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: 413 Publications (since 2010) References Indexed: 254 Publications with 8,472 References. all top 5 Latest Issues 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 14 Jacquier, Antoine 9 Jaimungal, Sebastian 8 Lorig, Matthew J. 8 Reisinger, Christoph 7 Bayraktar, Erhan 7 Cartea, Álvaro 7 Fouque, Jean-Pierre 7 Tankov, Peter 6 Forde, Martin 6 Zariphopoulou, Thaleia 5 Carr, Peter P. 5 Chen, Xinfu 5 Cont, Rama 5 Ludkovski, Michael 5 Oosterlee, Cornelis Willebrordus 5 Rosenbaum, Mathieu 4 Bensoussan, Alain 4 Benth, Fred Espen 4 Biagini, Francesca 4 De Marco, Stefano 4 Feinstein, Zachary 4 Filipović, Damir 4 Forsyth, Peter A. 4 Horst, Ulrich 4 Jarrow, Robert Alan 4 Muhle-Karbe, Johannes 4 Nadtochiy, Sergey 4 Obloj, Jan K. 4 Schied, Alexander 4 Sircar, Ronnie 4 Wong, Hoi Ying 4 Young, Virginia R. 4 Zhou, Zhou 3 Abergel, Frédéric 3 Alfonsi, Aurélien 3 Bank, Peter 3 Bichuch, Maxim 3 Bouchard, Bruno 3 Capponi, Agostino 3 Chassagneux, Jean-François 3 Cheridito, Patrick 3 Crepey, Stephane 3 Dai, Min 3 El Karoui, Nicole 3 Garnier, Josselin 3 Glau, Kathrin 3 Gobet, Emmanuel 3 Guasoni, Paolo 3 Gulisashvili, Archil 3 Hambly, Ben M. 3 Howison, Sam D. 3 Kardaras, Constantinos 3 Lamberton, Damien 3 Larsson, Martin 3 Lehalle, Charles-Albert 3 Meyer-Brandis, Thilo 3 Pham, Huyên 3 Roome, Patrick 3 Schoenmakers, John G. M. 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 Alòs, Elisa 2 Amini, Hamed 2 Arai, Takuji 2 Armenti, Yannick 2 Armstrong, John 2 Bäuerle, Nicole 2 Belomestny, Denis 2 Bian, Baojun 2 Bielecki, Tomasz R. 2 Bressan, Alberto 2 Campi, Luciano 2 Cesaroni, Annalisa 2 Chen, Kexin 2 Chiu, Mei Choi 2 Colaneri, Katia 2 Cozma, Andrei 2 Dang, Duy Minh 2 Dolinsky, Yan 2 El Euch, Omar 2 Feng, Liming 2 Figueroa-López, José E. 2 Friz, Peter Karl 2 Fukasawa, Masaaki 2 Gaß, Maximilian 2 Grbac, Zorana 2 Guéant, Olivier 2 Guo, Gaoyue 2 Haugh, Martin B. 2 Henry-Labordère, Pierre 2 Hoe, SingRu 2 Horenko, Illia 2 Horvath, Blanka 2 Huang, Yao Tung ...and 567 more Authors all top 5 Fields 405 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 237 Probability theory and stochastic processes (60-XX) 68 Systems theory; control (93-XX) 63 Numerical analysis (65-XX) 56 Calculus of variations and optimal control; optimization (49-XX) 46 Statistics (62-XX) 36 Partial differential equations (35-XX) 33 Operations research, mathematical programming (90-XX) 9 Functional analysis (46-XX) 7 Approximations and expansions (41-XX) 6 Integral equations (45-XX) 4 Combinatorics (05-XX) 4 Ordinary differential equations (34-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 4 Computer science (68-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 310 Publications have been cited 2,717 times in 1,903 Documents Cited by ▼ Year ▼ Affine point processes and portfolio credit risk. Zbl 1200.91296Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. 74 2010 Duality for set-valued measures of risk. Zbl 1197.91112Hamel, Andreas H.; Heyde, Frank 71 2010 On the Heston model with stochastic interest rates. Zbl 1229.91338Grzelak, Lech A.; Oosterlee, Cornelis W. 62 2011 Time-consistent portfolio management. Zbl 1257.91040Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 57 2012 Price dynamics in a Markovian limit order market. Zbl 1288.91092Cont, Rama; de Larrard, Adrien 53 2013 Optimal execution in a general one-sided limit-order book. Zbl 1222.91062Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven 43 2011 A Fourier transform method for spread option pricing. Zbl 1188.91218Hurd, T. R.; Zhou, Zhuowei 42 2010 Time dependent Heston model. Zbl 1198.91203Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 37 2010 A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163Fang, Fang; Oosterlee, Cornelis W. 36 2011 The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461Forde, Martin; Jacquier, Antoine; Lee, Roger 35 2012 Trend following