Mathematical FinanceAn International Journal of Mathematics, Statistics and Financial Economics Short Title: Math. Finance Publisher: Wiley (Wiley-Blackwell), Hoboken, NJ ISSN: 0960-1627; 1467-9965/e Online: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965/issues Comments: Indexed cover-to-cover Documents Indexed: 800 Publications (since 1991) References Indexed: 598 Publications with 16,161 References. all top 5 Latest Issues 30, No. 4 (2020) 30, No. 3 (2020) 30, No. 2 (2020) 30, No. 1 (2020) 29, No. 4 (2019) 29, No. 3 (2019) 29, No. 2 (2019) 29, No. 1 (2019) 28, No. 4 (2018) 28, No. 3 (2018) 28, No. 2 (2018) 28, No. 1 (2018) 27, No. 4 (2017) 27, No. 3 (2017) 27, No. 1 (2017) 26, No. 4 (2016) 26, No. 3 (2016) 26, No. 2 (2016) 26, No. 1 (2016) 25, No. 4 (2015) 25, No. 3 (2015) 25, No. 2 (2015) 25, No. 1 (2015) 24, No. 4 (2014) 24, No. 3 (2014) 24, No. 2 (2014) 24, No. 1 (2014) 23, No. 4 (2013) 23, No. 3 (2013) 23, No. 2 (2013) 23, No. 1 (2013) 22, No. 4 (2012) 22, No. 3 (2012) 22, No. 2 (2012) 22, No. 1 (2012) 21, No. 4 (2011) 21, No. 3 (2011) 21, No. 2 (2011) 21, No. 1 (2011) 20, No. 4 (2010) 20, No. 3 (2010) 20, No. 2 (2010) 20, No. 1 (2010) 19, No. 4 (2009) 19, No. 3 (2009) 19, No. 2 (2009) 19, No. 1 (2009) 18, No. 4 (2008) 18, No. 3 (2008) 18, No. 2 (2008) 18, No. 1 (2008) 17, No. 4 (2007) 17, No. 3 (2007) 17, No. 2 (2007) 17, No. 1 (2007) 16, No. 4 (2006) 16, No. 3 (2006) 16, No. 2 (2006) 16, No. 1 (2006) 15, No. 4 (2005) 15, No. 3 (2005) 15, No. 2 (2005) 15, No. 1 (2005) 14, No. 4 (2004) 14, No. 3 (2004) 14, No. 2 (2004) 14, No. 1 (2004) 13, No. 4 (2003) 13, No. 3 (2003) 13, No. 2 (2003) 13, No. 1 (2003) 12, No. 4 (2002) 12, No. 3 (2002) 12, No. 2 (2002) 12, No. 1 (2002) 11, No. 4 (2001) 11, No. 3 (2001) 11, No. 2 (2001) 11, No. 1 (2001) 10, No. 4 (2000) 10, No. 3 (2000) 10, No. 2 (2000) 10, No. 1 (2000) 9, No. 4 (1999) 9, No. 3 (1999) 9, No. 2 (1999) 9, No. 1 (1999) 8, No. 4 (1998) 8, No. 3 (1998) 8, No. 2 (1998) 8, No. 1 (1998) 7, No. 4 (1997) 7, No. 3 (1997) 7, No. 2 (1997) 7, No. 1 (1997) 6, No. 4 (1996) 6, No. 3 (1996) 6, No. 2 (1996) 6, No. 1 (1996) 5, No. 4 (1995) ...and 17 more Volumes all top 5 Authors 15 Jarrow, Robert Alan 14 Schachermayer, Walter 13 Filipović, Damir 13 Madan, Dilip B. 13 Zhou, Xunyu 12 Guasoni, Paolo 11 Rogers, L. C. G. 10 Delbaen, Freddy 10 Platen, Eckhard 10 Yor, Marc 9 Capponi, Agostino 9 Hobson, David G. 9 Muhle-Karbe, Johannes 9 Schweizer, Martin 9 Touzi, Nizar 8 Cont, Rama 8 Glasserman, Paul 8 Kardaras, Constantinos 8 Linetsky, Vadim 7 Bayraktar, Erhan 7 Carr, Peter P. 7 Dai, Min 7 Elliott, Robert James 7 Frittelli, Marco 7 Jin, Hanqing 7 Kallsen, Jan 6 Černý, Aleš 6 Eberlein, Ernst W. 6 Jaimungal, Sebastian 6 Pham, Huyên 6 Rutkowski, Marek 5 Bender, Christian 5 Bielecki, Tomasz R. 5 Björk, Tomas 5 Cadenillas, Abel 5 El Karoui, Nicole 5 Frey, Rüdiger 5 Geman, Hélyette 5 He, Xuedong 5 Henderson, Vicky 5 Jeanblanc, Monique 5 Kabanov, Yuriĭ Mikhaĭlovich 5 Kwok, Yue-Kuen 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Nutz, Marcel 5 Protter, Philip Elliott 5 Runggaldier, Wolfgang J. 5 Sircar, Ronnie 5 Stricker, Christophe 5 Taksar, Michael I. 5 Teichmann, Josef 5 Xia, Jianming 5 Zariphopoulou, Thaleia 4 Bensoussan, Alain 4 Biagini, Francesca 4 Biagini, Sara 4 Choulli, Tahir 4 Detemple, Jerome B. 4 Fouque, Jean-Pierre 4 Heath, David C. 4 Jouini, Elyès 4 Klein, Irene 4 Korn, Ralf 4 Larsson, Martin 4 Li, Duan 4 Lorig, Matthew J. 4 Obloj, Jan K. 4 Robertson, Scott 4 Schöneborn, Torsten 4 Sethi, Suresh P. 4 Shreve, Steven E. 4 Soner, Halil Mete 4 Xing, Hao 4 Xu, Zuoquan 4 Zapatero, Fernando 4 Žitković, Gordan 3 Aase, Knut Kristian 3 Artzner, Philippe 3 Benth, Fred Espen 3 Bermin, Hans-Peter 3 Bichuch, Maxim 3 