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: 1,212 Publications (since 1998) References Indexed: 1,188 Publications with 27,559 References. all top 5 Latest Issues 25, No. 2 (2022) 25, No. 1 (2022) 24, No. 8 (2021) 24, No. 6-7 (2021) 24, No. 5 (2021) 24, No. 4 (2021) 24, No. 3 (2021) 24, No. 2 (2021) 24, No. 1 (2021) 23, No. 8 (2020) 23, No. 7 (2020) 23, No. 6 (2020) 23, No. 5 (2020) 23, No. 4 (2020) 23, No. 3 (2020) 23, No. 2 (2020) 23, No. 1 (2020) 22, No. 8 (2019) 22, No. 7 (2019) 22, No. 6 (2019) 22, No. 5 (2019) 22, No. 4 (2019) 22, No. 3 (2019) 22, No. 2 (2019) 22, No. 1 (2019) 21, No. 8 (2018) 21, No. 7 (2018) 21, No. 6 (2018) 21, No. 5 (2018) 21, No. 4 (2018) 21, No. 3 (2018) 21, No. 2 (2018) 21, No. 1 (2018) 20, No. 8 (2017) 20, No. 7 (2017) 20, No. 6 (2017) 20, No. 5 (2017) 20, No. 4 (2017) 20, No. 3 (2017) 20, No. 2 (2017) 20, No. 1 (2017) 19, No. 8 (2016) 19, No. 7 (2016) 19, No. 6 (2016) 19, No. 5 (2016) 19, No. 4 (2016) 19, No. 3 (2016) 19, No. 2 (2016) 19, No. 1 (2016) 18, No. 8 (2015) 18, No. 7 (2015) 18, No. 6 (2015) 18, No. 5 (2015) 18, No. 4 (2015) 18, No. 3 (2015) 18, No. 2 (2015) 18, No. 1 (2015) 17, No. 8 (2014) 17, No. 7 (2014) 17, No. 6 (2014) 17, No. 5 (2014) 17, No. 4 (2014) 17, No. 3 (2014) 17, No. 2 (2014) 17, No. 1 (2014) 16, No. 8 (2013) 16, No. 7 (2013) 16, No. 6 (2013) 16, No. 5 (2013) 16, No. 4 (2013) 16, No. 3 (2013) 16, No. 2 (2013) 16, No. 1 (2013) 15, No. 8 (2012) 15, No. 7 (2012) 15, No. 6 (2012) 15, No. 5 (2012) 15, No. 4 (2012) 15, No. 3 (2012) 15, No. 2 (2012) 15, No. 1 (2012) 14, No. 8 (2011) 14, No. 7 (2011) 14, No. 6 (2011) 14, No. 5 (2011) 14, No. 4 (2011) 14, No. 3 (2011) 14, No. 2 (2011) 14, No. 1 (2011) 13, No. 8 (2010) 13, No. 7 (2010) 13, No. 6 (2010) 13, No. 5 (2010) 13, No. 4 (2010) 13, No. 3 (2010) 13, No. 2 (2010) 13, No. 1 (2010) 12, No. 8 (2009) 12, No. 7 (2009) 12, No. 6 (2009) ...and 77 more Volumes all top 5 Authors 13 Kwok, Yue-Kuen 13 Levendorskiĭ, Sergeĭ Zakharovich 12 Benth, Fred Espen 12 Elliott, Robert James 12 Fabozzi, Frank J. 12 Madan, Dilip B. 12 Schoutens, Wim 11 Avellaneda, Marco 11 Brigo, Damiano 10 Jeanblanc, Monique 10 Korn, Ralf 9 Bouchaud, Jean-Philippe 9 Rachev, Svetlozar T. 9 Rutkowski, Marek 8 Leung, Tim 8 Oosterlee, Cornelis Willebrordus 8 Platen, Eckhard 8 Rebonato, Riccardo 8 Wu, Lixin 7 Arai, Takuji 7 Gapeev, Pavel V. 7 Jaimungal, Sebastian 7 Joshi, Mark S. 7 Konno, Hiroshi 7 Protter, Philip Elliott 7 Takahashi, Akihiko 7 Wilmott, Paul 7 Zubelli, Jorge P. 6 Baviera, Roberto 6 Bielecki, Tomasz R. 6 Cartea, Álvaro 6 Crepey, Stephane 6 Friedman, Craig 6 Macrina, Andrea 6 Meyer-Brandis, Thilo 6 Pallavicini, Andrea 6 Siu, Tak Kuen 6 Stoyanov, Stoyan V. 5 Aurell, Erik 5 Biagini, Francesca 5 Boyarchenko, Svetlana I. 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 Pistorius, Martijn R. 5 Ramponi, Alessandro 5 Sornette, Didier 5 Yamazaki, Akira 4 Albanese, Claudio 4 Bayraktar, Erhan 4 Bernard, Carole L. 4 Brody, Dorje C. 4 Capriotti, Luca 4 Carr, Peter P. 4 Cialenco, Igor 4 Forsyth, Peter A. 4 Frahm, Gabriel 4 Frey, Rüdiger 4 Gatheral, Jim 4 Gil-Alana, Luis Alberiko 4 Grorud, Axel 4 Hobson, David Graham 4 Mijatović, Aleksandar 4 Schmidt, Thorsten 4 Seifried, Frank Thomas 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 Cui, Zhenyu 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 Fouque, Jean-Pierre 3 Frittelli, Marco 3 Fukasawa, Masaaki 3 Gnoatto, Alessandro 3 Gopikrishnan, Parameswaran ...and 1,564 more Authors all top 5 Fields 1,206 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 364 Probability theory and stochastic processes (60-XX) 130 Statistics (62-XX) 73 Numerical analysis (65-XX) 65 Systems theory; control (93-XX) 33 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 Integral equations (45-XX) 5 