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Finance and Stochastics

Short Title: Finance Stoch.
Publisher: Springer, Berlin/Heidelberg
ISSN: 0949-2984; 1432-1122/e
Online: http://link.springer.com/journal/volumesAndIssues/780
Comments: Indexed cover-to-cover
Documents Indexed: 691 Publications (since 1997)
References Indexed: 458 Publications with 14,218 References.
all top 5

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Authors

21 Kabanov, Yuriĭ Mikhaĭlovich
12 Guasoni, Paolo
11 Jeanblanc, Monique
11 Muhle-Karbe, Johannes
11 Schachermayer, Walter
9 Bouchard, Bruno
9 Filipović, Damir
9 Hobson, David Graham
9 Kardaras, Constantinos
9 Pham, Huyên
8 Carr, Peter P.
8 Delbaen, Freddy
7 Benth, Fred Espen
7 Fukasawa, Masaaki
7 Karatzas, Ioannis
7 Schweizer, Martin
7 Soner, Halil Mete
7 Stricker, Christophe
7 Touzi, Nizar
6 Björk, Tomas
6 Campi, Luciano
6 Föllmer, Hans
6 Glasserman, Paul
6 Kupper, Michael
6 Linetsky, Vadim
6 Obloj, Jan K.
6 Protter, Philip Elliott
6 Rásonyi, Miklós
6 Rogers, L. C. G.
6 Schied, Alexander
6 Wang, Ruodu
6 Zariphopoulou, Thaleia
6 Žitković, Gordan
5 Bayraktar, Erhan
5 Belomestny, Denis
5 Çetin, Umut
5 Cvitanić, Jakša
5 Dolinsky, Yan
5 Frittelli, Marco
5 Jarrow, Robert Alan
5 Jiao, Ying
5 Kallsen, Jan
5 Keller-Ressel, Martin
5 Lépinette, Emmanuel
5 Rüschendorf, Ludger
5 Yor, Marc
4 Alòs, Elisa
4 Bank, Peter
4 Bartl, Daniel
4 Beiglböck, Mathias
4 Carmona, René A.
4 Cheridito, Patrick
4 Choulli, Tahir
4 Cox, Alexander Matthew Gordon
4 Cuchiero, Christa
4 Eberlein, Ernst W.
4 Fontana, Claudio
4 Fouque, Jean-Pierre
4 Frey, Rüdiger
4 Gerhold, Stefan
4 Gobet, Emmanuel
4 Huang, Yu-Jui
4 Jacod, Jean
4 Jouini, Elyès
4 Madan, Dilip B.
4 Mijatović, Aleksandar
4 Nutz, Marcel
4 Pergamenshchikov, Sergeĭ Markovich
4 Robertson, Scott
4 Rutkowski, Marek
4 Schoenmakers, John G. M.
4 Seifried, Frank Thomas
4 Shreve, Steven E.
4 Sircar, Ronnie
4 Song, Shiqi
4 Tehranchi, Michael R.
4 Villeneuve, Stéphane
3 Acciaio, Beatrice
3 Becherer, Dirk
3 Bender, Christian
3 Brigo, Damiano
3 Capponi, Agostino
3 Cherny, Alexander S.
3 Coculescu, Delia
3 Dassios, Angelos
3 De Angelis, Tiziano
3 Deng, Jun
3 Denis, Emmanuel
3 El Karoui, Nicole
3 Elie, Romuald
3 Elliott, Robert James
3 Embrechts, Paul
3 Federico, Salvatore
3 Figueroa-López, José E.
3 Forde, Martin
3 Geman, Hélyette
3 Gozzi, Fausto
3 Henderson, Vicky
3 Herdegen, Martin
3 Jacquier, Antoine
...and 707 more Authors

