo 3 Maggis, Marco 3 Munari, Cosimo 3 Øksendal, Bernt Karsten 3 Pirvu, Traian A. 3 Protter, Philip Elliott 3 Schachermayer, Walter 3 Schoutens, Wim 3 Scotti, Simone 3 Sgarra, Carlo 3 Svindland, Gregor 2 Balbás, Alejandro 2 Bayraktar, Erhan 2 Benth, Fred Espen 2 Bernis, Guillaume 2 Brignone, Riccardo 2 Capponi, Agostino 2 Carlier, Guillaume 2 Carmona, René A. 2 Cartea, Álvaro 2 Cheridito, Patrick 2 Davis, Mark Herbert Ainsworth 2 dos Reis, Gonçalo 2 Fontana, Claudio 2 Frittelli, Marco 2 Gaigi, M’hamed 2 Grbac, Zorana 2 Guéant, Olivier 2 Guo, Xin 2 Hamel, Andreas H. 2 Henderson, Vicky 2 Jaimungal, Sebastian 2 Jeon, Junkee 2 Kuhn, Christoph 2 Kupper, Michael 2 Lachapelle, Aime 2 Lazrak, Ali 2 Lépinette, Emmanuel 2 Liang, Gechun 2 Ludkovski, Michael 2 Lütkebohmert, Eva 2 Melnikov, Aleksander Viktorovich 2 Owari, Keita 2 Pakkanen, Mikko S. 2 Park, Hyungbin 2 Park, Kyunghyun 2 Pedersen, Jesper Lund 2 Pennanen, Teemu 2 Peskir, Goran 2 Pichler, Alois 2 Pistorius, Martijn R. 2 Platen, Eckhard 2 Rásonyi, Miklós 2 Riedel, Frank 2 Roch, Alexandre F. 2 Scheinkman, José Alexandre 2 Seifried, Frank Thomas 2 Sircar, Ronnie 2 Sung, Jaeyoung 2 Talponen, Jarno 2 Tankov, Peter 2 Tian, Dejian 2 Tian, Weidong 2 Trubowitz, Eugene 2 Villeneuve, Bertrand 2 Wang, Yongjin 2 Weston, Kim 2 Xu, Guangli 2 Xu, Le 2 Yoshikawa, Daisuke 2 Zagst, Rudi 1 Aase, Knut Kristian 1 Acemoglu, Daron 1 Agram, Nacira 1 Ahmadi Javid, Amir 1 Aktar, Yalçin ...and 410 more Authors all top 5 Fields 304 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 98 Probability theory and stochastic processes (60-XX) 32 Systems theory; control (93-XX) 22 Calculus of variations and optimal control; optimization (49-XX) 18 Statistics (62-XX) 16 Functional analysis (46-XX) 15 Operations research, mathematical programming (90-XX) 8 General and overarching topics; collections (00-XX) 7 Partial differential equations (35-XX) 4 Real functions (26-XX) 3 Ordinary differential equations (34-XX) 2 Operator theory (47-XX) 2 Numerical analysis (65-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 203 Publications have been cited 1,559 times in 1,239 Documents Cited by ▼ Year ▼ Investment and consumption without commitment. Zbl 1177.91123Ekeland, Ivar; Pirvu, Traian A. 104 2008 Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012Carmona, René; Delarue, François; Lachapelle, Aimé 81 2013 Set-valued risk measures for conical market models. Zbl 1275.91077Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit 52 2011 The golden rule when preferences are time inconsistent. Zbl 1255.91249Ekeland, Ivar; Lazrak, Ali 46 2010 Valuing the option to invest in an incomplete market. Zbl 1268.91167Henderson, Vicky 44 2007 Representation results for law invariant time consistent functions. Zbl 1255.91181Kupper, Michael; Schachermayer, Walter 38 2009 Static portfolio choice under cumulative prospect theory. Zbl 1255.91389Bernard, Carole; Ghossoub, Mario 37 2010 Set-valued average value at risk and its computation. Zbl 1269.91071Hamel, Andreas H.; Rudloff, Birgit; Yankova, Mihaela 31 2013 Dealing with the inventory risk: a solution to the market making problem. Zbl 1273.91462Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 31 2013 Optimal mean-variance portfolio selection. Zbl 1390.91285Pedersen, Jesper Lund; Peskir, Goran 29 2017 Dual characterization of properties of risk measures on Orlicz hearts. Zbl 1181.91092Cheridito, Patrick; Li, Tianhui 29 2008 Mean field game of controls and an application to trade crowding. Zbl 1397.91084Cardaliaguet, Pierre; Lehalle, Charles-Albert 26 2018 The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240Biagini, Sara; Pınar, Mustafa Ç. 25 2017 A multiple-curve HJM model of interbank risk. Zbl 1264.91131Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai-Nam 