Computer science (68-XX) 4 Ordinary differential equations (34-XX) 4 Dynamical systems and ergodic theory (37-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 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 802 Publications have been cited 5,076 times in 3,721 Documents Cited by ▼ Year ▼ American options with regime switching. Zbl 1107.91325Buffington, John; Elliott, Robert J. 214 2002 Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072Lux, Thomas; Marchesi, Michele 95 2000 Option pricing for truncated Lévy processes. Zbl 0973.91037Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. 67 2000 The spectral decomposition of the option value. Zbl 1107.91051Linetsky, Vadim 60 2004 The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283Broadie, Mark; Jain, Ashish 58 2008 Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147Cheridito, Patrick; Kupper, Michael 57 2011 Insider trading in a continuous time market model. Zbl 0909.90023Grorud, Axel; Pontier, Monique 53 1998 Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148Madan, Dilip B.; Cherny, Alexander 50 2010 Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009Derman, Emanuel; Kani, Iraj 47 1998 A multivariate variance gamma model for financial applications. Zbl 1152.91548Semeraro, Patrizia 47 2008 A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610Frey, Rüdiger; Runggaldier, Wolfgang J. 47 2001 Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403Gatheral, Jim; Schied, Alexander 46 2011 Random matrix theory and financial correlations. Zbl 0970.91059Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe 46 2000 Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206Brigo, Damiano; Chourdakis, Kyriakos 43 2009 Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290Forde, Martin; Jacquier, Antoine 42 2009 Pricing of the American put under Lévy processes. Zbl 1107.91050Levendorskiĭ, S. Z. 41 2004 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 37 2000 Crashes as critical points. Zbl 1153.91790Johansen, Anders; Ledoit, Olivier; Sornette, Didier 37 2000 Drawdown measure in portfolio optimization. Zbl 1100.91040Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael 37 2005 Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345Sepp, Artur 36 2004 New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127Khaliq, A. Q. M.; Liu, R. H. 32 2009 A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175Ehrhardt, Matthias; Mickens, Ronald E. 30 2008 The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines. Zbl 1178.91193Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, Andrew 29 2009 High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024Düring, Bertram; Fournié, Michel; Jüngel, Ansgar 29 2003 Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130Frey, Rüdiger; Backhaus, Jochen 28 2008 Equilibrium prices for monetary utility functions. Zbl 1151.91608Filipović, Damir; Kupper, Michael 28 2008 Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451Ikonen, Samuli; Toivanen, Jari 28 2007 Financial signal processing: a self calibrating model. Zbl 1153.91491Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M. 27 2001 Regime-switching recombining tree for option pricing. Zbl 1233.91284Liu, R. H. 26 2010 Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B. 25 2012 Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020Cont, Rama 25 2005 A mathematical approach to order book modeling. Zbl 1292.91197Abergel, Frédéric; Jedidi, Aymen 24 2013 Information-based asset pricing. Zbl 1152.91487Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea 24 2008 Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024Avellaneda, Marco 24 1998 The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. 