# zbMATH — the first resource for mathematics

## International Journal of Theoretical and Applied Finance

 Short Title: Int. J. Theor. Appl. Finance Publisher: World Scientific, Singapore ISSN: 0219-0249; 1793-6322/e Online: https://www.worldscientific.com/loi/ijtaf Comments: Indexed cover-to-cover
 Documents Indexed: 1,183 Publications (since 1998) References Indexed: 1,159 Publications with 26,552 References.
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#### Authors

 13 Kwok, Yue-Kuen 12 Elliott, Robert James 12 Fabozzi, Frank J. 12 Levendorskiĭ, Sergeĭ Zakharovich 12 Schoutens, Wim 11 Avellaneda, Marco 11 Benth, Fred Espen 11 Brigo, Damiano 11 Madan, Dilip B. 10 Jeanblanc, Monique 9 Bouchaud, Jean-Philippe 9 Rachev, Svetlozar T. 9 Rutkowski, Marek 8 Korn, Ralf 8 Oosterlee, Cornelis Willebrordus 8 Platen, Eckhard 8 Rebonato, Riccardo 8 Wu, Lixin 7 Gapeev, Pavel V. 7 Joshi, Mark S. 7 Konno, Hiroshi 7 Leung, Tim 7 Protter, Philip Elliott 7 Takahashi, Akihiko 7 Wilmott, Paul 7 Zubelli, Jorge P. 6 Arai, Takuji 6 Baviera, Roberto 6 Bielecki, Tomasz R. 6 Crepey, Stephane 6 Friedman, Craig 6 Jaimungal, Sebastian 6 Macrina, Andrea 6 Pallavicini, Andrea 6 Siu, Tak Kuen 6 Stoyanov, Stoyan V. 5 Aurell, Erik 5 Biagini, Francesca 5 Cartea, Álvaro 5 Chiarella, Carl 5 Cont, Rama 5 Ekström, Erik 5 Hughston, Lane P. 5 Hui, Cho-Hoi 5 Jarrow, Robert Alan 5 Lipton, Alexander 5 Lo, Chi-Fai 5 Meyer-Brandis, Thilo 5 Pistorius, Martijn R. 5 Ramponi, Alessandro 5 Sornette, Didier 5 Yamazaki, Akira 4 Albanese, Claudio 4 Bayraktar, Erhan 4 Bernard, Carole 4 Boyarchenko, Svetlana I. 4 Brody, Dorje C. 4 Capriotti, Luca 4 Carr, Peter P. 4 Cialenco, Igor 4 Frahm, Gabriel 4 Frey, Rüdiger 4 Gatheral, Jim 4 Gil-Alana, Luis Alberiko 4 Grorud, Axel 4 Hobson, David G. 4 Mijatović, Aleksandar 4 Semeraro, Patrizia 4 Serva, Maurizio 4 Stanley, H. Eugene 4 Wagalath, Lakshithe 4 Zagst, Rudi 4 Zhu, Songping 3 Alfonsi, Aurélien 3 Antonelli, Fabio 3 Belomestny, Denis 3 Bernaschi, Massimo 3 Boyarchenko, Mitya 3 Broadie, Mark N. 3 Buescu, Cristin 3 Carmona, René A. 3 Ceci, Claudia 3 Charpin, Françoise 3 Cruz Rambaud, Salvador 3 D’Addona, Stefano 3 Dahl, Lars O. 3 Dokuchaev, Nikolai G. 3 Dorfleitner, Gregor 3 Dupire, Bruno 3 Filipović, Damir 3 Forde, Martin 3 Forsyth, Peter A. 3 Fouque, Jean-Pierre 3 Frittelli, Marco 3 Gnoatto, Alessandro 3 Gopikrishnan, Parameswaran 3 Grasselli, Matheus R. 3 Grzelak, Lech A. 3 Guhr, Thomas 3 Gulko, Les ...and 1,525 more Authors
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#### Fields

 1,177 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 355 Probability theory and stochastic processes (60-XX) 130 Statistics (62-XX) 72 Numerical analysis (65-XX) 61 Systems theory; control (93-XX) 31 Operations research, mathematical programming (90-XX) 28 Partial differential equations (35-XX) 11 Calculus of variations and optimal control; optimization (49-XX) 10 General and overarching topics; collections (00-XX) 7 Approximations and expansions (41-XX) 6 Integral transforms, operational calculus (44-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Computer science (68-XX) 4 Ordinary differential equations (34-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Integral equations (45-XX) 4 Quantum theory (81-XX) 3 Combinatorics (05-XX) 3 Information and communication theory, circuits (94-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Functional analysis (46-XX) 2 Biology and other natural sciences (92-XX) 1 Functions of a complex variable (30-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX)

#### Citations contained in zbMATH Open

768 Publications have been cited 4,698 times in 3,443 Documents Cited by Year
American options with regime switching. Zbl 1107.91325
Buffington, John; Elliott, Robert J.
