SIAM Journal on Financial Mathematics Short Title: SIAM J. Financ. Math. Publisher: Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA ISSN: 1945-497X/e Online: http://epubs.siam.org/loi/sjfmbj Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2010). Documents Indexed: 452 Publications (since 2010) References Indexed: 293 Publications with 9,722 References. all top 5 Latest Issues 13, No. 2 (2022) 13, No. 1 (2022) 12, No. 4 (2021) 12, No. 3 (2021) 12, No. 2 (2021) 12, No. 1 (2021) 11, No. 4 (2020) 11, No. 3 (2020) 11, No. 2 (2020) 11, No. 1 (2020) 10, No. 4 (2019) 10, No. 3 (2019) 10, No. 2 (2019) 10, No. 1 (2019) 9, No. 4 (2018) 9, No. 3 (2018) 9, No. 2 (2018) 9, No. 1 (2018) 8 (2017) 7 (2016) 6 (2015) 5 (2014) 4 (2013) 3 (2012) 2 (2011) 1 (2010) all top 5 Authors 15 Jacquier, Antoine 10 Jaimungal, Sebastian 9 Bayraktar, Erhan 8 Cartea, Álvaro 8 Fouque, Jean-Pierre 8 Lorig, Matthew J. 8 Reisinger, Christoph 7 Tankov, Peter 6 Forde, Martin 6 Ludkovski, Michael 6 Zariphopoulou, Thaleia 5 Bensoussan, Alain 5 Benth, Fred Espen 5 Biagini, Francesca 5 Carr, Peter P. 5 Chen, Xinfu 5 Cont, Rama 5 Feinstein, Zachary 5 Obloj, Jan K. 5 Oosterlee, Cornelis Willebrordus 5 Rosenbaum, Mathieu 5 Sircar, Ronnie 5 Wong, Hoi Ying 5 Young, Virginia R. 4 Bayer, Christian 4 Crepey, Stephane 4 De Marco, Stefano 4 Dolinsky, Yan 4 Filipović, Damir 4 Forsyth, Peter A. 4 Horst, Ulrich 4 Jarrow, Robert Alan 4 Meyer-Brandis, Thilo 4 Muhle-Karbe, Johannes 4 Nadtochiy, Sergey 4 Schied, Alexander 4 Schoenmakers, John G. M. 4 Zhou, Zhou 3 Abergel, Frédéric 3 Alfonsi, Aurélien 3 Alòs, Elisa 3 Bank, Peter 3 Belomestny, Denis 3 Bichuch, Maxim 3 Bouchard, Bruno 3 Capponi, Agostino 3 Chassagneux, Jean-François 3 Cheridito, Patrick 3 Dai, Min 3 El Karoui, Nicole 3 Frittelli, Marco 3 Garnier, Josselin 3 Glau, Kathrin 3 Gnoatto, Alessandro 3 Gobet, Emmanuel 3 Guasoni, Paolo 3 Guéant, Olivier 3 Gulisashvili, Archil 3 Hambly, Ben M. 3 Howison, Samuel Dexter 3 Kardaras, Constantinos 3 Lamberton, Damien 3 Larsson, Martin 3 Lehalle, Charles-Albert 3 Martini, Claude 3 Pham, Huyên 3 Roome, Patrick 3 Sturm, Stephan 3 Sulem, Agnès 3 Teichmann, Josef 3 Wang, Ruodu 3 Xing, Hao 3 Xu, Zuoquan 3 Zhang, Hongzhong 3 Zheng, Harry H. 2 Amini, Hamed 2 Angoshtari, Bahman 2 Arai, Takuji 2 Armenti, Yannick 2 Armstrong, John 2 Bäuerle, Nicole 2 Bellini, Fabio 2 Bian, Baojun 2 Bielecki, Tomasz R. 2 Bressan, Alberto 2 Burzoni, Matteo 2 Campi, Luciano 2 Cesaroni, Annalisa 2 Chen, Kexin 2 Chiu, Mei Choi 2 Colaneri, Katia 2 Cozma, Andrei 2 Czichowsky, Christoph 2 Dang, Duy Minh 2 Detering, Nils 2 Dixon, Matthew F. 2 El Euch, Omar 2 Feng, Liming 2 Figueroa-López, José E. 2 Friz, Peter Karl ...and 625 more Authors all top 5 Fields 442 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 259 Probability theory and stochastic processes (60-XX) 78 Systems theory; control (93-XX) 67 Numerical analysis (65-XX) 60 Calculus of variations and optimal control; optimization (49-XX) 49 Statistics (62-XX) 40 Partial differential equations (35-XX) 35 Operations research, mathematical programming (90-XX) 9 Functional analysis (46-XX) 7 Approximations and expansions (41-XX) 6 Integral equations (45-XX) 6 Computer science (68-XX) 4 Combinatorics (05-XX) 4 Ordinary differential equations (34-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Real functions (26-XX) 3 Operator theory (47-XX) 2 Special functions (33-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Functions of a complex variable (30-XX) 1 Convex and discrete geometry (52-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 346 Publications have been cited 3,152 times in 2,170 Documents Cited by ▼ Year ▼ Affine point processes and portfolio credit risk. Zbl 1200.91296Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. 