24 2014 Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324Brigo, Damiano; Mercurio, Fabio 24 2002 A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415Zhu, Song-Ping 23 2006 Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086Mercurio, Fabio 21 2010 Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465Matacz, Andrew 21 2000 Utility maximization in affine stochastic volatility models. Zbl 1198.91192Kallsen, Jan; Muhle-Karbe, Johannes 21 2010 Self exciting threshold interest rates models. Zbl 1140.91384Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 21 2006 Asymmetrical information and incomplete markets. Zbl 1154.91542Grorud, Axel; Pontier, Monique 20 2001 Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191Meyer-Brandis, Thilo; Tankov, Peter 20 2008 Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203Bordag, L. A.; Chmakova, A. Y. 20 2007 Optimal portfolios under the threat of a crash. Zbl 1111.91318Korn, Ralf; Wilmott, Paul 20 2002 Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101Andersen, Leif; Lipton, Alexander 19 2013 Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie 19 2013 Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 19 2008 Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050Lo, C. F.; Yuen, P. H.; Hui, C. H. 19 2000 On the relationship between the call price surface and the implied volatility surface close to expiry. Zbl 1291.91210Roper, Michael; Rutkowski, Marek 18 2009 Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308van Haastrecht, Alexander; Pelsser, Antoon 18 2010 Expansion formulas for European options in a local volatility model. Zbl 1205.91153Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 18 2010 Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin 18 2019 Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156Leung, Tim; Li, Xin 18 2015 The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309Benth, Fred Espen; Šaltytė-Benth, Jūratė 17 2004 An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177Löhne, Andreas; Rudloff, Birgit 17 2014 Option pricing with VG-like models. Zbl 1175.91178Finlay, Richard; Seneta, Eugene 16 2008 Conditional certainty equivalent. Zbl 1213.91170Frittelli, Marco; Maggis, Marco 16 2011 Mean-variance hedging for partially observed drift processes. Zbl 1153.91554Pham, Huyên 16 2001 Pricing Parisian-style options with a lattice method. Zbl 1153.91459Avellaneda, Marco; Wu, Lixin 16 1999 The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513Hugonnier, Julien-N. 16 1999 Weighted Monte Carlo: a new technique for calibrating asset-pricing models. Zbl 1153.91458Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua 16 2001 Portfolio optimization under partial information with expert opinions. Zbl 1236.91126Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf 16 2012 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313Platen, Eckhard 16 2004 Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159Fujii, Masaaki; Takahashi, Akihiko 16 2012 Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071Ramponi, Alessandro 16 2012 A risk-neutral stochastic volatility model. Zbl 0909.90036Zhu, Yingzi; Avellaneda, Marco 15 1998 A structural risk-neutral model of electricity prices. Zbl 1188.91069Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar 15 2009 Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177Boyarchenko, Mitya; Levendorskiĭ, Sergei 15 2009 Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188Hurd, T. R. 15 2009 Stochastic portfolio optimization with log utility. Zbl 1138.91468Pang, Tao 15 2006 Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791Johansen, Anders; Sornette, Didier 15 2001 Maximum drawdown insurance. Zbl 1233.91115Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia 15 2011 