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Mathematical Finance

An 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: https://onlinelibrary.wiley.com/loi/14679965
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 926 Publications (since 1991)
References Indexed: 722 Publications with 21,909 References.
all top 5

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...and 31 more Volumes
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Authors

19 Zhou, Xunyu
16 Jarrow, Robert Alan
15 Schachermayer, Walter
14 Filipović, Damir
13 Guasoni, Paolo
13 Madan, Dilip B.
13 Muhle-Karbe, Johannes
12 Cont, Rama
11 Delbaen, Freddy
11 Rogers, L. C. G.
10 Bayraktar, Erhan
10 Dai, Min
10 Hobson, David Graham
10 Platen, Eckhard
10 Touzi, Nizar
10 Yor, Marc
9 Capponi, Agostino
9 Schweizer, Martin
8 Carr, Peter Paul
8 Glasserman, Paul
8 Jaimungal, Sebastian
8 Jin, Hanqing
8 Kardaras, Constantinos
8 Linetsky, Vadim
8 Pham, Huyên
7 Elliott, Robert James
7 Frittelli, Marco
7 Kallsen, Jan
7 Zariphopoulou, Thaleia
6 Černý, Aleš
6 Eberlein, Ernst W.
6 He, Xuedong
6 Kwok, Yue-Kuen
6 Larsson, Martin
6 Nutz, Marcel
6 Obloj, Jan K.
6 Rutkowski, Marek
5 Bender, Christian
5 Bensoussan, Alain
5 Biagini, Francesca
5 Biagini, Sara
5 Bielecki, Tomasz R.
5 Björk, Tomas
5 Cadenillas, Abel
5 El Karoui, Nicole
5 Fouque, Jean-Pierre
5 Frey, Rüdiger
5 Friz, Peter
5 Fukasawa, Masaaki
5 Geman, Hélyette
5 Henderson, Vicky
5 Jeanblanc, Monique
5 Kabanov, Yuriĭ Mikhaĭlovich
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Li, Duan
5 Lorig, Matthew J.
5 Minca, Andreea
5 Protter, Philip Elliott
5 Robertson, Scott
5 Runggaldier, Wolfgang J.
5 Sircar, Ronnie
5 Soner, Halil Mete
5 Stricker, Christophe
5 Taksar, Michael I.
5 Teichmann, Josef
5 Wang, Ruodu
5 Xia, Jianming
4 Acciaio, Beatrice
4 Bichuch, Maxim
4 Brigo, Damiano
4 Carassus, Laurence
4 Chen, Xinfu
4 Choulli, Tahir
4 Crepey, Stephane
4 Cuchiero, Christa
4 Davis, Mark Herbert Ainsworth
4 Detemple, Jerome B.
4 Ekren, Ibrahim
4 Gourieroux, Christian
4 Guéant, Olivier
4 Heath, David C.
4 Herdegen, Martin
4 Huang, Yu-Jui
4 Jouini, Elyès
4 Karatzas, Ioannis
4 Klein, Irene
4 Korn, Ralf
4 Nadtochiy, Sergey
4 Rásonyi, Miklós
4 Ritchken, Peter H.
4 Rosenbaum, Mathieu
4 Schmidt, Thorsten
4 Schöneborn, Torsten
4 Seifried, Frank Thomas
4 Sethi, Suresh P.
4 Shreve, Steven E.
4 Spiliopoulos, Konstantinos V.
4 Xing, Hao
4 Xu, Zuoquan
4 Zapatero, Fernando
...and 1,070 more Authors

Publications by Year

Citations contained in zbMATH Open

828 Publications have been cited 22,134 times in 12,605 Documents Cited by Year
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
1997
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
380
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
284
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
264
2003
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
242
2014
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
204
1998
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
178
1997
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
170
1993
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
166
1997
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
153
1995
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
147
2005
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
146
1991
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
145
2002
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
140
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
137
2000
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
134
1992
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
123
2005
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
116
1991
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
115
1991
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
114
1998
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
114
1999
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
113
2007
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
110
1996
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
110
2004
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
109
1997
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
105
2008
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
102
2008
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
101
2003
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
99
1994
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
98
1998
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
96
2019
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
95
2006
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
95
2003
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
93
2002
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
92
2009
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
92
2004
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
92
2016
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
91
1997
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
90
1999
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
90
2004
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
87
2008
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
87
2006
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
86
2000
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
85
1993
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
85
2000
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
84
2005
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
82
2007
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
81
1992
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
80
2007
Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. Zbl 1020.91030
Scott, Louis O.
