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SIAM Journal on Financial Mathematics

Short Title: SIAM J. Financ. Math.
Publisher: Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA
ISSN: 1945-497X/e
Online: http://epubs.siam.org/loi/sjfmbj
Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2010).
Documents Indexed: 452 Publications (since 2010)
References Indexed: 293 Publications with 9,722 References.
all top 5

Authors

15 Jacquier, Antoine
10 Jaimungal, Sebastian
9 Bayraktar, Erhan
8 Cartea, Álvaro
8 Fouque, Jean-Pierre
8 Lorig, Matthew J.
8 Reisinger, Christoph
7 Tankov, Peter
6 Forde, Martin
6 Ludkovski, Michael
6 Zariphopoulou, Thaleia
5 Bensoussan, Alain
5 Benth, Fred Espen
5 Biagini, Francesca
5 Carr, Peter P.
5 Chen, Xinfu
5 Cont, Rama
5 Feinstein, Zachary
5 Obloj, Jan K.
5 Oosterlee, Cornelis Willebrordus
5 Rosenbaum, Mathieu
5 Sircar, Ronnie
5 Wong, Hoi Ying
5 Young, Virginia R.
4 Bayer, Christian
4 Crepey, Stephane
4 De Marco, Stefano
4 Dolinsky, Yan
4 Filipović, Damir
4 Forsyth, Peter A.
4 Horst, Ulrich
4 Jarrow, Robert Alan
4 Meyer-Brandis, Thilo
4 Muhle-Karbe, Johannes
4 Nadtochiy, Sergey
4 Schied, Alexander
4 Schoenmakers, John G. M.
4 Zhou, Zhou
3 Abergel, Frédéric
3 Alfonsi, Aurélien
3 Alòs, Elisa
3 Bank, Peter
3 Belomestny, Denis
3 Bichuch, Maxim
3 Bouchard, Bruno
3 Capponi, Agostino
3 Chassagneux, Jean-François
3 Cheridito, Patrick
3 Dai, Min
3 El Karoui, Nicole
3 Frittelli, Marco
3 Garnier, Josselin
3 Glau, Kathrin
3 Gnoatto, Alessandro
3 Gobet, Emmanuel
3 Guasoni, Paolo
3 Guéant, Olivier
3 Gulisashvili, Archil
3 Hambly, Ben M.
3 Howison, Samuel Dexter
3 Kardaras, Constantinos
3 Lamberton, Damien
3 Larsson, Martin
3 Lehalle, Charles-Albert
3 Martini, Claude
3 Pham, Huyên
3 Roome, Patrick
3 Sturm, Stephan
3 Sulem, Agnès
3 Teichmann, Josef
3 Wang, Ruodu
3 Xing, Hao
3 Xu, Zuoquan
3 Zhang, Hongzhong
3 Zheng, Harry H.
2 Amini, Hamed
2 Angoshtari, Bahman
2 Arai, Takuji
2 Armenti, Yannick
2 Armstrong, John
2 Bäuerle, Nicole
2 Bellini, Fabio
2 Bian, Baojun
2 Bielecki, Tomasz R.
2 Bressan, Alberto
2 Burzoni, Matteo
2 Campi, Luciano
2 Cesaroni, Annalisa
2 Chen, Kexin
2 Chiu, Mei Choi
2 Colaneri, Katia
2 Cozma, Andrei
2 Czichowsky, Christoph
2 Dang, Duy Minh
2 Detering, Nils
2 Dixon, Matthew F.
2 El Euch, Omar
2 Feng, Liming
2 Figueroa-López, José E.
2 Friz, Peter Karl
...and 625 more Authors

Publications by Year

Citations contained in zbMATH Open

346 Publications have been cited 3,152 times in 2,170 Documents Cited by Year
Affine point processes and portfolio credit risk. Zbl 1200.91296
Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R.
83
2010
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
72
2011
Duality for set-valued measures of risk. Zbl 1197.91112
Hamel, Andreas H.; Heyde, Frank
72
2010
Time-consistent portfolio management. Zbl 1257.91040
Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A.
