Finance and Stochastics Short Title: Finance Stoch. Publisher: Springer, Berlin/Heidelberg ISSN: 0949-2984; 1432-1122/e Online: https://link.springer.com/journal/780/volumes-and-issues Comments: Journal; Indexed cover-to-cover Documents Indexed: 754 Publications (since 1997) References Indexed: 519 Publications with 16,626 References. all top 5 Latest Issues 28, No. 3 (2024) 28, No. 2 (2024) 28, No. 1 (2024) 27, No. 4 (2023) 27, No. 3 (2023) 27, No. 2 (2023) 27, No. 1 (2023) 26, No. 4 (2022) 26, No. 3 (2022) 26, No. 2 (2022) 26, No. 1 (2022) 25, No. 4 (2021) 25, No. 3 (2021) 25, No. 2 (2021) 25, No. 1 (2021) 24, No. 4 (2020) 24, No. 3 (2020) 24, No. 2 (2020) 24, No. 1 (2020) 23, No. 4 (2019) 23, No. 3 (2019) 23, No. 2 (2019) 23, No. 1 (2019) 22, No. 4 (2018) 22, No. 3 (2018) 22, No. 2 (2018) 22, No. 1 (2018) 21, No. 4 (2017) 21, No. 3 (2017) 21, No. 2 (2017) 21, No. 1 (2017) 20, No. 4 (2016) 20, No. 3 (2016) 20, No. 2 (2016) 20, No. 1 (2016) 19, No. 4 (2015) 19, No. 3 (2015) 19, No. 2 (2015) 19, No. 1 (2015) 18, No. 4 (2014) 18, No. 3 (2014) 18, No. 2 (2014) 18, No. 1 (2014) 17, No. 4 (2013) 17, No. 3 (2013) 17, No. 2 (2013) 17, No. 1 (2013) 16, No. 4 (2012) 16, No. 3 (2012) 16, No. 2 (2012) 16, No. 1 (2012) 15, No. 4 (2011) 15, No. 3 (2011) 15, No. 2 (2011) 15, No. 1 (2011) 14, No. 4 (2010) 14, No. 3 (2010) 14, No. 2 (2010) 14, No. 1 (2010) 13, No. 4 (2009) 13, No. 3 (2009) 13, No. 2 (2009) 13, No. 1 (2009) 12, No. 4 (2008) 12, No. 3 (2008) 12, No. 2 (2008) 12, No. 1 (2008) 11, No. 4 (2007) 11, No. 3 (2007) 11, No. 2 (2007) 11, No. 1 (2007) 11, No. 4 (2006) 10, No. 4 (2006) 10, No. 3 (2006) 10, No. 2 (2006) 10, No. 1 (2006) 9, No. 4 (2005) 9, No. 3 (2005) 9, No. 2 (2005) 9, No. 1 (2005) 9, No. 3 (2004) 8, No. 4 (2004) 8, No. 3 (2004) 8, No. 2 (2004) 8, No. 1 (2004) 7, No. 4 (2003) 7, No. 3 (2003) 7, No. 2 (2003) 7, No. 1 (2003) 6, No. 4 (2002) 6, No. 3 (2002) 6, No. 2 (2002) 6, No. 1 (2002) 5, No. 4 (2001) 5, No. 3 (2001) 5, No. 2 (2001) 5, No. 1 (2001) 4, No. 4 (2000) 4, No. 3 (2000) 4, No. 2 (2000) ...and 11 more Volumes all top 5 Authors 23 Kabanov, Yuriĭ Mikhaĭlovich 13 Guasoni, Paolo 12 Schachermayer, Walter 11 Hobson, David Graham 11 Jeanblanc, Monique 11 Muhle-Karbe, Johannes 10 Filipović, Damir 9 Bouchard, Bruno 9 Kardaras, Constantinos 9 Pham, Huyên 8 Benth, Fred Espen 8 Carr, Peter Paul 8 Delbaen, Freddy 7 Fukasawa, Masaaki 7 Karatzas, Ioannis 7 Schweizer, Martin 7 Soner, Halil Mete 7 Stricker, Christophe 7 Touzi, Nizar 7 Wang, Ruodu 6 Belomestny, Denis 6 Björk, Tomas 6 Campi, Luciano 6 Çetin, Umut 6 Föllmer, Hans 6 Frittelli, Marco 6 Glasserman, Paul 6 Herdegen, Martin 6 Kupper, Michael 6 Linetsky, Vadim 6 Obloj, Jan K. 6 Protter, Philip Elliott 6 Rásonyi, Miklós 6 Rogers, L. C. G. 6 Schied, Alexander 6 Zariphopoulou, Thaleia 6 Žitković, Gordan 5 Bayraktar, Erhan 5 Beiglböck, Mathias 5 Choulli, Tahir 5 Cvitanić, Jakša 5 Dolinsky, Yan 5 Fontana, Claudio 5 Jarrow, Robert Alan 5 Jiao, Ying 5 Kallsen, Jan 5 Keller-Ressel, Martin 5 Lépinette, Emmanuel 5 Madan, Dilip B. 5 Mijatović, Aleksandar 5 Nutz, Marcel 5 Pergamenshchikov, Sergeĭ Markovich 5 Rüschendorf, Ludger 5 Yor, Marc 4 Alòs, Elisa 4 Bank, Peter 4 Bartl, Daniel 4 Becherer, Dirk 4 Carmona, René A. 4 Cheridito, Patrick 4 Cox, Alexander Matthew Gordon 4 Cuchiero, Christa 4 Eberlein, Ernst W. 4 Feinstein, Zachary 4 Fouque, Jean-Pierre 4 Frey, Rüdiger 4 Gerhold, Stefan 4 Gobet, Emmanuel 4 Huang, Yu-Jui 4 Jacod, Jean 4 Jacquier, Antoine 4 Jouini, Elyès 4 Kratschmer, Volker 4 Mostovyi, Oleksii 4 Munari, Cosimo 4 Robertson, Scott 4 Runggaldier, Wolfgang J. 4 Rutkowski, Marek 4 Schoenmakers, John G. M. 4 Seifried, Frank Thomas 4 Shreve, Steven E. 4 Sircar, Ronnie 4 Song, Shiqi 4 Tehranchi, Michael R. 4 Villeneuve, Stéphane 3 Acciaio, Beatrice 3 Bender, Christian 3 Biagini, Francesca 3 Brigo, Damiano 3 Capponi, Agostino 3 Cherny, Alexander S. 3 Coculescu, Delia 3 Dassios, Angelos 3 De Angelis, Tiziano 3 Deng, Jun 3 Denis, Emmanuel 3 El Karoui, Nicole 3 Elie, Romuald 3 Elliott, Robert James 3 Embrechts, Paul ...and 782 more Authors all top 5 Fields 713 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 551 Probability theory and stochastic processes (60-XX) 124 Systems theory; control (93-XX) 84 Statistics (62-XX) 65 Calculus of variations and optimal control; optimization (49-XX) 41 Numerical analysis (65-XX) 32 Partial differential equations (35-XX) 31 Operations research, mathematical programming (90-XX) 22 Functional analysis (46-XX) 11 Integral equations (45-XX) 8 Real functions (26-XX) 8 Measure and integration (28-XX) 7 Operator theory (47-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Convex and discrete geometry (52-XX) 5 Computer science (68-XX) 5 Information and communication theory, circuits (94-XX) 4 Approximations and expansions (41-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 2 Special functions (33-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 General topology (54-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Nonassociative rings and algebras (17-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 691 Publications have been cited 16,793 times in 9,202 Documents Cited by ▼ Year ▼ Convex measures of risk and trading constraints. Zbl 1041.91039 Föllmer, Hans; Schied, Alexander 520 2002 Processes of normal inverse Gaussian type. Zbl 0894.90011 Barndorff-Nielsen, Ole E. 408 1998 A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038 Björk, Tomas; Murgoci, Agatha 196 2014 Generalized deviations in risk analysis. Zbl 1150.90006 Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael 188 2006 On time-inconsistent stochastic control in continuous time. Zbl 1360.49013 Björk, Tomas; Khapko, Mariana; Murgoci, Agatha 177 2017 Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066 Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis 171 1999 Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162 Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich 165 2013 The numéraire portfolio in semimartingale financial models. Zbl 1144.91019 Karatzas, Ioannis; Kardaras, Constantinos 158 2007 Conditional and dynamic convex risk measures. Zbl 1092.91017 Detlefsen, Kai; Scandolo, Giacomo 138 2005 Quantile hedging. Zbl 0977.91019 Föllmer, Hans; Leukert, Peter 136 1999 Moment explosions in stochastic volatility models. Zbl 1142.65004 Andersen, Leif B. G.; Piterbarg, Vladimir V. 135 2007 Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026 Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael 132 2000 Robust hedging of the lookback option. Zbl 0907.90023 Hobson, David G. 131 1998 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037 Barrieu, Pauline; El Karoui, Nicole 129 2005 A solution approach to valuation with unhedgeable risks. Zbl 0977.93081 Zariphopoulou, Thaleia 129 2001 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051 Barles, Guy; Soner, Halil Mete 127 1998 Liquidity risk and arbitrage pricing theory. Zbl 1064.60083 Çetin, Umut; Jarrow, Robert A.; Protter, Philip 120 2004 LIBOR and swap market models and measures. Zbl 0888.60038 Jamshidian, Farshid 119 1997 Arbitrage in fractional Brownian motion models. Zbl 1035.60036 Cheridito, Patrick 117 2003 Efficient hedging: cost versus shortfall risk. Zbl 0956.60074 Föllmer, Hans; Leukert, Peter 116 2000 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020 Alòs, Elisa; León, Jorge A.; Vives, Josep 115 2007 An analysis of a least squares regression method for American option pricing. Zbl 1039.91020 Clément, Emmanuelle; Lamberton, Damien; Protter, Philip 111 2002 Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036 Kabanov, Yu. M. 109 1999 An example of indifference prices under exponential preferences. Zbl 1062.93048 Musiela, Marek; Zariphopoulou, Thaleia 102 2004 Local martingales, bubbles and option prices. Zbl 1092.91023 Cox, Alexander M. G.; Hobson, David G. 100 2005 Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038 Mordecki, Ernesto 100 2002 Game options. Zbl 1066.91042 Kifer, Yuri 93 2000 Vector-valued coherent risk measures. Zbl 1063.91048 Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar 90 2004 The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 89 2002 Stock market prices and long-range dependence. Zbl 0924.90029 Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim 85 1999 Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040 Sass, Jörn; Haussmann, Ulrich G. 84 2004 Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025 Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela 84 2010 A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021 Björk, Tomas; Hult, Henrik 82 2005 Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091 Malliavin, Paul; Mancino, Maria Elvira 82 2002 Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061 Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis 81 2001 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018 Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 80 2001 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038 Dassios, Angelos; Jang, Ji-Wook 80 2003 Towards a general theory of bond markets. Zbl 0889.90019 Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang 79 1997 Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052 Taksar, Michael I.; Markussen, Charlotte 79 2003 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190 Schied, Alexander; Schöneborn, Torsten 76 2009 Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023 Cont, Rama; Voltchkova, Ekaterina 75 2005 From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021 Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V. 73 1997 A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057 Carr, Peter; Linetsky, Vadim 71 2006 Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025 Browne, Sid 70 1999 Connecting discrete and continuous path-dependent options. Zbl 0924.90007 Broadie, Mark; Glasserman, Paul; Kou, S. G. 70 1999 Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195 Krätschmer, Volker; Schied, Alexander; Zähle, Henryk 70 2014 Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046 Czichowsky, Christoph 70 2013 Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024 Bion-Nadal, Jocelyne 70 2008 Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037 Sottinen, Tommi 69 2001 Coherent risk measures and good-deal bounds. Zbl 0993.91023 Jaschke, Stefan; Küchler, Uwe 69 2001 Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023 Embrechts, Paul; Höing, Andrea; Juri, Alessandro 68 2003 The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040 Fujiwara, Tsukasa; Miyahara, Yoshio 68 2003 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 66 1998 Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188 Morlais, Marie-Amélie 66 2009 In the insurance business risky investments are dangerous. Zbl 1002.91037 Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei 65 2002 Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177 Fukasawa, Masaaki 64 2011 Optimization of consumption with labor income. Zbl 0930.60050 El Karoui, Nicole; Jeanblanc-Picqué, Monique 63 1998 Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021 Korn, Ralf 62 1998 Robust pricing and hedging of double no-touch options. Zbl 1303.91171 Cox, Alexander M. G.; Obłój, Jan 62 2011 Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326 Embrechts, Paul; Wang, Bin; Wang, Ruodu 61 2015 Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038 Wang, Ruodu; Peng, Liang; Yang, Jingping 61 2013 The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491 El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu 60 2018 Bounds for functions of dependent risks. Zbl 1101.60010 Embrechts, Paul; Puccetti, Giovanni 59 2006 Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010 Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. 