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Applied Mathematical Finance

Short Title: Appl. Math. Finance
Publisher: Taylor & Francis (Routledge), London
ISSN: 1350-486X; 1466-4313/e
Online: http://www.tandfonline.com/loi/ramf20
Comments: Journal
Documents Indexed: 516 Publications (since 1994)
References Indexed: 463 Publications with 11,544 References.
all top 5

Latest Issues

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5, No. 3 (1998)
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...and 12 more Volumes
all top 5

Authors

10 Jaimungal, Sebastian
8 Avellaneda, Marco
8 Benth, Fred Espen
8 Eberlein, Ernst W.
8 Forsyth, Peter A.
7 Atkinson, Colin
7 Cartea, Álvaro
7 Siu, Tak Kuen
6 Chiarella, Carl
6 Howison, Samuel Dexter
6 Madan, Dilip B.
6 Vetzal, Kenneth R.
6 Zagst, Rudi
5 Cherubini, Umberto
5 Elliott, Robert James
5 Hagan, Patrick S.
5 Oosterlee, Cornelis Willebrordus
5 Rutkowski, Marek
5 Sircar, Ronnie
4 Donnelly, Ryan
4 Goard, Joanna M.
4 Guéant, Olivier
4 Kwok, Yue-Kuen
4 Lorig, Matthew J.
4 Reisinger, Christoph
4 Sabino, Piergiacomo
3 Baldeaux, Jan
3 Bayraktar, Erhan
3 Bermin, Hans-Peter
3 Caginalp, Gunduz
3 Carr, Peter Paul
3 Cheang, Gerald H. L.
3 Cohen, Samuel N.
3 Escobar, Marcos
3 Fouque, Jean-Pierre
3 Glau, Kathrin
3 Götz, Barbara
3 Jamshidian, Farshid
3 Jonsson, Mattias
3 Lépinette, Emmanuel
3 Lyons, Terence John
3 Mai, Jan-Frederik
3 Matsumoto, Koichi
3 Mokkhavesa, Sutee
3 Ninomiya, Syoiti
3 Papanicolaou, George C.
3 Para’s, Antonio
3 Pham, Huyên
3 Platen, Eckhard
3 Rebonato, Riccardo
3 Vaugirard, Victor E.
3 Wang, Sheng
3 Woodward, Diana E.
3 Zheng, Wendong
2 Ahn, Hyungsok
2 Albrecher, Hansjörg
2 Alexander, Carol
2 Almgren, Robert F.
2 Bacinello, Anna Rita
2 Baptiste, Julien
2 Bensoussan, Alain
2 Bouchaud, Jean-Philippe
2 Boyle, Phelim P.
2 Buchen, Peter W.
2 Carmona, René A.
2 Challet, Damien
2 Chen, Xinfu
2 Chesney, Marc
2 Cont, Rama
2 Crouhy, Michel G.
2 Dang, Duy Minh
2 Doust, Paul
2 Drissi, Fayçal
2 Duck, Peter W.
2 Ekström, Erik
2 Ericsson, Jan
2 Fabozzi, Frank J.
2 Figueroa, Marcelo G.
2 Forde, Martin
2 Galai, Dan
2 Gamba, Andrea
2 Gardini, Matteo
2 Geman, Hélyette
2 Grasselli, Matheus R.
2 Gzyl, Henryk
2 Hughston, Lane P.
2 Ishii, Ryosuke
2 Jackson, Kenneth R.
2 Jacquier, Antoine
2 Johnson, Paul V.
2 Joshi, Mark S.
2 Kallsen, Jan
2 Keller, Joseph Bishop
2 Kennedy, Joanne E.
2 Keppo, Jussi
2 Kingdon, J.
2 Knight, John L.
2 Konstandatos, Otto
2 Korn, Ralf
2 Ku, Hyejin
...and 671 more Authors

Publications by Year

Citations contained in zbMATH Open

394 Publications have been cited 3,624 times in 2,775 Documents Cited by Year
Optimal execution with nonlinear impact functions and trading-enchanced risk. Zbl 1064.91058
Almgren, Robert F.