A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans 15 2012 On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036Djehiche, Boualem; Hamadène, Said 14 2009 Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios 14 2011 Approximating Lévy processes with a view to option pricing. Zbl 1206.91079Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar 14 2010 A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif 14 2008 Implied and local volatilities under stochastic volatility. Zbl 1153.91536Lee, Roger W. 14 2001 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029Mania, M.; Tevzadze, R. 14 2003 A closer look at the Epps effect. Zbl 1079.91537Renò, Roberto 14 2003 Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036Korn, Ralf; Kraft, Holger 14 2003 Stress testing the resilience of financial networks. Zbl 1236.91137Amini, Hamed; Cont, Rama; Minca, Andreea 14 2012 Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331Elliott, Robert; Hinz, Juri 14 2002 Vector-valued coherent risk measure processes. Zbl 1292.91090Ben Tahar, Imen; Lépinette, Emmanuel 14 2014 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266Kromer, Eduard; Overbeck, Ludger 14 2017 Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem. Zbl 1137.91474Stabile, Gabriele 13 2006 An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197Blais, Marcel; Protter, Philip 13 2010 Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020Buckley, I. R. C.; Korn, R. 13 1998 The entropy theory of stock option pricing. Zbl 1153.91503Gulko, Les 13 1999 Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors. Zbl 1138.91453Sadefo Kamdem, Jules 13 2005 Pricing multi-asset options with an external barrier. Zbl 0987.91030Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong 13 1998 Stochastic model predictive control and portfolio optimization. Zbl 1137.91449Herzog, Florian; Dondi, Gabriel; Geering, Hans P. 13 2007 Set-valued shortfall and divergence risk measures. Zbl 1396.91807Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 13 2017 Pricing and hedging in a dynamic credit model. Zbl 1291.91223Elouerkhaoui, Youssef 13 2007 Credit risk premia and quadratic BSDEs with a single jump. Zbl 1204.91133Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne 12 2010 Hedging (co)variance risk with variance swaps. Zbl 1282.91299Da Fonseca, José; Grasselli, Martino; Ielpo, Florian 12 2011 A model for high frequency data under partial information: a filtering approach. Zbl 1184.91211Ceci, Claudia; Gerardi, Anna 12 2006 Minimal variance hedging for insider trading. Zbl 1134.91397Biagini, Francesca; Øksendal, Bernt 12 2006 Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160Fontana, Claudio 12 2015 Robust utility maximization in a multivariate financial market with stochastic drift. Zbl 1470.91263Sass, Jörn; Westphal, Dorothee 1 2021 Mixture of consistent stochastic utilities and a priori randomness. Zbl 1467.91165Mrad, Mohamed 1 2021 Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk. Zbl 1466.91268Serrano, Rafael 1 2021 Two stage decumulation strategies for dc plan investors. Zbl 1466.91256Forsyth, Peter A. 1 2021 On time consistency for mean-variance portfolio selection. Zbl 1457.91352Vigna, Elena 5 2020 Robust bounds for derivative prices in Markovian models. Zbl 1447.91183Sester, Julian 3 2020 Some pricing tools for the variance gamma model. Zbl 1448.91289Aguilar, Jean-Philippe 3 2020 A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks. Zbl 1447.91185Criens, David 2 2020 Information flow dependence in financial markets. Zbl 1457.91362Michaelsen, Markus 1 2020 VIX versus VXX: a joint analytical framework. Zbl 1457.91375Grasselli, Martino; Wagalath, Lakshithe 1 2020 Option pricing in markets with informed traders. Zbl 