Finance and Stochastics Short Title: Finance Stoch. Publisher: Springer, Berlin/Heidelberg ISSN: 0949-2984; 1432-1122/e Online: http://link.springer.com/journal/volumesAndIssues/780 Comments: Indexed cover-to-cover Documents Indexed: 719 Publications (since 1997) References Indexed: 486 Publications with 15,276 References. all top 5 Latest Issues 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) 4, No. 1 (2000) 3, No. 4 (1999) 3, No. 3 (1999) 3, No. 2 (1999) 3, No. 1 (1999) ...and 6 more Volumes all top 5 Authors 22 Kabanov, Yuriĭ Mikhaĭlovich 12 Guasoni, Paolo 11 Hobson, David Graham 11 Jeanblanc, Monique 11 Muhle-Karbe, Johannes 11 Schachermayer, Walter 9 Bouchard, Bruno 9 Filipović, Damir 9 Kardaras, Constantinos 9 Pham, Huyên 8 Carr, Peter Paul 8 Delbaen, Freddy 7 Benth, Fred Espen 7 Fukasawa, Masaaki 7 Karatzas, Ioannis 7 Schweizer, Martin 7 Soner, Halil Mete 7 Stricker, Christophe 7 Touzi, Nizar 6 Belomestny, Denis 6 Björk, Tomas 6 Campi, Luciano 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 Wang, Ruodu 6 Zariphopoulou, Thaleia 6 Žitković, Gordan 5 Bayraktar, Erhan 5 Çetin, Umut 5 Choulli, Tahir 5 Cvitanić, Jakša 5 Dolinsky, Yan 5 Jarrow, Robert Alan 5 Jiao, Ying 5 Kallsen, Jan 5 Keller-Ressel, Martin 5 Lépinette, Emmanuel 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 Beiglböck, Mathias 4 Carmona, René A. 4 Cheridito, Patrick 4 Cox, Alexander Matthew Gordon 4 Cuchiero, Christa 4 Eberlein, Ernst W. 4 Fontana, Claudio 4 Fouque, Jean-Pierre 4 Frey, Rüdiger 4 Gerhold, Stefan 4 Gobet, Emmanuel 4 Huang, Yu-Jui 4 Jacod, Jean 4 Jouini, Elyès 4 Kratschmer, Volker 4 Madan, Dilip B. 4 Robertson, Scott 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 Becherer, Dirk 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 3 Federico, Salvatore 3 Feinstein, Zachary 3 Figueroa-López, José E. 3 Forde, Martin 3 Geman, Hélyette ...and 747 more Authors all top 5 Fields 681 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 528 Probability theory and stochastic processes (60-XX) 117 Systems theory; control (93-XX) 83 Statistics (62-XX) 60 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) 20 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 Convex and discrete geometry (52-XX) 4 General and overarching topics; collections (00-XX) 4 Approximations and expansions (41-XX) 4 Information and communication theory, circuits (94-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 3 Computer science (68-XX) 2 History and biography (01-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 651 Publications have been cited 14,406 times in 7,981 Documents Cited by ▼ Year ▼ Convex measures of risk and trading constraints. Zbl 1041.91039Föllmer, Hans; Schied, Alexander 476 2002 Processes of normal inverse Gaussian type. Zbl 0894.90011Barndorff-Nielsen, Ole E. 374 1998 Generalized deviations in risk analysis. Zbl 1150.90006Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael 158 2006 Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis 143 1999 A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038Björk, Tomas; Murgoci, Agatha 135 2014 Quantile hedging. Zbl 0977.91019Föllmer, Hans; Leukert, Peter 131 1999 The numéraire portfolio in semimartingale financial models. Zbl 1144.91019Karatzas, Ioannis; Kardaras, Constantinos 130 2007 Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael 127 2000 Conditional and dynamic convex risk measures. Zbl 1092.91017Detlefsen, Kai; Scandolo, Giacomo 124 2005 Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich 123 2013 On time-inconsistent stochastic control in continuous time. Zbl 1360.49013Björk, Tomas; Khapko, Mariana; Murgoci, Agatha 121 2017 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037Barrieu, Pauline; El Karoui, Nicole 119 2005 Moment explosions in stochastic volatility models. Zbl 1142.65004Andersen, Leif B. G.; Piterbarg, Vladimir V. 117 2007 A solution approach to valuation with unhedgeable risks. Zbl 0977.93081Zariphopoulou, Thaleia 116 2001 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051Barles, Guy; Soner, Halil Mete 115 1998 LIBOR and swap market models and measures. Zbl 0888.60038Jamshidian, Farshid 114 1997 Robust hedging of the lookback option. Zbl 0907.90023Hobson, David G. 113 1998 Liquidity risk and arbitrage pricing theory. Zbl 1064.60083Çetin, Umut; Jarrow, Robert A.; Protter, Philip 113 