24 2012 Utility maximization with a given pricing measure when the utility is not necessarily concave. Zbl 1277.91055Reichlin, Christian 24 2013 A financial market with interacting investors: does an equilibrium exist? Zbl 1255.91447Frei, Christoph; dos Reis, Gonçalo 24 2011 Incorporating order-flow into optimal execution. Zbl 1404.91241Cartea, Álvaro; Jaimungal, Sebastian 24 2016 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 24 2017 Optimal risk sharing under distorted probabilities. Zbl 1255.91182Ludkovski, Michael; Young, Virginia R. 22 2009 Measuring risk with multiple eligible assets. Zbl 1310.91077Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo 22 2015 Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis 20 2016 Recursiveness of indifference prices and translation-invariant preferences. Zbl 1255.91397Cheridito, Patrick; Kupper, Michael 19 2009 Optimal mean-variance selling strategies. Zbl 1334.60066Pedersen, J. L.; Peskir, G. 19 2016 Optimal stopping under ambiguity in continuous time. Zbl 1272.60020Cheng, Xue; Riedel, Frank 18 2013 Convex compactness and its applications. Zbl 1255.46038Žitković, Gordan 18 2010 Lebesgue property for convex risk measures on Orlicz spaces. Zbl 1258.91108Orihuela, J.; Ruiz Galán, M. 17 2012 Dual representation of superhedging costs in illiquid markets. Zbl 1275.91063Pennanen, Teemu 16 2011 Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\). Zbl 1255.91186Svindland, Gregor 16 2010 Asymptotic arbitrage and large deviations. Zbl 1153.91015Föllmer, H.; Schachermayer, W. 16 2008 Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107Ledvina, Andrew; Sircar, Ronnie 15 2012 The opportunity process for optimal consumption and investment with power utility. Zbl 1255.91452Nutz, Marcel 14 2010 Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231Pirvu, Traian A.; Schulze, Klaas 13 2012 The geometry of relative arbitrage. Zbl 1404.91249Pal, Soumik; Wong, Ting-Kam Leonard 13 2016 Structured products equilibria in conic two price markets. Zbl 1264.91148Madan, Dilip B.; Schoutens, Wim 12 2012 Optimal investment with inside information and parameter uncertainty. Zbl 1255.91446Danilova, Albina; Monoyios, Michael; Ng, Andrew 12 2010 Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc 12 2014 Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 12 2015 Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar 11 2007 Acceptability indexes via \(g\)-expectations: an application to liquidity risk. Zbl 1273.91464Rosazza Gianin, Emanuela; Sgarra, Carlo 10 2013 Optimal portfolios of a small investor in a limit order market: a shadow price approach. Zbl 1255.91449Kühn, Christoph; Stroh, Maximilian 10 2010 Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450Madan, Dilip B.; Schoutens, Wim 10 2011 Robust return risk measures. Zbl 1404.91134Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 10 2018 Robust consumption-investment problems with random market coefficients. Zbl 1279.91149Rieder, Ulrich; Wopperer, Christoph 9 2012 Optimal posting price of limit orders: learning by trading. Zbl 1306.91148Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 9 2013 Optimal investment in a defaultable bond. Zbl 1142.91537Lakner, Peter; Liang, Weijian 9 2008 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256Feng, Runhuan; Volkmer, Hans W. 9 2016 Exchanges and measures of risks. Zbl 1275.91059Flåm, Sjur Didrik 8 2011 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 8 2010 Convex risk measures on Orlicz spaces: inf-convolution and shortfall. Zbl 1255.91173Arai, Takuji 8 2010 Optimal compensation with adverse selection and dynamic actions. Zbl 1173.91383Cvitanić, Jakša; Zhang, Jianfeng 8 2007 Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037Carmona, René; Coulon, Michael; Schwarz, Daniel 