1457.91378Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T. 1 2020 Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403Njike Leunga, Charles Guy; Hainaut, Donatien 1 2020 Multivariate distributions for financial returns. Zbl 1457.91384Madan, Dilip B. 1 2020 Systemic risk: the effect of market confidence. Zbl 1459.91215Bichuch, Maxim; Chen, Ke 1 2020 Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371de Gennaro Aquino, Luca; Bernard, Carole 1 2020 An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. Zbl 1459.91204Shiraya, Kenichirpo 1 2020 Financial contagion in a stochastic block model. Zbl 1459.91216Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 1 2020 A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. Zbl 1457.91361Lipton, Alexander; López de Prado, Marcos 1 2020 Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217Gapeev, Pavel V.; Jeanblanc, Monique 1 2020 Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. Zbl 1444.91195Biedova, Olga; Steblovskaya, Victoria 1 2020 Measuring model risk in financial risk management and pricing. Zbl 1443.91342Jokhadze, Valeriane; Schmidt, Wolfgang M. 1 2020 Market making with alpha signals. Zbl 1447.91167Cartea, Álvaro; Wang, Yixuan 1 2020 A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. Zbl 1441.91075Grishenko, Olesya; Han, Xiao; Nistor, Victor 1 2020 Smile modeling in commodity markets. Zbl 1447.91180Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio 1 2020 Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin 18 2019 Rational approximation of the rough Heston solution. Zbl 1458.91211Gatheral, Jim; Radoičić, Radoš 7 2019 A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645Lejay, Antoine; Pigato, Paolo 4 2019 Optimal liquidation under stochastic price impact. Zbl 1411.91477Barger, Weston; Lorig, Matthew 3 2019 Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604Avellaneda, M.; Papanicolaou, A. 3 2019 Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate. Zbl 1411.91583Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing 3 2019 Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar 2 2019 Equilibrium asset returns in financial markets. Zbl 1411.91520Madan, Dilip B.; Schoutens, Wim 2 2019 Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634Chen, Yanhong; Hu, Yijun 2 2019 Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615Boyarchenko, Svetlana; Levendorskiĭ, Sergei 2 2019 Numerical stability of a hybrid method for pricing options. Zbl 1430.91129Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino 2 2019 Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113Lars Kirkby, J.; Deng, Shi-Jie 2 2019 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 2 2019 Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605Bouzianis, George; Hughston, Lane P. 2 2019 Defaultable claims in switching models with partial information. Zbl 1411.91599Gapeev, Pavel V.; Jeanblanc, Monique 2 2019 Multi-currency credit default swaps. Zbl 1411.91546Brigo, Damiano; Pede, Nicola; Petrelli, Andrea 2 2019 American options and incomplete information. Zbl 1426.91265Ekström, Erik; Vannestål, Martin 2 2019 Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249Jevtić, Petar; Marena, Marina; Semeraro, Patrizia 1 2019 Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563Jafari, Hossein; Rahimi, Ghazaleh 1 2019 Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084De Franco, Carmine; Nicolle, Johann; Pham, Huyên 1 2019 Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. Zbl 1430.91103Arai, Takuji 1 2019 Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557He, Xin-Jiang; Zhu, Song-Ping 1 2019 Multi-asset worst-case optimal portfolios. Zbl 1411.91515Korn, Ralf; Leoff, Elisabeth 1 2019 Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756Shibata, Takashi; Nishihara, Michi 