2004 Efficient hedging: cost versus shortfall risk. Zbl 0956.60074Föllmer, Hans; Leukert, Peter 110 2000 Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036Kabanov, Yu. M. 102 1999 Arbitrage in fractional Brownian motion models. Zbl 1035.60036Cheridito, Patrick 102 2003 An analysis of a least squares regression method for American option pricing. Zbl 1039.91020Clément, Emmanuelle; Lamberton, Damien; Protter, Philip 96 2002 An example of indifference prices under exponential preferences. Zbl 1062.93048Musiela, Marek; Zariphopoulou, Thaleia 93 2004 Local martingales, bubbles and option prices. Zbl 1092.91023Cox, Alexander M. G.; Hobson, David G. 91 2005 Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038Mordecki, Ernesto 90 2002 On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020Alòs, Elisa; León, Jorge A.; Vives, Josep 89 2007 Game options. Zbl 1066.91042Kifer, Yuri 87 2000 Vector-valued coherent risk measures. Zbl 1063.91048Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar 86 2004 The cumulant process and Esscher’s change of measure. Zbl 1035.60042Kallsen, Jan; Shiryaev, Albert N. 81 2002 Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela 76 2010 Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis 75 2001 Stock market prices and long-range dependence. Zbl 0924.90029Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim 75 1999 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 74 2001 Towards a general theory of bond markets. Zbl 0889.90019Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang 74 1997 Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091Malliavin, Paul; Mancino, Maria Elvira 74 2002 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038Dassios, Angelos; Jang, Ji-Wook 74 2003 Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052Taksar, Michael I.; Markussen, Charlotte 74 2003 Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040Sass, Jörn; Haussmann, Ulrich G. 73 2004 Connecting discrete and continuous path-dependent options. Zbl 0924.90007Broadie, Mark; Glasserman, Paul; Kou, S. G. 67 1999 Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024Bion-Nadal, Jocelyne 66 2008 Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023Cont, Rama; Voltchkova, Ekaterina 66 2005 A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057Carr, Peter; Linetsky, Vadim 65 2006 The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040Fujiwara, Tsukasa; Miyahara, Yoshio 64 2003 A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021Björk, Tomas; Hult, Henrik 63 2005 In the insurance business risky investments are dangerous. Zbl 1002.91037Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei 62 2002 Coherent risk measures and good-deal bounds. Zbl 0993.91023Jaschke, Stefan; Küchler, Uwe 61 2001 From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V. 61 1997 Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046Czichowsky, Christoph 61 2013 Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037Sottinen, Tommi 61 2001 Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025Browne, Sid 61 1999 Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023Embrechts, Paul; Höing, Andrea; Juri, Alessandro 61 2003 Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188Morlais, Marie-Amélie 60 2009 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190Schied, Alexander; Schöneborn, Torsten 59 2009 Optimization of consumption with labor income. Zbl 0930.60050El Karoui, Nicole; Jeanblanc-Picqué, Monique 58 1998 Optimal capital structure and endogenous default. Zbl 1002.91019Hilberink, Bianca; Rogers, L. C. G. 56 2002 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036Jacod, J.; Shiryaev, A. N. 55 1998 Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195Krätschmer, Volker; Schied, Alexander; Zähle, Henryk 55 2014 Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021Korn, Ralf 54 1998 White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan 53 2000 Bounds for functions of dependent risks. Zbl 1101.60010Embrechts, Paul; Puccetti, Giovanni 53 2006 Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038Wang, Ruodu; Peng, Liang; Yang, Jingping 53 2013 Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022Goll, Thomas; Rüschendorf, Ludger 53 2001 Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326Embrechts, Paul; Wang, Bin; Wang, Ruodu 