65
2012
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
64
2013
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
47
2011
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
45
2011
A Fourier transform method for spread option pricing. Zbl 1188.91218
Hurd, T. R.; Zhou, Zhuowei
43
2010
Time dependent Heston model. Zbl 1198.91203
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
39
2010
Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason
38
2014
The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461
Forde, Martin; Jacquier, Antoine; Lee, Roger
37
2012
Measures of systemic risk. Zbl 1407.91284
Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan
36
2017
Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005
Crisan, D.; Manolarakis, K.
36
2012
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
35
2010
Optimal portfolio liquidation with limit orders. Zbl 1262.91160
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
34
2012
Asymptotics for rough stochastic volatility models. Zbl 1422.91693
Forde, Martin; Zhang, Hongzhong
33
2017
Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
32
2014
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
32
2012
Robust hedging of double touch barrier options. Zbl 1228.91067
Cox, A. M. G.; Obłój, Jan
32
2011
Large deviations for a mean field model of systemic risk. Zbl 1283.60044
Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei
31
2013
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023
Zhang, B.; Oosterlee, C. W.
31
2013
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
31
2012
Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171
Musiela, M.; Zariphopoulou, T.
30
2010
Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155
Kirkby, J. Lars
30
2015
Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059
Pennanen, Teemu; Penner, Irina
29
2010
Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031
Almgren, Robert
28
2012
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
28
2010
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
27
2010
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
25
2018
Algorithmic trading with model uncertainty. Zbl 1407.91287
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
25
2017
Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545
Gulisashvili, Archil
25
2010
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
25
2010
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
24
2013
Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133
Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert
23
2012
Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030
Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert
23
2011
Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151
Bielecki, Tomasz R.; Rutkowski, Marek
23
2015
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
21
2018
Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740
Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C.
21
2011
The small-maturity smile for exponential Lévy models. Zbl 1257.91046
Figueroa-López, José E.; Forde, Martin
21
2012
An efficient transform method for Asian option pricing. Zbl 1357.91053
Kirkby, J. Lars
21
2016
Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390
Bichuch, Maxim
20
2012
Dual representation of quasi-convex conditional maps. Zbl 1232.46067
Frittelli, Marco; Maggis, Marco
20
2011
Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic
19
2017
Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117
Abergel, Frédéric; Jedidi, Aymen
19
2015
Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139
Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu
19
2010
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
18
2014
Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290
Garnier, Josselin; Sølna, Knut
18
2017
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200
Giles, Michael B.; Reisinger, Christoph
18
2012
Path-dependence of leveraged ETF returns. Zbl 1193.91167
Avellaneda, Marco; Zhang, Stanley
18
2010
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
17
2015
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
17
2018
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
17
2013
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
17
2013
Optimal execution with multiplicative price impact. Zbl 1310.93083
Guo, Xin; Zervos, Mihail
17
2015
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
16
2019
Inverting analytic characteristic functions and financial applications. Zbl 1282.60021
Feng, Liming; Lin, Xiong
16
2013
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
16
2011
Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054
Zheng, Ban; Roueff, François; Abergel, Frédéric
15
2014
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
15
2014
Stochastic gradient descent in continuous time. Zbl 1407.91258
Sirignano, Justin; Spiliopoulos, Konstantinos
15
2017
Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020
Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi
15
2010
Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285
Bian, Baojun; Miao, Sheng; Zheng, Harry
15
2011
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
15
2011
Pricing Bermudan options in Lévy process models. Zbl 1287.91141
Feng, Liming; Lin, Xiong
15
2013
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
15
2012
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
14
2011
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
14
2012
Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079
Fusai, Gianluca; Marazzina, Daniele; Marena, Marina
14
2011
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients. Zbl 1355.60072
Chassagneux, Jean-François; Jacquier, Antoine; Mihaylov, Ivo
14
2016
How superadditive can a risk measure be? Zbl 1338.91080
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas
13
2015
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
13
2018
Shapes of implied volatility with positive mass at zero. Zbl 1407.91246
De Marco, S.; Hillairet, C.; Jacquier, A.
13
2017
Maturity-independent risk measures. Zbl 1230.91084
Zariphopoulou, Thaleia; Žitković, Gordan
13
2010
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
13
2013
On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051
Reisinger, C.; Witte, J. H.
