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. all top 5 Latest Issues 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) 12, No. 5 (2009) 12, No. 4 (2009) 12, No. 3 (2009) 12, No. 2 (2009) 12, No. 1 (2009) ...and 72 more Volumes all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1107.91325Buffington, John; Elliott, Robert J. 198 2002 Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072Lux, Thomas; Marchesi, Michele 90 2000 Option pricing for truncated Lévy processes. Zbl 0973.91037Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. 62 2000 The spectral decomposition of the option value. Zbl 1107.91051Linetsky, Vadim 57 2004 Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147Cheridito, Patrick; Kupper, Michael 55 2011 The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283Broadie, Mark; Jain, Ashish 54 2008 Insider trading in a continuous time market model. Zbl 0909.90023Grorud, Axel; Pontier, Monique 50 1998 Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148Madan, Dilip B.; Cherny, Alexander 47 2010 Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009Derman, Emanuel; Kani, Iraj 45 1998 A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610Frey, Rüdiger; Runggaldier, Wolfgang J. 45 2001 Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206Brigo, Damiano; Chourdakis, Kyriakos 43 2009 A multivariate variance gamma model for financial applications. Zbl 1152.91548Semeraro, Patrizia 42 2008 Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290Forde, Martin; Jacquier, Antoine 41 2009 Random matrix theory and financial correlations. Zbl 0970.91059Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe 41 2000 Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403Gatheral, Jim; Schied, Alexander 40 2011 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 36 2005 Pricing of the American put under Lévy processes. Zbl 1107.91050Levendorskiĭ, S. Z. 35 2004 Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345Sepp, Artur 34 2004 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 32 2000 Equilibrium prices for monetary utility functions. Zbl 1151.91608Filipović, Damir; Kupper, Michael 28 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 28 2009 Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130Frey, Rüdiger; Backhaus, Jochen 27 2008 High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024Düring, Bertram; Fournié, Michel; Jüngel, Ansgar 27 2003 New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127Khaliq, A. Q. M.; Liu, R. H. 27 2009 Regime-switching recombining tree for option pricing. Zbl 1233.91284Liu, R. H. 26 2010 Financial signal processing: a self calibrating model. Zbl 1153.91491Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M. 26 2001 A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175Ehrhardt, Matthias; Mickens, Ronald E. 26 2008 Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B. 24 2012 Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024Avellaneda, Marco 24 1998 Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020Cont, Rama 23 2005 Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451Ikonen, Samuli; Toivanen, Jari 23 2007 Information-based asset pricing. Zbl 1152.91487Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea 23 2008 Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324Brigo, Damiano; Mercurio, Fabio 22 2002 A mathematical approach to order book modeling. Zbl 1292.91197Abergel, Frédéric; Jedidi, Aymen 22 2013 A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415Zhu, Song-Ping 21 2006 Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465Matacz, Andrew 21 2000 Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086Mercurio, Fabio 20 2010 Utility maximization in affine stochastic volatility models. Zbl 1198.91192Kallsen, Jan; Muhle-Karbe, Johannes 20 2010 Self exciting threshold interest rates models. Zbl 1140.91384Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 20 2006 Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203Bordag, L. A.; Chmakova, A. Y. 20 2007 Asymmetrical information and incomplete markets. Zbl 1154.91542Grorud, Axel; Pontier, Monique 20 2001 The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. 