114
2003
Pricing and hedging derivative securities in markets with uncertain volatilities. Zbl 1466.91323
Avellaneda, M.; Levy, A.; Parás, A.
112
1995
Multigrid for American option pricing with stochastic volatility. Zbl 1009.91034
Clarke, Nigel; Parrott, Kevin
71
1999
Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. Zbl 1134.91526
Cartea, Álvaro; Figueroa, Marcelo G.
69
2005
Calibrating volatility surfaces via relative-entropy minimization. Zbl 1007.91015
Avellaneda, Marco; Friedman, Craig; Holmes, Richard; Samperi, Dominick
68
1997
A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo
67
2007
Weak approximation of stochastic differential equations and application to derivative pricing. Zbl 1134.91524
Ninomiya, Syoiti; Victoir, Nicolas
64
2008
Uncertain volatility and the risk-free synthesis of derivatives. Zbl 1466.91347
Lyons, T. J.
60
1995
Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267
Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis
59
2010
Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
53
2007
General Black-Scholes models accounting for increased market volatility from hedging strategies. Zbl 1009.91023
Sircar, K. Ronnie; Papanicolaou, George
53
1998
Volatility skews and extensions of the Libor market model. Zbl 1013.91041
Andersen, Leif; Andreasen, Jesper
51
2000
Managing the volatility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model. Zbl 1097.91514
Avellaneda, Marco; Para’s, Antonio
47
1996
Optimal basket liquidation for CARA investors is deterministic. Zbl 1206.91077
Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael
47
2010
On modelling and pricing weather derivatives. Zbl 1013.91036
Alaton, Peter; Djehiche, Boualem; Stillberger, David
44
2002
On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342
Elliott, Robert J.; Siu, Tak Kuen
39
2009
On the pricing and hedging of volatility derivatives. Zbl 1108.91316
Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik
39
2004
Binomial models for option valuation – examining and improving. Zbl 1097.91513
Leisen, Dietmar P. J.; Reimer, Matthias
39
1996
Toward real-time pricing of complex financial derivatives. Zbl 1097.91530
Ninomiya, S.; Tezuka, S.
37
1996
Equivalent Black volatilities. Zbl 1009.91033
Hagan, Patrick S.; Woodward, Diana E.
36
1999
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
35
2011
Optimal exercise boundary for an American put option. Zbl 1009.91025
Kuske, Rachel A.; Keller, Joseph B.
34
1998
Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361
Carmona, Renè; Ludkovski, Michael
32
2008
Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021
Benth, Fred Espen; Šaltytė-Benth, Jūratė
31
2005
A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030
Forsyth, P. A.; Vetzal, K. R.; Zvan, R.
31
1999
Mean-field game strategies for optimal execution. Zbl 1410.91498
Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba
27
2019
Optimal financial portfolios. Zbl 1151.91542
Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J.
26
2007
Stochastic volatility effects on defaultable bonds. Zbl 1142.91523
Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut
25
2006
On American options under the variance gamma process. Zbl 1160.91346
Almendral, Ariel; Oosterlee, Cornelis W.
25
2007
Optimal quantization for the pricing of swing options. Zbl 1169.91337
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles
25
2009
An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022
Boyle, Phelim P.; Tian, Yisong
25
1998
Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015
Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell
24
2007
The dynamic interaction of speculation and diversification. Zbl 1113.91019
Chiarella, Carl; Dieci, Roberto; Gardini, Laura
24
2005
Prices and asymptotics for discrete variance swaps. Zbl 1396.91718
Bernard, Carole; Cui, Zhenyu
24
2014
On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075
Grzelak, Lech A.; Oosterlee, Cornelis W.
23
2012
Interpolation methods for curve construction. Zbl 1142.91526
Hagan, Patrick S.; West, Graeme
22
2006
ADI schemes for pricing American options under the Heston model. Zbl 1396.91799
Haentjens, Tinne; in ’t Hout, Karel J.
22
2015
Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066
Bélanger, A. C.; Forsyth, P. A.; Labahn, G.