2002
Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072
Lux, Thomas; Marchesi, Michele
2000
Option pricing for truncated Lévy processes. Zbl 0973.91037
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z.
2000
The spectral decomposition of the option value. Zbl 1107.91051
2004
Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147
Cheridito, Patrick; Kupper, Michael
2011
The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283
2008
Insider trading in a continuous time market model. Zbl 0909.90023
Grorud, Axel; Pontier, Monique
1998
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
2010
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009
Derman, Emanuel; Kani, Iraj
1998
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
2001
Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206
Brigo, Damiano; Chourdakis, Kyriakos
2009
A multivariate variance gamma model for financial applications. Zbl 1152.91548
Semeraro, Patrizia
2008
Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290
Forde, Martin; Jacquier, Antoine
2009
Random matrix theory and financial correlations. Zbl 0970.91059
Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe
2000
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403
Gatheral, Jim; Schied, Alexander
2011
Crashes as critical points. Zbl 1153.91790
Johansen, Anders; Ledoit, Olivier; Sornette, Didier
2000
Drawdown measure in portfolio optimization. Zbl 1100.91040
Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael
2005
Pricing of the American put under Lévy processes. Zbl 1107.91050
Levendorskiĭ, S. Z.
2004
Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345
Sepp, Artur
2004
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
2000
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
2008
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines. Zbl 1178.91193
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, Andrew
2009
Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130
Frey, Rüdiger; Backhaus, Jochen
2008
High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar
2003
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
2009
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
2010
Financial signal processing: a self calibrating model. Zbl 1153.91491
Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M.
2001
A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175
Ehrhardt, Matthias; Mickens, Ronald E.
2008
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
2012
Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024
Avellaneda, Marco
1998
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
2005
Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451
Ikonen, Samuli; Toivanen, Jari
2007
Information-based asset pricing. Zbl 1152.91487
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
2008
Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324
Brigo, Damiano; Mercurio, Fabio
2002
A mathematical approach to order book modeling. Zbl 1292.91197
Abergel, Frédéric; Jedidi, Aymen
2013
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
2006
Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465
Matacz, Andrew
2000
Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086
Mercurio, Fabio
2010
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
2010
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
2006
Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203
Bordag, L. A.; Chmakova, A. Y.
2007
Asymmetrical information and incomplete markets. Zbl 1154.91542
Grorud, Axel; Pontier, Monique
2001
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
2014
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101
Andersen, Leif; Lipton, Alexander
2013
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
2008
Optimal portfolios under the threat of a crash. Zbl 1111.91318
Korn, Ralf; Wilmott, Paul
2002
Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie
2013
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
2000
On the relationship between the call price surface and the implied volatility surface close to expiry. Zbl 1291.91210
Roper, Michael; Rutkowski, Marek
2009
Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156
Leung, Tim; Li, Xin
2015
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
2004
Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308
van Haastrecht, Alexander; Pelsser, Antoon
2010
Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191
Meyer-Brandis, Thilo; Tankov, Peter
2008
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
2004
Expansion formulas for European options in a local volatility model. Zbl 1205.91153
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
2010
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
2012
Weighted Monte Carlo: a new technique for calibrating asset-pricing models. Zbl 1153.91458
Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua
2001
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
2001
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177
Löhne, Andreas; Rudloff, Birgit
2014
Option pricing with VG-like models. Zbl 1175.91178
Finlay, Richard; Seneta, Eugene
2008
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071
Ramponi, Alessandro
2012
Pricing Parisian-style options with a lattice method. Zbl 1153.91459
Avellaneda, Marco; Wu, Lixin
1999
The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513
Hugonnier, Julien-N.
