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Mathematical Finance

An International Journal of Mathematics, Statistics and Financial Economics

Short Title: Math. Finance
Publisher: Wiley (Wiley-Blackwell), Hoboken, NJ
ISSN: 0960-1627; 1467-9965/e
Online: https://onlinelibrary.wiley.com/loi/14679965
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 926 Publications (since 1991)
References Indexed: 722 Publications with 21,909 References.
all top 5

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...and 31 more Volumes
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Authors

19 Zhou, Xunyu
16 Jarrow, Robert Alan
15 Schachermayer, Walter
14 Filipović, Damir
13 Guasoni, Paolo
13 Madan, Dilip B.
13 Muhle-Karbe, Johannes
12 Cont, Rama
11 Delbaen, Freddy
11 Rogers, L. C. G.
10 Bayraktar, Erhan
10 Dai, Min
10 Hobson, David Graham
10 Platen, Eckhard
10 Touzi, Nizar
10 Yor, Marc
9 Capponi, Agostino
9 Schweizer, Martin
8 Carr, Peter Paul
8 Glasserman, Paul
8 Jaimungal, Sebastian
8 Jin, Hanqing
8 Kardaras, Constantinos
8 Linetsky, Vadim
8 Pham, Huyên
7 Elliott, Robert James
7 Frittelli, Marco
7 Kallsen, Jan
7 Zariphopoulou, Thaleia
6 Černý, Aleš
6 Eberlein, Ernst W.
6 He, Xuedong
6 Kwok, Yue-Kuen
6 Larsson, Martin
6 Nutz, Marcel
6 Obloj, Jan K.
6 Rutkowski, Marek
5 Bender, Christian
5 Bensoussan, Alain
5 Biagini, Francesca
5 Biagini, Sara
5 Bielecki, Tomasz R.
5 Björk, Tomas
5 Cadenillas, Abel
5 El Karoui, Nicole
5 Fouque, Jean-Pierre
5 Frey, Rüdiger
5 Friz, Peter
5 Fukasawa, Masaaki
5 Geman, Hélyette
5 Henderson, Vicky
5 Jeanblanc, Monique
5 Kabanov, Yuriĭ Mikhaĭlovich
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Li, Duan
5 Lorig, Matthew J.
5 Minca, Andreea
5 Protter, Philip Elliott
5 Robertson, Scott
5 Runggaldier, Wolfgang J.
5 Sircar, Ronnie
5 Soner, Halil Mete
5 Stricker, Christophe
5 Taksar, Michael I.
5 Teichmann, Josef
5 Wang, Ruodu
5 Xia, Jianming
4 Acciaio, Beatrice
4 Bichuch, Maxim
4 Brigo, Damiano
4 Carassus, Laurence
4 Chen, Xinfu
4 Choulli, Tahir
4 Crepey, Stephane
4 Cuchiero, Christa
4 Davis, Mark Herbert Ainsworth
4 Detemple, Jerome B.
4 Ekren, Ibrahim
4 Gourieroux, Christian
4 Guéant, Olivier
4 Heath, David C.
4 Herdegen, Martin
4 Huang, Yu-Jui
4 Jouini, Elyès
4 Karatzas, Ioannis
4 Klein, Irene
4 Korn, Ralf
4 Nadtochiy, Sergey
4 Rásonyi, Miklós
4 Ritchken, Peter H.
4 Rosenbaum, Mathieu
4 Schmidt, Thorsten
4 Schöneborn, Torsten
4 Seifried, Frank Thomas
4 Sethi, Suresh P.
4 Shreve, Steven E.
4 Spiliopoulos, Konstantinos V.
4 Xing, Hao
4 Xu, Zuoquan
4 Zapatero, Fernando
...and 1,070 more Authors

Publications by Year

Citations contained in zbMATH Open

828 Publications have been cited 22,423 times in 12,748 Documents Cited by Year
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
1997
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
384
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
287
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
266
2003
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
247
2014
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
208
1998
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
181
1997
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
173
1997
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
171
1993
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
153
1995
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
148
2002
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
148
2005
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
146
1991
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
141
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
137
2000
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
135
1992
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
123
2005
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
120
1991
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
118
1991
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
116
1999
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
114
1998
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
114
2007
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
112
2004
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
111
1997
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
111
1996
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
106
2008
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
104
2003
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
103
2008
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
101
1994
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
101
1998
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
98
2019
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
95
2003
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
95
2006
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
94
2002
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
93
2004
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
93
1997
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
92
2009
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
92
2016
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
91
2000
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
91
2004
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
91
1999
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
88
2006
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
87
2008
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
85
1993
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
85
2000
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
84
2005
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
83
2007
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
82
2007
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
81
1992
Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. Zbl 1020.91030
Scott, Louis O.