59 2017 Optimal capital structure and endogenous default. Zbl 1002.91019 Hilberink, Bianca; Rogers, L. C. G. 58 2002 Polynomial processes and their applications to mathematical finance. Zbl 1270.60079 Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef 57 2012 Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022 Goll, Thomas; Rüschendorf, Ludger 56 2001 Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081 Paulsen, Jostein 56 2003 Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034 Elliott, Robert J.; Osakwe, Carlton-James U. 56 2006 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065 Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan 55 2000 Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051 Janeček, Karel; Shreve, Steven 55 2004 On dynamic measure of risk. Zbl 0982.91030 Cvitanić, Jakša; Karatzas, Ioannis 53 1999 Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076 Møller, Thomas 53 2001 Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051 Hipp, Christian; Plum, Michael 53 2003 Perfect option hedging for a large trader. Zbl 0894.90017 Frey, Rüdiger 52 1998 The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038 Becherer, Dirk 51 2001 Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085 Brigo, Damiano; Alfonsi, Aurélien 51 2005 Spectral calibration of exponential Lévy models. Zbl 1126.91022 Belomestny, Denis; Reiß, Markus 51 2006 Polynomial diffusions and applications in finance. Zbl 1386.60237 Filipović, Damir; Larsson, Martin 51 2016 Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039 Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 50 2001 An application of hidden Markov models to asset allocation problems. Zbl 0907.90022 Elliott, Robert J.; van der Hoek, John 50 1997 Dynamic programming and mean-variance hedging. Zbl 0924.90021 Laurent, Jean Paul; Pham, Huyên 50 1999 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 50 1997 An optimal consumption model with stochastic volatility. Zbl 1035.60028 Fleming, Wendell H.; Hernández-Hernández, Daniel 50 2003 Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021 Schied, Alexander 50 2007 Pricing options on realized variance. Zbl 1096.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 49 2005 Optimal dividend distribution under Markov regime switching. Zbl 1252.93135 Jiang, Zhengjun; Pistorius, Martijn 49 2012 On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066 Jiang, Zhengjun; Pistorius, Martijn R. 49 2008 A general characterization of one factor affine term structure models. Zbl 0978.91033 Filipović, Damir 48 2001 The relaxed investor and parameter uncertainty. Zbl 0993.91017 Rogers, L. C. G. 48 2001 Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046 Frittelli, Marco 48 2000 Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011 Elie, Romuald; Touzi, Nizar 48 2008 Optimal capital and risk allocations for law- and cash-invariant convex functions. Zbl 1164.91012 Filipović, Damir; Svindland, Gregor 48 2008 Asymptotic arbitrage in large financial markets. Zbl 0894.90020 Kabanov, Yu. M.; Kramkov, D. O. 47 1998 Optional decomposition and Lagrange multipliers. Zbl 0894.90016 Föllmer, H.; Kabanov, Yu. M. 47 1998 Pricing double barrier options using Laplace transforms. Zbl 0940.91026 Pelsser, Antoon 47 2000 A stochastic control problem with delay arising in a pension fund model. Zbl 1302.93238 Federico, Salvatore 47 2011 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024 Campi, Luciano; Schachermayer, Walter 47 2006 Robust pricing-hedging dualities in continuous time. Zbl 1402.91789 Hou, Zhaoxu; Obłój, Jan 46 2018 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016 Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 45 1997 Optimal consumption and investment with welfare constraints. Zbl 1533.91430 Jeon, Junkee; Kwak, Minsuk 1 2024 Optimal investment in a large population of competitive and heterogeneous agents. Zbl 1533.91435 Tangpi, Ludovic; Zhou, Xuchen 1 2024 The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations. Zbl 1502.91054 Herdegen, Martin; Hobson, David; Jerome, Joseph 3 2023 Mean field portfolio games. Zbl 1505.91059 Fu, Guanxing; Zhou, Chao 3 2023 Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 1511.91161 Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 3 2023 