53 2015 Robust pricing and hedging of double no-touch options. Zbl 1303.91171Cox, Alexander M. G.; Obłój, Jan 53 2011 Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177Fukasawa, Masaaki 53 2011 Polynomial processes and their applications to mathematical finance. Zbl 1270.60079Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef 52 2012 Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051Hipp, Christian; Plum, Michael 52 2003 Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076Møller, Thomas 51 2001 Perfect option hedging for a large trader. Zbl 0894.90017Frey, Rüdiger 50 1998 On dynamic measure of risk. Zbl 0982.91030Cvitanić, Jakša; Karatzas, Ioannis 50 1999 Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081Paulsen, Jostein 50 2003 Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034Elliott, Robert J.; Osakwe, Carlton-James U. 49 2006 Dynamic programming and mean-variance hedging. Zbl 0924.90021Laurent, Jean Paul; Pham, Huyên 49 1999 On the range of options prices. Zbl 0889.90020Eberlein, Ernst; Jacod, Jean 48 1997 Spectral calibration of exponential Lévy models. Zbl 1126.91022Belomestny, Denis; Reiß, Markus 47 2006 On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066Jiang, Zhengjun; Pistorius, Martijn R. 47 2008 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024Campi, Luciano; Schachermayer, Walter 46 2006 Pricing options on realized variance. Zbl 1096.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 46 2005 An optimal consumption model with stochastic volatility. Zbl 1035.60028Fleming, Wendell H.; Hernández-Hernández, Daniel 46 2003 An application of hidden Markov models to asset allocation problems. Zbl 0907.90022Elliott, Robert J.; van der Hoek, John 46 1997 Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085Brigo, Damiano; Alfonsi, Aurélien 46 2005 Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046Frittelli, Marco 45 2000 Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. 45 2017 Asymptotic arbitrage in large financial markets. Zbl 0894.90020Kabanov, Yu. M.; Kramkov, D. O. 45 1998 Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051Janeček, Karel; Shreve, Steven 45 2004 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 45 1997 Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021Schied, Alexander 44 2007 Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin 43 2001 The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038Becherer, Dirk 43 2001 The relaxed investor and parameter uncertainty. Zbl 0993.91017Rogers, L. C. G. 42 2001 A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar 42 1999 Optimal dividend distribution under Markov regime switching. Zbl 1252.93135Jiang, Zhengjun; Pistorius, Martijn 42 2012 On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep 41 2002 Hedging American contingent claims with constrained portfolios. Zbl 0904.90012Karatzas, Ioannis; Kou, S. G. 41 1998 Pricing double barrier options using Laplace transforms. Zbl 0940.91026Pelsser, Antoon 41 2000 Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011Elie, Romuald; Touzi, Nizar 41 2008 Optimal capital and risk allocations for law- and cash-invariant convex functions. Zbl 1164.91012Filipović, Damir; Svindland, Gregor 41 2008 Continuous-time term structure models: Forward measure approach. Zbl 0888.60037Musiela, Marek; Rutkowski, Marek 40 1997 Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin 40 1998 A general characterization of one factor affine term structure models. Zbl 0978.91033Filipović, Damir 40 2001 The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations. Zbl 1502.91054Herdegen, Martin; Hobson, David; Jerome, Joseph 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 1502.91055Herdegen, Martin; Hobson, David; Jerome, Joseph 1 2023 Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 07673718Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 1 2023 Optimal consumption with reference to past spending maximum. Zbl 1484.91449Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang 2 2022 Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 1494.91133Choulli, Tahir; Yansori, Sina 2 2022 A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. Zbl 1484.91088Huang, Yu-Jui; Zhou, Zhou 1 2022 A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472Cohen, Asaf; Dolinsky, Yan 1 2022 Scaled