1999
Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791
Johansen, Anders; Sornette, Didier
2001
Maximum drawdown insurance. Zbl 1233.91115
2011
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2019
Portfolio optimization under partial information with expert opinions. Zbl 1236.91126
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf
2012
Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331
Elliott, Robert; Hinz, Juri
2002
Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036
Korn, Ralf; Kraft, Holger
2003
Stochastic portfolio optimization with log utility. Zbl 1138.91468
Pang, Tao
2006
Conditional certainty equivalent. Zbl 1213.91170
Frittelli, Marco; Maggis, Marco
2011
Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188
Hurd, T. R.
2009
A risk-neutral stochastic volatility model. Zbl 0909.90036
Zhu, Yingzi; Avellaneda, Marco
1998
A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif
2008
Implied and local volatilities under stochastic volatility. Zbl 1153.91536
Lee, Roger W.
2001
Stress testing the resilience of financial networks. Zbl 1236.91137
Amini, Hamed; Cont, Rama; Minca, Andreea
2012
A closer look at the Epps effect. Zbl 1079.91537
Renò, Roberto
2003
Approximating Lévy processes with a view to option pricing. Zbl 1206.91079
Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar
2010
An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197
Blais, Marcel; Protter, Philip
2010
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
2009
Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177
Boyarchenko, Mitya; Levendorskiĭ, Sergei
2009
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
2003
Pricing multi-asset options with an external barrier. Zbl 0987.91030
Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong
1998
Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020
Buckley, I. R. C.; Korn, R.
1998
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
2012
On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036
2009
Lévy simple structural models. Zbl 1291.91218
Baxter, Martin
2007
Pricing and hedging in a dynamic credit model. Zbl 1291.91223
Elouerkhaoui, Youssef
2007
Set-valued shortfall and divergence risk measures. Zbl 1396.91807
Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit
2017
The heat-kernel most-likely-path approximation. Zbl 1236.91147
Gatheral, Jim; Wang, Tai-Ho
2012
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
2012
The entropy theory of bond option pricing. Zbl 1107.91337
Gulko, Les
2002
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
2004
Calibrated option bounds. Zbl 1100.91045
King, Alan J.; Koivu, Matti; Pennanen, Teemu
2005
The entropy theory of stock option pricing. Zbl 1153.91503
Gulko, Les
1999
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
2017
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios
2011
Hedging (co)variance risk with variance swaps. Zbl 1282.91299
Da Fonseca, José; Grasselli, Martino; Ielpo, Florian
2011
Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160
Fontana, Claudio
2015
The CARMA interest rate model. Zbl 1290.91170
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy
2014
Robust bounds for derivative prices in Markovian models. Zbl 1447.91183
Sester, Julian
2020
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
2020
Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217
Gapeev, Pavel V.; Jeanblanc, Monique
2020
Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. Zbl 1444.91195
Biedova, Olga; Steblovskaya, Victoria
2020
A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. Zbl 1441.91075
Grishenko, Olesya; Han, Xiao; Nistor, Victor
2020
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
2020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
2019
Rational approximation of the rough Heston solution. Zbl 1458.91211
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
2019
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
2019
Optimal liquidation under stochastic price impact. Zbl 1411.91477
Barger, Weston; Lorig, Matthew
2019
Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634
Chen, Yanhong; Hu, Yijun
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
2019
Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605
Bouzianis, George; Hughston, Lane P.
2019
Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113
Lars Kirkby, J.; Deng, Shi-Jie
2019
Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404
Siu, Tak Kuen; Elliott, Robert J.
2019
Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar
2019
Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
2019
Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563
Jafari, Hossein; Rahimi, Ghazaleh
2019
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2019
Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate. Zbl 1411.91583
Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing
2019
Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756
Shibata, Takashi; Nishihara, Michi
2019
On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761
Alfeus, Mesias; Schlögl, Erik
2019
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. Zbl 1426.91269
Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, Sergii M.; Dias, José Carlos
2019
American options and incomplete information. Zbl 1426.91265
Ekström, Erik; Vannestål, Martin
2019
Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604
Avellaneda, M.; Papanicolaou, A.