Publications by Year

Citations contained in zbMATH Open

628 Publications have been cited 13,188 times in 7,387 Documents Cited by Year
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
432
2002
Processes of normal inverse Gaussian type. Zbl 0894.90011
Barndorff-Nielsen, Ole E.
349
1998
Generalized deviations in risk analysis. Zbl 1150.90006
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
148
2006
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis
127
1999
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
125
1999
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
119
2007
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
117
2000
Conditional and dynamic convex risk measures. Zbl 1092.91017
Detlefsen, Kai; Scandolo, Giacomo
116
2005
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich
114
2013
Moment explosions in stochastic volatility models. Zbl 1142.65004
Andersen, Leif B. G.; Piterbarg, Vladimir V.
113
2007
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
Zariphopoulou, Thaleia
111
2001
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
110
1998
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
110
1997
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
106
2004
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
106
2005
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
105
2014
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
104
1998
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
104
2000
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
96
1999
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
91
2017
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
90
2002
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
89
2004
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
87
2003
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
84
2002
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
83
2005
Game options. Zbl 1066.91042
Kifer, Yuri
81
2000
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
78
2002
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
76
2004
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020
Alòs, Elisa; León, Jorge A.; Vives, Josep
75
2007
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
73
1997
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
71
2002
Stock market prices and long-range dependence. Zbl 0924.90029
Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim
70
1999
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
70
2003
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
69
2001
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061
Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis
68
2001
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
68
2010
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
67
2003
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
66
1999
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040
Sass, Jörn; Haussmann, Ulrich G.
64
2004
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
63
2006
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
62
2003
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
61
2005
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
59
2002
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021
Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.
59
1997
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
Bion-Nadal, Jocelyne
59
2008
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
57
1999
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
57
2001
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
56
2001
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
56
2009
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
56
2005
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
55
2002
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
54
2003
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
53
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
53
1998
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
53
2013
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
53
2009
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
52
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
52
2011
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
50
1999
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
50
2003
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
49
1999
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
49
2001
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
49
2013
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
48
1998
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
48
2001
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
48
2000
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
47
2011
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
47
2003
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
47
2006
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
47
2015
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
46
1997
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
46
1997
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
45
2014
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
45
2005
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
44
2003
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
44
2005
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
44
2006
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
43
2006
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
43
2008
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
42
2007
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
42
2012
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
42
2000
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
41
1999
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
41
2006
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
41
2001
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
41
2004
Pricing double barrier options using Laplace transforms. Zbl 0940.91026
Pelsser, Antoon
40
2000
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
40
1998
On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep
40
2002
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
40
2001
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
39
1998
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
39
2001
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
39
2001
Continuous-time term structure models: Forward measure approach. Zbl 0888.60037
Musiela, Marek; Rutkowski, Marek
39
1997
The rate of convergence of the binomial tree scheme. Zbl 1062.91027
Walsh, John B.
39
2003
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
38
2002
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
37
2003
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
37
2004
Optimal consumption with reference to past spending maximum. Zbl 07501279
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
1
2022
A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 07501282
Cohen, Asaf; Dolinsky, Yan
1
2022
Nonlinear expectations of random sets. Zbl 1461.91283
Molchanov, Ilya; Mühlemann, Anja
1
2021
Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317
Lépinette, Emmanuel; Molchanov, Ilya
1
2021
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
1
2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
1
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
1
2021
Infinite-dimensional polynomial processes. Zbl 1461.91310
Cuchiero, Christa; Svaluto-Ferro, Sara
1
2021
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272
Bouchard, Bruno; Tan, Xiaolu
1
2021
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
1
2021
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356
Gonon, Lukas; Schwab, Christoph
1
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
12
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
8
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
6
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
5
2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259
Chi, Yichun; Wei, Wei
5
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
4
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
3
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
3
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
3
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
3
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
3
2020
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie
3
2020
An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180
Weston, Kim; Žitković, Gordan
2
2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2
2020
A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126
Tehranchi, Michael R.
1
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
1
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
1
2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190
Albani, Vinicius V. L.; Zubelli, Jorge P.
1
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
1
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
1
2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
1
2020
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
1
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
17
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
10
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
10
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
9
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060
Hambly, Ben; Søjmark, Andreas
9
2019
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
8
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
7
2019
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia
6
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
6
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
6
2019
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Zbl 1425.91401
Hefter, Mario; Jentzen, Arnulf
5
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
4
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
4
2019
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
3
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
2
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
2
2019
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
2
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
2
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
2
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
1
2019
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Zbl 1428.91016
Belak, Christoph; Sass, Jörn
1
2019
Dual utilities on risk aggregation under dependence uncertainty. Zbl 1426.91115
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu
1
2019
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. Zbl 1444.91216
Kühn, Christoph; Molitor, Alexander
1
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
1
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
1
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 07074033
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
29
2018
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789
Hou, Zhaoxu; Obłój, Jan
27
2018
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Zbl 1401.91141
Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos
17
2018
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
16
2018
Time-consistent stopping under decreasing impatience. Zbl 1391.60086
Huang, Yu-Jui; Nguyen-Huu, Adrien
15
2018
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
14
2018
Optimal liquidation under stochastic liquidity. Zbl 1391.91164
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter
13
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
11
2018
Stability of Radner equilibria with respect to small frictions. Zbl 1416.91349
Herdegen, Martin; Muhle-Karbe, Johannes
9
2018
Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353
Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia
8
2018
An expansion in the model space in the context of utility maximization. Zbl 1396.91692
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan
8
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
7
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
6
2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
6
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
6
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
6
2018
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284
Beissner, Patrick; Riedel, Frank
4
2018
A risk-neutral equilibrium leading to uncertain volatility pricing. Zbl 1422.91716
Muhle-Karbe, Johannes; Nutz, Marcel
4
2018
Financial equilibrium with asymmetric information and random horizon. Zbl 1422.91799
Çetin, Umut
3
2018
Sensitivity analysis of long-term cash flows. Zbl 1416.91382
Park, Hyungbin
2
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Zbl 1396.91782
Keller-Ressel, Martin
2
2018
Explosion in the quasi-Gaussian HJM model. Zbl 1423.60123
Pirjol, Dan; Zhu, Lingjiong
1
2018
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Zbl 1416.91358
Pennanen, Teemu; Perkkiö, Ari-Pekka
1
2018
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Zbl 1416.60064
Brzeźniak, Zdzisław; Kok, Tayfun
1
2018
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
91
2017
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
36
2017
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
Change of numeraire in the two-marginals martingale transport problem. Zbl 1369.91174
Campi, Luciano; Laachir, Ismail; Martini, Claude
17
2017
Pathwise superreplication via Vovk’s outer measure. Zbl 1391.91153
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin; Perkowski, Nicolas; Prömel, David J.
17
2017
Alpha-CIR model with branching processes in sovereign interest rate modeling. Zbl 1378.91123
Jiao, Ying; Ma, Chunhua; Scotti, Simone
16
2017
Optimal consumption and investment with Epstein-Zin recursive utility. Zbl 1352.93102
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas
11
2017
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
10
2017
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
10
2017
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
9
2017
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
8
2017
Equilibrium in risk-sharing games. Zbl 1416.91012
Anthropelos, Michail; Kardaras, Constantinos
7
2017
Hedging with small uncertainty aversion. Zbl 1360.91141
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, Frank Thomas
6
2017
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. Zbl 1352.93107
Xing, Hao
6
2017
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Cited by 6,386 Authors