trading under a regime switching model. Zbl 1198.91246Dai, M.; Zhang, Qing; Zhu, Q. J. 33 2010 Robust hedging of double touch barrier options. Zbl 1228.91067Cox, A. M. G.; Obłój, Jan 32 2011 Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason 32 2014 Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005Crisan, D.; Manolarakis, K. 32 2012 Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla 31 2012 Optimal portfolio liquidation with limit orders. Zbl 1262.91160Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 31 2012 Measures of systemic risk. Zbl 1407.91284Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan 30 2017 Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059Pennanen, Teemu; Penner, Irina 28 2010 Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171Musiela, M.; Zariphopoulou, T. 28 2010 Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068Filipović, Damir; Tappe, Stefan; Teichmann, Josef 28 2010 Large deviations for a mean field model of systemic risk. Zbl 1283.60044Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei 27 2013 An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052Takahashi, Akihiko; Yamada, Toshihiro 27 2012 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 26 2010 Asymptotics for rough stochastic volatility models. Zbl 1422.91693Forde, Martin; Zhang, Hongzhong 25 2017 Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545Gulisashvili, Archil 25 2010 Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155Kirkby, J. Lars 25 2015 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. 24 2014 Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023Zhang, B.; Oosterlee, C. W. 24 2013 Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031Almgren, Robert 24 2012 Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025Alfonsi, Aurélien; Schied, Alexander 23 2010 Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert 22 2011 Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert 22 2012 Stability in a model of interbank lending. Zbl 1295.91099Fouque, Jean-Pierre; Ichiba, Tomoyuki 21 2013 The small-maturity smile for exponential Lévy models. Zbl 1257.91046Figueroa-López, José E.; Forde, Martin 20 2012 An efficient transform method for Asian option pricing. Zbl 1357.91053Kirkby, J. Lars 19 2016 Dual representation of quasi-convex conditional maps. Zbl 1232.46067Frittelli, Marco; Maggis, Marco 19 2011 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 19 2018 Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C. 19 2011 Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151Bielecki, Tomasz R.; Rutkowski, Marek 19 2015 Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390Bichuch, Maxim 19 2012 Algorithmic trading with model uncertainty. Zbl 1407.91287Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 18 2017 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224Horst, Ulrich; Naujokat, Felix 17 2014 Path-dependence of leveraged ETF returns. Zbl 1193.91167Avellaneda, Marco; Zhang, Stanley 17 2010 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200Giles, Michael B.; Reisinger, Christoph 17 2012 Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117Abergel, Frédéric; Jedidi, Aymen 16 2015 Optimal execution with multiplicative price impact. Zbl 1310.93083Guo, Xin; Zervos, Mihail 16 2015 Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic 16 2017 Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu 16 2010 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 16 2018 Adjoint expansions in local Lévy models. Zbl 1285.60084Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia 16 2013 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 16 2013 How to detect an asset bubble. Zbl 1239.91184Jarrow, Robert; Kchia, Younes; Protter, Philip 15 2011 Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David 15 2015 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 Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079Fusai, Gianluca; Marazzina, Daniele; Marena, Marina 14 2011 Inverting analytic characteristic functions and financial applications. Zbl 1282.60021Feng, Liming; Lin, Xiong 14 2013 Approaches to conditional risk. Zbl 1255.91178Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas 14 2012 Maturity-independent risk measures. Zbl 1230.91084Zariphopoulou, Thaleia; Žitković, Gordan 13 2010 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 13 2014 Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290Garnier, Josselin; Sølna, Knut 13 2017 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189Fouque, Jean-Pierre; Lorig, Matthew J. 13 2011 Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285Bian, Baojun; Miao, Sheng; Zheng, Harry 13 2011 How superadditive can a risk measure be? Zbl 1338.91080Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 13 2015 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 13 2012 Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi 12 2010 Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090Bender, Christian 12 2011 Utility maximization trading two futures with transaction costs. Zbl 1282.91296Bichuch, Maxim; Shreve, Steven 12 2013 Pricing Bermudan options in Lévy process models. Zbl 1287.91141Feng, Liming; Lin, Xiong 12 2013 Threshold-type policies for real options using regime-switching models. Zbl 1255.91444Bensoussan, Alain; Yan, ZhongFeng; Yin, G. 12 2012 Asymptotics of forward implied volatility. Zbl 1339.60021Jacquier, Antoine; Roome, Patrick 11 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 11 2015 Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054Zheng, Ban; Roueff, François; Abergel, Frédéric 11 2014 A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên 11 2014 Shapes of implied volatility with positive mass at zero. Zbl 1407.91246De Marco, S.; Hillairet, C.; Jacquier, A. 11 2017 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 Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 11 2011 Valuation equations for stochastic volatility models. Zbl 1255.91125Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao 11 2012 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148Liang, Gechun; Zariphopoulou, Thaleia 11 2017 Multivariate extension of put-call symmetry. Zbl 1200.91292Molchanov, Ilya; Schmutz, Michael 10 2010 Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168Davis, Mark; Lleo, Sébastien 10 2011 Systemic risk in interbanking networks. Zbl 1315.91065Bo, Lijun; Capponi, Agostino 10 2015 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423Lorig, Matthew; Sircar, Ronnie 10 2016 A reduced basis for option pricing. Zbl 1227.91033Cont, Rama; Lantos, Nicolas; Pironneau, Olivier 10 2011 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 10 2018 Multifactor approximation of rough volatility models. Zbl 1422.91765Jaber, Eduardo Abi; El Euch, Omar 10 2019 Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346Schoenmakers, John; Zhang, Jianing; Huang, Junbo 10 2013 An optimal dividend and investment control problem under debt constraints. Zbl 1290.91175Chevalier, Etienne; Vath, Vathana Ly; Scotti, Simone 10 2013 On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051Reisinger, C.; Witte, J. H. 10 2012 Modeling the forward surface of mortality. Zbl 1255.91443Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 10 2012 Default clustering in large pools: large deviations. Zbl 1397.60063Spiliopoulos, Konstantinos; Sowers, Richard B. 9 2015 Approximation for option prices under uncertain volatility. Zbl 1341.60070Fouque, Jean-Pierre; Ren, Bin 9 2014 General smile asymptotics with bounded maturity. Zbl 1350.91015Caravenna, Francesco; Corbetta, Jacopo 9 2016 A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192Cartea, Álvaro; Jaimungal, Sebastian 9 2016 Local volatility enhanced by a jump to default. Zbl 1197.91183Carr, Peter; Madan, Dilip