Bouchard, Bruno 3 Brigo, Damiano 3 Carassus, Laurence 3 Cartea, Álvaro 3 Crepey, Stephane 3 Dana, Rose-Anne 3 Dolinsky, Yan 3 Duan, Jin-Chuan 3 Duffie, James Darrell 3 Figueroa-López, José E. 3 Friz, Peter Karl 3 Giesecke, Kay 3 Gobet, Emmanuel 3 Gourieroux, Christian 3 Jacka, Saul D. 3 Jamshidian, Farshid 3 Karatzas, Ioannis 3 Keller-Ressel, Martin 3 Kennedy, Douglas P. ...and 877 more Authors all top 5 Fields 797 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 274 Probability theory and stochastic processes (60-XX) 63 Systems theory; control (93-XX) 43 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 27 Numerical analysis (65-XX) 15 Partial differential equations (35-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 4 Special functions (33-XX) 4 Functional analysis (46-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Integral equations (45-XX) 2 General and overarching topics; collections (00-XX) 2 Combinatorics (05-XX) 2 Real functions (26-XX) 2 Operator theory (47-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 737 Publications have been cited 17,296 times in 9,984 Documents Cited by ▼ Year ▼ Coherent measures of risk. Zbl 0980.91042Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David 1,502 1999 Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 872 1997 Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027Li, Duan; Ng, Wan-Lung 293 2000 A yield-factor model of interest rates. Zbl 0915.90014Duffie, Darrell; Kan, Rui 259 1996 Stochastic volatility for Lévy processes. Zbl 1092.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 217 2003 The market model of interest rate dynamics. Zbl 0884.90008Brace, Alan; Gątarek, Dariusz; Musiela, Marek 164 1997 Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu 159 2014 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029Geman, Hélyette; Yor, Marc 147 1993 Long memory in continuous-time stochastic volatility models. Zbl 1020.91021Comte, Fabienne; Renault, Eric 142 1998 Optimal stopping and the American put. Zbl 0900.90109Jacka, S. D. 132 1991 Exponential hedging and entropic penalties. Zbl 1072.91019Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 127 2002 The GARCH option pricing model. Zbl 0866.90031Duan, Jin-Chuan 124 1995 Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu 122 2005 Arbitrage with fractional Brownian motion. Zbl 0884.90045Rogers, L. C. G. 121 1997 Alternative characterizations of American put options. Zbl 0900.90004Carr, Peter; Jarrow, Robert; Myneni, Ravi 118 1992 Monte Carlo valuation of American options. Zbl 1029.91036Rogers, L. C. G. 114 2002 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 111 2000 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 104 1998 Option pricing with V. G. martingale components. Zbl 0900.90105Madan, Dilip B.; Milne, Frank 103 1991 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046Schachermayer, Walter 102 2004 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007Cvitanić, Jakša; Karatzas, Ioannis 98 1996 Bond market structure in the presence of marked point processes. Zbl 0884.90014Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang 97 1997 Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052Højgaard, Bjarne; Taksar, Michael 97 1999 Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016Azcue, Pablo; Muler, Nora 94 2005 Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020Nicolato, Elisa; Venardos, Emmanouil 86 2003 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360Jouini, E.; Schachermayer, W.; Touzi, N. 84 2008 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 82 1998 Universal portfolios. Zbl 0900.90052Cover, Thomas M. 82 1991 Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072Henderson, Vicky 