21
2009
Sharp upper and lower bounds for basket options. Zbl 1138.91457
Laurence, Peter; Wang, Tai-Ho
21
2005
Mean-variance optimal adaptive execution. Zbl 1239.91153
Lorenz, Julian; Almgren, Robert
21
2011
Modelling asset prices for algorithmic and high-frequency trading. Zbl 1396.91680
Cartea, Álvaro; Jaimungal, Sebastian
21
2013
Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372
Elliott, Robert J.; Siu, Tak Kuen
21
2013
General lower bounds for arithmetic Asian option prices. Zbl 1134.91394
Albrecher, H.; Mayer, P. A.; Schoutens, W.
20
2008
Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model. Zbl 1395.91429
Baldeaux, Jan; Badran, Alexander
20
2014
Convex hedging in incomplete markets. Zbl 1151.91537
Rudloff, Birgit
19
2007
Small-time asymptotics for an uncorrelated local-stochastic volatility model. Zbl 1246.91129
Forde, Martin; Jacquier, Antoine
19
2011
Bond, futures and option evaluation in the quadratic interest rate model. Zbl 1097.91525
Jamshidian, Farshid
19
1996
Stochastic volatility, smile & asymptotics. Zbl 1009.91032
Sircar, K. Ronnie; Papanicolaou, George C.
19
1999
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. I: Barrier options. Zbl 1281.91166
Howison, Sam; Steinberg, Mario
18
2007
Stochastic volatility model with time-dependent skew. Zbl 1148.91021
Piterbarg, Vladimir V.
18
2005
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
18
2017
Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672
Kirkby, J. Lars
18
2017
Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints. Zbl 1090.91054
Nakano, Yumiharu
18
2003
Asymptotic pricing of commodity derivatives using stochastic volatility spot models. Zbl 1156.91374
Hikspoors, Samuel; Jaimungal, Sebastian
18
2008
Modelling the temperature time-dependent speed of mean reversion in the context of weather derivatives pricing. Zbl 1142.91575
Zapranis, A.; Alexandridis, A.
18
2008
Energy futures prices: term structure models with Kalman filter estimation. Zbl 1016.91033
Manoliu, Mihaela; Tompaidis, Stathis
18
2002
Dynamic hedging portfolios for derivative securities in the presence of large transaction costs. Zbl 1466.91349
Avellaneda, Marco; Parás, Antonio
18
1994
Enhancing trading strategies with order book signals. Zbl 1418.91454
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
18
2018
Optimal market making. Zbl 1398.91520
Guéant, Olivier
17
2017
The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing. Zbl 1372.91079
Chesney, Marc; Taschini, Luca
17
2012
Bivariate option pricing with copulas. Zbl 1013.91050
Cherubini, U.; Luciano, E.
17
2002
Stochastic volatility: option pricing using a multinomial recombining tree. Zbl 1134.91372
Florescu, Ionuţ; Viens, Frederi G.
16
2008
American call options under jump-diffusion processes – A Fourier transform approach. Zbl 1169.91340
Chiarella, Carl; Ziogas, Andrew
16
2009
On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422
Fergusson, Kevin; Platen, Eckhard
16
2006
Fuzzy measures and asset prices: Accounting for information ambiguity. Zbl 1009.91006
Cherubini, Umberto
16
1997
Numerical methods for non-linear Black-Scholes equations. Zbl 1229.91339
Heider, Pascal
15
2010
A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries. Zbl 1188.91210
Buchen, Peter; Konstandatos, Otto
15
2009
Mean-semivariance efficient frontier: a downside risk model for portfolio selection. Zbl 1113.91018
Ballestero, Enrique
15
2005
Robust approximations for pricing Asian options and volatility swaps under stochastic volatility. Zbl 1233.91272
Forde, Martin; Jacquier, Antoine
15
2010
Boundary values and finite difference methods for the single factor term structure equation. Zbl 1179.91247
Ekström, Erik; Lötstedt, Per; Tysk, Johan
14
2009
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020
Benth, Fred Espen
14
2003
Pricing of swing options in a mean reverting model with jumps. Zbl 1156.91377
Kjaer, Mats
14
2008
Exchange options under jump-diffusion dynamics. Zbl 1239.91160
Cheang, Gerald H. L.; Chiarella, Carl
14
2011
A note on the Flesaker-Hughston model of the term structure of interest rates. Zbl 1009.91020
Rutkowski, Marek
14
1997
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality. Zbl 1433.91194
Guéant, Olivier; Manziuk, Iuliia
14
2019
Simulations of transaction costs and optimal rehedging. Zbl 0832.90006
Mohamed, Benjamin
13
1994
Multiple time scales in volatility and leverage correlations: a stochastic volatility model. Zbl 1093.91537
Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe
13
2004
Multi-asset portfolio optimization with transaction cost. Zbl 1106.91319
Atkinson, C.; Mokkhavesa, S.