B. 9 2010 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 9 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 9 2018 Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing. Zbl 1242.35131Cheng, Wen; Costanzino, Nick; Liechty, John; Mazzucato, Anna; Nistor, Victor 9 2011 Sequential design for optimal stopping problems. Zbl 1320.91154Gramacy, Robert B.; Ludkovski, Michael 9 2015 Why are quadratic normal volatility models analytically tractable? Zbl 1312.91086Carr, Peter; Fisher, Travis; Ruf, Johannes 9 2013 The small-maturity Heston forward smile. Zbl 1283.91177Jacquier, Antoine; Roome, Patrick 9 2013 Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan 1 2021 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126El Karoui, Nicole; Mrad, Mohamed 1 2021 Law-invariant functionals on general spaces of random variables. Zbl 1465.62156Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 1 2021 Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341Forsyth, Peter A. 3 2020 Volatility options in rough volatility models. Zbl 1443.91293Horvath, Blanka; Jacquier, Antoine; Tankov, Peter 3 2020 Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403Bäuerle, Nicole; Desmettre, Sascha 2 2020 The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291Ruf, Johannes; Xie, Kangjianan 1 2020 Short communication: inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280Acciaio, Beatrice; Guyon, Julien 1 2020 Systemic risk in networks with a central node. Zbl 1443.91315Amini, Hamed; Filipović, Damir; Minca, Andreea 1 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 1 2020 Risk aversion in regulatory capital principles. Zbl 1443.91254Mao, Tiantian; Wang, Ruodu 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 Informational efficiency with trading constraints: a characterization. Zbl 1461.91301Jarrow, Robert; Larsson, Martin 1 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 1 2020 Multifactor approximation of rough volatility models. Zbl 1422.91765Jaber, Eduardo Abi; El Euch, Omar 10 2019 Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu 5 2019 Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644Kusnetsov, Michael; Veraart, Luitgard Anna Maria 5 2019 Managing default contagion in inhomogeneous financial networks. Zbl 07135131Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 4 2019 Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 4 2019 The randomized Heston model. Zbl 1411.91562Jacquier, Antoine; Shi, Fangwei 4 2019 Optimal investment with transient price impact. Zbl 1429.91302Bank, Peter; Voß, Moritz 3 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. 3 2019 Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 2 2019 Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying 2 2019 The robust superreplication problem: a dynamic approach. Zbl 1435.91182Carassus, Laurence; Obłój, Jan; Wiesel, Johannes 2 2019 Optimization of fire sales and borrowing in systemic risk. Zbl 1411.91639Bichuch, Maxim; Feinstein, Zachary 2 2019 A nonuniformly integrable martingale bubble with a crash. Zbl 1429.91340Schatz, Michael; Sornette, Didier 1 2019 Trading fractional Brownian motion. Zbl 1429.91290Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS 1 2019 Hedge and speculate: replicating option payoffs with limit and market orders. Zbl 1427.91268Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian 1 2019 Erratum to: “Stochastic evolution equations for large portfolios of stochastic volatility models”. Zbl 07135140Hambly, Ben; Kolliopoulos, Nikolaos 1 2019 Obligations with physical delivery in a multilayered financial network. Zbl 07167418Feinstein, Zachary 1 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 Portfolio optimization for a large investor controlling market sentiment under partial information. Zbl 1417.91431Altay, Sühan; Colaneri, Katia; Eksi, Zehra 1 2019 A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803Horst, Ulrich; Xu, Wei 