7 2013 The consumption-based determinants of the term structure of discount rates. Zbl 1138.91545Gollier, Christian 7 2007 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136Schachermayer, Walter 7 2014 Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096Liang, Gechun; Lütkebohmert, Eva; Wei, Wei 7 2015 Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465SenGupta, Indranil; Wilson, William; Nganje, William 7 2019 Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo 7 2017 Liquidity-adjusted risk measures. Zbl 1275.91145Weber, S.; Anderson, W.; Hamm, A.-M.; Knispel, T.; Liese, M.; Salfeld, T. 6 2013 Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset. Zbl 1275.91058Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner 6 2011 An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility. Zbl 1264.91133Grasselli, M. R.; Costa Lima, B. 6 2012 Pricing in an equilibrium based model for a large investor. Zbl 1255.91128German, David 6 2011 Curve following in illiquid markets. Zbl 1255.91451Naujokat, Felix; Westray, Nicholas 6 2011 Taylor series approximations to expected utility and optimal portfolio choice. Zbl 1282.91301Garlappi, Lorenzo; Skoulakis, Georgios 6 2011 An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158Chan, Leunglung; Zhu, Song-Ping 6 2015 A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269He, Xin-Jiang; Chen, Wenting 6 2021 Dual representations for systemic risk measures. Zbl 1433.91187Ararat, Çağın; Rudloff, Birgit 6 2020 Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene 6 2016 An optimal trading problem in intraday electricity markets. Zbl 1332.35363Aïd, René; Gruet, Pierre; Pham, Huyên 6 2016 Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234Guo, Xin; de Larrard, Adrien; Ruan, Zhao 6 2017 Evolutionary finance and dynamic games. Zbl 1275.91027Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le 5 2011 Simplified mean-variance portfolio optimisation. Zbl 1264.91115Fontana, Claudio; Schweizer, Martin 5 2012 Insider trading equilibrium in a market with memory. Zbl 1262.91156Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 5 2012 Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240Leung, Tim; Ludkovski, Mike 5 2012 Indifference pricing for CRRA utilities. Zbl 1275.91055Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. 5 2013 The structure of optimal consumption streams in general incomplete markets. Zbl 1204.91064Malamud, Semyon; Trubowitz, Eugene 5 2007 Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents. Zbl 1255.91107Kraft, Holger; Seifried, Frank Thomas 5 2010 Optimal incentive contracts under relative income concerns. Zbl 1255.91205Goukasian, Levon; Wan, Xuhu 5 2010 Dilatation monotonicity and convex order. Zbl 1318.46054Svindland, Gregor 5 2014 Shock elasticities and impulse responses. Zbl 1307.91124Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A. 5 2014 Remarks on existence and uniqueness of Cournot-Nash equilibria in the non-potential case. Zbl 1318.91024Blanchet, A.; Carlier, G. 5 2014 Non-concave utility maximisation on the positive real axis in discrete time. Zbl 1327.93407Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M. 5 2015 Foreign exchange markets with last look. Zbl 1411.91488Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie 5 2019 On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643Jarrow, Robert 5 2017 Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082Horst, Ulrich; Moreno-Bromberg, Santiago 5 2008 Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595Chen, Yanhong; Hu, Yijun 5 2018 Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706Weston, Kim 5 2018 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643Bismuth, Alexis; Guéant, Olivier; Pu, Jiang 