80
1997
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
78
1992
A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129
Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W.
77
2016
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
76
2005
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
76
2007
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
74
2006
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
74
2006
On the American option problem. Zbl 1109.91028
Peskir, Goran
73
2005
Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Zbl 1136.91473
Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; Zhang, Lei
72
2006
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
72
2008
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
71
2008
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
70
1996
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
70
2012
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
69
1997
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
68
1996
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
68
2012
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
67
1997
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
67
2001
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
67
1995
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
66
2000
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
66
2002
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
66
1999
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
66
2012
Portfolio choice via quantiles. Zbl 1229.91291
He, Xue Dong; Zhou, Xun Yu
65
2011
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
65
2010
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
64
2001
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
63
1996
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
62
1997
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
61
1997
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
61
2001
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
60
1998
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
Sotomayor, Luz Rocío; Cadenillas, Abel
59
2009
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
59
1995
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
59
2015
Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208
Crépey, Stéphane
58
2015
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
58
2015
Risk-sensitive control and an optimal investment model. Zbl 1039.93069
Fleming, W. H.; Sheu, S. J.
55
2000
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
55
2000
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
55
2009
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
55
2016
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
54
2011
A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115
Zhu, Song-Ping; Lian, Guang-Hua
53
2011
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
53
1995
Disutility, optimal retirement, and portfolio selection. Zbl 1145.91343
Choi, Kyoung Jin; Shim, Gyoocheol
52
2006
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
52
2014
Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Zbl 1141.91428
Choi, Kyoung Jin; Shim, Gyoocheol; Shin, Yong Hyun
51
2008
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
51
2008
Portfolio value-at-risk with heavy-tailed risk factors. Zbl 1147.91325
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
50
2002
Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030
Koo, Hyeng Keun
50
1998
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
50
2002
Effective algorithms for optimal portfolio deleveraging problem with cross impact. Zbl 07790867
Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian
1
2024
Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. Zbl 07790870
Lei, Qian; Pun, Chi Seng
1
2024
Algorithmic market making in dealer markets with hedging and market impact. Zbl 1522.91237
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier
4
2023
Preference robust distortion risk measure and its application. Zbl 1522.91322
Wang, Wei; Xu, Huifu
2
2023
Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. Zbl 1529.91066
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou
2
2023
Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312
Reppen, Anders Max; Soner, Halil Mete
1
2023
Neural network approximation for superhedging prices. Zbl 1522.91263
Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas
1
2023
Reverse stress testing: scenario design for macroprudential stress tests. Zbl 1522.91296
Baes, Michel; Schaanning, Eric
1
2023
A model-free approach to continuous-time finance. Zbl 1522.91213
Chiu, Henry; Cont, Rama
1
2023
Pathwise CVA regressions with oversimulated defaults. Zbl 1522.91253
Abbas-Turki, Lokman A.; Crépey, Stéphane; Saadeddine, Bouazza
1
2023
Recent advances in reinforcement learning in finance. Zbl 07797359
Hambly, Ben; Xu, Renyuan; Yang, Huining
1
2023
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca
8
2022
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233
Pham, Huyên; Wei, Xiaoli; Zhou, Chao
7
2022
A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets. Zbl 1522.91176
Shrivats, Arvind V.; Firoozi, Dena; Jaimungal, Sebastian
5
2022
Calibration of local-stochastic volatility models by optimal transport. Zbl 1522.91274
Guo, Ivan; Loeper, Grégoire; Wang, Shiyi
4
2022
Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. Zbl 1522.91271
Ekren, Ibrahim; Nadtochiy, Sergey
3
2022
Mean-\( \rho\) portfolio selection and \(\rho \)-arbitrage for coherent risk measures. Zbl 1522.91223
Herdegen, Martin; Khan, Nazem
3
2022
The Laplace transform of the integrated Volterra Wishart process. Zbl 1522.91254
Abi Jaber, Eduardo
3
2022
Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Zbl 1522.91226
Itkin, David; Larsson, Martin
2
2022
Optimal dividend payout under stochastic discounting. Zbl 1522.91305
Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; Gozzi, Fausto
2
2022
Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
2
2022
The American put with finite-time maturity and stochastic interest rate. Zbl 1522.91265
Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan
2
2022
A simple microstructural explanation of the concavity of price impact. Zbl 1522.91248
Nadtochiy, Sergey
1
2022
Protecting pegged currency markets from speculative investors. Zbl 1522.91163
Neuman, Eyal; Schied, Alexander
1
2022
Optimal investment for retail investors. Zbl 1522.91206
Belak, Christoph; Mich, Lukas; Seifried, Frank T.