1 2019 Equilibrium strategies for alpha-maxmin expected utility maximization. Zbl 1422.91806Li, Bin; Luo, Peng; Xiong, Dewen 1 2019 Financial asset bubbles in banking networks. Zbl 1422.91798Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo 1 2019 A mean-variance approach to capital investment optimization. Zbl 1411.91481Bensoussan, Alain; Hoe, SingRu (Celine); Yan, Zhongfeng 1 2019 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 19 2018 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 16 2018 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 10 2018 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 9 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 9 2018 Worst-case range value-at-risk with partial information. Zbl 1408.91240Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping 7 2018 Model-free portfolio theory and its functional master formula. Zbl 1416.91363Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna 6 2018 Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376Gulisashvili, Archil 5 2018 Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. Zbl 1408.91227Chen, Shumin; Li, Zhongfei; Zeng, Yan 5 2018 Equilibrium strategies for the mean-variance investment problem over a random horizon. Zbl 1416.91354Landriault, David; Li, Bin; Li, Danping; Young, Virginia R. 4 2018 Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245Chong, Carsten; Klüppelberg, Claudia 4 2018 Implied volatility in strict local martingale models. Zbl 1408.91239Jacquier, Antoine; Keller-Ressel, Martin 4 2018 Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail 3 2018 Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution. Zbl 1408.91198Kwak, Minsuk; Pirvu, Traian A. 3 2018 Exact smooth term-structure estimation. Zbl 1416.91374Filipović, Damir; Willems, Sander 2 2018 Dual pricing of American options by Wiener chaos expansion. Zbl 1397.62283Lelong, Jérôme 2 2018 Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 2 2018 Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616Chazal, M.; Loeffen, R.; Patie, P. 2 2018 Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263Dentcheva, Darinka; Ruszczyński, Andrzej 2 2018 Pricing arithmetic Asian options under Lévy models by backward induction in the dual space. Zbl 1408.91219Levendorskiĭ, Sergei 2 2018 Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W. 2 2018 Uncertain volatility models with stochastic bounds. Zbl 1419.91615Fouque, Jean-Pierre; Ning, Ning 2 2018 Wavelet-based methods for high-frequency lead-lag analysis. Zbl 1419.91649Hayashi, Takaki; Koike, Yuta 2 2018 Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. Zbl 1419.91667Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie 2 2018 Optimal liquidation in a level-I limit order book for large-tick stocks. Zbl 1416.91351Jacquier, Antoine; Liu, Hao 1 2018 Principal-agent problem with common agency without communication. Zbl 1396.91377Mastrolia, Thibaut; Ren, Zhenjie 1 2018 Liquidity induced asset bubbles via flows of ELMMs. Zbl 1410.91437Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo 1 2018 American options with discontinuous two-level caps. Zbl 1408.91211Detemple, Jerome; Kitapbayev, Yerkin 1 2018 Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility. Zbl 1408.91213Figueroa-López, José E.; Gong, Ruoting; Lorig, Matthew 1 2018 Duality and general equilibrium theory under Knightian uncertainty. Zbl 1408.91133Beissner, Patrick; Denis, Laurent 1 2018 Measures of systemic risk. Zbl 1407.91284Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan 30 2017 Asymptotics for rough stochastic volatility models. Zbl 1422.91693Forde, Martin; Zhang, Hongzhong 25 2017 Algorithmic trading with model uncertainty. Zbl 1407.91287Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 18 2017 Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic 16 2017 Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290Garnier, Josselin; Sølna, Knut 13 2017 Shapes of implied volatility with positive mass at zero. Zbl 1407.91246De Marco, S.; Hillairet, C.; Jacquier, A. 11 2017 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148Liang, Gechun; Zariphopoulou, Thaleia 11 2017 Stochastic gradient descent in continuous time. 