insurance cash flows: representation and computation via change of measure techniques. Zbl 1484.91384Furrer, Christian 1 2022 A class of short-term models for the oil industry that accounts for speculative oil storage. Zbl 1494.91139Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José A. 1 2022 The characteristic function of Gaussian stochastic volatility models: an analytic expression. Zbl 1498.91443Jaber, Eduardo Abi 1 2022 Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307Strub, Moris S.; Zhou, Xun Yu 4 2021 Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Zbl 1471.49028Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying 4 2021 Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108Delbaen, Freddy 4 2021 Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356Gonon, Lukas; Schwab, Christoph 4 2021 Infinite-dimensional polynomial processes. Zbl 1461.91310Cuchiero, Christa; Svaluto-Ferro, Sara 3 2021 Equilibrium asset pricing with transaction costs. Zbl 1461.91327Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan 2 2021 Change of drift in one-dimensional diffusions. Zbl 1461.91365Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. 2 2021 A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051Obłój, Jan; Wiesel, Johannes 2 2021 Duality theory for robust utility maximisation. Zbl 1475.91094Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 2 2021 Nonlinear expectations of random sets. Zbl 1461.91283Molchanov, Ilya; Mühlemann, Anja 1 2021 Set-valued risk measures as backward stochastic difference inclusions and equations. Zbl 1461.91363Ararat, Çağın; Feinstein, Zachary 1 2021 Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317Lépinette, Emmanuel; Molchanov, Ilya 1 2021 Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit 1 2021 Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310Jaśkiewicz, Anna; Nowak, Andrzej S. 1 2021 High-frequency trading with fractional Brownian motion. Zbl 1461.91300Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 1 2021 A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272Bouchard, Bruno; Tan, Xiaolu 1 2021 Scenario-based risk evaluation. Zbl 1476.91222Wang, Ruodu; Ziegel, Johanna F. 1 2021 Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu 16 2020 Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259Chi, Yichun; Wei, Wei 11 2020 Pathwise superhedging on prediction sets. Zbl 1458.91210Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 10 2020 Linear credit risk models. Zbl 1445.91066Ackerer, Damien; Filipović, Damir 7 2020 Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 6 2020 On fairness of systemic risk measures. Zbl 1433.91188Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo 6 2020 Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031Kabanov, Yuri; Pergamenshchikov, Serguei 6 2020 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127De Angelis, Tiziano 6 2020 Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten 5 2020 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 4 2020 Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio 4 2020 An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180Weston, Kim; Žitković, Gordan 4 2020 The value of informational arbitrage. Zbl 1433.91151Chau, Huy N.; Cosso, Andrea; Fontana, Claudio 3 2020 The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip 3 2020 The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098Kiiski, Matti 2 2020 Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099Kardaras, Constantinos; Ruf, Johannes 2 2020 The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi 2 2020 Consumption in incomplete markets. Zbl 1435.91179Guasoni, Paolo; Wang, Gu 2 2020 Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164Karatzas, Ioannis; Kim, Donghan 2 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168Bayraktar, Erhan; Burzoni, Matteo 2 2020 Asset prices in segmented and integrated markets. Zbl 1452.91317Guasoni, Paolo; Wong, Kwok Chuen 1 2020 Regime switching affine processes with applications to finance. Zbl 1435.91192van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik 1 2020 Partial liquidation under reference-dependent preferences. Zbl 1433.91155Henderson, Vicky; Muscat, Jonathan 1 2020 Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier 1 2020 A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190Albani, Vinicius