77
1997
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.
77
2016
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
76
1992
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
75
2005
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
74
2007
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
73
2006
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
73
2006
On the American option problem. Zbl 1109.91028
Peskir, Goran
73
2005
Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Zbl 1136.91473
Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; Zhang, Lei
71
2006
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
71
2008
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
71
2008
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
70
1996
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
70
2012
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
69
1997
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
68
2012
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
67
1997
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
67
2001
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
67
1996
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
67
1995
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
66
2000
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
66
2012
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
65
1999
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
65
2010
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
65
2002
Portfolio choice via quantiles. Zbl 1229.91291
He, Xue Dong; Zhou, Xun Yu
64
2011
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
64
2001
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
62
1997
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
62
1996
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
61
1997
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
60
2001
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
Sotomayor, Luz Rocío; Cadenillas, Abel
59
2009
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
59
1995
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
58
1998
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
58
2015
Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208
Crépey, Stéphane
57
2015
Risk-sensitive control and an optimal investment model. Zbl 1039.93069
Fleming, W. H.; Sheu, S. J.
55
2000
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
55
2000
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
55
2009
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
55
2015
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
54
2011
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
53
1995
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
53
2016
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
52
2014
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
51
2008
Disutility, optimal retirement, and portfolio selection. Zbl 1145.91343
Choi, Kyoung Jin; Shim, Gyoocheol
51
2006
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
50
2007
Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Zbl 1141.91428
Choi, Kyoung Jin; Shim, Gyoocheol; Shin, Yong Hyun
50
2008
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
50
2002
A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115
Zhu, Song-Ping; Lian, Guang-Hua
49
2011
Interest rate dynamics and consistent forward rate curves. Zbl 0980.91030
Björk, Tomas; Christensen, Bent Jesper
49
1999
Effective algorithms for optimal portfolio deleveraging problem with cross impact. Zbl 07790867
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian
1
2024
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. Zbl 07790870
Lei, Qian; Pun, Chi Seng
1
2024
Algorithmic market making in dealer markets with hedging and market impact. Zbl 1522.91237
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier
4
2023
Preference robust distortion risk measure and its application. Zbl 1522.91322
Wang, Wei; Xu, Huifu
2
2023
Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. Zbl 07797366
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou
2
2023
Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312
Reppen, Anders Max; Soner, Halil Mete
1
2023
Neural network approximation for superhedging prices. Zbl 1522.91263
Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas
1
2023
Reverse stress testing: scenario design for macroprudential stress tests. Zbl 1522.91296
Baes, Michel; Schaanning, Eric
1
2023
A model-free approach to continuous-time finance. Zbl 1522.91213
Chiu, Henry; Cont, Rama
1
2023
Pathwise CVA regressions with oversimulated defaults. Zbl 1522.91253
Abbas-Turki, Lokman A.; Crépey, Stéphane; Saadeddine, Bouazza
1
2023
Recent advances in reinforcement learning in finance. Zbl 07797359
Hambly, Ben; Xu, Renyuan; Yang, Huining
1
2023
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233
Pham, Huyên; Wei, Xiaoli; Zhou, Chao
6
2022
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca
6
2022
A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets. Zbl 1522.91176
Shrivats, Arvind V.; Firoozi, Dena; Jaimungal, Sebastian
5
2022
Calibration of local-stochastic volatility models by optimal transport. Zbl 1522.91274
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi
4
2022
Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. Zbl 1522.91271
Ekren, Ibrahim; Nadtochiy, Sergey
3
2022
Mean-\( \rho\) portfolio selection and \(\rho \)-arbitrage for coherent risk measures. Zbl 1522.91223
Herdegen, Martin; Khan, Nazem
3
2022
Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Zbl 1522.91226
Itkin, David; Larsson, Martin
2
2022
The Laplace transform of the integrated Volterra Wishart process. Zbl 1522.91254
Abi Jaber, Eduardo
2
2022
Optimal dividend payout under stochastic discounting. Zbl 1522.91305
Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; Gozzi, Fausto
2
2022
Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
2
2022
The American put with finite-time maturity and stochastic interest rate. Zbl 1522.91265
Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan
2
2022
A simple microstructural explanation of the concavity of price impact. Zbl 1522.91248
Nadtochiy, Sergey
1
2022
Protecting pegged currency markets from speculative investors. Zbl 1522.91163
Neuman, Eyal; Schied, Alexander
1
2022
Optimal investment for retail investors. Zbl 1522.91206
Belak, Christoph; Mich, Lukas; Seifried, Frank T.