5 2019 A note on utility based pricing and asymptotic risk diversification. Zbl 1257.91025Bouchard, Bruno; Elie, Romuald; Moreau, Ludovic 4 2012 Hedging for the long run. Zbl 1264.91147Hulley, Hardy; Platen, Eckhard 4 2012 A tractable LIBOR model with default risk. Zbl 1269.91093Grbac, Zorana; Papapantoleon, Antonis 4 2013 Optimal consumption and investment strategies with partial and private information in a multi-asset setting. Zbl 1281.91143Hansen, Simon Lysbjerg 4 2013 Good deals and compatible modification of risk and pricing rule: a regulatory treatment. Zbl 1255.91117Assa, Hirbod; Balbás, Alejandro 4 2011 Radner equilibrium in incomplete Lévy models. Zbl 1390.91232Larsen, Kasper; Sae-Sue, Tanawit 4 2016 Modeling and estimating commodity prices: copper prices. Zbl 1321.91114Wets, Roger J.-B.; Rios, Ignacio 4 2015 Event risk, contingent claims and the temporal resolution of uncertainty. Zbl 1306.91135Collin-Dufresne, Pierre; Hugonnier, Julien 4 2014 Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060Tian, Dejian; Jiang, Long 4 2015 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 4 2020 Fractional risk process in insurance. Zbl 1435.91156Kumar, Arun; Leonenko, Nikolai; Pichler, Alois 4 2020 An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632Ahmadi-Javid, Amir; Pichler, Alois 4 2017 Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113Jarrow, Robert; Protter, Philip 4 2016 Diversification, protection of liability holders and regulatory arbitrage. Zbl 1404.91140Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario 4 2017 Price formation and optimal trading in intraday electricity markets. Zbl 07501341Féron, Olivier; Tankov, Peter; Tinsi, Laura 1 2022 A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269He, Xin-Jiang; Chen, Wenting 6 2021 Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo 3 2021 Multiple yield curve modelling with CBI processes. Zbl 1471.91588Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume 2 2021 Systemic credit freezes in financial lending networks. Zbl 1461.91334Acemoglu, Daron; Ozdaglar, Asuman; Siderius, James; Tahbaz-Salehi, Alireza 1 2021 Systemic optimal risk transfer equilibrium. Zbl 1461.91337Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 1 2021 Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. 1 2021 Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573Lacombe, Chloe; Muguruza, Aitor; Stone, Henry 1 2021 Safety-first portfolio selection. Zbl 1468.91135Chiu, Wan-Yi 1 2021 A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo 1 2021 Supermartingale deflators in the absence of a numéraire. Zbl 1471.91541Harms, Philipp; Liu, Chong; Neufeld, Ariel 1 2021 Dual representations for systemic risk measures. Zbl 1433.91187Ararat, Çağın; Rudloff, Birgit 6 2020 Continuity of utility maximization under weak convergence. Zbl 1461.91288Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 4 2020 Fractional risk process in insurance. Zbl 1435.91156Kumar, Arun; Leonenko, Nikolai; Pichler, Alois 4 2020 Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057Lacker, Daniel; Soret, Agathe 3 2020 No arbitrage in continuous financial markets. Zbl 1443.91272Criens, David 2 2020 Capital allocation rules and acceptance sets. Zbl 1461.91364Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela 1 2020 Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 1 2020 Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261Jeon, Junkee; Park, Kyunghyun 1 2020 No-arbitrage commodity option pricing with market manipulation. Zbl 1443.91281Aïd, René; Callegaro, Giorgia; Campi, Luciano 1 2020 A regime switching model for temperature modeling and applications to weather derivatives pricing. Zbl 1436.91111Türkvatan, Aysun; Hayfavi, Azize; Omay, Tolga 1 2020 Optimal portfolio choice: a minimum expected loss approach. Zbl 1466.91299Ramírez-Hassan, Andrés; Guerra-Urzola, Rosember 1 2020 Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465SenGupta, Indranil; Wilson, William; Nganje, William 7 2019 Foreign exchange markets with last look. Zbl 1411.91488Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie 5 2019 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643Bismuth, Alexis; Guéant, Olivier; Pu, Jiang 5 2019 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. 