V. L.; Zubelli, Jorge P. 1 2020 Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161Hambly, Ben; Kolliopoulos, Nikolaos 1 2020 Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186Egami, Masahiko; Kevkhishvili, Rusudan 1 2020 A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126Tehranchi, Michael R. 1 2020 Affine forward variance models. Zbl 1430.91110Gatheral, Jim; Keller-Ressel, Martin 22 2019 An application of fractional differential equations to risk theory. Zbl 1432.91097Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R. 17 2019 A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip 12 2019 Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239Belak, Christoph; Christensen, Sören 11 2019 Incorporating signals into optimal trading. Zbl 1411.91517Lehalle, Charles-Albert; Neuman, Eyal 11 2019 An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060Hambly, Ben; Søjmark, Andreas 11 2019 Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536Alòs, Elisa; Shiraya, Kenichiro 8 2019 Duality for pathwise superhedging in continuous time. Zbl 1429.91314Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic 8 2019 An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia 7 2019 Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100Mostovyi, Oleksii; Sîrbu, Mihai 6 2019 The self-financing equation in limit order book markets. 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Zbl 1428.91016Belak, Christoph; Sass, Jörn 2 2019 Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103Horst, Ulrich; Xia, Xiaonyu 2 2019 Dual utilities on risk aggregation under dependence uncertainty. Zbl 1426.91115Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu 2 2019 Consumption, investment and healthcare with aging. Zbl 1411.91365Guasoni, Paolo; Huang, Yu-Jui 2 2019 Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248Coculescu, Delia; Jeanblanc, Monique 2 2019 A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 2 2019 Robust utility maximisation in markets with transaction costs. Zbl 1457.91356Chau, Huy N.; Rásonyi, Miklós 2 2019 Minimax theorems for American options without time-consistency. Zbl 1430.91105Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha 1 2019 Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306Klüppelberg, Claudia; Seifert, Miriam Isabel 1 2019 Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. Zbl 1444.91216Kühn, Christoph; Molitor, Alexander 1 2019 The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu 37 2018 Robust pricing-hedging dualities in continuous time. Zbl 1402.91789Hou, Zhaoxu; Obłój, Jan 29 2018 Dynamic programming approach to principal-agent problems. Zbl 1391.91116Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar 27 2018 Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. 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Zbl 1416.91349Herdegen, Martin; Muhle-Karbe, Johannes 9 2018 Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia 9 2018 An expansion in the model space in the context of utility maximization. Zbl 1396.91692Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan 8 2018 Risk measures based on behavioural economics theory. Zbl 1397.91606Mao, Tiantian; Cai, Jun 8 2018 Replicating portfolio approach to capital calculation. Zbl 1396.91294Cambou, Mathieu; Filipović, Damir 7 2018 No-arbitrage under a class of honest times. Zbl 1391.91166Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique 6 2018 Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284Beissner, Patrick; Riedel, Frank 5 2018 ...and 551 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 6,924 Authors 72 Siu, Tak Kuen 54 Bayraktar, Erhan 52 Wang, Ruodu 47 Elliott, Robert James 47 Madan, Dilip B. 40 Young, Virginia R. 36 Bouchard, Bruno 36 Muhle-Karbe, Johannes 36 Touzi, Nizar 34 Øksendal, Bernt Karsten 34 Platen, Eckhard 34 Yang, Hailiang 33 Hobson, David Graham 33 Wong, Hoi Ying 32 Jacquier, Antoine 32 Rásonyi, Miklós 31 Benth, Fred Espen 31 Rüschendorf, Ludger 30 Biagini, Francesca 30 Dolinsky, Yan 30 Kupper, Michael 30 Obloj, Jan K. 30 Schachermayer, Walter 29 Belomestny, Denis 28 Filipović, Damir 28 Jeanblanc, Monique 28 Kardaras, Constantinos 28 Rutkowski, Marek 27 Bo, Lijun 27 Gobet, Emmanuel 27 Guasoni, Paolo 27 Soner, Halil Mete 26 Hu, Yijun 26 Jarrow, Robert Alan 26 Levendorskiĭ, Sergeĭ Zakharovich 