2019
Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622
Neufeld, Ariel
2018
Most-likely-path in Asian option pricing under local volatility models. Zbl 1396.91714
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho
2018
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. Zbl 1395.91531
Criens, David
2018
Explicit Heston solutions and stochastic approximation for path-dependent option pricing. Zbl 1395.91454
Kouritzin, Michael A.
2018
Option pricing in the variance-gamma model under the drift jump. Zbl 1395.91449
Ivanov, Roman V.
2018
Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. Zbl 1395.91501
Patel, Kuldip Singh; Mehra, Mani
2018
Local risk-minimization with multiple assets under illiquidity with applications in energy markets. Zbl 1395.91434
Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo
2018
Pricing temperature derivatives under weather forecasts. Zbl 1396.91734
Hess, Markus
2018
XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar
2018
Kitapbayev, Yerkin; Leung, Tim
2018
Sensitivities of Asian options in the Black-Scholes model. Zbl 1395.91463
Pirjol, Dan; Zhu, Lingjiong
2018
Smooth upper bounds for the price function of American style options. Zbl 1395.91431
Bhim, Louis; Kawai, Reiichiro
2018
Bayesian inference for the tangent portfolio. Zbl 1419.91576
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema
2018
Efficient long-dated swaption volatility approximation in the forward-LIBOR model. Zbl 1395.91476
Van Appel, Jacques; Mcwalter, Thomas A.
2018
Corrigendum to: “Pricing and valuation under the real-world measure”. Zbl 1395.91403
Frahm, Gabriel
2018
Shortfall risk minimization under fixed transaction costs. Zbl 1396.91699
Nayman, Niv
2018
Arbitrage pricing theory in ergodic markets. Zbl 1396.91822
Frahm, Gabriel
2018
Quanto pricing in stochastic correlation models. Zbl 1396.91765
Teng, Long; Ehrhardt, Matthias; Günther, Michael
2018
Bank panics and fire sales, insolvency and illiquidity. Zbl 1416.91415
Hurd, T. R.
2018
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
2018
Multivariate option pricing models with Lévy and Sato VG marginal processes. Zbl 1395.91444
Guillaume, Florence
2018
Dynamic mean-variance optimization problems with deterministic information. Zbl 1395.91420
Schweizer, Martin; Zivoi, Danijel; Šikić, Mario
2018
Kyle-Back’s model with a random horizon. Zbl 1395.91435
Corcuera, José Manuel; Di Nunno, Giulia
2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis
2018
Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
2018
A dynamic model of central counterparty risk. Zbl 1419.91646
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi
2018
Decomposition formula for jump diffusion models. Zbl 1419.91652
Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J.
2018
An empirical approach to financial crisis indicators based on random matrices. Zbl 1398.91682
2018
First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment. Zbl 1398.91614
Saporito, Yuri F.
2018
Lévy-Vasicek models and the long-bond return process. Zbl 1398.91623
Brody, Dorje C.; Hughston, Lane P.; Meier, David M.
2018
Set-valued shortfall and divergence risk measures. Zbl 1396.91807
Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit
2017
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
2017
Robust asset allocation for long-term target-based investing. Zbl 1396.91686
Forsyth, P. A.; Vetzal, K. R.
2017
Affine models with stochastic market price of risk. Zbl 1396.91784
Rebonato, Riccardo
2017
A generalized contagion process with an application to credit risk. Zbl 1396.91788
Dassios, Angelos; Zhao, Hongbiao
2017
Tighter bounds for implied volatility. Zbl 1396.91729
2017
Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716
Bayraktar, Erhan; Zhou, Zhou
2017
Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift. Zbl 1396.91703
Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf
2017
Convex regularization of local volatility estimation. Zbl 1396.91711
Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P.
2017
On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257
Cong, F.; Oosterlee, C. W.