1 2019 On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761Alfeus, Mesias; Schlögl, Erik 1 2019 Hurst exponents and delampertized fractional Brownian motions. Zbl 07102646Garcin, Matthieu 1 2019 Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. Zbl 1426.91269Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, Sergii M.; Dias, José Carlos 1 2019 Pricing derivatives in Hermite markets. Zbl 1426.91279Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank J. 1 2019 Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. Zbl 1395.91501Patel, Kuldip Singh; Mehra, Mani 6 2018 Pricing temperature derivatives under weather forecasts. Zbl 1396.91734Hess, Markus 5 2018 Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622Neufeld, Ariel 5 2018 Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430Altay, Sühan; Colaneri, Katia; Eksi, Zehra 4 2018 Bayesian inference for the tangent portfolio. Zbl 1419.91576Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema 4 2018 XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar 3 2018 Most-likely-path in Asian option pricing under local volatility models. Zbl 1396.91714Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho 3 2018 Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. Zbl 1395.91531Criens, David 3 2018 Explicit Heston solutions and stochastic approximation for path-dependent option pricing. Zbl 1395.91454Kouritzin, Michael A. 3 2018 Sensitivities of Asian options in the Black-Scholes model. Zbl 1395.91463Pirjol, Dan; Zhu, Lingjiong 3 2018 Option pricing in the variance-gamma model under the drift jump. Zbl 1395.91449Ivanov, Roman V. 2 2018 Local risk-minimization with multiple assets under illiquidity with applications in energy markets. Zbl 1395.91434Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo 2 2018 Mean reversion trading with sequential deadlines and transaction costs. Zbl 1395.91411Kitapbayev, Yerkin; Leung, Tim 2 2018 Smooth upper bounds for the price function of American style options. Zbl 1395.91431Bhim, Louis; Kawai, Reiichiro 2 2018 Bank panics and fire sales, insolvency and illiquidity. Zbl 1416.91415Hurd, T. R. 1 2018 An empirical approach to financial crisis indicators based on random matrices. Zbl 1398.91682Douady, Raphael; Kornprobst, Antoine 1 2018 First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment. Zbl 1398.91614Saporito, Yuri F. 1 2018 Lévy-Vasicek models and the long-bond return process. Zbl 1398.91623Brody, Dorje C.; Hughston, Lane P.; Meier, David M. 1 2018 Efficient long-dated swaption volatility approximation in the forward-LIBOR model. Zbl 1395.91476Van Appel, Jacques; Mcwalter, Thomas A. 1 2018 Corrigendum to: “Pricing and valuation under the real-world measure”. Zbl 1395.91403Frahm, Gabriel 1 2018 Shortfall risk minimization under fixed transaction costs. Zbl 1396.91699Nayman, Niv 1 2018 Arbitrage pricing theory in ergodic markets. Zbl 1396.91822Frahm, Gabriel 1 2018 Quanto pricing in stochastic correlation models. Zbl 1396.91765Teng, Long; Ehrhardt, Matthias; Günther, Michael 1 2018 A dynamic model of central counterparty risk. Zbl 1419.91646Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi 1 2018 Decomposition formula for jump diffusion models. Zbl 1419.91652Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J. 1 2018 Double spend races. Zbl 1419.91669Grunspan, Cyril; Pérez-Marco, Ricardo 1 2018 On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu 1 2018 Multivariate option pricing models with Lévy and Sato VG marginal processes. Zbl 1395.91444Guillaume, Florence 1 2018 Dynamic mean-variance optimization problems with deterministic information. Zbl 1395.91420Schweizer, Martin; Zivoi, Danijel; Šikić, Mario 1 2018 Kyle-Back’s model with a random horizon. Zbl 