69 Siu, Tak Kuen
49 Bayraktar, Erhan
47 Wang, Ruodu
43 Elliott, Robert James
40 Madan, Dilip B.
37 Young, Virginia R.
36 Muhle-Karbe, Johannes
35 Bouchard, Bruno
34 Touzi, Nizar
33 Platen, Eckhard
33 Yang, Hailiang
31 Øksendal, Bernt Karsten
31 Rüschendorf, Ludger
31 Schachermayer, Walter
30 Hobson, David Graham
30 Jacquier, Antoine
30 Kupper, Michael
29 Benth, Fred Espen
29 Dolinsky, Yan
29 Obloj, Jan K.
29 Rásonyi, Miklós
28 Belomestny, Denis
28 Filipović, Damir
28 Jeanblanc, Monique
27 Guasoni, Paolo
27 Kardaras, Constantinos
27 Rutkowski, Marek
27 Soner, Halil Mete
26 Bo, Lijun
26 Gobet, Emmanuel
26 Levendorskiĭ, Sergeĭ Zakharovich
25 Biagini, Francesca
25 Eberlein, Ernst W.
25 Jarrow, Robert Alan
25 Pham, Huyên
25 Schoenmakers, John G. M.
24 Pascucci, Andrea
24 Protter, Philip Elliott
24 Rudloff, Birgit
24 Schied, Alexander
23 Beiglböck, Mathias
23 Leonenko, Nikolai N.
23 Mishura, Yuliya Stepanivna
23 Tankov, Peter
23 Wong, Hoi Ying
22 Ekström, Erik
22 Hu, Yijun
22 Kallsen, Jan
22 Wang, Yongjin
21 Balbás, Alejandro
21 Bielecki, Tomasz R.
21 Brigo, Damiano
21 Karatzas, Ioannis
21 Lépinette, Emmanuel
21 Meyer-Brandis, Thilo
21 Nutz, Marcel
21 Schoutens, Wim
21 Sircar, Ronnie
21 Teichmann, Josef
21 Xiong, Dewen
21 Zeng, Yan
21 Zheng, Harry H.
20 Barndorff-Nielsen, Ole Eiler
20 Campi, Luciano
20 Kabanov, Yuriĭ Mikhaĭlovich
20 Linetsky, Vadim
20 Yuen, Kam Chuen
19 Cui, Zhenyu
19 Ferrari, Giorgio
19 Larsson, Martin
19 Pistorius, Martijn R.
19 Puccetti, Giovanni
19 Schweizer, Martin
19 Žitković, Gordan
18 Bender, Christian
18 Carr, Peter P.
18 Cheridito, Patrick
18 Choulli, Tahir
18 Crepey, Stephane
18 Figueroa-López, José E.
18 Fouque, Jean-Pierre
18 Fukasawa, Masaaki
18 Jin, Zhuo
18 Joshi, Mark S.
18 Korn, Ralf
18 Li, Zhongfei
18 Papapantoleon, Antonis
18 Riedel, Frank
18 Sass, Jörn
18 Schmidt, Thorsten
18 Steffensen, Mogens
18 Svindland, Gregor
17 Dassios, Angelos
17 El Karoui, Nicole
17 Fontana, Claudio
17 Forsyth, Peter A.
17 Frittelli, Marco
17 Gapeev, Pavel V.
17 Kohlmann, Michael
17 Leung, Tim
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Cited in 450 Journals