13
2004
The use and pricing of convertible bonds. Zbl 0876.90022
Nyborg, K. G.
13
1996
Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100
Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen
13
2012
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
13
2019
Optimal trade execution under stochastic volatility and liquidity. Zbl 1395.91398
Cheridito, Patrick; Sepin, Tardu
13
2014
Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497
Eberlein, Ernst; Glau, Kathrin
13
2014
Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570
Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R.
12
2006
Level-slope-curvature - fact or artefact? Zbl 1160.91334
Lord, Roger; Pelsser, Antoon
12
2007
Indifference pricing and hedging for volatility derivatives. Zbl 1213.91152
Grasselli, M. R.; Hurd, T. R.
12
2007
Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668
Kallsen, Jan; Pauwels, Arnd
12
2011
Pricing stock and bond derivatives with a multi-factor Gaussian model. Zbl 1011.91040
Bajeux-Besnainou, Isabelle; Portait, Roland
12
1998
Phenomenology of the interest rate curve. Zbl 1009.91036
Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc
12
1999
A matched asymptotic expansions approach to continuity corrections for discretely sampled options. II: Bermudan options. Zbl 1281.91165
Howison, Sam
11
2007
A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085
Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim
11
2009
A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323
Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik
11
2003
A numerical PDE approach for pricing callable bonds. Zbl 1026.91046
D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G.
11
2001
Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion. Zbl 1233.91315
Kawai, Reiichiro; Kohatsu-Higa, Arturo
11
2010
Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705
Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H.
11
2013
Delta, gamma and bucket hedging of interest rate derivatives. Zbl 0831.90012
Jarrow, Robert A.; Turnbull, Stuart M.
10
1994
Multi-asset barrier options and occupation time derivatives. Zbl 1089.91031
Wong, Hoi Ying; Kwok, Yue-Kuen
10
2003
The British put option. Zbl 1239.91166
Peskir, Goran; Samee, Farman
10
2011
The implied market price of weather risk. Zbl 1372.91108
Härdle, Wolfgang Karl; Cabrera, Brenda López
10
2012
A framework for valuing corporate securities. Zbl 1009.91041
Ericsson, Jan; Reneby, Joel
10
1998
Arbitrage-free neural-SDE market models. Zbl 07769890
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng
1
2023
Hedging option books using neural-SDE market models. Zbl 1520.91400
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng
2
2022
Deep Q-learning for Nash equilibria: Nash-DQN. Zbl 1508.91523
Casgrain, Philippe; Ning, Brian; Jaimungal, Sebastian
1
2022
Valuation of European options under an uncertain market price of volatility risk. Zbl 1508.91616
Jaroszkowski, Bartosz; Jensen, Max
1
2022
Electricity intraday price modelling with marked Hawkes processes. Zbl 1516.91058
Deschatre, Thomas; Gruet, Pierre
1
2022
Solvability of differential Riccati equations and applications to algorithmic trading with signals. Zbl 1522.91240
Drissi, Fayçal
1
2022
Fast pricing of energy derivatives with mean-reverting jump-diffusion processes. Zbl 1475.91363
Sabino, Piergiacomo; Cufaro Petroni, Nicola
7
2021
Closed-form approximations in multi-asset market making. Zbl 1484.91513
Bergault, Philippe; Evangelista, David; Guéant, Olivier; Vieira, Douglas
6
2021
Unbiased deep solvers for linear parametric PDEs. Zbl 1497.91340
Sabate Vidales, Marc; Šiška, David; Szpruch, Lukasz
6
2021
A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. Zbl 1484.91451
Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela
3
2021
Structural clustering of volatility regimes for dynamic trading strategies. Zbl 1490.91200
Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad
2
2021
Deep learning for market by order data. Zbl 1475.91347
Zhang, Zihao; Lim, Bryan; Zohren, Stefan
1
2021
Correction to: “Portfolio optimization for credit-risky assets under Marshall-Olkin dependence”. Zbl 1473.91017
Mai, Jan-Frederik
1
2021
Risk neutral jump arrival rates implied in option prices and their models. Zbl 1490.91217
Madan, Dilip B.; Wang, King
1
2021
Trading signals in VIX futures. Zbl 1490.91205
Avellaneda, Marco; Li, Thomas Nanfeng; Papanicolaou, Andrew; Wang, Gaozhan
1
2021
On a neural network to extract implied information from American options. Zbl 1498.91454
Liu, Shuaiqiang; Leitao, Álvaro; Borovykh, Anastasia; Oosterlee, Cornelis W.