82 2002 An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116Ben-Tal, Aharon; Teboulle, Marc 81 2007 A continuity correction for discrete barrier options. Zbl 1020.91020Broadie, Mark; Glasserman, Paul; Kou, Steven 80 1997 The moment formula for implied volatility at extreme strikes. Zbl 1134.91443Lee, Robert W. 80 2004 A general fractional white noise theory and applications to finance. Zbl 1069.91047Elliott, Robert J.; van der Hoek, John 80 2003 Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413Cont, Rama 80 2006 Term structure models driven by general Lévy processes. Zbl 0980.91020Eberlein, Ernst; Raible, Sebastian 79 1999 Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040Bank, Peter; Baum, Dietmar 77 2004 The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026Frittelli, Marco 75 2000 Behavioral portfolio selection in continuous time. Zbl 1141.91454Jin, Hanqing; Zhou, Xun Yu 75 2008 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 74 2000 Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054Taylor, Stephen J. 74 1994 Dynamic indifference valuation via convex risk measures. Zbl 1138.91502Klöppel, Susanne; Schweizer, Martin 73 2007 Risk measures on Orlitz hearts. Zbl 1168.91409Cheridito, Patrick; Li, Tianhui 73 2009 Derivative asset pricing with transaction costs. Zbl 0900.90100Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José 70 1992 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499Carmona, René; Touzi, Nizar 70 2008 An axiomatic approach to capital allocation. Zbl 1102.91049Kalkbrener, Michael 68 2005 Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. Zbl 1020.91030Scott, Louis O. 66 1997 Pricing options with curved boundaries. Zbl 0900.90098Kunitomo, Naoto; Ikeda, Masayuki 64 1992 Optimal investment strategies for controlling drawdowns. Zbl 0884.90031Grossman, Sanford J.; Zhou, Zhongquan 64 1993 Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023Frey, Rüdiger; Stremme, Alexander 62 1997 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 62 2001 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438Feng, Liming; Linetsky, Vadim 62 2008 Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028Renault, Eric; Touzi, Nizar 61 1996 An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019Whalley, A. E.; Wilmott, P. 61 1997 Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037Weber, Stefan 61 2006 The range of traded option prices. Zbl 1278.91158Davis, Mark H. A.; Hobson, David G. 61 2007 On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041Heston, Steve; Zhou, Guofu 60 2000 On the American option problem. Zbl 1109.91028Peskir, Goran 60 2005 On the existence of minimax martingale measures. Zbl 1014.91031Bellini, Fabio; Frittelli, Marco 60 2002 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016Geman, Hélyette; Yor, Marc 58 1996 Optimal portfolio management with fixed transaction costs. Zbl 0866.90020Morton, Andrew J.; Pliska, Stanley R. 58 1995 Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052Dai, Min; Kwok, Yue Kuen; Zong, Jianping 58 2008 No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421Guasoni, Paolo 58 2006 Pricing of American path-dependent contingent claims. Zbl 0919.90005Barraquand, Jérôme; Pudet, Thierry 57 1996 Asymptotics of implied volatility in local volatility models. Zbl 1270.91093Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho 57 2012 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023Bally, Vlad; Pagès, Gilles; Printems, Jacques 57 2005 Risk measure and capital requirements for processes. Zbl 1130.91030Frittelli, Marco; Scandolo, Giacomo 57 2006 Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Zbl 1136.91473Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; Zhang, Lei 56 2006 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. 