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 30, No. 2 (2023) 30, No. 1 (2023) 29, No. 6 (2022) 29, No. 5 (2022) 29, No. 4 (2022) 29, No. 3 (2022) 29, No. 2 (2022) 29, No. 1 (2022) 28, No. 6 (2021) 28, No. 5 (2021) 28, No. 4 (2021) 28, No. 3 (2021) 28, No. 2 (2021) 28, No. 1 (2021) 27, No. 6 (2020) 27, No. 5 (2020) 27, No. 4 (2020) 27, No. 3 (2020) 27, No. 1-2 (2020) 26, No. 6 (2019) 26, No. 5 (2019) 26, No. 4 (2019) 26, No. 3 (2019) 26, No. 2 (2019) 26, No. 1 (2019) 25, No. 5-6 (2018) 25, No. 4 (2018) 25, No. 3 (2018) 25, No. 2 (2018) 25, No. 1 (2018) 24, No. 5-6 (2017) 24, No. 3-4 (2017) 24, No. 1-2 (2017) 23, No. 5-6 (2016) 23, No. 3-4 (2016) 23, No. 1-2 (2016) 22, No. 5-6 (2015) 22, No. 3-4 (2015) 22, No. 1-2 (2015) 21, No. 5-6 (2014) 21, No. 3-4 (2014) 21, No. 1-2 (2014) 20, No. 5-6 (2013) 20, No. 1-2 (2013) 19, No. 5-6 (2012) 19, No. 3-4 (2012) 19, No. 1-2 (2012) 18, No. 5-6 (2011) 18, No. 3-4 (2011) 18, No. 1-2 (2011) 17, No. 5-6 (2010) 17, No. 3-4 (2010) 17, No. 1-2 (2010) 16, No. 5-6 (2009) 16, No. 3-4 (2009) 16, No. 1-2 (2009) 15, No. 5-6 (2008) 15, No. 3-4 (2008) 15, No. 2 (2008) 15, No. 1 (2008) 14, No. 5 (2007) 14, No. 4 (2007) 14, No. 3 (2007) 14, No. 2 (2007) 14, No. 1 (2007) 13, No. 4 (2006) 13, No. 3 (2006) 13, No. 2 (2006) 13, No. 1 (2006) 12, No. 4 (2005) 12, No. 3 (2005) 12, No. 2 (2005) 12, No. 1 (2005) 11, No. 4 (2004) 11, No. 3 (2004) 11, No. 2 (2004) 11, No. 1 (2004) 10, No. 4 (2003) 10, No. 3 (2003) 10, No. 2 (2003) 10, No. 1 (2003) 9, No. 4 (2002) 9, No. 3 (2002) 9, No. 2 (2002) 9, No. 1 (2002) 8, No. 4 (2001) 8, No. 3 (2001) 8, No. 2 (2001) 8, No. 1 (2001) 7, No. 4 (2000) 7, No. 3 (2000) 7, No. 2 (2000) 7, No. 1 (2000) 6, No. 4 (1999) 6, No. 3 (1999) 6, No. 2 (1999) 6, No. 1 (1999) 5, No. 3 (1998) 5, No. 2 (1998) 5, No. 1 (1998) ...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 all top 5 Fields 514 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 126 Probability theory and stochastic processes (60-XX) 39 Statistics (62-XX) 32 Numerical analysis (65-XX) 25 Systems theory; control (93-XX) 17 Partial differential equations (35-XX) 15 Operations research, mathematical programming (90-XX) 11 Calculus of variations and optimal control; optimization (49-XX) 11 Computer science (68-XX) 2 Integral equations (45-XX) 2 Geophysics (86-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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. 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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 ...and 294 more Documents all cited Publications top 5 cited Publications all top 5 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. ...and 3,395 more Authors all top 5 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 70 Finance and Stochastics 51 Applied Mathematics and Computation 38 Computers & Mathematics with Applications 38 Annals of Operations Research 36 Stochastic Processes and their Applications 35 Review of Derivatives Research 32 The Annals of Applied Probability 31 Mathematics and Financial Economics 30 International Journal of Computer Mathematics 26 Stochastics 25 Decisions in Economics and Finance 23 Annals of Finance 22 Stochastic Analysis and Applications 21 Journal of Mathematical Analysis and Applications 21 Physica A 21 Mathematics and Computers in Simulation 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 14 Statistics & Probability Letters 14 Communications in Statistics. 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