2017
Irreversible investments and ambiguity aversion. Zbl 1415.91305
Cartea, Álvaro; Jaimungal, Sebastian
2017
An explicit implied volatility formula. Zbl 1415.91290
2017
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
2017
Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy
2017
Stationary distribution of the volume at the best quote in a Poisson order book model. Zbl 1396.91766
Toke, Ioane Muni
2017
On cash settled IRR-swaptions and Markov functional modeling. Zbl 1360.91138
Bermin, Hans-Peter; Williams, Gareth
2017
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim
2017
Equilibrium equity price with optimal dividend policy. Zbl 1360.91162
Yamazaki, Akira
2017
General semi-Markov model for limit order books. Zbl 1396.91764
Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia
2017
Functional analytic (ir-)regularity properties of SABR-type processes. Zbl 1396.91579
Döring, Leif; Horvath, Blanka; Teichmann, Josef
2017
Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750
Liu, Yue; Privault, Nicolas
2017
Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics. Zbl 1415.91303
Vrins, Frédéric
2017
Rise and fall of synthetic CDO market: lessons learned. Zbl 1395.62323
Jabłecki, Juliusz
2017
Extremal behavior of long-term investors with power utility. Zbl 1396.91674
Bäuerle, Nicole; Grether, Stefanie
2017
Ultra-fast pricing barrier options and CDSs. Zbl 1396.91749
Levendorskiĭ, Sergei
2017
On mean-variance hedging under partial observations and terminal wealth constraints. Zbl 1396.91695
Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya
2017
Analytic pricing of CoCo bonds. Zbl 1396.91767
Turfus, Colin; Shubert, Alexander
2017
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240
Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina
2017
Derivative pricing with collateralization and FX market dislocations. Zbl 1396.91753
Moreni, Nicola; Pallavicini, Andrea
2017
Implicit transaction costs and the fundamental theorems of asset pricing. Zbl 1396.91673
Allaj, Erindi
2017
Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift. Zbl 1396.91775
Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier
2017
Lost in contagion? Building a liquidation index from covariance dynamics. Zbl 1396.91816
Wagalath, Lakshithe
2017
Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching. Zbl 1396.91762
Safarov, Nemat; Atkinson, Colin
2017
Robust trading of implied skew. Zbl 1422.91717
2017
Performance analysis of the optimal strategy under partial information. Zbl 1360.91131
Ayed, Ahmed Bel Hadj; Loeper, Grégoire; El Aoud, Sofiene; Abergel, Frédéric
2017
On the calculation of risk measures using least-squares Monte Carlo. Zbl 1396.91797
Benedetti, Giuseppe
2017
Optimal investment in hedge funds under loss aversion. Zbl 1396.91709
Zou, Bin
2017
Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method. Zbl 1415.91318
Leung, Chi Man; Kwok, Yue Kuen
2017
Algorithmic trading with learning. Zbl 1396.91720
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir
2016
Generalized BN-S stochastic volatility model for option pricing. Zbl 1403.91351
Sengupta, Indranil
2016
Strong bubbles and strict local martingales. Zbl 1350.91019
Herdegen, Martin; Schweizer, Martin
2016
Algorithmic trading of co-integrated assets. Zbl 1396.91679
Cartea, Álvaro; Jaimungal, Sebastian
2016
On the Heston model with stochastic correlation. Zbl 1396.91580
Teng, Long; Ehrhardt, Matthias; Günther, Michael
2016
...and 668 more Documents
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#### Cited by 3,986 Authors