1
2021
Krighedge: Gaussian process surrogates for delta hedging. Zbl 1497.91310
Ludkovski, Mike; Saporito, Yuri
1
2021
Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. Zbl 1457.91391
Sabino, Piergiacomo
7
2020
Optimal generation and trading in solar renewable energy certificate (SREC) markets. Zbl 1451.91203
Shrivats, Arvind; Jaimungal, Sebastian
6
2020
Detecting and repairing arbitrage in traded option prices. Zbl 1466.91331
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng
5
2020
Additive processes with bilateral gamma marginals. Zbl 1457.91385
Madan, Dilip B.; Wang, King
5
2020
Sequential hypothesis testing in machine learning, and crude oil price jump size detection. Zbl 1466.91359
Roberts, Michael; SenGupta, Indranil
3
2020
American strangle options. Zbl 1457.91390
Qiu, Shi
3
2020
Optimal market making under partial information with general intensities. Zbl 1452.91295
Campi, Luciano; Zabaljauregui, Diego
2
2020
Spoofing and price manipulation in order-driven markets. Zbl 1454.91242
Cartea, Álvaro; Jaimungal, Sebastian; Wang, Yixuan
2
2020
Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models. Zbl 1451.91186
Hambly, Ben; Kalsi, Jasdeep; Newbury, James
2
2020
Optimal trading with differing trade signals. Zbl 1466.91309
Donnelly, Ryan; Lorig, Matthew
2
2020
Non-parametric pricing and hedging of exotic derivatives. Zbl 1466.91346
Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol
2
2020
Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. Zbl 1466.91348
Mancino, M. E.; Scotti, S.; Toscano, G.
1
2020
A multiple curve Lévy swap market model. Zbl 1466.91333
Eberlein, Ernst; Gerhart, Christoph; Lütkebohmert, Eva
1
2020
Smart indexing under regime-switching economic states. Zbl 1466.91283
Edirisinghe, Chanaka; Zhao, Yonggan
1
2020
Mean-field game strategies for optimal execution. Zbl 1410.91498
Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba
27
2019
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality. Zbl 1433.91194
Guéant, Olivier; Manziuk, Iuliia
14
2019
Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413
Forsyth, Peter A.; Vetzal, Kenneth R.