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Zbl 1410.91408Back, Kerry; Liu, Ruomeng; Teguia, Alberto 1 2019 How local in time is the no-arbitrage property under capital gains taxes? Zbl 1417.91571Kühn, Christoph 1 2019 Bubbles in assets with finite life. Zbl 1417.91222Berestycki, Henri; Bruggeman, Cameron; Monneau, Regis; Scheinkman, José A. 1 2019 Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. Zbl 1422.91649Federico, Salvatore; Rosestolato, Mauro; Tacconi, Elisa 1 2019 Impact of contingent payments on systemic risk in financial networks. Zbl 1422.91740Banerjee, Tathagata; Feinstein, Zachary 1 2019 Mean field game of controls and an application to trade crowding. Zbl 1397.91084Cardaliaguet, Pierre; Lehalle, Charles-Albert 26 2018 Robust return risk measures. Zbl 1404.91134Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela 10 2018 Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595Chen, Yanhong; Hu, Yijun 5 2018 Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706Weston, Kim 5 2018 Black-Scholes in a CEV random environment. Zbl 1397.91571Jacquier, Antoine; Roome, Patrick 4 2018 Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter 4 2018 Sensitivity analysis for expected utility maximization in incomplete Brownian market models. Zbl 1397.91545Backhoff Veraguas, Julio; Silva, Francisco J. 3 2018 Strongly consistent multivariate conditional risk measures. Zbl 1397.91600Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor 3 2018 Sensitivity analysis for marked Hawkes processes: application to CLO pricing. Zbl 1396.91785Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone 3 2018 Multidimensional investment problem. Zbl 1404.91255Christensen, Sören; Salminen, Paavo 3 2018 Symmetry axioms and perceived ambiguity. Zbl 1404.91072Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon 2 2018 Martingale problem under nonlinear expectations. Zbl 1391.60094Guo, Xin; Pan, Chen; Peng, Shige 2 2018 Optimal rebalancing frequencies for multidimensional portfolios. Zbl 1404.91244Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes 2 2018 Asset prices in an ambiguous economy. Zbl 1404.91114Pennesi, Daniele 1 2018 Backward nonlinear expectation equations. Zbl 1404.91091Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas 1 2018 Chisini means and rational decision making: equivalence of investment criteria. Zbl 1404.91265Magni, Carlo Alberto; Veronese, Piero; Graziani, Rebecca 1 2018 Asymptotic asset pricing and bubbles. Zbl 1404.91115Roch, Alexandre 1 2018 Optimal mean-variance portfolio selection. Zbl 1390.91285Pedersen, Jesper Lund; Peskir, Goran 29 2017 The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240Biagini, Sara; Pınar, Mustafa Ç. 25 2017 Hedging with temporary price impact. Zbl 1409.91226Bank, Peter; Soner, H. Mete; Voß, Moritz 24 2017 Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo 7 2017 Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234Guo, Xin; de Larrard, Adrien; Ruan, Zhao 6 2017 On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643Jarrow, Robert 5 2017 An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632Ahmadi-Javid, Amir; Pichler, Alois 4 2017 Diversification, protection of liability holders and regulatory arbitrage. Zbl 