1
2022
When does portfolio compression reduce systemic risk? Zbl 07743077
Veraart, Luitgard Anna Maria
1
2022
Inter-temporal mutual-fund management. Zbl 1522.91208
Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip
1
2022
Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 07743087
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós
1
2022
Asymptotic analysis of long-term investment with two illiquid and correlated assets. Zbl 1522.91212
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong
1
2022
Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
12
2021
Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170
Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan
8
2021
Forward rank-dependent performance criteria: time-consistent investment under probability distortion. Zbl 1522.91224
He, Xue Dong; Strub, Moris S.; Zariphopoulou, Thaleia
8
2021
Optimal stopping under model ambiguity: a time-consistent equilibrium approach. Zbl 07743026
Huang, Yu-Jui; Yu, Xiang
8
2021
Optimal make-take fees for market making regulation. Zbl 1522.91242
El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar
7
2021
Size matters for OTC market makers: general results and dimensionality reduction techniques. Zbl 1522.91238
Bergault, Philippe; Guéant, Olivier
7
2021
The alpha-Heston stochastic volatility model. Zbl 1522.91278
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7
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Sharing the value-at-risk under distributional ambiguity. Zbl 1522.91317
Chen, Zhi; Xie, Weijun
6
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Weak transport for non-convex costs and model-independence in a fixed-income market. Zbl 1522.91255
Acciaio, Beatrice; Beiglböck, Mathias; Pammer, Gudmund
5
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Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. Zbl 1522.91243
Forde, Martin; Gerhold, Stefan; Smith, Benjamin
4
2021
Asset pricing with general transaction costs: theory and numerics. Zbl 1521.91366
Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei
4
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Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282
Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi
4
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Intra-horizon expected shortfall and risk structure in models with jumps. Zbl 1522.91319
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola
4
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Risk-sensitive benchmarked asset management with expert forecasts. Zbl 1522.91216
Davis, Mark H. A.; Lleo, Sébastien
4
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An elementary approach to the Merton problem. Zbl 1522.91222
Herdegen, Martin; Hobson, David; Jerome, Joseph
4
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Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. Zbl 1522.91231
Obłój, Jan; Wiesel, Johannes
4
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On utility maximization under model uncertainty in discrete-time markets. Zbl 1522.91234
Rásonyi, Miklós; Meireles-Rodrigues, Andrea
3
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Markov chains under nonlinear expectation. Zbl 1522.91281
Nendel, Max
3
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Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Zbl 07743016
Chen, Lv; Landriault, David; Li, Bin; Li, Danping
3
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Open markets. Zbl 1522.91227
Karatzas, Ioannis; Kim, Donghan
3
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Bayes risk, elicitability, and the expected shortfall. Zbl 1522.91318
Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu
3
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Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Zbl 1522.91297
Cont, Rama; Guo, Xin; Xu, Renyuan
3
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Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. Zbl 1522.91205
Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim
2
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Model risk in credit risk. Zbl 07742856
Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia
2
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Relative arbitrage: sharp time horizons and motion by curvature. Zbl 1522.91228
Larsson, Martin; Ruf, Johannes
2
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Penalty method for portfolio selection with capital gains tax. Zbl 1522.91209
Bian, Baojun; Chen, Xinfu; Dai, Min; Qian, Shuaijie
2
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Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267
Carr, Peter; Lee, Roger; Lorig, Matthew
2
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Binary funding impacts in derivative valuation. Zbl 1522.91279
Lee, Junbeom; Zhou, Chao
1
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The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257
Alòs, Elisa; Fukasawa, Masaaki
1
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Liquidity in competitive dealer markets. Zbl 1521.91342
Bank, Peter; Ekren, Ibrahim; Muhle-Karbe, Johannes
1
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Risk-neutral pricing techniques and examples. Zbl 1521.91360
Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; Zhao, Yixuan
1
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Simulating risk measures via asymptotic expansions for relative errors. Zbl 1522.91320