56 2016 Mean-variance hedging and numéraire. Zbl 1020.91024Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên 55 1998 Time changes for Lévy processes. Zbl 0983.60082Geman, Hélyette; Madan, Dilip B.; Yor, Marc 54 2001 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 54 1999 Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032Jouini, Elyès; Kallal, Hédi 53 1995 Coherence and elicitability. Zbl 1390.91336Ziegel, Johanna F. 53 2016 Robust bounds for forward start options. Zbl 1278.91162Hobson, David; Neuberger, Anthony 52 2012 Self-decomposability and option pricing. Zbl 1278.91157Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 52 2007 Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501Romano, Marc; Touzi, Nizar 51 1997 The valuation of American options on multiple assets. Zbl 0882.90005Broadie, Mark; Detemple, Jérôme 51 1997 Asset price bubbles in incomplete markets. Zbl 1205.91069Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 51 2010 The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023Kunitomo, Naoto; Takahashi, Akihiko 49 2001 Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang 48 2012 The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046Rogers, L. C. G. 47 1997 Laguerre series for Asian and other options. Zbl 1014.91040Dufresne, Daniel 46 2000 Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400Sotomayor, Luz Rocío; Cadenillas, Abel 46 2009 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034Kabanov, Yuri M.; Stricker, Christophe 44 2002 Coherent acceptability measures in multiperiod models. Zbl 1107.91059Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob 44 2005 Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023Ritchken, Peter; Sankarasubramanian, L. 44 1995 Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372Meinshausen, N.; Hambly, B. M. 44 2004 Correlated defaults in intensity-based models. Zbl 1186.91237Yu, Fan 44 2007 Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135Keller-Ressel, Martin 44 2011 Valuations and dynamic convex risk measures. Zbl 1138.91501Jobert, A.; Rogers, L. C. G. 44 2008 Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030Koo, Hyeng Keun 43 1998 Critical stock price near expiration. Zbl 0866.90029Barles, Guy; Burdeau, Julien; Romano, Marc; Samsœn, Nicolas 43 1995 Interest rate dynamics and consistent forward rate curves. Zbl 0980.91030Björk, Tomas; Christensen, Bent Jesper 43 1999 Optimal portfolios with bounded capital at risk. Zbl 1038.91044Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf 43 2001 A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058Heath, David; Platen, Eckhard; Schweizer, Martin 43 2001 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 43 2009 A representation result for concave Schur concave functions. Zbl 1142.28001Dana, Rose-Anne 42 2005 Risk-sensitive control and an optimal investment model. Zbl 1039.93069Fleming, W. H.; Sheu, S. J. 42 2000 Default risk insurance and incomplete markets. Zbl 0866.90047Artzner, Philippe; Delbaen, Freddy 42 1995 From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046Duffie, Darrell; Protter, Philip 42 1992 General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 07200959Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu 8 2020 Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 07200954Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana 5 2020 Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 07200958Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic 3 2020 Nonlinear price impact and portfolio choice. Zbl 07200938Guasoni, Paolo; Weber, Marko Hans 2 