Annals of Finance Short Title: Ann. Finance Publisher: Springer, Berlin/Heidelberg ISSN: 1614-2446; 1614-2454/e Online: http://link.springer.com/journal/volumesAndIssues/10436 Documents Indexed: 305 Publications (since 2005) References Indexed: 301 Publications with 8,846 References. all top 5 Latest Issues 17, No. 2 (2021) 17, No. 1 (2021) 16, No. 4 (2020) 16, No. 3 (2020) 16, No. 2 (2020) 16, No. 1 (2020) 15, No. 4 (2019) 15, No. 3 (2019) 15, No. 2 (2019) 15, No. 1 (2019) 14, No. 4 (2018) 14, No. 3 (2018) 14, No. 2 (2018) 14, No. 1 (2018) 13, No. 4 (2017) 13, No. 3 (2017) 13, No. 2 (2017) 13, No. 1 (2017) 12, No. 3-4 (2016) 12, No. 2 (2016) 12, No. 1 (2016) 11, No. 3-4 (2015) 11, No. 2 (2015) 11, No. 1 (2015) 10, No. 4 (2014) 10, No. 3 (2014) 10, No. 2 (2014) 10, No. 1 (2014) 9, No. 4 (2013) 9, No. 3 (2013) 9, No. 2 (2013) 9, No. 1 (2013) 8, No. 4 (2012) 8, No. 2-3 (2012) 8, No. 1 (2012) 7, No. 4 (2011) 7, No. 3 (2011) 7, No. 2 (2011) 7, No. 1 (2011) 6, No. 4 (2010) 6, No. 3 (2010) 6, No. 2 (2010) 6, No. 1 (2010) 5, No. 3-4 (2009) 5, No. 2 (2009) 5, No. 1 (2009) 4, No. 4 (2008) 4, No. 3 (2008) 4, No. 2 (2008) 4, No. 1 (2008) 3, No. 4 (2007) 3, No. 3 (2007) 3, No. 2 (2007) 3, No. 1 (2007) 2, No. 4 (2006) 2, No. 3 (2006) 2, No. 2 (2006) 2, No. 1 (2006) 1, No. 4 (2005) 1, No. 3 (2005) 1, No. 2 (2005) 1, No. 1 (2005) all top 5 Authors 10 Madan, Dilip B. 7 Elliott, Robert James 7 Viens, Frederi G. 4 Evstigneev, Igor V. 4 Fernholz, Erhard Robert 4 Karatzas, Ioannis 4 Leung, Tim 4 Siu, Tak Kuen 3 Chan, Leunglung 3 D’Amico, Guglielmo 3 Haley, M. Ryan 3 Rásonyi, Miklós 3 Rubtsov, Alexey N. 3 Schoutens, Wim 3 Vanden, Joel M. 2 Amir, Rabah 2 Angoshtari, Bahman 2 Barnett, William A. 2 Barucci, Emilio 2 Bayraktar, Erhan 2 Bernhardt, Dan 2 Carassus, Laurence 2 Christodoulakis, George A. 2 Coleman, Thomas F. 2 Cvitanić, Jakša 2 De Blasis, Riccardo 2 Fabozzi, Frank J. 2 Fajardo, José 2 Fard, Farzad Alavi 2 Flor, Christian Riis 2 Fouque, Jean-Pierre 2 Hainaut, Donatien 2 Heunis, Andrew J. 2 Ibragimov, Rustam 2 Ichiba, Tomoyuki 2 Instefjord, Norvald 2 Jalles, João Tovar 2 Jarrow, Robert Alan 2 Jensen, Bjarne Astrup 2 Kojima, Naoki 2 Kwon, Oh Kang 2 LaPlante, Alex 2 Levendorskiĭ, Sergeĭ Zakharovich 2 Lucchetta, Marcella 2 Mandelbrot, Benoit B. 2 Martin, Antoine 2 Martins-da-Rocha, V. Filipe 2 Nielsen, Jørgen Aase 2 Pinheiro, Marcelo 2 Protter, Philip Elliott 2 Rossetto, Silvia 2 Sarantsev, Andrey 2 Sasaki, Kouji 2 Sayit, Hasanjan 2 Schenk-Hoppé, Klaus Reiner 2 Shen, Jia 2 Shorish, Jamsheed 2 Shubik, Martin 2 Sussman, Oren 2 Takayama, Shino 2 Taub, Bart 2 Thijssen, Jacco J. J. 2 Tsomocos, Dimitrios P. 2 Waldén, Johan 2 Yannelis, Nicholas C. 2 Yor, Marc 2 Young, Virginia R. 2 Ziemba, William T. 2 Žitković, Gordan 1 Acciaio, Beatrice 1 Agosto, Arianna 1 Al-Zoubi, Haitham A. 1 Alekseev, Aleksandr G. 1 Alghalith, Moawia 1 Alvarez, Luis H. R. 1 Alwathnani, Abdulaziz M. 1 Andruszkiewicz, Grzegorz 1 Anthropelos, Michail 1 Arya, Anil 1 Asiedu, Elizabeth 1 Athanasoulis, Stefano G. 1 Atlan, Marc 1 Audrino, Francesco 1 Azeredo, Francisco 1 Bae, Jinho 1 Banner, Adrian D. 1 Barbu, Vlad Stefan 1 Barelli, Paulo 1 Barrett, Charles Richard 1 Bastidon, Cécile 1 Bekiros, Stelios D. 1 Belkov, Sergei 1 Bennie, Barbara A. 1 Bennouri, Moez 1 Berardi, Michele 1 Beyers, Conrad F. J. 1 Bhupatiraju, Samyukta 1 Bilina Falafala, Roseline 1 Black, Stanley W. 1 Blais, Marcel ...and 357 more Authors all top 5 Fields 305 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 73 Probability theory and stochastic processes (60-XX) 45 Statistics (62-XX) 6 Systems theory; control (93-XX) 4 Operations research, mathematical programming (90-XX) 3 General and overarching topics; collections (00-XX) 2 Numerical analysis (65-XX) 1 History and biography (01-XX) 1 Real functions (26-XX) 1 Partial differential equations (35-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 192 Publications have been cited 