13
2012
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
13
2015
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
12
2019
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
12
2014
Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090
Bender, Christian
12
2011
Threshold-type policies for real options using regime-switching models. Zbl 1255.91444
Bensoussan, Alain; Yan, ZhongFeng; Yin, G.
12
2012
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148
Liang, Gechun; Zariphopoulou, Thaleia
12
2017
Approximation for option prices under uncertain volatility. Zbl 1341.60070
Fouque, Jean-Pierre; Ren, Bin
11
2014
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346
Schoenmakers, John; Zhang, Jianing; Huang, Junbo
11
2013
An optimal dividend and investment control problem under debt constraints. Zbl 1290.91175
Chevalier, Etienne; Vath, Vathana Ly; Scotti, Simone
11
2013
The effect of nonsmooth payoffs on the penalty approximation of American options. Zbl 1282.91330
Howison, S. D.; Reisinger, C.; Witte, J. H.
11
2013
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
11
2012
Asymptotics of forward implied volatility. Zbl 1339.60021
Jacquier, Antoine; Roome, Patrick
11
2015
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
11
2015
Sequential design for optimal stopping problems. Zbl 1320.91154
Gramacy, Robert B.; Ludkovski, Michael
11
2015
Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173
Ho, Michael; Sun, Zheng; Xin, Jack
11
2015
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423
Lorig, Matthew; Sircar, Ronnie
11
2016
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
11
2016
An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162
Gnoatto, Alessandro; Grasselli, Martino
10
2014
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
10
2018
Multivariate extension of put-call symmetry. Zbl 1200.91292
Molchanov, Ilya; Schmutz, Michael
10
2010
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
10
2011
A reduced basis for option pricing. Zbl 1227.91033
Cont, Rama; Lantos, Nicolas; Pironneau, Olivier
10
2011
Optimal liquidation of an asset under drift uncertainty. Zbl 1345.60040
Ekström, Erik; Vaicenavicius, Juozas
10
2016
The shadow price of latency: improving intraday fill ratios in foreign exchange markets. Zbl 1461.91292
Cartea, Álvaro; Sánchez-Betancourt, Leandro
3
2021
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
2
2021
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
2
2021
A unified approach to xVA with CSA discounting and initial margin. Zbl 1476.91140
Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata
1
2021
Optimal market making with persistent order flow. Zbl 1476.91171
Jusselin, Paul
1
2021
A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143
Chen, Tao; Ludkovski, Michael
1
2021
Log-modulated rough stochastic volatility models. Zbl 1476.91196
Bayer, Christian; Harang, Fabian A.; Pigato, Paolo
1
2021
Short communication: Dynamic default contagion in heterogeneous interbank systems. Zbl 1476.91210
Feinstein, Zachary; Søjmark, Andreas
1
2021
Optimal trade execution in an order book model with stochastic liquidity parameters. Zbl 1471.91522
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
1
2021
Utility maximization when shorting American options. Zbl 1459.91209
Zhou, Zhou
1
2021
A numerical scheme for the quantile hedging problem. Zbl 1459.91217
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph
1
2021
Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212
Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan
1
2021
Law-invariant functionals on general spaces of random variables. Zbl 1465.62156
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
1
2021
Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020
Bank, Peter; Dolinsky, Yan
1
2021
Correlators of polynomial processes. Zbl 1479.91391
Benth, Fred Espen; Lavagnini, Silvia
1
2021
Conditional systemic risk measures. Zbl 1479.91429
Doldi, Alessandro; Frittelli, Marco
1
2021
Time-inconsistency with rough volatility. Zbl 1480.91266
Han, Bingyan; Wong, Hoi Ying
1
2021
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
7
2020
Volatility options in rough volatility models. Zbl 1443.91293
Horvath, Blanka; Jacquier, Antoine; Tankov, Peter
5
2020
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
4
2020
Risk aversion in regulatory capital principles. Zbl 1443.91254
Mao, Tiantian; Wang, Ruodu
3
2020
Short communication: Inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280
Acciaio, Beatrice; Guyon, Julien
3
2020
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. Zbl 1443.91286
Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi
3
2020
Optimal execution with rough path signatures. Zbl 1443.91263
Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez
2
2020
Risk-dependent centrality in economic and financial networks. Zbl 1444.91218
Bartesaghi, Paolo; Benzi, Michele; Clemente, Gian Paolo; Grassi, Rosanna; Estrada, Ernesto
2
2020
Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. Zbl 1455.91260
Dastgerdi, Maryam Vahid; Bastani, Ali Foroush
2
2020
A risk-sharing framework of bilateral contracts. Zbl 1447.91176
Lee, Junbeom; Sturm, Stephan; Zhou, Chao
1
2020
Black’s inverse investment problem and forward criteria with consumption. Zbl 1444.91199