1404.91140Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario 4 2017 Liquidity risk and optimal dividend/investment strategies. Zbl 1404.91243Chevalier, Etienne; Gaïgi, M’hamed; Ly Vath, Vathana 3 2017 Drawdown: from practice to theory and back again. Zbl 1415.91260Goldberg, Lisa R.; Mahmoud, Ola 2 2017 The effect of market power on risk-sharing. Zbl 1415.91148Anthropelos, Michail 2 2017 Option spanning beyond \(L_p\)-models. Zbl 1415.91281Gao, N.; Xanthos, Foivos 2 2017 A simple trinomial lattice approach for the skew-extended CIR models. Zbl 1411.91586Zhuo, Xiaoyang; Xu, Guangli; Zhang, Haoyan 2 2017 On uniqueness of equilibrium in the Kyle model. Zbl 1367.91205McLennan, A.; Monteiro, P. K.; Tourky, R. 2 2017 Existence of solutions in non-convex dynamic programming and optimal investment. Zbl 1401.90255Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós 2 2017 Optimal investment with transaction costs under cumulative prospect theory in discrete time. Zbl 1411.91534Zou, Bin; Zagst, Rudi 1 2017 The lifetime of a financial bubble. Zbl 1404.91271Obayashi, Yoshiki; Protter, Philip; Yang, Shihao 1 2017 On optimal partitions, individual values and cooperative games: does a wiser agent always produce a higher value? Zbl 1401.91026Wolansky, Gershon 1 2017 Additive portfolio improvement and utility-efficient payoffs. Zbl 1369.91163Kassberger, Stefan; Liebmann, Thomas 1 2017 Incorporating order-flow into optimal execution. Zbl 1404.91241Cartea, Álvaro; Jaimungal, Sebastian 24 2016 Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis 20 2016 Optimal mean-variance selling strategies. Zbl 1334.60066Pedersen, J. L.; Peskir, G. 19 2016 The geometry of relative arbitrage. Zbl 1404.91249Pal, Soumik; Wong, Ting-Kam Leonard 13 2016 An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256Feng, Runhuan; Volkmer, Hans W. 9 2016 Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene 6 2016 An optimal trading problem in intraday electricity markets. Zbl 1332.35363Aïd, René; Gruet, Pierre; Pham, Huyên 6 2016 Radner equilibrium in incomplete Lévy models. Zbl 1390.91232Larsen, Kasper; Sae-Sue, Tanawit 4 2016 Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113Jarrow, Robert; Protter, Philip 4 2016 Natural risk measures. Zbl 1404.91133Assa, Hirbod 3 2016 Optimal portfolio liquidation with additional information. Zbl 1404.91238Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne 3 2016 Dynamic conic hedging for competitiveness. Zbl 1404.91141Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2016 Strong asymptotic arbitrage in the large fractional binary market. Zbl 1334.60054Cordero, Fernando; Perez-Ostafe, Lavinia 2 2016 Liquidation with self-exciting price impact. Zbl 1404.91242Cayé, Thomas; Muhle-Karbe, Johannes 2 2016 Optimal contracts in portfolio delegation. Zbl 1404.91246Li, Tao; Zhou, Yuqing 1 2016 Reducing the debt: is it optimal to outsource an investment? Zbl 1347.49032Espinosa, G. E.; Hillairet, C.; Jourdain, B.; Pontier, M. 1 2016 Cost-efficient contingent claims with market frictions. Zbl 1404.91257Ghossoub, Mario 1 2016 Measuring risk with multiple eligible assets. Zbl 1310.91077Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo 22 2015 Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 12 2015 Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096Liang, Gechun; Lütkebohmert, Eva; Wei, Wei 7 2015 An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158Chan, Leunglung; Zhu, Song-Ping 6 2015 Non-concave utility maximisation on the positive real axis in discrete time. Zbl 1327.93407Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M. 5 2015 Modeling and estimating commodity prices: copper prices. Zbl 1321.91114Wets, Roger J.