13
2019
Generalised Lyapunov functions and functionally generated trading strategies. Zbl 1430.91089
Ruf, Johannes; Xie, Kangjianan
7
2019
Polynomial processes for power prices. Zbl 1433.91104
Ware, Tony
7
2019
Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing. Zbl 1426.91273
Ninomiya, Syoiti; Shinozaki, Yuji
5
2019
Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures. Zbl 1437.91431
Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol
4
2019
Network effects in default clustering for large systems. Zbl 1437.91446
Spiliopoulos, Konstantinos; Yang, Jia
3
2019
Short maturity forward start Asian options in local volatility models. Zbl 1426.91274
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong
2
2019
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints. Zbl 1426.91262
Bouveret, Géraldine
1
2019
High-dimensional statistical arbitrage with factor models and stochastic control. Zbl 1430.91095
Guijarro-Ordonez, Jorge
1
2019
A copula-based Markov reward approach to the credit spread in the European Union. Zbl 1430.91123
D’Amico, Guglielmo; Petroni, Filippo; Regnault, Philippe; Scocchera, Stefania; Storchi, Loriano
1
2019
A mathematical analysis of technical analysis. Zbl 1410.91424
Lorig, Matthew; Zhou, Zhou; Zou, Bin
1
2019
Portfolio optimization for credit-risky assets under Marshall-Olkin dependence. Zbl 1437.91410
Mai, Jan-Frederik
1
2019
On Carr and Lee’s correlation immunization strategy. Zbl 1410.91458
Lin, Jimin; Lorig, Matthew
1
2019
Enhancing trading strategies with order book signals. Zbl 1418.91454
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
18
2018
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503
Benth, Fred Espen; Pircalabu, Anca
9
2018
Outperformance and tracking: dynamic asset allocation for active and passive portfolio management. Zbl 1418.91445
Al-Aradi, Ali; Jaimungal, Sebastian
8
2018
Extended Gini-type measures of risk and variability. Zbl 1418.91229
Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo Brutti
6
2018
Optimal decisions in a time priority queue. Zbl 1418.91465
Donnelly, Ryan; Gan, Luhui
5
2018
Transition probability of Brownian motion in the octant and its application to default modelling. Zbl 1411.91601
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph
4
2018
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498
Fouque, Jean-Pierre; Hu, Ruimeng
3
2018
Option pricing in illiquid markets with jumps. Zbl 1411.91619
Cruz, José M. T. S.; Ševčovic, Daniel
3
2018
Hybrid Lévy models: design and computational aspects. Zbl 1411.91552
Eberlein, Ernst; Rudmann, Marcus
3
2018
Optimal expected-shortfall portfolio selection with copula-induced dependence. Zbl 1418.91469
Gijbels, Irène; Herrmann, Klaus
3
2018
Dynamic index tracking and risk exposure control using derivatives. Zbl 1418.91522
Leung, Tim; Ward, Brian
3
2018
Risk-neutral pricing and hedging of in-play football bets. Zbl 1411.91161
Divos, Peter; Del Bano Rollin, Sebastian; Bihari, Zsolt; Aste, Tomaso
1
2018
Real-world scenarios with negative interest rates based on the LIBOR market model. Zbl 1411.91591
Lopes, Sara Dutra; Vázquez, Carlos
1
2018
The optimal interaction between a hedge fund manager and investor. Zbl 1411.91527
Ramirez, Hugo Eduardo; Johnson, Paul V.; Duck, Peter; Howell, Sydney
1
2018
Log-optimal portfolios with memory effect. Zbl 1411.91522
Nika, Z.; Rásonyi, M.
1
2018
Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593
Goutte, Stéphane; Ismail, Amine; Pham, Huyên
18
2017
Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672
Kirkby, J. Lars
18
2017
Optimal market making. Zbl 1398.91520
Guéant, Olivier
17
2017
A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models. Zbl 1398.91669
Dang, Duy-Minh; Jackson, Kenneth R.; Sues, Scott
7
2017
Optimal accelerated share repurchases. Zbl 1398.91600
Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H.
5
2017
Price manipulation in a market impact model with dark pool. Zbl 1398.91529
Klöck, Florian; Schied, Alexander; Sun, Yuemeng
5
2017
Sharper asset ranking from total drawdown durations. Zbl 1398.62286
Challet, Damien
4
2017
Third-order short-time expansions for close-to-the-money option prices under the CGMY model. Zbl 1398.91586
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian
4
2017
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574
Criens, David; Glau, Kathrin; Grbac, Zorana
3
2017
The affine inflation market models. Zbl 1398.91619
Waldenberger, Stefan
2
2017
Two asset-barrier option under stochastic volatility. Zbl 1398.91592
Goetz, Barbara; Escobar, Marcos; Zagst, Rudi
2
2017
Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis. Zbl 1398.91544
Quek, Gary; Atkinson, Colin
1
2017
On the modelling of nested risk-neutral stochastic processes with applications in insurance. Zbl 1398.62324
Singor, S. N.; Boer, A.; Alberts, J. S. C.; Oosterlee, C. W.