1,062 times in 842 Documents Cited by ▼ Year ▼ Option pricing and Esscher transform under regime switching. Zbl 1233.91270Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen 163 2005 The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter 42 2010 Affine fractional stochastic volatility models. Zbl 1298.60067Comte, F.; Coutin, L.; Renault, E. 38 2012 Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244Fernholz, Robert; Karatzas, Ioannis 35 2005 Estimation and pricing under long-memory stochastic volatility. Zbl 1298.91160Chronopoulou, Alexandra; Viens, Frederi G. 28 2012 Robust consumption and portfolio choice for time varying investment opportunities. Zbl 1233.91248Liu, Hening 25 2010 Robust portfolio choice with stochastic interest rates. Zbl 1298.91137Flor, Christian Riis; Larsen, Linda Sandris 23 2014 Risk measure pricing and hedging in incomplete markets. Zbl 1233.91291Xu, Mingxin 22 2006 Maximum likelihood estimation of the double exponential jump-diffusion process. Zbl 1233.91330Ramezani, Cyrus A.; Zeng, Yong 21 2007 Asset pricing theory for two price economies. Zbl 1311.91107Madan, Dilip B. 18 2015 Optimal portfolio allocation with higher moments. Zbl 1233.91238Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando 16 2008 American options: the EPV pricing model. Zbl 1233.91258Boyarchenko, Svetlana; Levendorskii, Sergei 15 2005 Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model. Zbl 1233.91117Dempster, M. A. H.; Evstigneev, I. V.; Taksar, M. I. 15 2006 An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai 15 2013 Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256Bayraktar, Erhan; Young, Virginia 14 2008 A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205Madan, Dilip B. 14 2012 Short-term relative arbitrage in volatility-stabilized markets. Zbl 1233.91234Banner, Adrian D.; Fernholz, Daniel 13 2008 Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070Munk, Claus; Rubtsov, Alexey 13 2014 A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 12 2008 Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560Issaka, Aziz; SenGupta, Indranil 12 2017 Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145Jourdain, Benjamin; Reygner, Julien 11 2015 A second-order stock market model. Zbl 1298.91136Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 11 2013 Two price economies in continuous time. Zbl 1298.91086Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 11 2014 Prospect and Markowitz stochastic dominance. Zbl 1233.91098Wong, W.-K.; Chan, R. H. 10 2008 Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner 10 2013 Stochastic volatility and stochastic leverage. Zbl 1298.60070Veraart, Almut E. D.; Veraart, Luitgard A. M. 9 2012 Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147Rásonyi, Miklós; Rodrigues, Andrea M. 9 2013 Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342Osterrieder, Jörg R.; Rheinländer, Thorsten 8 2006 Capital market equilibrium without riskless assets: heterogeneous expectations. Zbl 1233.91123Won, D.; Hahn, G.; Yannelis, N. C. 8 2008 Irreversible investment and discounting: an arbitrage pricing approach. Zbl 1233.91312Thijssen, Jacco J. J. 8 2010 A Gaussian calculus for inference from high frequency data. Zbl 1298.91196Mykland, Per A. 8 2012 Statistical estimation of Lévy-type stochastic volatility models. Zbl 1298.62146Figueroa-López, José E. 8 2012 Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588Funahashi, Hideharu; Kijima, Masaaki 8 2017 Optimization of relative arbitrage. Zbl 1369.91168Wong, Ting-Kam Leonard 7 2015 Determinants of stock market volatility and risk premia. Zbl 1233.91326Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio 7 2005 Robust portfolio optimization with a generalized expected utility model under ambiguity. Zbl 1233.91249Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin 7 2008 On user costs of risky monetary assets. Zbl 