20 2014 Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101Andersen, Leif; Lipton, Alexander 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 Optimal portfolios under the threat of a crash. Zbl 1111.91318Korn, Ralf; Wilmott, Paul 18 2002 Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie 18 2013 Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050Lo, C. F.; Yuen, P. H.; Hui, C. H. 18 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 Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156Leung, Tim; Li, Xin 17 2015 The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309Benth, Fred Espen; Šaltytė-Benth, Jūratė 17 2004 Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308van Haastrecht, Alexander; Pelsser, Antoon 17 2010 Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191Meyer-Brandis, Thilo; Tankov, Peter 17 2008 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313Platen, Eckhard 16 2004 Expansion formulas for European options in a local volatility model. Zbl 1205.91153Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 16 2010 Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159Fujii, Masaaki; Takahashi, Akihiko 16 2012 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 Mean-variance hedging for partially observed drift processes. Zbl 1153.91554Pham, Huyên 16 2001 An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177Löhne, Andreas; Rudloff, Birgit 15 2014 Option pricing with VG-like models. Zbl 1175.91178Finlay, Richard; Seneta, Eugene 15 2008 Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071Ramponi, Alessandro 15 2012 Pricing Parisian-style options with a lattice method. Zbl 1153.91459Avellaneda, Marco; Wu, Lixin 15 1999 The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513Hugonnier, Julien-N. 15 1999 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 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 14 2019 Portfolio optimization under partial information with expert opinions. Zbl 1236.91126Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf 14 2012 Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331Elliott, Robert; Hinz, Juri 14 2002 Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036Korn, Ralf; Kraft, Holger 14 2003 Stochastic portfolio optimization with log utility. Zbl 1138.91468Pang, Tao 14 2006 Conditional certainty equivalent. Zbl 1213.91170Frittelli, Marco; Maggis, Marco 14 2011 Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188Hurd, T. R. 14 2009 A risk-neutral stochastic volatility model. Zbl 0909.90036Zhu, Yingzi; Avellaneda, Marco 14 1998 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 Stress testing the resilience of financial networks. Zbl 1236.91137Amini, Hamed; Cont, Rama; Minca, Andreea 13 2012 A closer look at the Epps effect. Zbl 1079.91537Renò, Roberto 13 2003 Approximating Lévy processes with a view to option pricing. Zbl 1206.91079Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar 13 2010 An analysis of the supply curve for liquidity risk through book data. Zbl 1194.91197Blais, Marcel; Protter, Philip 13 2010 A structural risk-neutral model of electricity prices. Zbl 1188.91069Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar 13 2009 Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177Boyarchenko, Mitya; Levendorskiĭ, Sergei 13 2009 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029Mania, M.; Tevzadze, R. 13 2003 Pricing multi-asset options with an external barrier. Zbl 0987.91030Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong 13 1998 Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020Buckley, I. R. C.; Korn, R. 13 1998 A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans 13 2012 On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036Djehiche, Boualem; Hamadène, Said 13 2009 Lévy simple structural models. Zbl 1291.91218Baxter, Martin 12 2007 Pricing and hedging in a dynamic credit model. Zbl 1291.91223Elouerkhaoui, Youssef 12 2007 Set-valued shortfall and divergence risk measures. Zbl 1396.91807Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 12 2017 The heat-kernel most-likely-path approximation. Zbl 1236.91147Gatheral, Jim; Wang, Tai-Ho 12 2012 A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi 12 2012 The entropy theory of bond option pricing. Zbl 1107.91337Gulko, Les 12 2002 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 12 2004 Calibrated option bounds. Zbl 1100.91045King, Alan J.; Koivu, Matti; Pennanen, Teemu 12 2005 The entropy theory of stock option pricing. Zbl 1153.91503Gulko, Les 12 1999 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266Kromer, Eduard; Overbeck, Ludger 12 2017 Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios 12 2011 Hedging (co)variance risk with variance swaps. Zbl 1282.91299Da Fonseca, José; Grasselli, Martino; Ielpo, Florian 