1
2022
When does portfolio compression reduce systemic risk? Zbl 07743077
Veraart, Luitgard Anna Maria
1
2022
Inter-temporal mutual-fund management. Zbl 1522.91208
Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip
1
2022
Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 07743087
Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós
1
2022
Asymptotic analysis of long-term investment with two illiquid and correlated assets. Zbl 1522.91212
Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong
1
2022
Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
15
2021
Optimal stopping under model ambiguity: a time-consistent equilibrium approach. Zbl 07743026
Huang, Yu-Jui; Yu, Xiang
9
2021
Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. Zbl 1522.91243
Forde, Martin; Gerhold, Stefan; Smith, Benjamin
8
2021
Size matters for OTC market makers: general results and dimensionality reduction techniques. Zbl 1522.91238
Bergault, Philippe; Guéant, Olivier
8
2021
Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170
Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan
8
2021
Forward rank-dependent performance criteria: time-consistent investment under probability distortion. Zbl 1522.91224
He, Xue Dong; Strub, Moris S.; Zariphopoulou, Thaleia
8
2021
The alpha-Heston stochastic volatility model. Zbl 1522.91278
Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao
8
2021
Optimal make-take fees for market making regulation. Zbl 1522.91242
El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar
7
2021
Sharing the value-at-risk under distributional ambiguity. Zbl 1522.91317
Chen, Zhi; Xie, Weijun
6
2021
Weak transport for non-convex costs and model-independence in a fixed-income market. Zbl 1522.91255
Acciaio, Beatrice; Beiglböck, Mathias; Pammer, Gudmund
6
2021
Asset pricing with general transaction costs: theory and numerics. Zbl 1521.91366
Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei
5
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On utility maximization under model uncertainty in discrete-time markets. Zbl 1522.91234
Rásonyi, Miklós; Meireles-Rodrigues, Andrea
4
2021
Model risk in credit risk. Zbl 1529.91070
Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia
4
2021
Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Zbl 07743016
Chen, Lv; Landriault, David; Li, Bin; Li, Danping
4
2021
Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282
Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi
4
2021
Intra-horizon expected shortfall and risk structure in models with jumps. Zbl 1522.91319
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola
4
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Risk-sensitive benchmarked asset management with expert forecasts. Zbl 1522.91216
Davis, Mark H. A.; Lleo, Sébastien
4
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An elementary approach to the Merton problem. Zbl 1522.91222
Herdegen, Martin; Hobson, David; Jerome, Joseph
4
2021
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. Zbl 1522.91231
Obłój, Jan; Wiesel, Johannes
4
2021
Markov chains under nonlinear expectation. Zbl 1522.91281
Nendel, Max
3
2021
Open markets. Zbl 1522.91227
Karatzas, Ioannis; Kim, Donghan
3
2021
Bayes risk, elicitability, and the expected shortfall. Zbl 1522.91318
Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu
3
2021
Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Zbl 1522.91297
Cont, Rama; Guo, Xin; Xu, Renyuan
3
2021
Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. Zbl 1522.91205
Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim
2
2021
Binary funding impacts in derivative valuation. Zbl 1522.91279
Lee, Junbeom; Zhou, Chao
2
2021
Relative arbitrage: sharp time horizons and motion by curvature. Zbl 1522.91228
Larsson, Martin; Ruf, Johannes
2
2021
Penalty method for portfolio selection with capital gains tax. Zbl 1522.91209
Bian, Baojun; Chen, Xinfu; Dai, Min; Qian, Shuaijie
2
2021
Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267
Carr, Peter; Lee, Roger; Lorig, Matthew
2
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The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257
Alòs, Elisa; Fukasawa, Masaaki
1
2021
Liquidity in competitive dealer markets. Zbl 1521.91342
Bank, Peter; Ekren, Ibrahim; Muhle-Karbe, Johannes
1
2021
Risk-neutral pricing techniques and examples. Zbl 1521.91360
Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; Zhao, Yixuan
1
2021
Simulating risk measures via asymptotic expansions for relative errors. Zbl 1522.91320