Jiang, Wei; Kou, Steven
1
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Consistent investment of sophisticated rank-dependent utility agents in continuous time. Zbl 1522.91225
Hu, Ying; Jin, Hanqing; Zhou, Xun Yu
1
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Option pricing models without probability: a rough paths approach. Zbl 1522.91258
Armstrong, John; Bellani, Claudio; Brigo, Damiano; Cass, Thomas
1
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Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522
Casgrain, Philippe; Jaimungal, Sebastian
29
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General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 1508.91603
Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu
27
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A regularity structure for rough volatility. Zbl 1508.91548
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
25
2020
Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627
Huang, Yu-jui; Zhou, Zhou
15
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Network valuation in financial systems. Zbl 1508.91593
Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano
15
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Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515
Wang, Haoran; Zhou, Xun Yu
15
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No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536
Jusselin, Paul; Rosenbaum, Mathieu
15
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Distress and default contagion in financial networks. Zbl 1508.91599
Veraart, Luitgard Anna Maria
13
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Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic
13
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Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574
Beissner, Patrick; Lin, Qian; Riedel, Frank
11
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Option pricing with orthogonal polynomial expansions. Zbl 1508.91546
Ackerer, Damien; Filipović, Damir
10
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Double continuation regions for American and swing options with negative discount rate in Lévy models. Zbl 1508.91555
De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna
10
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Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
9
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Inference for large financial systems. Zbl 1508.91530
Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A.
9
2020
Optimal dividend policies with random profitability. Zbl 1508.91483
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
9
2020
Self-similarity in long-horizon returns. Zbl 1508.91583
Madan, Dilip B.; Schoutens, Wim
8
2020
Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493
Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo
8
2020
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
7
2020
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 1508.91538
Liang, Zongxia; Ma, Ming
7
2020
Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 1508.91509
Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas
7
2020
Risk functionals with convex level sets. Zbl 1508.91624
Wang, Ruodu; Wei, Yunran
7
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Existence of a calibrated regime switching local volatility model. Zbl 1506.91165
Jourdain, Benjamin; Zhou, Alexandre
6
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Static and semistatic hedging as contrarian or conformist bets. Zbl 1508.91551
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
5
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A martingale representation theorem and valuation of defaultable securities. Zbl 1508.91553
Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle
5
2020
Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 1508.91578
Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana
5
2020
Asset pricing with heterogeneous beliefs and illiquidity. Zbl 1508.91584
Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei
4
2020
Consistency of option prices under bid-ask spreads. Zbl 1517.91239
Gerhold, Stefan; Gülüm, Ismail Cetin
4
2020
Robust XVA. Zbl 1508.91550
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
3
2020
Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 1508.91496
Černý, Aleš
3
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Robust risk aggregation with neural networks. Zbl 1508.91619
Eckstein, Stephan; Kupper, Michael; Pohl, Mathias
3
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Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 1508.91554
Dassios, Angelos; Lim, Jia Wei; Qu, Yan
3
2020
Pathwise moderate deviations for option pricing. Zbl 1508.91562
Jacquier, Antoine; Spiliopoulos, Konstantinos
3
2020
Optimal consumption and investment with liquid and illiquid assets. Zbl 1508.91498
Choi, Jin Hyuk
3
2020
Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 1508.91576
Burzoni, Matteo; Šikić, Mario
3
2020
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 1508.91614
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John
2
2020
Semistatic and sparse variance-optimal hedging. Zbl 1519.91255
Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin
2
2020
Convex duality and Orlicz spaces in expected utility maximization. Zbl 1508.91575
Biagini, Sara; Černý, Aleš
2
2020
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76 Madan, Dilip B.