1
2017
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. Zbl 1398.91671
Itkin, Andrey
1
2017
Market calibration under a long memory stochastic volatility model. Zbl 1396.91760
Pospíšil, Jan; Sobotka, Tomáš
9
2016
Pitfalls of the Fourier transform method in affine models, and remedies. Zbl 1396.91803
Levendorskiĭ, Sergei
8
2016
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad
8
2016
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. Zbl 1396.91741
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W.
6
2016
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Zbl 1396.91774
Zheng, Wendong; Zeng, Pingping
6
2016
Pricing occupation-time options in a mixed-exponential jump-diffusion model. Zbl 1396.91713
Aoudia, Djilali Ait; Renaud, Jean-François
5
2016
Indifference fee rate for variable annuities. Zbl 1396.91295
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo
3
2016
Analysis of VIX markets with a time-spread portfolio. Zbl 1396.91758
Papanicolaou, A.
3
2016
Optimal prediction of resistance and support levels. Zbl 1396.60041
De Angelis, T.; Peskir, G.
3
2016
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Zbl 1396.91801
Joshi, Mark S.; Zhu, Dan
2
2016
On the method of optimal portfolio choice by cost-efficiency. Zbl 1396.91702
Rüschendorf, Ludger; Wolf, Viktor
2
2016
Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse. Zbl 1396.62242
Kim, Young Shin
1
2016
Eurodollar futures pricing in log-normal interest rate models in discrete time. Zbl 1396.91783
Pirjol, Dan
1
2016
ADI schemes for pricing American options under the Heston model. Zbl 1396.91799
Haentjens, Tinne; in ’t Hout, Karel J.
22
2015
Optimal execution and block trade pricing: a general framework. Zbl 1396.91687
Guéant, Olivier
10
2015
Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805
Pagès, Gilles; Sagna, Abass
10
2015
Pricing path-dependent options with discrete monitoring under time-changed Lévy processes. Zbl 1396.91769
Umezawa, Yuji; Yamazaki, Akira
8
2015
Implied volatility of leveraged ETF options. Zbl 1396.91748
Leung, Tim; Sircar, Ronnie
8
2015
Semi-Markov model for market microstructure. Zbl 1396.91218
Fodra, Pietro; Pham, Huyên
7
2015
Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance. Zbl 1396.91798
Dang, Duy-Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza
7
2015
Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models. Zbl 1396.91772
Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue Kuen
6
2015
Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model. Zbl 1396.91710
Ahlip, Rehez; Rutkowski, Marek
4
2015
Correction to: “Exchange option under jump-diffusion dynamics”. Zbl 1406.91435
Caldana, Ruggero; Cheang, Gerald H. L.; Chiarella, Carl; Fusai, Gianluca
3
2015
Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane
2
2015
A note on dual-curve construction: Mr. Crab’s bootstrap. Zbl 1396.91778
Baviera, Roberto; Cassaro, Alessandro
2
2015
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Cited by 3,495 Authors