83 2010 On the Heston model with stochastic interest rates. Zbl 1229.91338Grzelak, Lech A.; Oosterlee, Cornelis W. 72 2011 Duality for set-valued measures of risk. Zbl 1197.91112Hamel, Andreas H.; Heyde, Frank 72 2010 Time-consistent portfolio management. Zbl 1257.91040Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 65 2012 Price dynamics in a Markovian limit order market. Zbl 1288.91092Cont, Rama; de Larrard, Adrien 64 2013 A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163Fang, Fang; Oosterlee, Cornelis W. 47 2011 Optimal execution in a general one-sided limit-order book. Zbl 1222.91062Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven 45 2011 A Fourier transform method for spread option pricing. Zbl 1188.91218Hurd, T. R.; Zhou, Zhuowei 43 2010 Time dependent Heston model. Zbl 1198.91203Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 39 2010 Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason 38 2014 The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461Forde, Martin; Jacquier, Antoine; Lee, Roger 37 2012 Measures of systemic risk. Zbl 1407.91284Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan 36 2017 Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005Crisan, D.; Manolarakis, K. 36 2012 Trend following trading under a regime switching model. Zbl 1198.91246Dai, M.; Zhang, Qing; Zhu, Q. J. 35 2010 Optimal portfolio liquidation with limit orders. Zbl 1262.91160Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 34 2012 Asymptotics for rough stochastic volatility models. Zbl 1422.91693Forde, Martin; Zhang, Hongzhong 33 2017 Robust hedging of double touch barrier options. Zbl 1228.91067Cox, A. M. G.; Obłój, Jan 32 2011 Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 32 2014 Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla 32 2012 Large deviations for a mean field model of systemic risk. Zbl 1283.60044Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei 31 2013 Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023Zhang, B.; Oosterlee, C. W. 31 2013 An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052Takahashi, Akihiko; Yamada, Toshihiro 31 2012 Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155Kirkby, J. Lars 30 2015 Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171Musiela, M.; Zariphopoulou, T. 30 2010 Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059Pennanen, Teemu; Penner, Irina 29 2010 Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031Almgren, Robert 28 2012 Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068Filipović, Damir; Tappe, Stefan; Teichmann, Josef 28 2010 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 27 2010 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 25 2018 Algorithmic trading with model uncertainty. Zbl 1407.91287Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 25 2017 Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025Alfonsi, Aurélien; Schied, Alexander 25 2010 Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545Gulisashvili, Archil 25 2010 Stability in a model of interbank lending. Zbl 1295.91099Fouque, Jean-Pierre; Ichiba, Tomoyuki 24 2013 Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151Bielecki, Tomasz R.; Rutkowski, Marek 23 2015 Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert 23 2011 Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert 23 2012 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 21 2018 Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C. 21 2011 The small-maturity smile for exponential Lévy models. Zbl 1257.91046Figueroa-López, José E.; Forde, Martin 21 2012 An efficient transform method for Asian option pricing. Zbl 1357.91053Kirkby, J. Lars 21 2016 Dual representation of quasi-convex conditional maps. Zbl 1232.46067Frittelli, Marco; Maggis, Marco 20 2011 Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390Bichuch, Maxim 20 2012 Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic 19 2017 Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu 19 2010 Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117Abergel, Frédéric; Jedidi, Aymen 19 2015 Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290Garnier, Josselin; Sølna, Knut 18 2017 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224Horst, Ulrich; Naujokat, Felix 18 2014 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200Giles, Michael B.; Reisinger, Christoph 18 2012 Path-dependence of leveraged ETF returns. Zbl 1193.91167Avellaneda, Marco; Zhang, Stanley 18 2010 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 17 2018 Optimal execution with multiplicative price impact. Zbl 1310.93083Guo, Xin; Zervos, Mihail 17 2015 Adjoint expansions in local Lévy models. Zbl 1285.60084Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia 17 2013 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 17 2013 Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David 17 2015 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189Fouque, Jean-Pierre; Lorig, Matthew J. 16 2011 Inverting analytic characteristic functions and financial applications. Zbl 1282.60021Feng, Liming; Lin, Xiong 16 2013 Multifactor approximation of rough volatility models. Zbl 1422.91765Jaber, Eduardo Abi; El Euch, Omar 16 2019 Stochastic gradient descent in continuous time. Zbl 1407.91258Sirignano, Justin; Spiliopoulos, Konstantinos 15 2017 Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054Zheng, Ban; Roueff, François; Abergel, Frédéric 15 2014 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 15 2014 Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285Bian, Baojun; Miao, Sheng; Zheng, Harry 15 2011 How to detect an asset bubble. Zbl 1239.91184Jarrow, Robert; Kchia, Younes; Protter, Philip 15 2011 Pricing Bermudan options in Lévy process models. Zbl 1287.91141Feng, Liming; Lin, Xiong 15 2013 Approaches to conditional risk. Zbl 1255.91178Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas 15 2012 Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi 15 2010 Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079Fusai, Gianluca; Marazzina, Daniele; Marena, Marina 14 2011 Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 14 2011 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 14 2012 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients. Zbl 1355.60072Chassagneux, Jean-François; Jacquier, Antoine; Mihaylov, Ivo 14 2016 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 13 2018 Systemic risk in interbanking networks. Zbl 1315.91065Bo, Lijun; Capponi, Agostino 13 2015 Shapes of implied volatility with positive mass at zero. Zbl 1407.91246De Marco, S.; Hillairet, C.; Jacquier, A. 13 2017 Utility maximization trading two futures with transaction costs. Zbl 1282.91296Bichuch, Maxim; Shreve, Steven 13 2013 On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051Reisinger, C.; Witte, J. H. 13 2012 Maturity-independent risk measures. Zbl 1230.91084Zariphopoulou, Thaleia; Žitković, Gordan 13 2010 How superadditive can a risk measure be? Zbl 1338.91080Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 13 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên 12 2014 Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090Bender, Christian 12 2011 Threshold-type policies for real options using regime-switching models. Zbl 1255.91444Bensoussan, Alain; Yan, ZhongFeng; Yin, G. 12 2012 Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu 12 2019 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148Liang, Gechun; Zariphopoulou, Thaleia 12 2017 High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172Fodra, Pietro; Pham, Huyên 11 2015 Sequential design for optimal stopping problems. Zbl 1320.91154Gramacy, Robert B.; Ludkovski, Michael 11 2015 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423Lorig, Matthew; Sircar, Ronnie 11 2016 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 11 2016 Asymptotics of forward implied volatility. Zbl 1339.60021Jacquier, Antoine; Roome, Patrick 11 2015 Approximation for option prices under uncertain volatility. Zbl 1341.60070Fouque, Jean-Pierre; Ren, Bin 11 2014 Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346Schoenmakers, John; Zhang, Jianing; Huang, Junbo 11 2013 An optimal dividend and investment control problem under debt constraints. Zbl 1290.91175Chevalier, Etienne; Vath, Vathana Ly; Scotti, Simone 11 2013 The effect of nonsmooth payoffs on the penalty approximation of American options. Zbl 1282.91330Howison, S. D.; Reisinger, C.; Witte, J. H. 11 2013 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Modeling the forward surface of mortality. Zbl 1255.91443Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 11 2012 Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173Ho, Michael; Sun, Zheng; Xin, Jack 11 2015 Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168Davis, Mark; Lleo, Sébastien 10 2011 Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph 10 2018 A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192Cartea, Álvaro; Jaimungal, Sebastian 