1233.91114Barnett, William A.; Wu, Shu 6 2005 Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S. 6 2008 Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang 6 2008 No arbitrage conditions for simple trading strategies. Zbl 1233.91303Bayraktar, Erhan; Sayit, Hasanjan 6 2010 Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077Heunis, Andrew J. 6 2015 Strategic asset allocation with switching dependence. Zbl 1298.91138Hainaut, Donatien; MacGilchrist, Renaud 6 2012 Benchmarking in two price financial markets. Zbl 1398.91279Madan, Dilip B. 6 2016 Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei 6 2015 Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450Gulisashvili, Archil; Viens, Frederi; Zhang, Xin 5 2019 Diversity-weighted portfolios with negative parameter. Zbl 1369.91167Vervuurt, Alexander; Karatzas, Ioannis 5 2015 Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203Rola, Przemysław 5 2015 Heterogeneous beliefs, the term structure and time-varying risk premia. Zbl 1233.91144Fan, Min 5 2006 Switching to a poor business activity: optimal capital structure, agency costs and covenant rules. Zbl 1233.91304Décamps, Jean-Paul; Djembissi, Bertrand 5 2007 Balance, growth and diversity of financial markets. Zbl 1233.91339Kardaras, Constantinos 5 2008 Short note on inf-convolution preserving the Fatou property. Zbl 1233.91138Acciaio, Beatrice 5 2009 A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. Zbl 1233.91191Buera, Francisco J. 5 2009 On the neutrality of debt in investment intensity. Zbl 1233.91313Wong, Kit Pong 5 2010 Dynamic optimal capital structure with regime switching. Zbl 1403.91367Elliott, Robert J.; Shen, Jia 5 2015 Dynamic capital structure and the contingent capital option. Zbl 1298.91181Barucci, Emilio; Del Viva, Luca 5 2013 Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163Fard, Farzad Alavi; Siu, Tak Kuen 5 2013 Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161Strong, Winslow; Fouque, Jean-Pierre 5 2011 Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330Haier, Andreas; Molchanov, Ilya; Schmutz, Michael 5 2016 Who controls Allianz? Measuring the separation of dividend and control rights under cross-ownership among firms. Zbl 1233.91068Dorofeenko, Victor; Lang, Larry H. P.; Ritzberger, Klaus; Shorish, Jamsheed 4 2008 Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. Zbl 1233.91116Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A. 4 2008 Valuation before and after tax in the discrete time, finite state no arbitrage model. Zbl 1233.91193Jensen, Bjarne Astrup 4 2009 Diversified minimum-variance portfolios. Zbl 1315.91057Coqueret, Guillaume 4 2015 Variance matters (in stochastic dividend discount models). Zbl 1314.91203Agosto, Arianna; Moretto, Enrico 4 2015 The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Zbl 1298.91089Faria, Gonçalo; Correia-da-Silva, João 4 2012 On the necessity of five risk measures. Zbl 1298.91193Guégan, Dominique; Tarrant, Wayne 4 2012 A semi-Markov approach to the stock valuation problem. Zbl 1298.91161D’Amico, Guglielmo 4 2013 Negative call prices. Zbl 1298.91168Ruf, Johannes 4 2013 The pricing kernel puzzle: survey and outlook. Zbl 1398.91576Cuesdeanu, Horatio; Jackwerth, Jens Carsten 3 2018 Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500Madan, Dilip B.; Schoutens, Wim 3 2019 A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502Hainaut, Donatien; Moraux, Franck 3 2019 Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188Elliott, Robert J.; Shen, Jia 3 2015 Real options with unknown-date events. Zbl 1225.91066Gutiérrez, Oscar; Ruiz-Aliseda, Francisco 3 2011 Corporate portfolio management. Zbl 1233.91310Rochet, Jean-Charles; Villeneuve, Stéphane 3 2005 The non-neutrality of debt in investment timing: a new NPV rule. Zbl 1233.91301Sabarwal, Tarun 3 2005 A time series analysis of financial fragility in the UK banking system. Zbl 