37 Siu, Tak Kuen
35 Forsyth, Peter A.
33 Benth, Fred Espen
26 Jaimungal, Sebastian
26 Zhu, Songping
24 Elliott, Robert James
21 Cartea, Álvaro
19 Schied, Alexander
18 Oosterlee, Cornelis Willebrordus
16 Cui, Zhenyu
16 Lorig, Matthew J.
15 Sircar, Ronnie
15 Vetzal, Kenneth R.
14 Chiarella, Carl
14 Guéant, Olivier
14 Kim, Jeong-Hoon
12 Ballestra, Luca Vincenzo
12 Company, Rafael
12 Fouque, Jean-Pierre
12 Glau, Kathrin
12 He, Xinjiang
12 Westerhoff, Frank H.
12 Zagst, Rudi
11 Bayraktar, Erhan
11 Bernard, Carole L.
11 Eberlein, Ernst W.
11 Escobar, Marcos
11 Jódar Sanchez, Lucas Antonio
11 Muhle-Karbe, Johannes
11 Sabino, Piergiacomo
10 Goard, Joanna M.
10 Horst, Ulrich
10 Kawai, Reiichiro
10 Kwok, Yue-Kuen
10 Li, Lingfei
10 Lian, Guanghua
10 Pham, Huyên
10 Reisinger, Christoph
10 Vázquez Cendón, Carlos
10 Yang, Hailiang
10 Yoon, Ji-Hun
9 Alfonsi, Aurélien
9 Boyle, Phelim P.
9 Cont, Rama
9 Dang, Duy Minh
9 Dieci, Roberto
9 Düring, Bertram
9 Ekström, Erik
9 Figueroa-López, José E.
9 Gobet, Emmanuel
9 Joshi, Mark S.
9 Kim, Geonwoo
9 Leung, Tim
9 Linetsky, Vadim
9 Mamon, Rogemar S.
9 Pagès, Gilles
9 Schöneborn, Torsten
9 Wong, Hoi Ying
8 Bayer, Christian
8 Bouchard, Bruno
8 Carmona, René A.
8 Ching, Wai-Ki
8 Ferrando, Sebastián Esteban
8 Grasselli, Martino
8 Kupper, Michael
8 Li, Yuying
8 Lin, Sha
8 Loeper, Grégoire
8 Lu, Xiaoping
8 Mariani, Maria Cristina
8 Mehrdoust, Farshid
8 Pacelli, Graziella
8 Papapantoleon, Antonis
8 Pascucci, Andrea
8 Ševčovič, Daniel
8 Soner, Halil Mete
8 Swishchuk, Anatoliy
8 Tan, Ken Seng
8 Yamada, Toshihiro
8 Yao, Haixiang
7 Avellaneda, Marco
7 Brody, Dorje C.
7 Caginalp, Gunduz
7 Chan, Leunglung
7 Dyshaev, Mikhaĭl Mikhaĭlovich
7 Fabozzi, Frank J.
7 Gnoatto, Alessandro
7 Ivanov, Roman V.
7 Jeon, Junkee
7 Kallsen, Jan
7 Li, Shenghong
7 Li, Zhongfei
7 Mahayni, Antje
7 Pagliarani, Stefano
7 Pirjol, Dan
7 Platen, Eckhard
7 Sgarra, Carlo
7 Tangman, Désiré Yannick
7 Vanduffel, Steven
7 Zhang, Jin E.
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Cited in 330 Journals

251 Quantitative Finance
234 International Journal of Theoretical and Applied Finance
161 Applied Mathematical Finance
107 Mathematical Finance
95 Insurance Mathematics & Economics
90 SIAM Journal on Financial Mathematics
79 Journal of Computational and Applied Mathematics
77 European Journal of Operational Research
70 Journal of Economic Dynamics & Control
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38 Computers & Mathematics with Applications
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36 Stochastic Processes and their Applications
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32 The Annals of Applied Probability
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30 International Journal of Computer Mathematics
26 Stochastics
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23 Annals of Finance
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21 Journal of Mathematical Analysis and Applications
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21 SIAM Journal on Control and Optimization
20 Journal of Industrial and Management Optimization
19 Asia-Pacific Financial Markets
17 Journal of Econometrics
16 Applied Mathematics and Optimization
16 Mathematical Methods of Operations Research
16 Methodology and Computing in Applied Probability
16 Computational Management Science
15 Chaos, Solitons and Fractals
15 Journal of Optimization Theory and Applications
15 Mathematical Problems in Engineering
15 Discrete Dynamics in Nature and Society
15 North American Actuarial Journal
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14 The ANZIAM Journal
13 ASTIN Bulletin
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12 Scandinavian Actuarial Journal
11 Advances in Applied Probability
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5 Chelyabinskiĭ Fiziko-Matematicheskiĭ Zhurnal
5 Frontiers of Mathematical Finance
4 Automatica
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4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 SIAM Journal on Numerical Analysis
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4 Computational Statistics and Data Analysis
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4 Engineering Analysis with Boundary Elements
4 Electronic Journal of Probability
4 International Transactions in Operational Research
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4 Chaos
4 Journal of Physics A: Mathematical and Theoretical
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