1395.91435Corcuera, José Manuel; Di Nunno, Giulia 1 2018 Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448Hok, Julien; Ngare, Philip; Papapantoleon, Antonis 1 2018 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266Kromer, Eduard; Overbeck, Ludger 14 2017 Set-valued shortfall and divergence risk measures. Zbl 1396.91807Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 13 2017 Robust asset allocation for long-term target-based investing. Zbl 1396.91686Forsyth, P. A.; Vetzal, K. R. 8 2017 A generalized contagion process with an application to credit risk. Zbl 1396.91788Dassios, Angelos; Zhao, Hongbiao 6 2017 Affine models with stochastic market price of risk. Zbl 1396.91784Rebonato, Riccardo 6 2017 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 5 2017 Measuring and monitoring the efficiency of markets. Zbl 1395.91459Madan, Dilip B.; Schoutens, Wim; Wang, King 5 2017 Convex regularization of local volatility estimation. Zbl 1396.91711Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P. 4 2017 Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift. Zbl 1396.91703Sass, Jörn; Westphal, Dorothee; Wunderlich, Ralf 4 2017 Tighter bounds for implied volatility. Zbl 1396.91729Gatheral, Jim; Matić, Ivan; Radoičić, Radoš; Stefanica, Dan 4 2017 Irreversible investments and ambiguity aversion. Zbl 1415.91305Cartea, Álvaro; Jaimungal, Sebastian 4 2017 Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy 4 2017 General semi-Markov model for limit order books. Zbl 1396.91764Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia 3 2017 On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257Cong, F.; Oosterlee, C. W. 3 2017 An explicit implied volatility formula. Zbl 1415.91290Stefanica, Dan; Radoičić, Radoš 3 2017 On cash settled IRR-swaptions and Markov functional modeling. Zbl 1360.91138Bermin, Hans-Peter; Williams, Gareth 2 2017 Conic trading in a Markovian steady state. Zbl 1390.91304Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim 2 2017 ...and 702 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,305 Authors 56 Siu, Tak Kuen 41 Elliott, Robert James 33 Madan, Dilip B. 32 Zhu, Songping 29 Platen, Eckhard 28 Levendorskiĭ, Sergeĭ Zakharovich 25 Jeanblanc, Monique 25 Sornette, Didier 24 Crepey, Stephane 23 Yang, Hailiang 22 Benth, Fred Espen 22 Brigo, Damiano 20 Cui, Zhenyu 20 Oosterlee, Cornelis Willebrordus 20 Schoutens, Wim 20 Takahashi, Akihiko 19 Bielecki, Tomasz R. 19 Kwok, Yue-Kuen 17 Ceci, Claudia 17 Wang, Yongjin 16 Dong, Yinghui 16 Pistorius, Martijn R. 16 Rutkowski, Marek 15 Biagini, Francesca 15 Bo, Lijun 15 Fontana, Claudio 15 Forsyth, Peter A. 15 Jacquier, Antoine 15 Jaimungal, Sebastian 15 Linetsky, Vadim 15 Ma, Jingtang 14 Capponi, Agostino 14 Company, Rafael 14 Leonenko, Nikolai N. 14 Leung, Tim 14 Wang, Guojing 13 Colaneri, Katia 13 Gulisashvili, Archil 13 He, Xinjiang 13 Horst, Ulrich 13 Jódar Sanchez, Lucas Antonio 13 Macrina, Andrea 13 Protter, Philip Elliott 13 Scherer, Matthias 13 Yamazaki, Kazutoshi 13 Yin, Gang George 13 Zagst, Rudi 12 Boyarchenko, Svetlana I. 12 Cartea, Álvaro 12 Eberlein, Ernst W. 12 Fabozzi, Frank J. 12 Jarrow, Robert Alan 12 Korn, Ralf 12 Kupper, Michael 12 Pagliarani, Stefano 12 Pascucci, Andrea 12 Rudloff, Birgit 12 Sircar, Ronnie 12 Vulkov, Lubin G. 12 Zeng, Yong 11 Brody, Dorje C. 11 Chan, Leunglung 11 Dang, Duy Minh 11 Fouque, Jean-Pierre 11 Gapeev, Pavel V. 11 Hainaut, Donatien 11 Hughston, Lane P. 11 Mariani, Maria Cristina 11 Meyer-Brandis, Thilo 11 Runggaldier, Wolfgang J. 11 Westerhoff, Frank H. 10 Bormetti, Giacomo 10 Cialenco, Igor 10 Cont, Rama 10 Dassios, Angelos 10 Frey, Rüdiger 10 Gnoatto, Alessandro 10 Jiao, Ying 10 Lu, Xiaoping 10 Mamon, Rogemar S. 10 Obloj, Jan K. 10 Overbeck, Ludger 10 Pallavicini, Andrea 10 Swishchuk, Anatoliy 10 