2020 Shortfall aversion. Zbl 07326771Guasoni, Paolo; Huberman, Gur; Ren, Dan 2 2020 Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 07326777Huang, Yu-jui; Zhou, Zhou 2 2020 Robust risk aggregation with neural networks. Zbl 07326783Eckstein, Stephan; Kupper, Michael; Pohl, Mathias 2 2020 No-arbitrage implies power-law market impact and rough volatility. Zbl 07326785Jusselin, Paul; Rosenbaum, Mathieu 2 2020 Risk functionals with convex level sets. Zbl 07326786Wang, Ruodu; Wei, Yunran 2 2020 Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 07326791Dassios, Angelos; Lim, Jia Wei; Qu, Yan 2 2020 Consistency of option prices under bid-ask spreads. Zbl 07200939Gerhold, Stefan; Gülüm, Ismail Cetin 1 2020 Option pricing with orthogonal polynomial expansions. Zbl 07200951Ackerer, Damien; Filipović, Damir 1 2020 Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 07200953Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo 1 2020 Optimal dividend policies with random profitability. Zbl 07200956Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 1 2020 Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 07200957Burzoni, Matteo; Šikić, Mario 1 2020 Distress and default contagion in financial networks. Zbl 07326767Veraart, Luitgard Anna Maria 1 2020 Robust XVA. Zbl 07326768Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 1 2020 A regularity structure for rough volatility. Zbl 07326769Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 1 2020 Static and semistatic hedging as contrarian or conformist bets. Zbl 07326772Boyarchenko, Svetlana; Levendorskiĭ, Sergei 1 2020 Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 07326775Liang, Zongxia; Ma, Ming 1 2020 Dynamically consistent alpha-maxmin expected utility. Zbl 07326776Beissner, Patrick; Lin, Qian; Riedel, Frank 1 2020 Network valuation in financial systems. Zbl 07326781Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano 1 2020 Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 07326784Wang, Haoran; Zhou, Xun Yu 1 2020 Asset pricing with heterogeneous beliefs and illiquidity. Zbl 07326788Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei 1 2020 The characteristic function of rough Heston models. Zbl 1411.91553El Euch, Omar; Rosenbaum, Mathieu 29 2019 A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo 19 2019 Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567Kirkby, Justin Lars; Deng, Shijie 13 2019 Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511Ismail, Amine; Pham, Huyên 9 2019 The robust pricing-hedging duality for American options in discrete time financial markets. Zbl 1432.91116Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu 9 2019 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 6 2019 Affine multiple yield curve models. Zbl 1411.91589Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro 6 2019 Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao 6 2019 Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556Garnier, Josselin; Sølna, Knut 4 2019 Optimal portfolio under fractional stochastic environment. Zbl 1426.91245Fouque, Jean-pierre; Hu, Ruimeng 4 2019 Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158Lacker, Daniel; Zariphopoulou, Thaleia 4 2019 Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu 3 2019 Who should sell stocks? Zbl 1411.91502Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes 3 2019 Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu 3 2019 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 07140544Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 3 2019 Backward SDEs for control with partial information. Zbl 1458.91196Papanicolaou, Andrew 2 2019 The limits of leverage. Zbl 1411.91503Guasoni, Paolo; Mayerhofer, Eberhard 