1233.91220Goodhart, Charles A. E.; Sunirand, Pojanart; Tsomocos, Dimitrios P. 3 2006 Kyle v. Kyle (’85 v. ’89). Zbl 1233.91218Bernhardt, Dan; Taub, Bart 3 2006 Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps. Zbl 1233.91295Levendorskiĭ, Sergei 3 2006 Hedging decisions with price and output uncertainty. Zbl 1233.91302Alghalith, Moawia 3 2006 Common shocks and relative compensation. Zbl 1233.91171Magill, Michael; Quinzii, Martine 3 2006 A forecasting model for stock market diversity. Zbl 1233.91321Audrino, Francesco; Fernholz, Robert; Ferretti, Roberto G. 3 2007 Correlation and the pricing of risks. Zbl 1233.91320Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 3 2007 Technology driven organizational structure of the firm. Zbl 1233.91167van den Brink, René; Ruys, Pieter H. M. 3 2008 Entrepreneurship and firm heterogeneity with limited enforcement. Zbl 1233.91172Monge-Naranjo, Alexander 3 2009 Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Zbl 1298.91206Peng, Yue; Ng, Wing Lon 3 2012 Option pricing under a stressed-beta model. Zbl 1298.91164Fouque, Jean-Pierre; Tashman, Adam P. 3 2012 Implied and realized volatility: empirical model selection. Zbl 1298.91197Zhang, Lan 3 2012 Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. Zbl 1298.91141Kim, Ha-Young; Viens, Frederi G. 3 2012 On Ponzi schemes in infinite horizon collateralized economies with default penalties. Zbl 1298.91177Martins-da-Rocha, V. Filipe; Vailakis, Yiannis 3 2012 Are performance measures equally stable? Zbl 1298.91143Menardi, Giovanna; Lisi, Francesco 3 2012 On a class of diverse market models. Zbl 1298.91150Sarantsev, Andrey 3 2014 Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139Haley, M. Ryan 3 2014 Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147Elliott, Robert J.; Nishide, Katsumasa 3 2014 Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo 3 2017 Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145Kitapbayev, Yerkin; Leung, Tim 3 2017 Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514Garnier, Josselin; Sølna, Knut 2 2018 Robustness of equilibrium in the Kyle model of informed speculation. Zbl 1369.91064Boulatov, Alex; Bernhardt, Dan 2 2015 Private payment systems, collateral, and interest rates. Zbl 1269.91094Kahn, Charles M. 2 2013 A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C. 2 2020 Mutual fund performance: false discoveries, bias, and power. Zbl 1225.91068Tuzov, Nik; Viens, Frederi 2 2011 Shaking the tree: an agency-theoretic model of asset pricing. Zbl 1233.91120Shorish, Jamsheed; Spear, Stephen E. 2 2005 A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C. 2 2020 Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170Brignone, Riccardo; Sgarra, Carlo 1 2020 Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441Roberts, Michael; SenGupta, Indranil 1 2020 Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315Kirkby, J. Lars; Nguyen, Duy 1 2020 Development banking under weak institutions and imperfect credit markets. Zbl 1461.91306Senra Hodelin, Reynaldo 1 2020 Relative growth optimal strategies in an asset market game. Zbl 1461.91297Drokin, Yaroslav; Zhitlukhin, Mikhail 1 2020 Proper measures of connectedness. Zbl 1461.91341Maggi, Mario; Torrente, Maria-Laura; Uberti, Pierpaolo 1 2020 Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450Gulisashvili, Archil; Viens, Frederi; Zhang, Xin 5 2019 Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500Madan, Dilip B.; Schoutens, Wim 3 2019 A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502Hainaut, Donatien; Moraux, Franck 3 2019 Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Zbl 1410.91499Leung, Tim; Wang, Zheng 1 2019 Implied liquidity risk premia in option markets. Zbl 07075028Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim 1 2019 Optimal dynamic basis trading. Zbl 1426.91260Angoshtari, Bahman; Leung, Tim 1 2019 Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy. Zbl 