433 International Journal of Theoretical and Applied Finance
411 Quantitative Finance
384 Finance and Stochastics
374 Insurance Mathematics & Economics
297 Stochastic Processes and their Applications
291 Mathematical Finance
223 The Annals of Applied Probability
198 SIAM Journal on Financial Mathematics
175 European Journal of Operational Research
169 Mathematics and Financial Economics
139 Applied Mathematical Finance
133 Journal of Computational and Applied Mathematics
121 Journal of Economic Dynamics & Control
120 Statistics & Probability Letters
117 Stochastic Analysis and Applications
104 Stochastics
102 Journal of Applied Probability
95 SIAM Journal on Control and Optimization
94 Scandinavian Actuarial Journal
76 Applied Mathematics and Optimization
75 Annals of Finance
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64 Asia-Pacific Financial Markets
61 Mathematical Methods of Operations Research
58 Journal of Econometrics
54 Decisions in Economics and Finance
52 Applied Mathematics and Computation
52 Bernoulli
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48 Methodology and Computing in Applied Probability
48 ASTIN Bulletin
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46 The Annals of Probability
46 Communications in Statistics. Theory and Methods
44 Mathematics of Operations Research
41 North American Actuarial Journal
40 Journal of Industrial and Management Optimization
35 Stochastic Models
34 Chaos, Solitons and Fractals
33 Operations Research Letters
30 Mathematical Problems in Engineering
29 Physica A
29 Mathematical Programming. Series A. Series B
27 Computers & Mathematics with Applications
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25 International Journal of Computer Mathematics
25 Discrete Dynamics in Nature and Society
25 European Actuarial Journal
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24 Electronic Journal of Probability
23 Theory of Probability and its Applications
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22 Journal of Multivariate Analysis
21 Abstract and Applied Analysis
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20 Lithuanian Mathematical Journal
20 Journal of Statistical Planning and Inference
20 Japan Journal of Industrial and Applied Mathematics
20 Applied Stochastic Models in Business and Industry
20 Probability, Uncertainty and Quantitative Risk
19 Acta Mathematicae Applicatae Sinica. English Series
19 Probability Theory and Related Fields
19 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
18 Monte Carlo Methods and Applications
18 Computational Management Science
17 Stochastics and Dynamics
17 Science China. Mathematics
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14 Automatica
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14 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
14 Communications in Nonlinear Science and Numerical Simulation
13 Journal of Differential Equations
13 Journal of Functional Analysis
13 International Journal of Approximate Reasoning
13 Electronic Communications in Probability
13 Econometric Theory
13 The ANZIAM Journal
13 Comptes Rendus. Mathématique. Académie des Sciences, Paris
13 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
12 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
12 Acta Applicandae Mathematicae
12 Mathematical and Computer Modelling
12 SIAM Journal on Optimization
12 Applied Mathematics. Series B (English Edition)
12 Infinite Dimensional Analysis, Quantum Probability and Related Topics
12 Journal of Applied Mathematics
12 Journal of the Korean Statistical Society
11 Scandinavian Journal of Statistics
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Cited in 53 Fields

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