Zhang, Hongzhong 9 Ballestra, Luca Vincenzo 9 Bäuerle, Nicole 9 Bayraktar, Erhan 9 Bender, Christian 9 Bernard, Carole L. 9 Carr, Peter P. 9 Escobar, Marcos 9 Feinstein, Zachary 9 Filipović, Damir 9 Gobet, Emmanuel 9 Grzelak, Lech A. 9 Kallsen, Jan 9 Khaliq, Abdul Q. M. 9 Kim, Jeong-Hoon 9 Kouritzin, Michael A. ...and 4,205 more Authors all top 5 Cited in 358 Journals 462 International Journal of Theoretical and Applied Finance 329 Quantitative Finance 123 Finance and Stochastics 108 Insurance Mathematics & Economics 101 Mathematical Finance 96 SIAM Journal on Financial Mathematics 93 European Journal of Operational Research 93 Stochastic Processes and their Applications 93 Applied Mathematical Finance 84 Journal of Economic Dynamics & Control 83 Journal of Computational and Applied Mathematics 72 Mathematics and Financial Economics 70 Physica A 48 Asia-Pacific Financial Markets 45 Stochastic Analysis and Applications 45 Annals of Operations Research 44 International Journal of Computer Mathematics 42 Applied Mathematics and Computation 39 Statistics & Probability Letters 39 The Annals of Applied Probability 39 Annals of Finance 35 Journal of Applied Probability 35 Decisions in Economics and Finance 34 Mathematical Methods of Operations Research 32 Computers & Mathematics with Applications 32 Review of Derivatives Research 30 Stochastics 29 Methodology and Computing in Applied Probability 28 Advances in Applied Probability 28 Journal of Mathematical Analysis and Applications 27 Applied Mathematics and Optimization 23 Chaos, Solitons and Fractals 23 Journal of Optimization Theory and Applications 20 Mathematical Problems in Engineering 20 Computational Management Science 19 Mathematics of Operations Research 19 Communications in Statistics. 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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 6 International Journal of Control 6 Lithuanian Mathematical Journal 6 Mathematical Methods in the Applied Sciences 6 The Annals of Probability 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 Applied Numerical Mathematics 6 Journal of Scientific Computing 6 European Journal of Applied Mathematics 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): Probability and Statistics ...and 258 more Journals all top 5 Cited in 51 Fields 3,127 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,696 Probability theory and stochastic processes (60-XX) 544 Statistics (62-XX) 406 Numerical analysis (65-XX) 321 Systems theory; control (93-XX) 251 Partial differential equations (35-XX) 250 Operations research, mathematical programming (90-XX) 142 Calculus of variations and optimal control; optimization (49-XX) 46 Statistical mechanics, structure of matter (82-XX) 37 Approximations and expansions (41-XX) 36 Dynamical systems and ergodic theory (37-XX) 36 Integral equations (45-XX) 33 Integral transforms, operational calculus (44-XX) 32 Ordinary differential equations (34-XX) 30 Computer science (68-XX) 29 Information and communication theory, circuits (94-XX) 27 Harmonic analysis on Euclidean spaces (42-XX) 23 Real functions (26-XX) 21 Operator theory (47-XX) 20 Linear and multilinear algebra; matrix theory (15-XX) 20 Measure and integration (28-XX) 20 Functional analysis (46-XX) 20 Biology and other natural sciences (92-XX) 16 Combinatorics (05-XX) 15 Quantum theory (81-XX) 10 Special functions (33-XX) 9 Fluid mechanics (76-XX) 6 Difference and functional equations (39-XX) 6 Geophysics (86-XX) 5 Functions of a complex variable (30-XX) 4 General and overarching topics; collections (00-XX) 4 Number theory (11-XX) 4 Global analysis, analysis on manifolds (58-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 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) Citations by Year