1426.91302Buckley, Winston; Perera, Sandun 1 2019 Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey 1 2019 The pricing kernel puzzle: survey and outlook. Zbl 1398.91576Cuesdeanu, Horatio; Jackwerth, Jens Carsten 3 2018 Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514Garnier, Josselin; Sølna, Knut 2 2018 Asset market equilibrium with liquidity risk. Zbl 1397.91557Jarrow, Robert 2 2018 What determines the share of non-resident public debt ownership? Evidence from Euro area countries. Zbl 1398.91442Jalles, João Tovar 1 2018 On relative performance, remuneration and risk taking of asset managers. Zbl 1418.91450Barucci, Emilio; La Bua, Gaetano; Marazzina, Daniele 1 2018 Systemic risk in Europe: deciphering leading measures, common patterns and real effects. Zbl 1462.62643Stolbov, Mikhail; Shchepeleva, Maria 1 2018 Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. Zbl 1397.91572Krasin, Vladislav; Smirnov, Ivan; Melnikov, Alexander 1 2018 Financial equilibrium with non-linear valuations. Zbl 1397.91228Madan, Dilip B. 1 2018 Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560Issaka, Aziz; SenGupta, Indranil 12 2017 Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588Funahashi, Hideharu; Kijima, Masaaki 8 2017 Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo 3 2017 Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145Kitapbayev, Yerkin; Leung, Tim 3 2017 Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. Zbl 1411.91647Pederzoli, Chiara; Torricelli, Costanza 2 2017 Financial market globalization, nonconvergence and credit cycles. Zbl 1388.91131Ho, Wai-Hong 1 2017 Quadratic minimization with portfolio and intertemporal wealth constraints. Zbl 1411.91533Zhu, Dian; Heunis, Andrew J. 1 2017 \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? Zbl 1411.91505Haley, M. Ryan 1 2017 Counterparty risk, central counterparty clearing and aggregate risk. Zbl 1411.91551Deng, Binbin 1 2017 The dampening effect of iceberg orders on small traders’ welfare, a real options perspective. Zbl 1411.91604Delaney, Laura; Kovaleva, Polina 1 2017 Threat of termination and firm innovation. Zbl 1398.91372Sheikh, Shahbaz 1 2017 Portfolio selections under mean-variance preference with multiple priors for means and variances. Zbl 1398.91546Shigeta, Yuki 1 2017 Benchmarking in two price financial markets. Zbl 1398.91279Madan, Dilip B. 6 2016 Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330Haier, Andreas; Molchanov, Ilya; Schmutz, Michael 5 2016 Saddlepoint approximations to option price in a regime-switching model. Zbl 1398.91622Zhang, Mengzhe; Chan, Leunglung 2 2016 Risk premia in option markets. Zbl 1398.91607Madan, Dilip B. 2 2016 The skewness risk premium in equilibrium and stock return predictability. Zbl 1398.91692Sasaki, Hiroshi 2 2016 Relative asset price bubbles. Zbl 1398.91565Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip 1 2016 Monetary policy games, financial instability and incomplete information. Zbl 1398.91435Barrett, Charles Richard; Kokores, Ioanna; Sen, Somnath 1 2016 Optimal capital structures for private firms. Zbl 1398.91660Vanden, Joel M. 1 2016 Adapted hedging. Zbl 1398.91608Madan, Dilip B. 1 2016 Impact of risk aversion and countervailing tax in oligopoly. Zbl 1398.91403Jin, Jim Y.; Kobayashi, Shinji 1 2016 Asset pricing theory for two price economies. Zbl 1311.91107Madan, Dilip B. 18 2015 Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145Jourdain, Benjamin; Reygner, Julien 11 2015 Optimization of relative arbitrage. Zbl 1369.91168Wong, Ting-Kam Leonard 7 2015 Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077Heunis, Andrew J. 6 2015 Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei 6 2015 Diversity-weighted portfolios with negative parameter. Zbl 1369.91167Vervuurt, Alexander; Karatzas, Ioannis 5 2015 Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203Rola, Przemysław 