2 2019 Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Zbl 1411.91506Herdegen, Martin; Herrmann, Sebastian 2 2019 Realization utility with adaptive reference points. Zbl 1411.91507He, Xuedong; Yang, Linan 2 2019 Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail 2 2019 Trading co-integrated assets with price impact. Zbl 1411.91487Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian 2 2019 Trading algorithms with learning in latent alpha models. Zbl 1426.91241Casgrain, Philippe; Jaimungal, Sebastian 2 2019 The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano 2 2019 Financial models with defaultable numéraires. Zbl 1411.91597Fisher, Travis; Pulido, Sergio; Ruf, Johannes 1 2019 Optimal consumption and investment under transaction costs. Zbl 1411.91508Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038Filipović, Damir; Larsson, Martin; Trolle, Anders B. 1 2019 Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu 1 2019 Robust utility maximization with Lévy processes. Zbl 1403.91321Neufeld, Ariel; Nutz, Marcel 16 2018 Profit sharing in hedge funds. Zbl 1403.91312He, Xue Dong; Kou, Steven 12 2018 Arbitrage-free XVA. Zbl 1390.91276Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 12 2018 Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361Gehmlich, Frank; Schmidt, Thorsten 10 2018 On the C-property and \(w^*\)-representations of risk measures. Zbl 1390.91334Gao, Niushan; Xanthos, Foivos 10 2018 Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626Li, Lingfei; Zhang, Gongqiu 9 2018 Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188Cai, Jun; Liu, Haiyan; Wang, Ruodu 9 2018 Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354Zanger, Daniel Z. 7 2018 Consistent recalibration of yield curve models. Zbl 1411.91622Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V. 6 2018 Option pricing in the moderate deviations regime. Zbl 1411.91554Friz, Peter; Gerhold, Stefan; Pinter, Arpad 6 2018 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 5 2018 Bounding wrong-way risk in CVA calculation. Zbl 1403.91362Glasserman, Paul; Yang, Linan 5 2018 Indifference prices and implied volatilities. Zbl 1403.91347Lorig, Matthew 5 2018 Conic martingales from stochastic integrals. Zbl 1390.60161Jeanblanc, Monique; Vrins, Frédéric 5 2018 On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297Detemple, Jérôme; Kitapbayev, Yerkin 5 2018 Risk management with weighted VaR. Zbl 1417.91484Wei, Pengyu 4 2018 Social discounting and the long rate of interest. Zbl 1403.91355Brody, Dorje C.; Hughston, Lane P. 4 2018 Super-replication in fully incomplete markets. Zbl 1390.91298Dolinsky, Yan; Neufeld, Ariel 4 2018 Fair bilateral pricing under funding costs and exogenous collateralization. Zbl 1390.91284Nie, Tianyang; Rutkowski, Marek 4 2018 Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470Matoussi, Anis; Xing, Hao 3 2018 Semi-efficient valuations and put-call parity. Zbl 1417.91503Herdegen, Martin; Schweizer, Martin 3 2018 International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308Cai, Ning; Yang, Xuewei 3 2018 Liquidity effects of trading frequency. Zbl 1411.91501Gayduk, Roman; Nadtochiy, Sergey 2 2018 Utility maximization in a large market. Zbl 1403.91320Mostovyi, Oleksii 2 2018 Investing with liquid and illiquid assets. Zbl 1403.91306Bichuch, Maxim; Guasoni, Paolo 2 2018 Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364Jiao, Ying; Li, Shanqiu 2 2018 Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283Melnyk, Yaroslav; Seifried, Frank Thomas 2 2018 Optimal cash holdings under heterogeneous beliefs. Zbl 1390.91319Jarrow, Robert; Krishenik, Andrey; Minca, Andreea 2 2018 