Jiang, Wei; Kou, Steven
1
2021
Consistent investment of sophisticated rank-dependent utility agents in continuous time. Zbl 1522.91225
Hu, Ying; Jin, Hanqing; Zhou, Xun Yu
1
2021
Option pricing models without probability: a rough paths approach. Zbl 1522.91258
Armstrong, John; Bellani, Claudio; Brigo, Damiano; Cass, Thomas
1
2021
Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522
Casgrain, Philippe; Jaimungal, Sebastian
31
2020
A regularity structure for rough volatility. Zbl 1508.91548
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
29
2020
General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 1508.91603
Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu
27
2020
Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627
Huang, Yu-jui; Zhou, Zhou
17
2020
Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515
Wang, Haoran; Zhou, Xun Yu
17
2020
Network valuation in financial systems. Zbl 1508.91593
Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano
15
2020
No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536
Jusselin, Paul; Rosenbaum, Mathieu
15
2020
Distress and default contagion in financial networks. Zbl 1508.91599
Veraart, Luitgard Anna Maria
14
2020
Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic
13
2020
Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574
Beissner, Patrick; Lin, Qian; Riedel, Frank
12
2020
Option pricing with orthogonal polynomial expansions. Zbl 1508.91546
Ackerer, Damien; Filipović, Damir
11
2020
Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493
Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo
10
2020
Double continuation regions for American and swing options with negative discount rate in Lévy models. Zbl 1508.91555
De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna
10
2020
Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
9
2020
Inference for large financial systems. Zbl 1508.91530
Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A.
9
2020
Optimal dividend policies with random profitability. Zbl 1508.91483
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
9
2020
Risk functionals with convex level sets. Zbl 1508.91624
Wang, Ruodu; Wei, Yunran
8
2020
Self-similarity in long-horizon returns. Zbl 1508.91583
Madan, Dilip B.; Schoutens, Wim
8
2020
Existence of a calibrated regime switching local volatility model. Zbl 1506.91165
Jourdain, Benjamin; Zhou, Alexandre
7
2020
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
7
2020
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 1508.91538
Liang, Zongxia; Ma, Ming
7
2020
Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 1508.91509
Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas
7
2020
Robust risk aggregation with neural networks. Zbl 1508.91619
Eckstein, Stephan; Kupper, Michael; Pohl, Mathias
6
2020
Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 1508.91578
Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana
5
2020
Static and semistatic hedging as contrarian or conformist bets. Zbl 1508.91551
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
5
2020
A martingale representation theorem and valuation of defaultable securities. Zbl 1508.91553
Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle
5
2020
Consistency of option prices under bid-ask spreads. Zbl 1517.91239
Gerhold, Stefan; Gülüm, Ismail Cetin
4
2020
Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 1508.91576
Burzoni, Matteo; Šikić, Mario
4
2020
Asset pricing with heterogeneous beliefs and illiquidity. Zbl 1508.91584
Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei
4
2020
Pathwise moderate deviations for option pricing. Zbl 1508.91562
Jacquier, Antoine; Spiliopoulos, Konstantinos
3
2020
Optimal consumption and investment with liquid and illiquid assets. Zbl 1508.91498
Choi, Jin Hyuk
3
2020
Robust XVA. Zbl 1508.91550
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
3
2020
Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 1508.91496
Černý, Aleš
3
2020
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 1508.91554
Dassios, Angelos; Lim, Jia Wei; Qu, Yan
3
2020
Semistatic and sparse variance-optimal hedging. Zbl 1519.91255
Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin
2
2020
Convex duality and Orlicz spaces in expected utility maximization. Zbl 1508.91575
Biagini, Sara; Černý, Aleš
2
2020
Hedging nontradable risks with transaction costs and price impact. Zbl 1508.91552
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
2
2020
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Cited by 11,270 Authors