Källblad, Sigrid
1
2020
An analytical valuation framework for financial assets with trading suspensions. Zbl 1444.91209
Fries, Christian; Torricelli, Lorenzo
1
2020
Deep-learning solution to portfolio selection with serially dependent returns. Zbl 1444.91202
Tsang, Ka Ho; Wong, Hoi Ying
1
2020
Optimal investment with high-watermark fee in a multidimensional jump diffusion model. Zbl 1448.91272
Janeček, Karel; Li, Zheng; Sîrbu, Mihai
1
2020
Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258
Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena
1
2020
Risk measures and progressive enlargement of filtration: a BSDE approach. Zbl 1452.91331
Calvia, Alessandro; Gianin, Emanuela Rosazza
1
2020
European options in a nonlinear incomplete market model with default. Zbl 1452.91308
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès
1
2020
The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291
Ruf, Johannes; Xie, Kangjianan
1
2020
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. Zbl 1452.91325
Glau, Kathrin; Kressner, Daniel; Statti, Francesco
1
2020
A multifactor polynomial framework for long-term electricity forwards with delivery period. Zbl 1452.91310
Kleisinger-Yu, Xi; Komaric, Vlatka; Larsson, Martin; Regez, Markus
1
2020
Informational efficiency with trading constraints: a characterization. Zbl 1461.91301
Jarrow, Robert; Larsson, Martin
1
2020
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. Zbl 1455.91258
Jacquier, Antoine; Torricelli, Lorenzo
1
2020
Robust framework for quantifying the value of information in pricing and hedging. Zbl 1437.91424
Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan
1
2020
Systemic risk in networks with a central node. Zbl 1443.91315
Amini, Hamed; Filipović, Damir; Minca, Andreea
1
2020
On CIR equations with general factors. Zbl 1443.91283
Barski, Michał; Zabczyk, Jerzy
1
2020
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
16
2019
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
12
2019
Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644
Kusnetsov, Michael; Veraart, Luitgard Anna Maria
6
2019
Managing default contagion in inhomogeneous financial networks. Zbl 07135131
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
6
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
6
2019
Optimization of fire sales and borrowing in systemic risk. Zbl 1411.91639
Bichuch, Maxim; Feinstein, Zachary
5
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
5
2019
Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
5
2019
The randomized Heston model. Zbl 1411.91562
Jacquier, Antoine; Shi, Fangwei
4
2019
Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying
4
2019
Optimal investment with transient price impact. Zbl 1429.91302
Bank, Peter; Voß, Moritz
4
2019
Hedge and speculate: replicating option payoffs with limit and market orders. Zbl 1427.91268
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
3
2019
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
2
2019
Equilibrium strategies for alpha-maxmin expected utility maximization. Zbl 1422.91806
Li, Bin; Luo, Peng; Xiong, Dewen
2
2019
Financial asset bubbles in banking networks. Zbl 1422.91798
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo
2
2019
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method. Zbl 1411.91618
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
2
2019
Trading fractional Brownian motion. Zbl 1429.91290
Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS
2
2019
Obligations with physical delivery in a multilayered financial network. Zbl 1471.91606
Feinstein, Zachary
2
2019
The robust superreplication problem: a dynamic approach. Zbl 1435.91182
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes
2
2019
Portfolio optimization for a large investor controlling market sentiment under partial information. Zbl 1417.91431
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
1
2019
A mean-variance approach to capital investment optimization. Zbl 1411.91481
Bensoussan, Alain; Hoe, SingRu (Celine); Yan, Zhongfeng
1
2019
A nonuniformly integrable martingale bubble with a crash. Zbl 1429.91340
Schatz, Michael; Sornette, Didier
1
2019
Erratum to: “Stochastic evolution equations for large portfolios of stochastic volatility models”. Zbl 1471.91497
Hambly, Ben; Kolliopoulos, Nikolaos
1
2019
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. Zbl 1433.91152
Chen, Kexin; Chiu, Mei Choi; Shin, Yong Hyun; Wong, Hoi Ying
1
2019
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
25
2018
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
21
2018
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
17
2018
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
13
2018
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
10
2018
Model-free portfolio theory and its functional master formula. Zbl 1416.91363
Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna
8
2018
Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376
Gulisashvili, Archil
8
2018
Worst-case range value-at-risk with partial information. Zbl 1408.91240
Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping
8
2018
Equilibrium strategies for the mean-variance investment problem over a random horizon. Zbl 1416.91354
Landriault, David; Li, Bin; Li, Danping; Young, Virginia R.