-B.; Rios, Ignacio 4 2015 Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060Tian, Dejian; Jiang, Long 4 2015 Envelope theorems in Banach lattices and asset pricing. Zbl 1321.91118Battauz, Anna; De Donno, Marzia; Ortu, Fulvio 2 2015 Valuation and analysis of zero-coupon contingent capital bonds. Zbl 1336.91078Metzler, A.; Reesor, R. M. 2 2015 A note on utility-based pricing. Zbl 1403.91156Davis, Mark H. A.; Yoshikawa, Daisuke 1 2015 ...and 103 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,533 Authors 19 Madan, Dilip B. 19 Rudloff, Birgit 17 Cartea, Álvaro 17 Jaimungal, Sebastian 15 Rásonyi, Miklós 14 Wei, Jiaqin 11 Muhle-Karbe, Johannes 11 Munari, Cosimo 11 Rosazza Gianin, Emanuela 10 Feinstein, Zachary 10 Jarrow, Robert Alan 10 Pham, Huyên 10 Schoutens, Wim 9 Bayraktar, Erhan 9 Bielecki, Tomasz R. 9 Boonen, Tim J. 9 Flåm, Sjur Didrik 9 Hamel, Andreas H. 9 Henderson, Vicky 9 Horst, Ulrich 9 Hu, Yijun 9 Lacker, Daniel 9 Stadje, Mitja 9 Svindland, Gregor 8 Carmona, René A. 8 Chen, Yanhong 8 Cialenco, Igor 8 Feng, Runhuan 8 Guéant, Olivier 8 He, Xuedong 8 Neufeld, Ariel David 8 Possamaï, Dylan 8 Wang, Tianxiao 7 Bellini, Fabio 7 Delbaen, Freddy 7 Kupper, Michael 7 Laurière, Mathieu 7 Lépinette, Emmanuel 7 Leung, Tim 7 Löhne, Andreas 7 Pichler, Alois 7 Pistorius, Martijn R. 7 Schachermayer, Walter 7 Schenk-Hoppé, Klaus Reiner 7 Wong, Ting-Kam Leonard 7 Zhao, Qian 6 Agram, Nacira 6 Asimit, Alexandru V. 6 Bank, Peter 6 Bensoussan, Alain 6 Drapeau, Samuel 6 Eberlein, Ernst W. 6 Evstigneev, Igor V. 6 Gao, Niushan 6 Geras’kin, M. I. 6 Grbac, Zorana 6 Koch Medina, Pablo 6 Kramkov, Dmitriĭ Olegovich 6 Lehalle, Charles-Albert 6 Liang, Gechun 6 Marín-Solano, Jesús 6 Molchanov, Ilya S. 6 Nutz, Marcel 6 Pennanen, Teemu 6 Scotti, Simone 6 Shen, Yang 6 Sircar, Ronnie 6 Siu, Tak Kuen 6 Wang, Ruodu 6 Yam, Sheung Chi Phillip 6 Yong, Jiongmin 6 Zeng, Yan 6 Zheng, Harry H. 5 Achdou, Yves 5 Assa, Hirbod 5 Campi, Luciano 5 Carassus, Laurence 5 Ceci, Claudia 5 Chau, Huy N. 5 Chevalier, Etienne 5 Crepey, Stephane 5 Cui, Zhenyu 5 Frittelli, Marco 5 Hobson, David Graham 5 Hu, Ying 5 Huang, Yu-Jui 5 Jacquier, Antoine 5 Kardaras, Constantinos 5 Kuhn, Christoph 5 Li, Duan 5 Liang, Zongxia 5 Lindensjö, Kristoffer 5 Lütkebohmert, Eva 5 Ly Vath, Vathana 5 Mastrogiacomo, Elisa 5 Meyer-Brandis, Thilo 5 Moreno-Bromberg, Santiago 5 Orihuela, José 5 Papapantoleon, Antonis 5 Roch, Alexandre F. ...and 1,433 more Authors all top 5 Cited in 183 Journals 99 Mathematics and Financial Economics 69 Insurance Mathematics & Economics 66 International Journal of Theoretical and Applied Finance 62 Finance and Stochastics 52 SIAM Journal on Financial Mathematics 47 Quantitative Finance 43 SIAM Journal on Control and Optimization 39 Mathematical Finance 38 European Journal of Operational Research 31 Journal of Economic Dynamics & Control 29 Applied Mathematics and Optimization 29 The Annals of Applied Probability 29 Stochastic Processes and their Applications 22 Mathematics of Operations Research 20 Journal of Optimization Theory and Applications 20 Annals of Finance 19 Applied Mathematical Finance 18 Journal of Mathematical Analysis and Applications 18 Mathematical Methods of Operations Research 15 Annals of Operations Research 14 Journal of Mathematical Economics 12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 11 Positivity 10 Journal of Industrial and Management Optimization 10 Mathematical Control and Related Fields 10 Probability, Uncertainty and Quantitative Risk 9 Operations Research 9 Electronic Journal of Probability 9 ASTIN Bulletin 8 Discrete Dynamics in Nature and Society 8 Scandinavian Actuarial Journal 8 Dynamic Games and Applications 7 Journal of Computational and Applied Mathematics 7 Journal of Global Optimization 7 Automation and Remote Control 7 Communications in Statistics. Theory and Methods 7 Mathematical