Optimal insurance under maxmin expected utility. Zbl 1517.91187 Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario 3 2023 Optimal execution with stochastic delay. Zbl 1505.91361 Cartea, Álvaro; Sánchez-Betancourt, Leandro 2 2023 Martingale Schrödinger bridges and optimal semistatic portfolios. Zbl 1503.91131 Nutz, Marcel; Wiesel, Johannes; Zhao, Long 2 2023 Entropy martingale optimal transport and nonlinear pricing-hedging duality. Zbl 1512.91141 Doldi, Alessandro; Frittelli, Marco 2 2023 A general approach for Parisian stopping times under Markov processes. Zbl 1520.91408 Zhang, Gongqiu; Li, Lingfei 2 2023 Fundamental theorem of asset pricing with acceptable risk in markets with frictions. Zbl 1520.91409 Arduca, Maria; Munari, Cosimo 2 2023 Present-biased lobbyists in linear-quadratic stochastic differential games. Zbl 1527.91015 Lazrak, Ali; Wang, Hanxiao; Yong, Jiongmin 1 2023 The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\). Zbl 1502.91055 Herdegen, Martin; Hobson, David; Jerome, Joseph 1 2023 Price impact in Nash equilibria. Zbl 1512.91131 Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. 1 2023 Optional projection under equivalent local martingale measures. Zbl 1511.91140 Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka 1 2023 Continuous-time incentives in hierarchies. Zbl 1518.91117 Hubert, Emma 1 2023 Reinforcement learning and stochastic optimisation. Zbl 1482.91225 Jaimungal, Sebastian 7 2022 Optimal consumption with reference to past spending maximum. Zbl 1484.91449 Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang 6 2022 A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. Zbl 1484.91088 Huang, Yu-Jui; Zhou, Zhou 6 2022 Dynamic mean-variance problem with frictions. Zbl 1484.91414 Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip 4 2022 A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472 Cohen, Asaf; Dolinsky, Yan 3 2022 Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 1494.91133 Choulli, Tahir; Yansori, Sina 3 2022 Scaled insurance cash flows: representation and computation via change of measure techniques. Zbl 1484.91384 Furrer, Christian 2 2022 On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. Zbl 1494.91151 Asmussen, Søren 2 2022 Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Zbl 1498.91494 González Cázares, Jorge; Mijatović, Aleksandar 2 2022 The characteristic function of Gaussian stochastic volatility models: an analytic expression. Zbl 1498.91443 Jaber, Eduardo Abi 2 2022 A least-squares Monte Carlo approach to the estimation of enterprise risk. Zbl 1494.91176 Ha, Hongjun; Bauer, Daniel 2 2022 A continuous-time asset market game with short-lived assets. Zbl 1494.91138 Zhitlukhin, Mikhail 2 2022 A class of short-term models for the oil industry that accounts for speculative oil storage. Zbl 1494.91139 Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José A. 2 2022 From Bachelier to Dupire via optimal transport. Zbl 1482.91226 Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter 2 2022 An analytical study of participating policies with minimum rate guarantee and surrender option. Zbl 1484.91379 Chiarolla, Maria B.; De Angelis, Tiziano; Stabile, Gabriele 1 2022 Machine learning with kernels for portfolio valuation and risk management. Zbl 1484.91417 Boudabsa, Lotfi; Filipović, Damir 1 2022 Jacobi stochastic volatility factor for the LIBOR market model. Zbl 1498.91427 Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, Bernard; Mehalla, Sophian 1 2022 A concept of copula robustness and its applications in quantitative risk management. Zbl 1498.91509 Zähle, Henryk 1 2022 On ruin probabilities with investments in a risky asset with a regime-switching price. Zbl 1498.91361 Kabanov, Yuri; Pergamenshchikov, Sergey 1 2022 Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108 Delbaen, Freddy 13 2021 Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307 Strub, Moris S.; Zhou, Xun Yu 12 2021 Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356 Gonon, Lukas; Schwab, Christoph 