12 2011 Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160Fontana, Claudio 11 2015 The CARMA interest rate model. Zbl 1290.91170Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy 11 2014 Robust bounds for derivative prices in Markovian models. Zbl 1447.91183Sester, Julian 2 2020 On time consistency for mean-variance portfolio selection. Zbl 1457.91352Vigna, Elena 2 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 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 Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403Njike Leunga, Charles Guy; Hainaut, Donatien 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 14 2019 Rational approximation of the rough Heston solution. Zbl 1458.91211Gatheral, Jim; Radoičić, Radoš 5 2019 A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645Lejay, Antoine; Pigato, Paolo 3 2019 Numerical stability of a hybrid method for pricing options. Zbl 1430.91129Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino 2 2019 Optimal liquidation under stochastic price impact. Zbl 1411.91477Barger, Weston; Lorig, Matthew 2 2019 Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634Chen, Yanhong; Hu, Yijun 2 2019 Defaultable claims in switching models with partial information. Zbl 1411.91599Gapeev, Pavel V.; Jeanblanc, Monique 2 2019 Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605Bouzianis, George; Hughston, Lane P. 2 2019 Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113Lars Kirkby, J.; Deng, Shi-Jie 1 2019 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 1 2019 Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar 1 2019 Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249Jevtić, Petar; Marena, Marina; Semeraro, Patrizia 1 2019 Equilibrium asset returns in financial markets. Zbl 1411.91520Madan, Dilip B.; Schoutens, Wim 1 2019 Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563Jafari, Hossein; Rahimi, Ghazaleh 1 2019 Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615Boyarchenko, Svetlana; Levendorskiĭ, Sergei 1 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 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 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 American options and incomplete information. Zbl 1426.91265Ekström, Erik; Vannestål, Martin 1 2019 Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604Avellaneda, M.; Papanicolaou, A. 1 2019 Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622Neufeld, Ariel 4 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 Option pricing in the variance-gamma model under the drift jump. Zbl 1395.91449Ivanov, Roman V. 2 2018 Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. Zbl 1395.91501Patel, Kuldip Singh; Mehra, Mani 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 Pricing temperature derivatives under weather forecasts. Zbl 1396.91734Hess, Markus 2 2018 XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar 2 2018 Mean reversion trading with sequential deadlines and transaction costs. Zbl 1395.91411Kitapbayev, Yerkin; Leung, Tim 2 2018 Sensitivities of Asian options in the Black-Scholes model. Zbl 1395.91463Pirjol, Dan; Zhu, Lingjiong 2 2018 Smooth upper bounds for the price function of American style options. Zbl 1395.91431Bhim, Louis; Kawai, Reiichiro 2 2018 Bayesian inference for the tangent portfolio. Zbl 1419.91576Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema 2 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 Bank panics and fire sales, insolvency and illiquidity. Zbl 1416.91415Hurd, T. R. 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 Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430Altay, Sühan; Colaneri, Katia; Eksi, Zehra 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 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 Set-valued shortfall and divergence risk measures. Zbl 1396.91807Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 12 2017 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266Kromer, Eduard; Overbeck, Ludger 12 2017 Robust asset allocation for long-term target-based investing. Zbl 1396.91686Forsyth, P. A.; Vetzal, K. R. 8 2017 Affine models with stochastic market price of risk. Zbl 1396.91784Rebonato, Riccardo 6 2017 A generalized contagion process with an application to credit risk. Zbl 1396.91788Dassios, Angelos; Zhao, Hongbiao 5 2017 Tighter bounds for implied volatility. Zbl 1396.91729Gatheral, Jim; Matić, Ivan; Radoičić, Radoš; Stefanica, Dan 4 2017 Super-hedging American options with