## 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.
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### Latest Issues

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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
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### Fields

 654 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 512 Probability theory and stochastic processes (60-XX) 114 Systems theory; control (93-XX) 81 Statistics (62-XX) 58 Calculus of variations and optimal control; optimization (49-XX) 39 Numerical analysis (65-XX) 31 Partial differential equations (35-XX) 28 Operations research, mathematical programming (90-XX) 20 Functional analysis (46-XX) 10 Integral equations (45-XX) 8 Measure and integration (28-XX) 7 Real functions (26-XX) 7 Operator theory (47-XX) 5 Convex and discrete geometry (52-XX) 4 General and overarching topics; collections (00-XX) 4 Approximations and expansions (41-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 3 Computer science (68-XX) 3 Information and communication theory, circuits (94-XX) 2 History and biography (01-XX) 2 Special functions (33-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 General topology (54-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Nonassociative rings and algebras (17-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX)

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628 Publications have been cited 13,188 times in 7,387 Documents Cited by Year
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Generalized deviations in risk analysis. Zbl 1150.90006
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2006
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
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1999
Quantile hedging. Zbl 0977.91019
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1999
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
2007
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
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2000
Conditional and dynamic convex risk measures. Zbl 1092.91017
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2005
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
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2013
Moment explosions in stochastic volatility models. Zbl 1142.65004
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2007
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
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2001
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
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1998
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
1997
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
2004
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
2005
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
2014
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
1998
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
2000
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
1999
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
2017
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
2002
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
2004
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
2003
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
2002
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
2005
Game options. Zbl 1066.91042
Kifer, Yuri
2000
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
2002
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
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
2007
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
1997
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
2002
Stock market prices and long-range dependence. Zbl 0924.90029
1999
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
2003
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
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
2001
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
2010
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
2003
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
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.
2004
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
2006
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
2003
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
2005
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
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.
1997
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
2008
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
1999
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
2001
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
2001
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
2009
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
2005
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
2002
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
2003
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
1998
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
2013
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
2009
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
2011
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
1999
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
2003
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
1999
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
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
2013
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
1998
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
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
2000
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
2011
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
2003
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
2006
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
2015
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
1997
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
1997
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
1998
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
2014
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2005
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
1997
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
2003
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
2005
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
2006
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
2006
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
2008
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
2007
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
2012
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
2000
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
1999
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
2006
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
2001
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
2004
Pricing double barrier options using Laplace transforms. Zbl 0940.91026
Pelsser, Antoon
2000
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
1998
On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep
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
2001
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
1998
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
2001
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
2001
Continuous-time term structure models: Forward measure approach. Zbl 0888.60037
Musiela, Marek; Rutkowski, Marek
1997
The rate of convergence of the binomial tree scheme. Zbl 1062.91027
Walsh, John B.
2003
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
2002
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
2003
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
2004
Optimal consumption with reference to past spending maximum. Zbl 07501279
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
2022
A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 07501282
Cohen, Asaf; Dolinsky, Yan
2022
Nonlinear expectations of random sets. Zbl 1461.91283
Molchanov, Ilya; Mühlemann, Anja
2021
Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317
Lépinette, Emmanuel; Molchanov, Ilya
2021
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
2021
Infinite-dimensional polynomial processes. Zbl 1461.91310
Cuchiero, Christa; Svaluto-Ferro, Sara
2021
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272
Bouchard, Bruno; Tan, Xiaolu
2021
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
2021
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356
Gonon, Lukas; Schwab, Christoph
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259
Chi, Yichun; Wei, Wei
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
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
2020
An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180
Weston, Kim; Žitković, Gordan
2020
The Riesz representation theorem and weak$$^\ast$$ compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2020
A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126
Tehranchi, Michael R.
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190
Albani, Vinicius V. L.; Zubelli, Jorge P.
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
2020
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060
Hambly, Ben; Søjmark, Andreas
2019
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
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
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
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
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
2019
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
2019
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
2019
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Zbl 1428.91016
Belak, Christoph; Sass, Jörn
2019
Dual utilities on risk aggregation under dependence uncertainty. Zbl 1426.91115
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu
2019
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. Zbl 1444.91216
Kühn, Christoph; Molitor, Alexander
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 07074033
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
2018
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789
Hou, Zhaoxu; Obłój, Jan
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
2018
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
2018
Time-consistent stopping under decreasing impatience. Zbl 1391.60086
2018
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
2018
Optimal liquidation under stochastic liquidity. Zbl 1391.91164
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
2018
Stability of Radner equilibria with respect to small frictions. Zbl 1416.91349
Herdegen, Martin; Muhle-Karbe, Johannes
2018
Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353
Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia
2018
An expansion in the model space in the context of utility maximization. Zbl 1396.91692
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
2018
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284
Beissner, Patrick; Riedel, Frank
2018
A risk-neutral equilibrium leading to uncertain volatility pricing. Zbl 1422.91716
Muhle-Karbe, Johannes; Nutz, Marcel
2018
Financial equilibrium with asymmetric information and random horizon. Zbl 1422.91799
Çetin, Umut
2018
Sensitivity analysis of long-term cash flows. Zbl 1416.91382
Park, Hyungbin
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2018
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Zbl 1396.91782
Keller-Ressel, Martin
2018
Explosion in the quasi-Gaussian HJM model. Zbl 1423.60123
Pirjol, Dan; Zhu, Lingjiong
2018
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Zbl 1416.91358
Pennanen, Teemu; Perkkiö, Ari-Pekka
2018
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Zbl 1416.60064
Brzeźniak, Zdzisław; Kok, Tayfun
2018
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
2017
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
2017
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
2017
Change of numeraire in the two-marginals martingale transport problem. Zbl 1369.91174
Campi, Luciano; Laachir, Ismail; Martini, Claude
2017
Pathwise superreplication via Vovk’s outer measure. Zbl 1391.91153
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin; Perkowski, Nicolas; Prömel, David J.
2017
Alpha-CIR model with branching processes in sovereign interest rate modeling. Zbl 1378.91123
Jiao, Ying; Ma, Chunhua; Scotti, Simone
2017
Optimal consumption and investment with Epstein-Zin recursive utility. Zbl 1352.93102
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas
2017
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
2017
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
2017
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
2017
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
2017
Equilibrium in risk-sharing games. Zbl 1416.91012
Anthropelos, Michail; Kardaras, Constantinos
2017
Hedging with small uncertainty aversion. Zbl 1360.91141
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, Frank Thomas
2017
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. Zbl 1352.93107
Xing, Hao
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 ...and 6,286 more Authors
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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 70 Advances in Applied Probability 65 Journal of Mathematical Analysis and Applications 65 Annals of Operations Research 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 51 Journal of Mathematical Economics 50 Journal of Optimization Theory and Applications 48 Methodology and Computing in Applied Probability 48 ASTIN Bulletin 48 Review of Derivatives Research 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 26 Operations Research 26 Journal of Theoretical Probability 25 International Journal of Computer Mathematics 25 Discrete Dynamics in Nature and Society 25 European Actuarial Journal 24 Journal of Economic Theory 24 Electronic Journal of Probability 23 Theory of Probability and its Applications 23 Computational Statistics and Data Analysis 23 Mathematical Control and Related Fields 22 Journal of Multivariate Analysis 21 Abstract and Applied Analysis 21 Statistics & Risk Modeling 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 16 The Annals of Statistics 16 Optimization 16 Journal of Systems Science and Complexity 15 Statistical Inference for Stochastic Processes 15 Electronic Journal of Statistics 15 International Journal of Stochastic Analysis 15 Dependence Modeling 14 Automatica 14 Mathematics and Computers in Simulation 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 ...and 350 more Journals
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### Cited in 53 Fields