6
2018
Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. Zbl 1408.91227
Chen, Shumin; Li, Zhongfei; Zeng, Yan
6
2018
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
5
2018
Dual pricing of American options by Wiener chaos expansion. Zbl 1397.62283
Lelong, Jérôme
4
2018
Pricing arithmetic Asian options under Lévy models by backward induction in the dual space. Zbl 1408.91219
Levendorskiĭ, Sergei
4
2018
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
4
2018
Implied volatility in strict local martingale models. Zbl 1408.91239
Jacquier, Antoine; Keller-Ressel, Martin
4
2018
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
3
2018
Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution. Zbl 1408.91198
Kwak, Minsuk; Pirvu, Traian A.
3
2018
Sequential design and spatial modeling for portfolio tail risk measurement. Zbl 1419.91658
Risk, Jimmy; Ludkovski, Michael
3
2018
Uncertain volatility models with stochastic bounds. Zbl 1419.91615
Fouque, Jean-Pierre; Ning, Ning
3
2018
Wavelet-based methods for high-frequency lead-lag analysis. Zbl 1419.91649
Hayashi, Takaki; Koike, Yuta
3
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2
2018
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
2
2018
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka; Ruszczyński, Andrzej
2
2018
Exact smooth term-structure estimation. Zbl 1416.91374
Filipović, Damir; Willems, Sander
2
2018
American options with discontinuous two-level caps. Zbl 1408.91211
Detemple, Jerome; Kitapbayev, Yerkin
2
2018
Optimal trading policies for wind energy producer. Zbl 1408.91246
Tan, Zongjun; Tankov, Peter
2
2018
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. Zbl 1419.91667
Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie
2
2018
Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio. Zbl 1410.91406
Agarwal, Ankush; Sircar, Ronnie
1
2018
Dirichlet forms and finite element methods for the SABR model. Zbl 1395.91498
Horvath, Blanka; Reichmann, Oleg
1
2018
Asymptotic approximation of optimal portfolio for small time horizons. Zbl 1396.91691
Kumar, Rohini; Nasralah, Hussein
1
2018
Principal-agent problem with common agency without communication. Zbl 1396.91377
Mastrolia, Thibaut; Ren, Zhenjie
1
2018
Liquidity induced asset bubbles via flows of ELMMs. Zbl 1410.91437
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo
1
2018
Local volatility, conditioned diffusions, and Varadhan’s formula. Zbl 1410.91443
De Marco, Stefano; Friz, Peter K.
1
2018
Optimal liquidation in a level-I limit order book for large-tick stocks. Zbl 1416.91351
Jacquier, Antoine; Liu, Hao
1
2018
...and 246 more Documents
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Cited by 2,518 Authors