10 2016 Default clustering in large pools: large deviations. Zbl 1397.60063Spiliopoulos, Konstantinos; Sowers, Richard B. 10 2015 The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678Azimzadeh, P.; Forsyth, P. A. 10 2015 An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162Gnoatto, Alessandro; Grasselli, Martino 10 2014 The shadow price of latency: improving intraday fill ratios in foreign exchange markets. Zbl 1461.91292Cartea, Álvaro; Sánchez-Betancourt, Leandro 3 2021 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126El Karoui, Nicole; Mrad, Mohamed 2 2021 On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 2 2021 Utility maximization when shorting American options. Zbl 1459.91209Zhou, Zhou 1 2021 A numerical scheme for the quantile hedging problem. Zbl 1459.91217Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph 1 2021 Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan 1 2021 Law-invariant functionals on general spaces of random variables. Zbl 1465.62156Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 1 2021 Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020Bank, Peter; Dolinsky, Yan 1 2021 Optimal trade execution in an order book model with stochastic liquidity parameters. Zbl 1471.91522Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail 1 2021 A unified approach to xVA with CSA discounting and initial margin. Zbl 1476.91140Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata 1 2021 Optimal market making with persistent order flow. Zbl 1476.91171Jusselin, Paul 1 2021 A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143Chen, Tao; Ludkovski, Michael 1 2021 Log-modulated rough stochastic volatility models. Zbl 1476.91196Bayer, Christian; Harang, Fabian A.; Pigato, Paolo 1 2021 Short communication: Dynamic default contagion in heterogeneous interbank systems. Zbl 1476.91210Feinstein, Zachary; Søjmark, Andreas 1 2021 Correlators of polynomial processes. Zbl 1479.91391Benth, Fred Espen; Lavagnini, Silvia 1 2021 Conditional systemic risk measures. Zbl 1479.91429Doldi, Alessandro; Frittelli, Marco 1 2021 Time-inconsistency with rough volatility. Zbl 1480.91266Han, Bingyan; Wong, Hoi Ying 1 2021 Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341Forsyth, Peter A. 7 2020 Volatility options in rough volatility models. Zbl 1443.91293Horvath, Blanka; Jacquier, Antoine; Tankov, Peter 5 2020 Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403Bäuerle, Nicole; Desmettre, Sascha 4 2020 Short communication: Inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280Acciaio, Beatrice; Guyon, Julien 3 2020 When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. Zbl 1443.91286Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi 3 2020 Risk aversion in regulatory capital principles. Zbl 1443.91254Mao, Tiantian; Wang, Ruodu 3 2020 Optimal execution with rough path signatures. Zbl 1443.91263Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez 2 2020 Risk-dependent centrality in economic and financial networks. Zbl 1444.91218Bartesaghi, Paolo; Benzi, Michele; Clemente, Gian Paolo; Grassi, Rosanna; Estrada, Ernesto 2 2020 Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. Zbl 1455.91260Dastgerdi, Maryam Vahid; Bastani, Ali Foroush 2 2020 Robust framework for quantifying the value of information in pricing and hedging. Zbl 1437.91424Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan 1 2020 Systemic risk in networks with a central node. Zbl 1443.91315Amini, Hamed; Filipović, Damir; Minca, Andreea 1 2020 On CIR equations with general factors. Zbl 1443.91283Barski, Michał; Zabczyk, Jerzy 1 2020 A risk-sharing framework of bilateral contracts. Zbl 1447.91176Lee, Junbeom; Sturm, Stephan; Zhou, Chao 1 2020 Black’s inverse investment problem and forward criteria with consumption. Zbl 1444.91199Källblad, Sigrid 1 2020 An analytical valuation framework for financial assets with trading suspensions. Zbl 1444.91209Fries, Christian; Torricelli, Lorenzo 1 2020 Deep-learning solution to portfolio selection with serially dependent returns. Zbl 1444.91202Tsang, Ka Ho; Wong, Hoi Ying 1 2020 Optimal investment with high-watermark fee in a multidimensional jump diffusion model. Zbl 1448.91272Janeček, Karel; Li, Zheng; Sîrbu, Mihai 