10 2021 Scenario-based risk evaluation. Zbl 1476.91222 Wang, Ruodu; Ziegel, Johanna F. 9 2021 A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051 Obłój, Jan; Wiesel, Johannes 7 2021 Duality theory for robust utility maximisation. Zbl 1475.91094 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 7 2021 Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Zbl 1471.49028 Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying 6 2021 Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310 Jaśkiewicz, Anna; Nowak, Andrzej S. 6 2021 Equilibrium asset pricing with transaction costs. Zbl 1461.91327 Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan 5 2021 High-frequency trading with fractional Brownian motion. Zbl 1461.91300 Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 5 2021 Infinite-dimensional polynomial processes. Zbl 1461.91310 Cuchiero, Christa; Svaluto-Ferro, Sara 5 2021 Additive logistic processes in option pricing. Zbl 1475.91352 Carr, Peter; Torricelli, Lorenzo 5 2021 Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Zbl 1476.91166 Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail 5 2021 Nonlinear expectations of random sets. Zbl 1461.91283 Molchanov, Ilya; Mühlemann, Anja 3 2021 Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317 Lépinette, Emmanuel; Molchanov, Ilya 3 2021 Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077 Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit 3 2021 A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272 Bouchard, Bruno; Tan, Xiaolu 2 2021 Set-valued risk measures as backward stochastic difference inclusions and equations. Zbl 1461.91363 Ararat, Çağın; Feinstein, Zachary 2 2021 Concavity, stochastic utility, and risk aversion. Zbl 1461.91274 Jarrow, Robert; Li, Siguang 2 2021 Change of drift in one-dimensional diffusions. Zbl 1461.91365 Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. 2 2021 Time-dynamic evaluations under non-monotone information generated by marked point processes. Zbl 1470.91302 Christiansen, Marcus C. 1 2021 On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs. Zbl 1471.91569 Grépat, Julien; Kabanov, Yuri 1 2021 Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036 Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu 29 2020 Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259 Chi, Yichun; Wei, Wei 17 2020 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127 De Angelis, Tiziano 14 2020 Pathwise superhedging on prediction sets. Zbl 1458.91210 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 14 2020 Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388 Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 12 2020 Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195 Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten 10 2020 Linear credit risk models. Zbl 1445.91066 Ackerer, Damien; Filipović, Damir 10 2020 On fairness of systemic risk measures. Zbl 1433.91188 Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 9 2020 Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031 Kabanov, Yuri; Pergamenshchikov, Serguei 8 2020 Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio 8 2020 An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180 Weston, Kim; Žitković, Gordan 7 2020 The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103 Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi 7 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271 Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 6 2020 Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164 Karatzas, Ioannis; Kim, Donghan 5 2020 The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277 Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip 5 2020 Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099 Kardaras, Constantinos; Ruf, Johannes 4 2020 A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126 Tehranchi, Michael R. 3 2020 The value of informational arbitrage. Zbl 1433.91151 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio 3 2020 Regime switching affine processes with applications to finance. Zbl 1435.91192 van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik 3 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168 Bayraktar, Erhan; Burzoni, Matteo 3 2020 Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161 Hambly, Ben; Kolliopoulos, Nikolaos 3 2020 Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186 Egami, Masahiko; Kevkhishvili, Rusudan 3 2020 Consumption in incomplete markets. Zbl 1435.91179 Guasoni, Paolo; Wang, Gu 2 2020 The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098 Kiiski, Matti 2 2020 Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173 Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier 2 2020 A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190 Albani, Vinicius V. L.; Zubelli, Jorge P. 2 2020 Partial liquidation under reference-dependent preferences. Zbl 1433.91155 Henderson, Vicky; Muscat, Jonathan 1 2020 Asset prices in segmented and integrated markets. Zbl 1452.91317 Guasoni, Paolo; Wong, Kwok Chuen 1 2020 Conditional Davis pricing. Zbl 1461.91316 Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan 1 2020 Affine forward variance models. Zbl 1430.91110 Gatheral, Jim; Keller-Ressel, Martin 32 2019 An application of fractional differential equations to risk theory. Zbl 1432.91097 Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R. 26 2019 Incorporating signals into optimal trading. Zbl 1411.91517 Lehalle, Charles-Albert; Neuman, Eyal 21 2019 An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060 Hambly, Ben; Søjmark, Andreas 18 2019 Duality for pathwise superhedging in continuous time. Zbl 1429.91314 Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic 15 2019 The self-financing equation in limit order book markets. Zbl 1460.91246 Carmona, René; Webster, Kevin 13 2019 Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239 Belak, Christoph; Christensen, Sören 13 2019 A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240 Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip 13 2019 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200 Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia 13 2019 Extreme at-the-money skew in a local volatility model. Zbl 1427.91279 Pigato, Paolo 11 2019 On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Zbl 1425.91401 Hefter, Mario; Jentzen, Arnulf 11 2019 Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100 Mostovyi, Oleksii; Sîrbu, Mihai 9 2019 Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032 Liebrich, Felix-Benedikt; Svindland, Gregor 9 2019 Robust bounds for the American put. Zbl 1411.91558 Hobson, David; Norgilas, Dominykas 9 2019 ...and 591 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 7,840 Authors 79 Siu, Tak Kuen 63 Bayraktar, Erhan 63 Wang, Ruodu 53 Madan, Dilip B. 50 Elliott, Robert James 47 Young, Virginia R. 45 Muhle-Karbe, Johannes 39 Bouchard, Bruno 38 Touzi, Nizar 37 Jacquier, Antoine 37 Platen, Eckhard 37 Rüschendorf, Ludger 36 Filipović, Damir 35 Biagini, Francesca 35 Hobson, David Graham 35 Øksendal, Bernt Karsten 35 Rásonyi, Miklós 35 Yang, Hailiang 34 Belomestny, Denis 34 Dolinsky, Yan 34 Wong, Hoi Ying 33 Benth, Fred Espen 33 Gobet, Emmanuel 33 Schachermayer, Walter 32 Guasoni, Paolo 32 Kardaras, Constantinos 32 Kupper, Michael 32 Obloj, Jan K. 31 Jarrow, Robert Alan 30 Beiglböck, Mathias 30 Jeanblanc, Monique 30 Rutkowski, Marek 30 Soner, Halil Mete 28 Bo, Lijun 28 Hu, Yijun 28 Levendorskiĭ, Sergeĭ Zakharovich 28 Pham, Huyên 28 Protter, Philip Elliott 28 Schoenmakers, John G. M. 27 Ferrari, Giorgio 27 Lépinette, Emmanuel 27 Tankov, Peter 26 Balbás, Alejandro 26 Eberlein, Ernst W. 26 Ekström, Erik 26 Fukasawa, Masaaki 26 Rudloff, Birgit 26 Schied, Alexander 25 Brigo, Damiano 25 Mishura, Yuliya Stepanivna 25 Nutz, Marcel 25 Possamaï, Dylan 25 Zeng, Yan 25 Zheng, Harry H. 24 Fontana, Claudio 24 Larsson, Martin 23 Choulli, Tahir 23 Dassios, Angelos 23 Fouque, Jean-Pierre 23 Gapeev, Pavel V. 23 Kabanov, Yuriĭ Mikhaĭlovich 23 