5 2015 Dynamic optimal capital structure with regime switching. Zbl 1403.91367Elliott, Robert J.; Shen, Jia 5 2015 Diversified minimum-variance portfolios. Zbl 1315.91057Coqueret, Guillaume 4 2015 Variance matters (in stochastic dividend discount models). Zbl 1314.91203Agosto, Arianna; Moretto, Enrico 4 2015 Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188Elliott, Robert J.; Shen, Jia 3 2015 Robustness of equilibrium in the Kyle model of informed speculation. Zbl 1369.91064Boulatov, Alex; Bernhardt, Dan 2 2015 Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162Neykova, Daniela; Escobar, Marcos; Zagst, Rudi 1 2015 Robust portfolio choice with stochastic interest rates. Zbl 1298.91137Flor, Christian Riis; Larsen, Linda Sandris 23 2014 Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070Munk, Claus; Rubtsov, Alexey 13 2014 Two price economies in continuous time. Zbl 1298.91086Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc 11 2014 On a class of diverse market models. Zbl 1298.91150Sarantsev, Andrey 3 2014 Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139Haley, M. Ryan 3 2014 Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147Elliott, Robert J.; Nishide, Katsumasa 3 2014 International monetary transmission with bank heterogeneity and default risk. Zbl 1298.91114Tsenova, Tsvetomira 2 2014 Multi-firm voluntary disclosures for correlated operations. Zbl 1298.91184Gietzmann, Miles B.; Ostaszewski, Adam J. 1 2014 Optimal loan-to-value ratio and the efficiency gains of default. Zbl 1298.91201Lin, Li 1 2014 Generalized volatility-stabilized processes. Zbl 1298.91146Picková, Radka 1 2014 Pricing and hedging basis risk under no good deal assumption. Zbl 1298.91159Carassus, L.; Temam, E. 1 2014 Stability of marketable payoffs with long-term assets. Zbl 1318.91140Bonnisseau, Jean-Marc; Chery, Achis 1 2014 Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? Zbl 1319.91143Grabchak, Michael 1 2014 An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai 15 2013 A second-order stock market model. Zbl 1298.91136Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 11 2013 Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner 10 2013 Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147Rásonyi, Miklós; Rodrigues, Andrea M. 9 2013 Dynamic capital structure and the contingent capital option. Zbl 1298.91181Barucci, Emilio; Del Viva, Luca 5 2013 Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163Fard, Farzad Alavi; Siu, Tak Kuen 5 2013 A semi-Markov approach to the stock valuation problem. Zbl 1298.91161D’Amico, Guglielmo 4 2013 Negative call prices. Zbl 1298.91168Ruf, Johannes 4 2013 Private payment systems, collateral, and interest rates. Zbl 1269.91094Kahn, Charles M. 2 2013 Risk classes for structured products: mathematical aspects and their implications on behavioral investors. Zbl 1298.91158Cao, Ji; Rieger, Marc Oliver 2 2013 Utilities bounded below. Zbl 1298.91202Muraviev, Roman; Rogers, L. C. G. 2 2013 Technological advances and the decision to invest. Zbl 1298.91183Flor, Christian Riis; Hansen, Simon Lysbjerg 2 2013 A decision-theoretic model of asset-price underreaction and overreaction to dividend news. Zbl 1298.91091Ludwig, Alexander; Zimper, Alexander 2 2013 Pricing of payment cards, competition, and efficiency: a possible guide for SEPA. Zbl 1269.91039Bolt, Wilko; Schmiedel, Heiko 1 2013 Liquidity-saving mechanisms in collateral-based RTGS payment systems. Zbl 1269.91055Jurgilas, Marius; Martin, Antoine 1 2013 Interlinkages between payment and securities settlement systems. Zbl 1269.91056Mills, David C. jun.; Husain, Samia Y. 1 2013 Absence of arbitrage in a general framework. Zbl 1298.91088Sayit, Hasanjan 1 2013 Affine fractional stochastic volatility models. Zbl 1298.60067Comte, F.; Coutin, L.; Renault, E. 38 2012 Estimation and pricing under long-memory stochastic volatility. Zbl 