1 2020 Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena 1 2020 Risk measures and progressive enlargement of filtration: a BSDE approach. Zbl 1452.91331Calvia, Alessandro; Gianin, Emanuela Rosazza 1 2020 European options in a nonlinear incomplete market model with default. Zbl 1452.91308Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès 1 2020 The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291Ruf, Johannes; Xie, Kangjianan 1 2020 Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. Zbl 1452.91325Glau, Kathrin; Kressner, Daniel; Statti, Francesco 1 2020 A multifactor polynomial framework for long-term electricity forwards with delivery period. Zbl 1452.91310Kleisinger-Yu, Xi; Komaric, Vlatka; Larsson, Martin; Regez, Markus 1 2020 Informational efficiency with trading constraints: a characterization. Zbl 1461.91301Jarrow, Robert; Larsson, Martin 1 2020 Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. Zbl 1455.91258Jacquier, Antoine; Torricelli, Lorenzo 1 2020 Multifactor approximation of rough volatility models. Zbl 1422.91765Jaber, Eduardo Abi; El Euch, Omar 16 2019 Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu 12 2019 Managing default contagion in inhomogeneous financial networks. Zbl 07135131Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 6 2019 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 6 2019 Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644Kusnetsov, Michael; Veraart, Luitgard Anna Maria 6 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2019 Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2019 Optimization of fire sales and borrowing in systemic risk. Zbl 1411.91639Bichuch, Maxim; Feinstein, Zachary 5 2019 Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying 4 2019 Optimal investment with transient price impact. Zbl 1429.91302Bank, Peter; Voß, Moritz 4 2019 The randomized Heston model. Zbl 1411.91562Jacquier, Antoine; Shi, Fangwei 4 2019 Hedge and speculate: replicating option payoffs with limit and market orders. Zbl 1427.91268Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian 3 2019 Obligations with physical delivery in a multilayered financial network. Zbl 1471.91606Feinstein, Zachary 2 2019 The robust superreplication problem: a dynamic approach. Zbl 1435.91182Carassus, Laurence; Obłój, Jan; Wiesel, Johannes 2 2019 A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803Horst, Ulrich; Xu, Wei 2 2019 Equilibrium strategies for alpha-maxmin expected utility maximization. Zbl 1422.91806Li, Bin; Luo, Peng; Xiong, Dewen 2 2019 Financial asset bubbles in banking networks. Zbl 1422.91798Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo 2 2019 Trading fractional Brownian motion. Zbl 1429.91290Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS 2 2019 Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method. Zbl 1411.91618Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph 2 2019 Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. Zbl 1433.91152Chen, Kexin; Chiu, Mei Choi; Shin, Yong Hyun; Wong, Hoi Ying 1 2019 A nonuniformly integrable martingale bubble with a crash. Zbl 1429.91340Schatz, Michael; Sornette, Didier 1 2019 Erratum to: “Stochastic evolution equations for large portfolios of stochastic volatility models”. Zbl 1471.91497Hambly, Ben; Kolliopoulos, Nikolaos 1 2019 A mean-variance approach to capital investment optimization. Zbl 1411.91481Bensoussan, Alain; Hoe, SingRu (Celine); Yan, Zhongfeng 1 2019 Portfolio optimization for a large investor controlling market sentiment under partial information. Zbl 1417.91431Altay, Sühan; Colaneri, Katia; Eksi, Zehra 1 2019 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 25 2018 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 21 2018 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 17 2018 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 13 2018 Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph 10 2018 Model-free portfolio theory and its functional master formula. Zbl 1416.91363Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna 8 2018 Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376Gulisashvili, Archil 8 2018 Worst-case range value-at-risk with partial information. 