Programming. Series A. Series B 7 Decisions in Economics and Finance 7 Stochastics 6 The Annals of Probability 6 Applied Mathematics and Computation 6 Automatica 6 Journal of Applied Probability 6 Operations Research Letters 5 Stochastic Analysis and Applications 5 Optimization 5 Probability Theory and Related Fields 5 Economic Theory 5 Set-Valued and Variational Analysis 5 European Actuarial Journal 4 Journal of Economic Theory 4 Journal of Economics 4 Japan Journal of Industrial and Applied Mathematics 4 Discrete and Continuous Dynamical Systems 4 Journal of Systems Science and Complexity 4 North American Actuarial Journal 4 Review of Derivatives Research 4 Statistics & Risk Modeling 3 Computers & Mathematics with Applications 3 Lithuanian Mathematical Journal 3 Physica A 3 Theory of Probability and its Applications 3 Journal of Functional Analysis 3 Proceedings of the American Mathematical Society 3 Systems & Control Letters 3 Mathematical Social Sciences 3 Economics Letters 3 Communications in Partial Differential Equations 3 Mathematical Problems in Engineering 3 Journal of Applied Mathematics 3 Asia-Pacific Financial Markets 3 Journal of the Operations Research Society of China 3 Journal of Dynamics and Games 3 Dependence Modeling 3 Modern Stochastics. Theory and Applications 3 Minimax Theory and its Applications 3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys 2 International Journal of Control 2 International Journal of Mathematics and Mathematical Sciences 2 Journal of Differential Equations 2 Journal of Environmental Economics and Management 2 Numerische Mathematik 2 Transactions of the American Mathematical Society 2 Statistics & Probability Letters 2 Sequential Analysis 2 Journal of Risk and Uncertainty 2 International Journal of Computer Mathematics 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 SIAM Journal on Mathematical Analysis 2 SIAM Review 2 Computational Economics 2 NoDEA. Nonlinear Differential Equations and Applications 2 Journal of Convex Analysis 2 Electronic Communications in Probability 2 Revista Investigación Operacional 2 Optimization and Engineering 2 International Game Theory Review 2 Discrete and Continuous Dynamical Systems. Series B 2 OR Spectrum 2 Stochastics and Dynamics ...and 83 more Journals all top 5 Cited in 38 Fields 1,050 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 456 Probability theory and stochastic processes (60-XX) 271 Systems theory; control (93-XX) 157 Calculus of variations and optimal control; optimization (49-XX) 144 Operations research, mathematical programming (90-XX) 80 Statistics (62-XX) 66 Partial differential equations (35-XX) 57 Functional analysis (46-XX) 35 Numerical analysis (65-XX) 14 Real functions (26-XX) 13 Measure and integration (28-XX) 10 Integral equations (45-XX) 9 Biology and other natural sciences (92-XX) 8 Computer science (68-XX) 7 Dynamical systems and ergodic theory (37-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Ordinary differential equations (34-XX) 5 Operator theory (47-XX) 5 Convex and discrete geometry (52-XX) 5 General topology (54-XX) 4 Difference and functional equations (39-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Mathematical logic and foundations (03-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 General and overarching topics; collections (00-XX) 2 Approximations and expansions (41-XX) 2 Differential geometry (53-XX) 2 Mechanics of particles and systems (70-XX) 2 Fluid mechanics (76-XX) 2 Information and communication theory, circuits (94-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Special functions (33-XX) 1 Abstract harmonic analysis (43-XX) 1 Integral transforms, operational calculus (44-XX) 1 Algebraic topology (55-XX) 1 Quantum theory (81-XX) Citations by Year