 52 Siu, Tak Kuen 38 Elliott, Robert James 31 Zhu, Songping 30 Madan, Dilip B. 29 Platen, Eckhard 27 Levendorskiĭ, Sergeĭ Zakharovich 25 Sornette, Didier 24 Jeanblanc, Monique 23 Crepey, Stephane 22 Yang, Hailiang 20 Benth, Fred Espen 20 Brigo, Damiano 20 Schoutens, Wim 20 Takahashi, Akihiko 19 Bielecki, Tomasz R. 19 Kwok, Yue-Kuen 17 Ceci, Claudia 17 Cui, Zhenyu 17 Wang, Yongjin 16 Pistorius, Martijn R. 16 Rutkowski, Marek 15 Bo, Lijun 15 Fontana, Claudio 15 Jacquier, Antoine 15 Linetsky, Vadim 15 Oosterlee, Cornelis Willebrordus 14 Biagini, Francesca 14 Capponi, Agostino 14 Dong, Yinghui 14 Jaimungal, Sebastian 13 Company, Rafael 13 Forsyth, Peter A. 13 Gulisashvili, Archil 13 Leung, Tim 13 Macrina, Andrea 13 Protter, Philip Elliott 13 Scherer, Matthias 13 Yin, Gang George 13 Zagst, Rudi 12 Eberlein, Ernst W. 12 Horst, Ulrich 12 Jarrow, Robert Alan 12 Jódar Sanchez, Lucas Antonio 12 Kupper, Michael 12 Leonenko, Nikolai N. 12 Ma, Jingtang 12 Pagliarani, Stefano 12 Pascucci, Andrea 12 Sircar, Ronnie 12 Wang, Guojing 12 Yamazaki, Kazutoshi 12 Zeng, Yong 11 Boyarchenko, Svetlana I. 11 Brody, Dorje C. 11 Chan, Leunglung 11 Fabozzi, Frank J. 11 Fouque, Jean-Pierre 11 Hainaut, Donatien 11 He, Xinjiang 11 Hughston, Lane P. 11 Rudloff, Birgit 11 Runggaldier, Wolfgang J. 11 Vulkov, Lubin G. 11 Westerhoff, Frank H. 10 Cialenco, Igor 10 Colaneri, Katia 10 Cont, Rama 10 Dang, Duy Minh 10 Jiao, Ying 10 Meyer-Brandis, Thilo 10 Obloj, Jan K. 10 Overbeck, Ludger 10 Pallavicini, Andrea 10 Zhang, Hongzhong 9 Bayraktar, Erhan 9 Bender, Christian 9 Bernard, Carole 9 Bormetti, Giacomo 9 Cartea, Álvaro 9 Dassios, Angelos 9 Escobar, Marcos 9 Filipović, Damir 9 Frey, Rüdiger 9 Gapeev, Pavel V. 9 Gobet, Emmanuel 9 Kallsen, Jan 9 Khaliq, Abdul Q. M. 9 Kim, Jeong-Hoon 9 Kouritzin, Michael A. 9 Lorig, Matthew J. 9 Papapantoleon, Antonis 9 Rebonato, Riccardo 9 Rosazza Gianin, Emanuela 9 Schmidt, Thorsten 9 Swishchuk, Anatoliy 9 Tankov, Peter 9 Yuen, Kam Chuen 8 Ballestra, Luca Vincenzo 8 Bäuerle, Nicole 8 Carmona, René A. ...and 3,886 more Authors
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#### Cited in 335 Journals

 444 International Journal of Theoretical and Applied Finance 315 Quantitative Finance 121 Finance and Stochastics 103 Insurance Mathematics & Economics 101 Mathematical Finance 89 European Journal of Operational Research 88 Stochastic Processes and their Applications 88 Applied Mathematical Finance 83 SIAM Journal on Financial Mathematics 75 Journal of Computational and Applied Mathematics 75 Journal of Economic Dynamics & Control 66 Mathematics and Financial Economics 64 Physica A 48 Asia-Pacific Financial Markets 43 Stochastic Analysis and Applications 37 Annals of Operations Research 37 Annals of Finance 36 Statistics & Probability Letters 35 Applied Mathematics and Computation 35 The Annals of Applied Probability 33 Mathematical Methods of Operations Research 32 Computers & Mathematics with Applications 32 Journal of Applied Probability 31 Review of Derivatives Research 30 Stochastics 29 Decisions in Economics and Finance 28 International Journal of Computer Mathematics 26 Advances in Applied Probability 26 Methodology and Computing in Applied Probability 25 Applied Mathematics and Optimization 24 Journal of Mathematical Analysis and Applications 23 Journal of Optimization Theory and Applications 21 Mathematical Problems in Engineering 18 Mathematics of Operations Research 17 Chaos, Solitons and Fractals 17 Computational Management Science 16 Communications in Statistics. Theory and Methods 15 Operations Research Letters 15 Discrete Dynamics in Nature and Society 15 Probability, Uncertainty and Quantitative Risk 14 Journal of Econometrics 14 SIAM Journal on Control and Optimization 13 Journal of Mathematical Economics 13 Acta Applicandae Mathematicae 13 Scandinavian Actuarial Journal 12 Automatica 12 Bernoulli 12 Stochastics and Dynamics 12 Statistics & Risk Modeling 11 Operations Research 11 Journal of Statistical Mechanics: Theory and Experiment 10 Journal of Multivariate Analysis 10 Applied Mathematics Letters 10 Abstract and Applied Analysis 10 Stochastic Models 9 Economics Letters 9 Computational Statistics and