Leonenko, Nikolai N. 23 Pascucci, Andrea 23 Teichmann, Josef 22 Bielecki, Tomasz R. 22 Campi, Luciano 22 Carr, Peter Paul 22 Forsyth, Peter A. 22 Frittelli, Marco 22 Jaimungal, Sebastian 22 Jin, Zhuo 22 Kallsen, Jan 22 Karatzas, Ioannis 22 Meyer-Brandis, Thilo 22 Rosazza Gianin, Emanuela 22 Schoutens, Wim 22 Sircar, Ronnie 22 Steffensen, Mogens 22 Tan, Xiaolu 22 Wang, Yongjin 22 Xiong, Dewen 22 Yuen, Kam Chuen 21 Cui, Zhenyu 21 Figueroa-López, José E. 21 Li, Zhongfei 21 Linetsky, Vadim 21 Riedel, Frank 21 Sass, Jörn 21 Seifried, Frank Thomas 20 Alòs, Elisa 20 Barndorff-Nielsen, Ole Eiler 20 Bäuerle, Nicole 20 Bayer, Christian 20 De Angelis, Tiziano 20 Joshi, Mark S. 20 Jourdain, Benjamin 20 Li, Lingfei 20 Liang, Zongxia 20 Palmowski, Zbigniew 20 Papapantoleon, Antonis ...and 7,740 more Authors all top 5 Cited in 519 Journals 502 Quantitative Finance 457 International Journal of Theoretical and Applied Finance 451 Mathematical Finance 439 Finance and Stochastics 423 Insurance Mathematics & Economics 333 Stochastic Processes and their Applications 272 SIAM Journal on Financial Mathematics 258 The Annals of Applied Probability 204 European Journal of Operational Research 188 Mathematics and Financial Economics 153 Applied Mathematical Finance 153 Stochastics 152 Journal of Computational and Applied Mathematics 133 Statistics & Probability Letters 130 SIAM Journal on Control and Optimization 128 Journal of Economic Dynamics & Control 125 Scandinavian Actuarial Journal 121 Stochastic Analysis and Applications 110 Journal of Applied Probability 101 Annals of Operations Research 93 Communications in Statistics. 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Theory and Applications 13 International Journal of Control 13 SIAM Journal on Numerical Analysis 13 Applied Numerical Mathematics 13 International Journal of Approximate Reasoning ...and 419 more Journals all top 5 Cited in 53 Fields 7,161 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4,707 Probability theory and stochastic processes (60-XX) 1,303 Statistics (62-XX) 1,260 Systems theory; control (93-XX) 858 Numerical analysis (65-XX) 703 Calculus of variations and optimal control; optimization (49-XX) 641 Operations research, mathematical programming (90-XX) 499 Partial differential equations (35-XX) 139 Functional analysis (46-XX) 120 Ordinary differential equations (34-XX) 113 Integral equations (45-XX) 98 Computer science (68-XX) 81 Real functions (26-XX) 68 Operator theory (47-XX) 54 Approximations and expansions (41-XX) 53 Integral transforms, operational calculus (44-XX) 45 Measure and integration (28-XX) 38 Biology and other natural sciences (92-XX) 37 Statistical mechanics, structure of matter (82-XX) 35 Harmonic analysis on Euclidean spaces (42-XX) 30 Information and communication theory, circuits (94-XX) 29 Dynamical systems and ergodic theory (37-XX) 24 Global analysis, analysis on manifolds (58-XX) 21 Special functions (33-XX) 21 Convex and discrete geometry (52-XX) 19 Difference and functional equations (39-XX) 12 Combinatorics (05-XX) 12 Number theory (11-XX) 9 General and overarching topics; collections (00-XX) 8 Fluid mechanics (76-XX) 8 Quantum theory (81-XX) 7 Mathematical logic and foundations (03-XX) 7 General topology (54-XX) 7 Geophysics (86-XX) 6 History and biography (01-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Functions of a complex variable (30-XX) 5 Topological groups, Lie groups (22-XX) 5 Mechanics of particles and systems (70-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Potential theory (31-XX) 4 Mechanics of deformable solids (74-XX) 4 Classical thermodynamics, heat transfer (80-XX) 3 Sequences, series, summability (40-XX) 3 Abstract harmonic analysis (43-XX) 3 Differential geometry (53-XX) 3 Optics, electromagnetic theory (78-XX) 2 Relativity and gravitational theory (83-XX) 2 Mathematics education (97-XX) 1 Associative rings and algebras (16-XX) 1 Nonassociative rings and algebras (17-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) Citations by Year