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61 Elliott, Robert James
59 Wong, Hoi Ying
56 Wu, Zhen
52 Young, Virginia R.
50 Touzi, Nizar
47 Zhu, Songping
43 Platen, Eckhard
43 Wang, Ruodu
42 Li, Zhongfei
42 Yang, Hailiang
40 Rásonyi, Miklós
38 Forsyth, Peter A.
38 Jarrow, Robert Alan
38 Jeanblanc, Monique
38 Muhle-Karbe, Johannes
37 Hu, Ying
37 Jaimungal, Sebastian
36 Filipović, Damir
36 Zhou, Xunyu
35 Biagini, Francesca
35 Kupper, Michael
35 Li, Duan
35 Schachermayer, Walter
34 Hu, Yijun
33 Jin, Zhuo
33 Pham, Huyên
33 Schoutens, Wim
32 Ji, Shaolin
32 Oosterlee, Cornelis Willebrordus
32 Peng, Shige
32 Soner, Halil Mete
31 Benth, Fred Espen
31 Li, Xun
31 Yong, Jiongmin
30 Bo, Lijun
30 Bouchard, Bruno
30 Cui, Zhenyu
30 Possamaï, Dylan
30 Shen, Yang
30 Takahashi, Akihiko
30 Zeng, Yan
29 Fabozzi, Frank J.
29 Hobson, David Graham
29 Pascucci, Andrea
29 Rutkowski, Marek
28 Dolinsky, Yan
28 Eberlein, Ernst W.
28 Jacquier, Antoine
28 Levendorskiĭ, Sergeĭ Zakharovich
28 Øksendal, Bernt Karsten
28 Rachev, Svetlozar T.
28 Schied, Alexander
27 Carr, Peter Paul
27 Gobet, Emmanuel
27 Obloj, Jan K.
27 Pagès, Gilles
27 Shin, Yong Hyun
27 Tan, Ken Seng
26 Bender, Christian
26 Chen, Zhiping
26 Guasoni, Paolo
26 Korn, Ralf
26 Schoenmakers, John G. M.
26 Tankov, Peter
26 Wang, Rongming
26 Wei, Jiaqin
25 Beiglböck, Mathias
25 Belomestny, Denis
25 Bielecki, Tomasz R.
25 Chiarella, Carl
25 Crepey, Stephane
25 Dai, Min
25 Delbaen, Freddy
25 Jeon, Junkee
25 Lorig, Matthew J.
25 Protter, Philip Elliott
25 Xiong, Dewen
25 Xu, Zuoquan
25 Zheng, Harry H.
24 Balbás, Alejandro
24 Campi, Luciano
24 Cheridito, Patrick
24 Joshi, Mark S.
24 Kallsen, Jan
24 Leung, Tim
24 Li, Lingfei
24 Rudloff, Birgit
24 Rüschendorf, Ludger
24 Ruszczyński, Andrzej
23 Cartea, Álvaro
23 Fan, Shengjun
23 Feinstein, Zachary
23 Frittelli, Marco
23 Fukasawa, Masaaki
23 Grasselli, Martino
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26 Random Operators and Stochastic Equations
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25 Comptes Rendus. Mathématique. Académie des Sciences, Paris
24 Communications in Nonlinear Science and Numerical Simulation
23 Monte Carlo Methods and Applications
23 Advances in Difference Equations
22 Electronic Journal of Statistics
22 Dependence Modeling
21 International Journal of Control
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