1298.91160Chronopoulou, Alexandra; Viens, Frederi G. 28 2012 A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205Madan, Dilip B. 14 2012 Stochastic volatility and stochastic leverage. Zbl 1298.60070Veraart, Almut E. D.; Veraart, Luitgard A. M. 9 2012 A Gaussian calculus for inference from high frequency data. Zbl 1298.91196Mykland, Per A. 8 2012 Statistical estimation of Lévy-type stochastic volatility models. Zbl 1298.62146Figueroa-López, José E. 8 2012 Strategic asset allocation with switching dependence. Zbl 1298.91138Hainaut, Donatien; MacGilchrist, Renaud 6 2012 The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Zbl 1298.91089Faria, Gonçalo; Correia-da-Silva, João 4 2012 On the necessity of five risk measures. Zbl 1298.91193Guégan, Dominique; Tarrant, Wayne 4 2012 Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Zbl 1298.91206Peng, Yue; Ng, Wing Lon 3 2012 Option pricing under a stressed-beta model. Zbl 1298.91164Fouque, Jean-Pierre; Tashman, Adam P. 3 2012 Implied and realized volatility: empirical model selection. Zbl 1298.91197Zhang, Lan 3 2012 ...and 92 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,117 Authors 48 Siu, Tak Kuen 26 Elliott, Robert James 21 Madan, Dilip B. 12 Karatzas, Ioannis 11 Evstigneev, Igor V. 11 Rásonyi, Miklós 11 Wang, Guojing 11 Yang, Hailiang 10 Schoutens, Wim 10 Viens, Frederi G. 10 Wong, Wing-Keung 9 Chan, Leunglung 9 Sarantsev, Andrey 8 Lépinette, Emmanuel 7 Dong, Yinghui 7 Hainaut, Donatien 7 Thijssen, Jacco J. J. 7 Zeng, Yan 6 Ching, Wai-Ki 6 Fernholz, Erhard Robert 6 Leung, Tim 6 Li, Zhongfei 6 Pal, Soumik 6 Ruf, Johannes 6 Sayit, Hasanjan 6 Schachermayer, Walter 6 Schenk-Hoppé, Klaus Reiner 6 Shen, Yang 6 Wong, Ting-Kam Leonard 6 Zhu, Songping 5 Barnett, William A. 5 D’Amico, Guglielmo 5 Figueroa-López, José E. 5 Funahashi, Hideharu 5 Hieber, Peter 5 Khaliq, Abdul Q. M. 5 Larsson, Martin 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Li, Danping 5 Pennanen, Teemu 5 Qian, Linyi 5 Tsomocos, Dimitrios P. 5 Wang, Rongming 5 Wang, Wei 5 Zagst, Rudi 5 Zhitlukhin, Mikhail V. 4 Arai, Takuji 4 Bayraktar, Erhan 4 Bo, Lijun 4 Bouchard, Bruno 4 Deelstra, Griselda 4 Delaney, Laura 4 Escobar, Marcos 4 Fard, Farzad Alavi 4 Forsyth, Peter A. 4 Garnier, Josselin 4 Godin, Frédéric 4 Guasoni, Paolo 4 Ichiba, Tomoyuki 4 Jarrow, Robert Alan 4 Kijima, Masaaki 4 Kudryavtsev, Oleg 4 Li, Kai 4 Li, Xun 4 Liang, Xue 4 Perez-Ostafe, Lavinia 4 Pistorius, Martijn R. 4 Sølna, Knut 4 Sun, Zhongyang 4 Wang, Yongjin 4 Yannelis, Nicholas C. 4 Yi, Bo 4 Young, Virginia R. 4 Yuen, Fei Lung 3 Alvarez, Luis H. R. 3 Babaei, Esmaeil 3 Buckley, Winston S. 3 Chau, Huy N. 3 Chronopoulou, Alexandra 3 Cordero, Fernando 3 Cuchiero, Christa 3 De Blasis, Riccardo 3 Egozcue, Martin 3 Fabozzi, Frank J. 3 Fernholz, Daniel 3 Fink, Holger 3 Gu, Ailing 3 Gulisashvili, Archil 3 Haley, M. Ryan 3 He, Xuezhong 3 Hens, Thorsten 3 Heunis, Andrew J. 3 Jacquier, Antoine 3 Kardaras, Constantinos 3 Klein, Irene 3 Kurz, Mordecai 3 Lau, John Wei 3 Martins-da-Rocha, V. Filipe 3 Mehrdoust, Farshid 3 Menoukeu Pamen, Olivier ...and 1,017 more Authors all top 5 Cited in 152 Journals 118 Annals of Finance 49 Insurance Mathematics & Economics 44 Quantitative Finance 36 International Journal of Theoretical and Applied Finance 33 Journal of Economic Dynamics & Control 31 Mathematics and Financial Economics 25 European Journal of Operational Research 24 Finance and Stochastics 20 SIAM Journal on Financial Mathematics 19 The Annals of Applied Probability 17 Journal of Mathematical Economics 16 Mathematical Finance 15 Stochastic Processes and their Applications 15 Economic Theory 14 Stochastic Analysis and Applications 13 Journal of Computational and Applied Mathematics 13 Journal of Econometrics 12 Applied Mathematical Finance 10 Review of Derivatives Research 9 Journal of Mathematical Analysis and Applications 9 Journal of Applied Probability 9 Annals of Operations