The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506Klimsiak, Tomasz; Rozkosz, Andrzej 1 2018 The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555Ibáñez, Alfredo; Velasco, Carlos 1 2018 Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544Bompis, R.; Gobet, E. 1 2018 Optimal liquidation and adverse selection in dark pools. Zbl 1403.91314Kratz, Peter; Schöneborn, Torsten 1 2018 Indifference pricing for contingent claims: large deviations effects. Zbl 1403.91324Robertson, Scott; Spiliopoulos, Konstantinos 1 2018 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299Ewald, Christian-oliver; Yor, Marc 1 2018 Robust fundamental theorem for continuous processes. Zbl 1411.91543Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; Nutz, Marcel 30 2017 Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia 25 2017 Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea 20 2017 The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006Kallsen, Jan; Muhle-Karbe, Johannes 19 2017 On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541Bayraktar, Erhan; Zhou, Zhou 17 2017 The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Zbl 1411.91427Grasselli, Martino 16 2017 A primal-dual algorithm for BSDEs. Zbl 1423.91008Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia 12 2017 On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432Bernard, Carole; Cui, Zhenyu; McLeish, Don 11 2017 Density of skew Brownian motion and its functionals with application in finance. Zbl 1411.91555Gairat, Alexander; Shcherbakov, Vadim 11 2017 A state-constrained differential game arising in optimal portfolio liquidation. Zbl 1397.91561Schied, Alexander; Zhang, Tao 9 2017 Optimal investment with intermediate consumption and random endowment. Zbl 1391.91149Mostovyi, Oleksii 8 2017 Shadow prices for continuous processes. Zbl 1396.91684Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian 8 2017 Option pricing and hedging with execution costs and market impact. Zbl 1380.91130Guéant, Olivier; Pu, Jiang 7 2017 The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard 4 2017 Real options with competition and regime switching. Zbl 1414.91403Bensoussan, Alain; Hoe, Singru; Yan, Zhongfeng; Yin, George 4 2017 ...and 637 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 8,779 Authors 76 Siu, Tak Kuen 60 Madan, Dilip B. 53 Elliott, Robert James 47 Touzi, Nizar 46 Bayraktar, Erhan 43 Wu, Zhen 41 Zhu, Songping 40 Platen, Eckhard 40 Wong, Hoi Ying 40 Yang, Hailiang 38 Young, Virginia R. 36 Li, Zhongfei 35 Forsyth, Peter A. 34 Jeanblanc, Monique 33 Filipović, Damir 33 Muhle-Karbe, Johannes 32 Jarrow, Robert Alan 32 Rásonyi, Miklós 32 Schachermayer, Walter 32 Schoutens, Wim 31 Soner, Halil Mete 30 Hu, Ying 30 Peng, Shige 30 Pham, Huyên 29 Kupper, Michael 29 Li, Duan 27 Bo, Lijun 27 Eberlein, Ernst W. 27 Jaimungal, Sebastian 27 Levendorskiĭ, Sergeĭ Zakharovich 27 Pascucci, Andrea 27 Rutkowski, Marek 27 Yong, Jiongmin 27 Zeng, Yan 26 Benth, Fred Espen 25 Biagini, Francesca 25 Chiarella, Carl 25 Hu, Yijun 25 Jin, Zhuo 25 Obloj, Jan K. 25 Øksendal, Bernt Karsten 25 Oosterlee, Cornelis Willebrordus 25 Rachev, Svetlozar T. 25 Shen, Yang 25 Wang, Ruodu 24 Bender, Christian 24 Bielecki, Tomasz R. 24 Bouchard, Bruno 24 Guasoni, Paolo 24 Jacquier, Antoine 24 Joshi, Mark S. 24 Leung, Tim 24 Schied, Alexander 24 Takahashi, Akihiko 23 Chen, Zhiping 23 Delbaen, Freddy 23 Fabozzi, Frank J. 23 Hobson, David G. 23 Kallsen, Jan 23 Li, Xun 23 Pagès, Gilles 23 Tan, Ken Seng 23 Xiong, Dewen 23 Yor, Marc 22 Cheridito, Patrick 22 Crepey, Stephane 22 Cui, Zhenyu 22 Dai, Min 22 Dolinsky, Yan 22 Ji, Shaolin 22 Protter, Philip Elliott 22 Rüschendorf, Ludger 22 Schoenmakers, John G. 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