24 Jaimungal, Sebastian
24 Oosterlee, Cornelis Willebrordus
22 Yamada, Toshihiro
21 Cartea, Álvaro
19 Cui, Zhenyu
18 Jacquier, Antoine
18 Lorig, Matthew J.
17 Forsyth, Peter A.
17 Rudloff, Birgit
17 Spiliopoulos, Konstantinos V.
17 Wong, Hoi Ying
16 Feinstein, Zachary
16 Horst, Ulrich
16 Muhle-Karbe, Johannes
15 Gulisashvili, Archil
15 Kupper, Michael
15 Obloj, Jan K.
15 Sircar, Ronnie
14 Biagini, Francesca
14 Fouque, Jean-Pierre
14 Leung, Tim
14 Schied, Alexander
13 Jentzen, Arnulf
13 Reisinger, Christoph
13 Wei, Jiaqin
12 Benth, Fred Espen
12 Dang, Duy Minh
12 Gobet, Emmanuel
12 Soner, Halil Mete
12 Tankov, Peter
12 Zariphopoulou, Thaleia
11 Guéant, Olivier
11 Hu, Yijun
11 Meyer-Brandis, Thilo
11 Pascucci, Andrea
11 Pham, Huyên
11 Rásonyi, Miklós
11 Rutkowski, Marek
11 Wang, Ruodu
11 Zheng, Harry H.
11 Zhu, Lingjiong
10 Bayraktar, Erhan
10 Cox, Alexander Matthew Gordon
10 Crepey, Stephane
10 Figueroa-López, José E.
10 Fukasawa, Masaaki
10 Hamel, Andreas H.
10 Ludkovski, Michael
10 Pagliarani, Stefano
10 Rosenbaum, Mathieu
10 Zeng, Yan
10 Zhou, Zhou
9 Dolinsky, Yan
9 Ekström, Erik
9 Frittelli, Marco
9 Guasoni, Paolo
9 Keller-Ressel, Martin
9 Kwok, Yue-Kuen
9 Ma, Jingtang
9 Molchanov, Ilya S.
9 Pennanen, Teemu
9 Sirignano, Justin A.
9 Takahashi, Akihiko
9 Yam, Sheung Chi Phillip
9 Zhang, Qing
8 Beiglböck, Mathias
8 Belomestny, Denis
8 Bensoussan, Alain
8 Bichuch, Maxim
8 Bo, Lijun
8 Chen, Yanhong
8 Cheridito, Patrick
8 Friz, Peter Karl
8 Gao, Xuefeng
8 Glau, Kathrin
8 Gnoatto, Alessandro
8 Hambly, Ben M.
8 Kruse, Thomas
8 Li, Lingfei
8 Nadtochiy, Sergey
8 Papapantoleon, Antonis
8 Pun, Chi Seng
8 Scotti, Simone
8 Seol, Youngsoo
8 Young, Virginia R.
8 Ziveyi, Jonathan
7 Bayer, Christian
7 Bonotto, Everaldo M.
7 Bouchard, Bruno
7 Capponi, Agostino
7 Crisan, Dan O.
7 Gatheral, Jim
7 Gerhold, Stefan
7 Grzelak, Lech A.
7 Horvath, Blanka
7 Huang, Yu-Jui
7 Jaber, Eduardo Abi
7 Jeanblanc, Monique
7 Jin, Zhuo
7 Lehalle, Charles-Albert
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Cited in 249 Journals

165 SIAM Journal on Financial Mathematics
163 Quantitative Finance
125 International Journal of Theoretical and Applied Finance
122 Finance and Stochastics
83 Insurance Mathematics & Economics
78 Stochastic Processes and their Applications
67 Mathematics and Financial Economics
60 Mathematical Finance
56 European Journal of Operational Research
56 Applied Mathematical Finance
52 The Annals of Applied Probability
41 SIAM Journal on Control and Optimization
36 Applied Mathematics and Optimization
36 Journal of Computational and Applied Mathematics
28 Journal of Economic Dynamics & Control
26 Mathematics of Operations Research
24 Mathematical Methods of Operations Research
23 Applied Mathematics and Computation
23 Journal of Optimization Theory and Applications
22 International Journal of Computer Mathematics
21 Journal of Mathematical Analysis and Applications
17 Journal of Applied Probability
17 Statistics & Probability Letters
17 Stochastic Analysis and Applications
16 Bernoulli
15 Advances in Applied Probability
15 Methodology and Computing in Applied Probability
14 ASTIN Bulletin
13 Operations Research Letters
13 Journal of Industrial and Management Optimization
13 Stochastics
13 Annals of Finance
12 Operations Research
12 SIAM Journal on Numerical Analysis
12 Discrete and Continuous Dynamical Systems. Series B
12 Mathematical Control and Related Fields
12 Probability, Uncertainty and Quantitative Risk
11 Computers & Mathematics with Applications
11 Annals of Operations Research
11 Decisions in Economics and Finance
10 Chaos, Solitons and Fractals
10 Applied Numerical Mathematics
10 SIAM Journal on Scientific Computing
10 Asia-Pacific Financial Markets
9 Journal of Econometrics
9 Journal of Scientific Computing
9 Electronic Journal of Probability
9 Mathematical Problems in Engineering