26 Protter, Philip Elliott 26 Rudloff, Birgit 25 Eberlein, Ernst W. 25 Pham, Huyên 25 Schoenmakers, John G. M. 24 Lépinette, Emmanuel 24 Pascucci, Andrea 24 Schied, Alexander 23 Beiglböck, Mathias 23 Gapeev, Pavel V. 23 Leonenko, Nikolai N. 23 Mishura, Yuliya Stepanivna 23 Tankov, Peter 23 Zeng, Yan 23 Zheng, Harry H. 22 Balbás, Alejandro 22 Bielecki, Tomasz R. 22 Brigo, Damiano 22 Ekström, Erik 22 Kabanov, Yuriĭ Mikhaĭlovich 22 Kallsen, Jan 22 Nutz, Marcel 22 Sircar, Ronnie 22 Wang, Yongjin 22 Xiong, Dewen 21 Choulli, Tahir 21 Ferrari, Giorgio 21 Karatzas, Ioannis 21 Meyer-Brandis, Thilo 21 Schoutens, Wim 21 Yuen, Kam Chuen 20 Barndorff-Nielsen, Ole Eiler 20 Campi, Luciano 20 Fouque, Jean-Pierre 20 Fukasawa, Masaaki 20 Jin, Zhuo 20 Li, Zhongfei 20 Linetsky, Vadim 20 Teichmann, Josef 20 Žitković, Gordan 19 Cui, Zhenyu 19 Figueroa-López, José E. 19 Forsyth, Peter A. 19 Korn, Ralf 19 Larsson, Martin 19 Pistorius, Martijn R. 19 Possamaï, Dylan 19 Puccetti, Giovanni 19 Riedel, Frank 19 Sass, Jörn 19 Schweizer, Martin 19 Svindland, Gregor 18 Bender, Christian 18 Carr, Peter Paul 18 Ceci, Claudia 18 Cheridito, Patrick 18 Crepey, Stephane 18 Dassios, Angelos 18 Joshi, Mark S. 18 Lorig, Matthew J. 18 Papapantoleon, Antonis 18 Schmidt, Thorsten 18 Seifried, Frank Thomas 18 Shen, Yang 18 Steffensen, Mogens ...and 6,824 more Authors all top 5 Cited in 474 Journals 441 International Journal of Theoretical and Applied Finance 437 Quantitative Finance 402 Finance and Stochastics 398 Insurance Mathematics & Economics 312 Stochastic Processes and their Applications 291 Mathematical Finance 234 The Annals of Applied Probability 226 SIAM Journal on Financial Mathematics 183 European Journal of Operational Research 176 Mathematics and Financial Economics 143 Applied Mathematical Finance 141 Stochastics 138 Journal of Computational and Applied Mathematics 122 Statistics & Probability Letters 122 Journal of Economic Dynamics & Control 119 Stochastic Analysis and Applications 110 Scandinavian Actuarial Journal 108 Journal of Applied Probability 105 SIAM Journal on Control and Optimization 81 Annals of Finance 79 Advances in Applied Probability 78 Applied Mathematics and Optimization 73 Annals of Operations Research 72 Journal of Mathematical Analysis and Applications 67 Communications in Statistics. 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Series A: Theory and Methods 12 Acta Applicandae Mathematicae 12 Mathematical and Computer Modelling ...and 374 more Journals all top 5 Cited in 53 Fields 6,259 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4,140 Probability theory and stochastic processes (60-XX) 1,129 Statistics (62-XX) 1,102 Systems theory; control (93-XX) 737 Numerical analysis (65-XX) 574 Calculus of variations and optimal control; optimization (49-XX) 567 Operations research, mathematical programming (90-XX) 417 Partial differential equations (35-XX) 128 Functional analysis (46-XX) 101 Ordinary differential equations (34-XX) 94 Integral equations (45-XX) 67 Real functions (26-XX) 64 Operator theory (47-XX) 61 Computer science (68-XX) 48 Approximations and expansions (41-XX) 45 Integral transforms, operational calculus (44-XX) 42 Statistical mechanics, structure of matter (82-XX) 36 Measure and integration (28-XX) 33 Biology and other natural sciences (92-XX) 32 Harmonic analysis on Euclidean spaces (42-XX) 27 Dynamical systems and ergodic theory (37-XX) 24 Information and communication theory, circuits (94-XX) 21 Convex and discrete geometry (52-XX) 20 Global analysis, analysis on manifolds (58-XX) 19 Special functions (33-XX) 17 Difference and functional equations (39-XX) 11 Combinatorics (05-XX) 10 Number theory (11-XX) 8 General and overarching topics; collections (00-XX) 7 Fluid mechanics (76-XX) 7 Quantum theory (81-XX) 6 Mathematical logic and foundations (03-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Functions of a complex variable (30-XX) 6 General topology (54-XX) 5 Topological groups, Lie groups (22-XX) 5 Mechanics of particles and systems (70-XX) 5 Geophysics (86-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Mechanics of deformable solids (74-XX) 3 History and biography (01-XX) 3 Potential theory (31-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 Classical thermodynamics, heat transfer (80-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