87 Siu, Tak Kuen
77 Madan, Dilip B.
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61 Elliott, Robert James
59 Wong, Hoi Ying
56 Wu, Zhen
52 Young, Virginia R.
50 Touzi, Nizar
47 Zhu, Songping
44 Platen, Eckhard
44 Wang, Ruodu
42 Li, Zhongfei
42 Yang, Hailiang
40 Jaimungal, Sebastian
40 Rásonyi, Miklós
38 Forsyth, Peter A.
38 Jarrow, Robert Alan
38 Jeanblanc, Monique
38 Muhle-Karbe, Johannes
38 Zhou, Xunyu
37 Hu, Ying
36 Filipović, Damir
35 Biagini, Francesca
35 Kupper, Michael
35 Li, Duan
35 Schachermayer, Walter
34 Hu, Yijun
33 Jin, Zhuo
33 Pham, Huyên
33 Schoutens, Wim
32 Ji, Shaolin
32 Oosterlee, Cornelis Willebrordus
32 Peng, Shige
32 Soner, Halil Mete
31 Benth, Fred Espen
31 Li, Xun
31 Shen, Yang
31 Yong, Jiongmin
30 Bo, Lijun
30 Bouchard, Bruno
30 Cui, Zhenyu
30 Possamaï, Dylan
30 Takahashi, Akihiko
30 Zeng, Yan
29 Fabozzi, Frank J.
29 Hobson, David Graham
29 Jacquier, Antoine
29 Pascucci, Andrea
29 Rachev, Svetlozar T.
29 Rutkowski, Marek
28 Dolinsky, Yan
28 Eberlein, Ernst W.
28 Levendorskiĭ, Sergeĭ Zakharovich
28 Obloj, Jan K.
28 Øksendal, Bernt Karsten
28 Schied, Alexander
27 Bender, Christian
27 Carr, Peter Paul
27 Gobet, Emmanuel
27 Pagès, Gilles
27 Shin, Yong Hyun
27 Tan, Ken Seng
26 Chen, Zhiping
26 Guasoni, Paolo
26 Korn, Ralf
26 Lorig, Matthew J.
26 Schoenmakers, John G. M.
26 Tankov, Peter
26 Wang, Rongming
26 Wei, Jiaqin
25 Beiglböck, Mathias
25 Belomestny, Denis
25 Bielecki, Tomasz R.
25 Chiarella, Carl
25 Crepey, Stephane
25 Dai, Min
25 Delbaen, Freddy
25 Jeon, Junkee
25 Joshi, Mark S.
25 Li, Lingfei
25 Protter, Philip Elliott
25 Rudloff, Birgit
25 Rüschendorf, Ludger
25 Xiong, Dewen
25 Xu, Zuoquan
25 Zheng, Harry H.
24 Balbás, Alejandro
24 Campi, Luciano
24 Cheridito, Patrick
24 Fukasawa, Masaaki
24 Grasselli, Martino
24 Kallsen, Jan
24 Kwok, Yue-Kuen
24 Leung, Tim
24 Ruszczyński, Andrzej
23 Boonen, Tim J.
23 Cartea, Álvaro
23 Fan, Shengjun
23 Feinstein, Zachary
23 Frittelli, Marco
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27 Science China. Mathematics
26 Random Operators and Stochastic Equations
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25 Econometric Reviews
25 INFORMS Journal on Computing
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25 Comptes Rendus. Mathématique. Académie des Sciences, Paris
23 Monte Carlo Methods and Applications
23 Advances in Difference Equations
22 The Annals of Statistics
22 Electronic Journal of Statistics
22 Dependence Modeling
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