9 Scandinavian Actuarial Journal
8 Theory of Probability and its Applications
8 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
8 SIAM/ASA Journal on Uncertainty Quantification
7 Automatica
7 Mathematics and Computers in Simulation
7 Journal of Theoretical Probability
7 Japan Journal of Industrial and Applied Mathematics
7 Monte Carlo Methods and Applications
7 Positivity
7 The ANZIAM Journal
7 Computational Management Science
7 Statistics & Risk Modeling
6 Journal of Differential Equations
6 Journal of Multivariate Analysis
6 Journal of Global Optimization
6 Computational and Applied Mathematics
6 Review of Derivatives Research
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Numerische Mathematik
5 Optimization
5 Communications in Statistics. Theory and Methods
5 Mathematical Programming. Series A. Series B
5 Multiscale Modeling & Simulation
4 Journal of Computational Physics
4 The Annals of Probability
4 BIT
4 Journal of Mathematical Economics
4 Systems & Control Letters
4 Probability Theory and Related Fields
4 European Journal of Applied Mathematics
4 Computational Statistics and Data Analysis
4 NoDEA. Nonlinear Differential Equations and Applications
4 Discrete Dynamics in Nature and Society
4 Stochastic Models
4 Journal of Machine Learning Research (JMLR)
4 North American Actuarial Journal
4 Stochastic Systems
4 Stochastic and Partial Differential Equations. Analysis and Computations
4 Modern Stochastics. Theory and Applications
3 International Journal of Control
3 Mathematics of Computation
3 Journal of Functional Analysis
3 Journal of the Korean Mathematical Society
3 Transactions of the American Mathematical Society
3 Mathematical Social Sciences
3 Queueing Systems
3 SIAM Review
3 Computational Optimization and Applications
3 Theory of Probability and Mathematical Statistics
3 Electronic Communications in Probability
3 Abstract and Applied Analysis
...and 149 more Journals
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Cited in 44 Fields

1,729 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,162 Probability theory and stochastic processes (60-XX)
327 Systems theory; control (93-XX)
315 Numerical analysis (65-XX)
206 Statistics (62-XX)
201 Calculus of variations and optimal control; optimization (49-XX)
183 Operations research, mathematical programming (90-XX)
170 Partial differential equations (35-XX)
41 Functional analysis (46-XX)
25 Ordinary differential equations (34-XX)
25 Approximations and expansions (41-XX)
25 Computer science (68-XX)
21 Real functions (26-XX)
18 Integral equations (45-XX)
16 Dynamical systems and ergodic theory (37-XX)
16 Operator theory (47-XX)
15 Measure and integration (28-XX)
14 Biology and other natural sciences (92-XX)
13 Harmonic analysis on Euclidean spaces (42-XX)
9 Integral transforms, operational calculus (44-XX)
8 Convex and discrete geometry (52-XX)
7 Fluid mechanics (76-XX)
7 Statistical mechanics, structure of matter (82-XX)
6 Mathematical logic and foundations (03-XX)
6 Order, lattices, ordered algebraic structures (06-XX)
5 Combinatorics (05-XX)
5 General topology (54-XX)
4 Linear and multilinear algebra; matrix theory (15-XX)
4 Difference and functional equations (39-XX)
3 General and overarching topics; collections (00-XX)
3 Differential geometry (53-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Information and communication theory, circuits (94-XX)
2 Functions of a complex variable (30-XX)
2 Potential theory (31-XX)
2 Mechanics of deformable solids (74-XX)
2 Classical thermodynamics, heat transfer (80-XX)
2 Quantum theory (81-XX)
1 Number theory (11-XX)
1 Commutative algebra (13-XX)
1 Topological groups, Lie groups (22-XX)
1 Special functions (33-XX)
1 Abstract harmonic analysis (43-XX)
1 Mathematics education (97-XX)

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