Data Analysis 9 The ANZIAM Journal 9 ASTIN Bulletin 9 North American Actuarial Journal 9 Journal of Industrial and Management Optimization 9 The European Physical Journal B. Condensed Matter and Complex Systems 8 Journal of Statistical Physics 8 Mathematics and Computers in Simulation 8 Japan Journal of Industrial and Applied Mathematics 8 Theory of Probability and Mathematical Statistics 8 Monte Carlo Methods and Applications 8 Journal of Applied Mathematics 8 Journal of Probability and Statistics 7 Theory of Probability and its Applications 7 Acta Mathematicae Applicatae Sinica. English Series 7 Optimization 7 Journal of Theoretical Probability 7 Electronic Journal of Probability 7 Probability in the Engineering and Informational Sciences 7 Applied Stochastic Models in Business and Industry 7 International Journal of Modern Physics C 7 Nonlinear Analysis. Real World Applications 7 Journal of Systems Science and Complexity 7 International Journal of Stochastic Analysis 7 European Actuarial Journal 7 Mathematical Control and Related Fields 7 Dependence Modeling 6 Mathematical Methods in the Applied Sciences 6 Journal of Statistical Planning and Inference 6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 6 Numerische Mathematik 6 Journal of Time Series Analysis 6 Journal of Scientific Computing 6 M$$^3$$AS. Mathematical Models & Methods in Applied Sciences 6 SIAM Journal on Scientific Computing 6 Computational and Applied Mathematics 6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 6 Journal of Applied Mathematics and Decision Sciences 6 Communications in Nonlinear Science and Numerical Simulation 6 Modern Stochastics. Theory and Applications 5 International Journal of Control 5 Lithuanian Mathematical Journal 5 SIAM Journal on Numerical Analysis ...and 235 more Journals
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#### Cited in 52 Fields

 2,926 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,565 Probability theory and stochastic processes (60-XX) 512 Statistics (62-XX) 364 Numerical analysis (65-XX) 292 Systems theory; control (93-XX) 234 Operations research, mathematical programming (90-XX) 219 Partial differential equations (35-XX) 130 Calculus of variations and optimal control; optimization (49-XX) 36 Statistical mechanics, structure of matter (82-XX) 35 Approximations and expansions (41-XX) 33 Dynamical systems and ergodic theory (37-XX) 32 Integral equations (45-XX) 29 Ordinary differential equations (34-XX) 29 Integral transforms, operational calculus (44-XX) 26 Information and communication theory, circuits (94-XX) 24 Harmonic analysis on Euclidean spaces (42-XX) 22 Computer science (68-XX) 20 Real functions (26-XX) 20 Operator theory (47-XX) 19 Linear and multilinear algebra; matrix theory (15-XX) 19 Measure and integration (28-XX) 19 Functional analysis (46-XX) 19 Biology and other natural sciences (92-XX) 15 Combinatorics (05-XX) 14 Quantum theory (81-XX) 8 Fluid mechanics (76-XX) 7 Special functions (33-XX) 6 Geophysics (86-XX) 5 Difference and functional equations (39-XX) 4 Number theory (11-XX) 4 Functions of a complex variable (30-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 General and overarching topics; collections (00-XX) 3 Abstract harmonic analysis (43-XX) 3 General topology (54-XX) 3 Mechanics of particles and systems (70-XX) 2 History and biography (01-XX) 2 Mathematical logic and foundations (03-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 2 Mechanics of deformable solids (74-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Commutative algebra (13-XX) 1 Potential theory (31-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Sequences, series, summability (40-XX) 1 Manifolds and cell complexes (57-XX) 1 Optics, electromagnetic theory (78-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Relativity and gravitational theory (83-XX)