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Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 11 2016 ...and 210 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,231 Authors 21 Jaimungal, Sebastian 20 Oosterlee, Cornelis Willebrordus 19 Cartea, Álvaro 19 Yamada, Toshihiro 17 Jacquier, Antoine 17 Lorig, Matthew J. 16 Cui, Zhenyu 16 Rudloff, Birgit 15 Horst, Ulrich 15 Muhle-Karbe, Johannes 15 Sircar, Ronnie 14 Forsyth, Peter A. 14 Fouque, Jean-Pierre 14 Gulisashvili, Archil 14 Kupper, Michael 14 Leung, Tim 14 Obloj, Jan K. 14 Schied, Alexander 14 Spiliopoulos, Konstantinos V. 14 Wong, Hoi Ying 13 Biagini, Francesca 12 Feinstein, Zachary 12 Gobet, Emmanuel 12 Reisinger, Christoph 12 Soner, Halil Mete 12 Zariphopoulou, Thaleia 11 Dang, Duy Minh 11 Hu, Yijun 11 Pascucci, Andrea 11 Rutkowski, Marek 11 Tankov, Peter 11 Wei, Jiaqin 11 Zhu, Lingjiong 10 Figueroa-López, José E. 10 Hamel, Andreas H. 10 Jentzen, Arnulf 10 Meyer-Brandis, Thilo 10 Pagliarani, Stefano 10 Rosenbaum, Mathieu 10 Wang, Ruodu 10 Zeng, Yan 9 Bayraktar, Erhan 9 Benth, Fred Espen 9 Cox, Alexander Matthew Gordon 9 Crepey, Stephane 9 Guasoni, Paolo 9 Keller-Ressel, Martin 9 Molchanov, Ilya S. 9 Pennanen, Teemu 9 Pham, Huyên 9 Rásonyi, Miklós 9 Zhang, Qing 8 Belomestny, Denis 8 Chen, Yanhong 8 Guéant, Olivier 8 Hambly, Ben M. 8 Kwok, Yue-Kuen 8 Ludkovski, Michael 8 Nadtochiy, Sergey 8 Seol, Youngsoo 8 Takahashi, Akihiko 8 Yam, Sheung Chi Phillip 8 Zheng, Harry H. 8 Zhou, Zhou 7 Bensoussan, Alain 7 Bo, Lijun 7 Bonotto, Everaldo M. 7 Capponi, Agostino 7 Cheridito, Patrick 7 Dolinsky, Yan 7 Ekström, Erik 7 Frittelli, Marco 7 Fukasawa, Masaaki 7 Gao, Xuefeng 7 Gatheral, Jim 7 Glau, Kathrin 7 Grzelak, Lech A. 7 Jeanblanc, Monique 7 Lehalle, Charles-Albert 7 Li, Lingfei 7 Liang, Gechun 7 Maggis, Marco 7 Marazzina, Daniele 7 Papapantoleon, Antonis 7 Pun, Chi Seng 7 Rosazza Gianin, Emanuela 7 Schoenmakers, John G. M. 7 Sirignano, Justin A. 7 Teichmann, Josef 7 Tempone, Raúl F. 7 Xu, Zuoquan 7 Yin, George Gang 7 Ziveyi, Jonathan 6 Bayer, Christian 6 Beiglböck, Mathias 6 Bernard, Carole 6 Bichuch, Maxim 6 Bielecki, Tomasz R. 6 Crisan, Dan O. 6 Dassios, Angelos ...and 2,131 more Authors all top 5 Cited in 226 Journals 143 Quantitative Finance 142 SIAM Journal on Financial Mathematics 118 International Journal of Theoretical and Applied Finance 114 Finance and Stochastics 73 Insurance Mathematics & Economics 70 Stochastic Processes and their Applications 63 Mathematics and Financial Economics 60 Mathematical Finance 52 Applied Mathematical Finance 46 The Annals of Applied Probability 44 European Journal of Operational Research 34 SIAM Journal on Control and Optimization 33 Journal of Computational and Applied Mathematics 31 Applied Mathematics and Optimization 23 Mathematics of Operations Research 23 Mathematical Methods of Operations Research 22 Journal of Optimization Theory and Applications 21 Journal of Economic Dynamics & Control 20 Journal of Mathematical Analysis and Applications 17 Journal of Applied Probability 16 Stochastic Analysis and Applications 16 Bernoulli 15 Statistics & Probability Letters 14 Methodology and Computing in Applied Probability 13 Advances in Applied Probability 13 Stochastics 12 Applied Mathematics and Computation 12 SIAM Journal on Numerical Analysis 12 Operations Research Letters 12 ASTIN Bulletin 12 Annals of Finance 12 Mathematical Control and Related Fields 12 Probability, Uncertainty and Quantitative Risk 11 International Journal of Computer Mathematics 11 Discrete and Continuous Dynamical Systems. 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