 5,819 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3,870 Probability theory and stochastic processes (60-XX) 1,034 Statistics (62-XX) 1,005 Systems theory; control (93-XX) 700 Numerical analysis (65-XX) 541 Operations research, mathematical programming (90-XX) 519 Calculus of variations and optimal control; optimization (49-XX) 385 Partial differential equations (35-XX) 120 Functional analysis (46-XX) 88 Ordinary differential equations (34-XX) 77 Integral equations (45-XX) 56 Operator theory (47-XX) 53 Real functions (26-XX) 45 Approximations and expansions (41-XX) 41 Integral transforms, operational calculus (44-XX) 40 Computer science (68-XX) 31 Measure and integration (28-XX) 31 Harmonic analysis on Euclidean spaces (42-XX) 31 Biology and other natural sciences (92-XX) 30 Statistical mechanics, structure of matter (82-XX) 26 Dynamical systems and ergodic theory (37-XX) 22 Information and communication theory, circuits (94-XX) 21 Convex and discrete geometry (52-XX) 20 Global analysis, analysis on manifolds (58-XX) 17 Special functions (33-XX) 16 Difference and functional equations (39-XX) 10 Combinatorics (05-XX) 9 General and overarching topics; collections (00-XX) 9 Number theory (11-XX) 9 Fluid mechanics (76-XX) 7 Quantum theory (81-XX) 6 Mathematical logic and foundations (03-XX) 6 Topological groups, Lie groups (22-XX) 6 Functions of a complex variable (30-XX) 6 General topology (54-XX) 5 Linear and multilinear algebra; matrix theory (15-XX) 5 Mechanics of particles and systems (70-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Differential geometry (53-XX) 4 Mechanics of deformable solids (74-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Potential theory (31-XX) 3 Sequences, series, summability (40-XX) 3 Abstract harmonic analysis (43-XX) 3 Optics, electromagnetic theory (78-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Relativity and gravitational theory (83-XX) 2 Mathematics education (97-XX) 1 Nonassociative rings and algebras (17-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) 1 Manifolds and cell complexes (57-XX)