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Zbl 1416.91351Jacquier, Antoine; Liu, Hao 1 2018 ...and 246 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,518 Authors 24 Jaimungal, Sebastian 24 Oosterlee, Cornelis Willebrordus 22 Yamada, Toshihiro 21 Cartea, Álvaro 19 Cui, Zhenyu 18 Jacquier, Antoine 18 Lorig, Matthew J. 17 Forsyth, Peter A. 17 Rudloff, Birgit 17 Spiliopoulos, Konstantinos V. 17 Wong, Hoi Ying 16 Feinstein, Zachary 16 Horst, Ulrich 16 Muhle-Karbe, Johannes 15 Gulisashvili, Archil 15 Kupper, Michael 15 Obloj, Jan K. 15 Sircar, Ronnie 14 Biagini, Francesca 14 Fouque, Jean-Pierre 14 Leung, Tim 14 Schied, Alexander 13 Jentzen, Arnulf 13 Reisinger, Christoph 13 Wei, Jiaqin 12 Benth, Fred Espen 12 Dang, Duy Minh 12 Gobet, Emmanuel 12 Soner, Halil Mete 12 Tankov, Peter 12 Zariphopoulou, Thaleia 11 Guéant, Olivier 11 Hu, Yijun 11 Meyer-Brandis, Thilo 11 Pascucci, Andrea 11 Pham, Huyên 11 Rásonyi, Miklós 11 Rutkowski, Marek 11 Wang, Ruodu 11 Zheng, Harry H. 11 Zhu, Lingjiong 10 Bayraktar, Erhan 10 Cox, Alexander Matthew Gordon 10 Crepey, Stephane 10 Figueroa-López, José E. 10 Fukasawa, Masaaki 10 Hamel, Andreas H. 10 Ludkovski, Michael 10 Pagliarani, Stefano 10 Rosenbaum, Mathieu 10 Zeng, Yan 10 Zhou, Zhou 9 Dolinsky, Yan 9 Ekström, Erik 9 Frittelli, Marco 9 Guasoni, Paolo 9 Keller-Ressel, Martin 9 Kwok, Yue-Kuen 9 Ma, Jingtang 9 Molchanov, Ilya S. 9 Pennanen, Teemu 9 Sirignano, Justin A. 9 Takahashi, Akihiko 9 Yam, Sheung Chi Phillip 9 Zhang, Qing 8 Beiglböck, Mathias 8 Belomestny, Denis 8 Bensoussan, Alain 8 Bichuch, Maxim 8 Bo, Lijun 8 Chen, Yanhong 8 Cheridito, Patrick 8 Friz, Peter Karl 8 Gao, Xuefeng 8 Glau, Kathrin 8 Gnoatto, Alessandro 8 Hambly, Ben M. 8 Kruse, Thomas 8 Li, Lingfei 8 Nadtochiy, Sergey 8 Papapantoleon, Antonis 8 Pun, Chi Seng 8 Scotti, Simone 8 Seol, Youngsoo 8 Young, Virginia R. 8 Ziveyi, Jonathan 7 Bayer, Christian 7 Bonotto, Everaldo M. 7 Bouchard, Bruno 7 Capponi, Agostino 7 Crisan, Dan O. 7 Gatheral, Jim 7 Gerhold, Stefan 7 Grzelak, Lech A. 7 Horvath, Blanka 7 Huang, Yu-Jui 7 Jaber, Eduardo Abi 7 Jeanblanc, Monique 7 Jin, Zhuo 7 Lehalle, Charles-Albert ...and 2,418 more Authors all top 5 Cited in 249 Journals 165 SIAM Journal on Financial Mathematics 163 Quantitative Finance 125 International Journal of Theoretical and Applied Finance 122 Finance and Stochastics 83 Insurance Mathematics & Economics 78 Stochastic Processes and their Applications 67 Mathematics and Financial Economics 60 Mathematical Finance 56 European Journal of Operational Research 56 Applied Mathematical Finance 52 The Annals of Applied Probability 41 SIAM Journal on Control and Optimization 36 Applied Mathematics and Optimization 36 Journal of Computational and Applied Mathematics 28 Journal of Economic Dynamics & Control 26 Mathematics of Operations Research 24 Mathematical Methods of Operations Research 23 Applied Mathematics and Computation 23 Journal of Optimization Theory and Applications 22 International Journal of Computer Mathematics 21 Journal of Mathematical Analysis and Applications 17 Journal of Applied Probability 17 Statistics & Probability Letters 17 Stochastic Analysis and Applications 16 Bernoulli 15 Advances in Applied Probability 15 Methodology and Computing in Applied Probability 14 ASTIN Bulletin 13 Operations Research Letters 13 Journal of Industrial and Management Optimization 13 Stochastics 13 Annals of Finance 12 Operations Research 12 SIAM Journal on Numerical Analysis 12 Discrete and Continuous Dynamical Systems. 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Theory and Methods 5 Mathematical Programming. Series A. Series B 5 Multiscale Modeling & Simulation 4 Journal of Computational Physics 4 The Annals of Probability 4 BIT 4 Journal of Mathematical Economics 4 Systems & Control Letters 4 Probability Theory and Related Fields 4 European Journal of Applied Mathematics 4 Computational Statistics and Data Analysis 4 NoDEA. Nonlinear Differential Equations and Applications 4 Discrete Dynamics in Nature and Society 4 Stochastic Models 4 Journal of Machine Learning Research (JMLR) 4 North American Actuarial Journal 4 Stochastic Systems 4 Stochastic and Partial Differential Equations. Analysis and Computations 4 Modern Stochastics. 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