Research 9 Methodology and Computing in Applied Probability 8 Journal of Economic Theory 8 Decisions in Economics and Finance 8 Asia-Pacific Financial Markets 7 Journal of Industrial and Management Optimization 7 Stochastics 6 Communications in Statistics. Theory and Methods 5 Computers & Mathematics with Applications 5 Journal of Theoretical Probability 5 International Journal of Computer Mathematics 5 Discrete Dynamics in Nature and Society 5 North American Actuarial Journal 4 Theory of Probability and its Applications 4 Applied Mathematics and Computation 4 Automatica 4 Journal of Optimization Theory and Applications 4 Statistics & Probability Letters 4 Acta Mathematicae Applicatae Sinica. English Series 4 Economics Letters 4 Scandinavian Actuarial Journal 4 Mathematical Control and Related Fields 3 Lithuanian Mathematical Journal 3 The Annals of Probability 3 Applied Mathematics and Optimization 3 International Economic Review 3 Mathematics and Computers in Simulation 3 Optimization 3 Mathematical Methods of Operations Research 3 Chaos 3 Discrete and Continuous Dynamical Systems. Series B 3 ASTIN Bulletin 3 Journal of the Korean Statistical Society 3 Electronic Journal of Statistics 3 Journal of Dynamics and Games 3 Probability, Uncertainty and Quantitative Risk 2 Advances in Applied Probability 2 Journal of Statistical Planning and Inference 2 Mathematics of Operations Research 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 SIAM Journal on Control and Optimization 2 Theory and Decision 2 Systems & Control Letters 2 Mathematical Social Sciences 2 Operations Research Letters 2 Probability Theory and Related Fields 2 Journal of Economics 2 Journal of Applied Mathematics and Stochastic Analysis 2 Journal of Global Optimization 2 Games and Economic Behavior 2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Mathematical Programming. Series A. Series B 2 Statistical Papers 2 Bernoulli 2 Mathematical Problems in Engineering 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Abstract and Applied Analysis 2 Journal of Applied Mathematics and Decision Sciences 2 Statistical Inference for Stochastic Processes 2 Journal of Applied Mathematics 2 Computational Management Science 2 Science China. Mathematics 2 International Journal of Stochastic Analysis 2 Modern Stochastics. Theory and Applications 1 Discrete Applied Mathematics 1 Journal of the Franklin Institute 1 Physica A 1 Scandinavian Journal of Statistics 1 Chaos, Solitons and Fractals 1 The Annals of Statistics 1 Journal of Multivariate Analysis 1 Operations Research 1 Proceedings of the American Mathematical Society 1 Transactions of the American Mathematical Society 1 Bulletin of the Korean Mathematical Society 1 Journal of Time Series Analysis 1 Physica D 1 Applied Numerical Mathematics 1 Numerical Methods for Partial Differential Equations ...and 52 more Journals all top 5 Cited in 26 Fields 745 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 377 Probability theory and stochastic processes (60-XX) 126 Statistics (62-XX) 67 Systems theory; control (93-XX) 44 Operations research, mathematical programming (90-XX) 32 Numerical analysis (65-XX) 22 Calculus of variations and optimal control; optimization (49-XX) 18 Partial differential equations (35-XX) 9 Dynamical systems and ergodic theory (37-XX) 8 Functional analysis (46-XX) 7 Integral transforms, operational calculus (44-XX) 6 Ordinary differential equations (34-XX) 5 Integral equations (45-XX) 5 Operator theory (47-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Measure and integration (28-XX) 2 General and overarching topics; collections (00-XX) 2 Real functions (26-XX) 1 History and biography (01-XX) 1 Difference and functional equations (39-XX) 1 Abstract harmonic analysis (43-XX) 1 Convex and discrete geometry (52-XX) 1 Differential geometry (53-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) Citations by Year