semi-static trading strategies under model uncertainty. Zbl 1396.91716Bayraktar, Erhan; Zhou, Zhou 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 Convex regularization of local volatility estimation. Zbl 1396.91711Albani, Vinicius; De Cezaro, Adriano; Zubelli, Jorge P. 4 2017 On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization. Zbl 1415.91257Cong, F.; Oosterlee, C. W. 3 2017 Irreversible investments and ambiguity aversion. Zbl 1415.91305Cartea, Álvaro; Jaimungal, Sebastian 3 2017 An explicit implied volatility formula. Zbl 1415.91290Stefanica, Dan; Radoičić, Radoš 3 2017 Measuring and monitoring the efficiency of markets. Zbl 1395.91459Madan, Dilip B.; Schoutens, Wim; Wang, King 3 2017 Integral representation of probability density of stochastic volatility models and timer options. Zbl 1395.91436Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy 3 2017 Stationary distribution of the volume at the best quote in a Poisson order book model. Zbl 1396.91766Toke, Ioane Muni 2 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 Equilibrium equity price with optimal dividend policy. Zbl 1360.91162Yamazaki, Akira 2 2017 General semi-Markov model for limit order books. Zbl 1396.91764Swishchuk, Anatoliy; Hofmeister, Tyler; Cera, Katharina; Schmidt, Julia 2 2017 Functional analytic (ir-)regularity properties of SABR-type processes. Zbl 1396.91579Döring, Leif; Horvath, Blanka; Teichmann, Josef 2 2017 Selling at the ultimate maximum in a regime-switching model. Zbl 1396.91750Liu, Yue; Privault, Nicolas 2 2017 Wrong-way risk CVA models with analytical EPE profiles under Gaussian exposure dynamics. Zbl 1415.91303Vrins, Frédéric 2 2017 Rise and fall of synthetic CDO market: lessons learned. Zbl 1395.62323Jabłecki, Juliusz 2 2017 Extremal behavior of long-term investors with power utility. Zbl 1396.91674Bäuerle, Nicole; Grether, Stefanie 1 2017 Ultra-fast pricing barrier options and CDSs. Zbl 1396.91749Levendorskiĭ, Sergei 1 2017 On mean-variance hedging under partial observations and terminal wealth constraints. Zbl 1396.91695Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya 1 2017 Analytic pricing of CoCo bonds. Zbl 1396.91767Turfus, Colin; Shubert, Alexander 1 2017 Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation. Zbl 1396.62240Belomestny, Denis; Härdle, Wolfgang Karl; Krymova, Ekaterina 1 2017 Derivative pricing with collateralization and FX market dislocations. Zbl 1396.91753Moreni, Nicola; Pallavicini, Andrea 1 2017 Implicit transaction costs and the fundamental theorems of asset pricing. Zbl 1396.91673Allaj, Erindi 1 2017 Efficient piecewise trees for the generalized skew Vasicek model with discontinuous drift. Zbl 1396.91775Zhuo, Xiaoyang; Menoukeu-Pamen, Olivier 1 2017 Lost in contagion? Building a liquidation index from covariance dynamics. Zbl 1396.91816Wagalath, Lakshithe 1 2017 Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching. Zbl 1396.91762Safarov, Nemat; Atkinson, Colin 1 2017 Robust trading of implied skew. Zbl 1422.91717Nadtochiy, Sergey; Obłój, Jan 1 2017 Performance analysis of the optimal strategy under partial information. Zbl 1360.91131Ayed, Ahmed Bel Hadj; Loeper, Grégoire; El Aoud, Sofiene; Abergel, Frédéric 1 2017 On the calculation of risk measures using least-squares Monte Carlo. Zbl 1396.91797Benedetti, Giuseppe 1 2017 Optimal investment in hedge funds under loss aversion. Zbl 1396.91709Zou, Bin 1 2017 Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method. Zbl 1415.91318Leung, Chi Man; Kwok, Yue Kuen 1 2017 Algorithmic trading with learning. Zbl 1396.91720Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir 9 2016 Generalized BN-S stochastic volatility model for option pricing. Zbl 1403.91351Sengupta, Indranil 8 2016 Strong bubbles and strict local martingales. Zbl 1350.91019Herdegen, Martin; Schweizer, Martin 6 2016 Algorithmic trading of co-integrated assets. Zbl 1396.91679Cartea, Álvaro; Jaimungal, Sebastian 6 2016 On the Heston model with stochastic correlation. Zbl 1396.91580Teng, Long; Ehrhardt, Matthias; Günther, Michael 6 2016 ...and 668 more Documents all cited Publications top 5 cited Publications all top 5 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 all top 5 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. 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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 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 all top 5 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) Citations by Year