Mathematical FinanceAn 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: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965/issues Comments: Indexed cover-to-cover Documents Indexed: 800 Publications (since 1991) References Indexed: 598 Publications with 16,161 References. all top 5 Latest Issues 30, No. 4 (2020) 30, No. 3 (2020) 30, No. 2 (2020) 30, No. 1 (2020) 29, No. 4 (2019) 29, No. 3 (2019) 29, No. 2 (2019) 29, No. 1 (2019) 28, No. 4 (2018) 28, No. 3 (2018) 28, No. 2 (2018) 28, No. 1 (2018) 27, No. 4 (2017) 27, No. 3 (2017) 27, No. 1 (2017) 26, No. 4 (2016) 26, No. 3 (2016) 26, No. 2 (2016) 26, No. 1 (2016) 25, No. 4 (2015) 25, No. 3 (2015) 25, No. 2 (2015) 25, No. 1 (2015) 24, No. 4 (2014) 24, No. 3 (2014) 24, No. 2 (2014) 24, No. 1 (2014) 23, No. 4 (2013) 23, No. 3 (2013) 23, No. 2 (2013) 23, No. 1 (2013) 22, No. 4 (2012) 22, No. 3 (2012) 22, No. 2 (2012) 22, No. 1 (2012) 21, No. 4 (2011) 21, No. 3 (2011) 21, No. 2 (2011) 21, No. 1 (2011) 20, No. 4 (2010) 20, No. 3 (2010) 20, No. 2 (2010) 20, No. 1 (2010) 19, No. 4 (2009) 19, No. 3 (2009) 19, No. 2 (2009) 19, No. 1 (2009) 18, No. 4 (2008) 18, No. 3 (2008) 18, No. 2 (2008) 18, No. 1 (2008) 17, No. 4 (2007) 17, No. 3 (2007) 17, No. 2 (2007) 17, No. 1 (2007) 16, No. 4 (2006) 16, No. 3 (2006) 16, No. 2 (2006) 16, No. 1 (2006) 15, No. 4 (2005) 15, No. 3 (2005) 15, No. 2 (2005) 15, No. 1 (2005) 14, No. 4 (2004) 14, No. 3 (2004) 14, No. 2 (2004) 14, No. 1 (2004) 13, No. 4 (2003) 13, No. 3 (2003) 13, No. 2 (2003) 13, No. 1 (2003) 12, No. 4 (2002) 12, No. 3 (2002) 12, No. 2 (2002) 12, No. 1 (2002) 11, No. 4 (2001) 11, No. 3 (2001) 11, No. 2 (2001) 11, No. 1 (2001) 10, No. 4 (2000) 10, No. 3 (2000) 10, No. 2 (2000) 10, No. 1 (2000) 9, No. 4 (1999) 9, No. 3 (1999) 9, No. 2 (1999) 9, No. 1 (1999) 8, No. 4 (1998) 8, No. 3 (1998) 8, No. 2 (1998) 8, No. 1 (1998) 7, No. 4 (1997) 7, No. 3 (1997) 7, No. 2 (1997) 7, No. 1 (1997) 6, No. 4 (1996) 6, No. 3 (1996) 6, No. 2 (1996) 6, No. 1 (1996) 5, No. 4 (1995) ...and 17 more Volumes all top 5 Authors 15 Jarrow, Robert Alan 14 Schachermayer, Walter 13 Filipović, Damir 13 Madan, Dilip B. 13 Zhou, Xunyu 12 Guasoni, Paolo 11 Rogers, L. C. G. 10 Delbaen, Freddy 10 Platen, Eckhard 10 Yor, Marc 9 Capponi, Agostino 9 Hobson, David Graham 9 Muhle-Karbe, Johannes 9 Schweizer, Martin 9 Touzi, Nizar 8 Cont, Rama 8 Glasserman, Paul 8 Kardaras, Constantinos 8 Linetsky, Vadim 7 Bayraktar, Erhan 7 Carr, Peter Paul 7 Dai, Min 7 Elliott, Robert James 7 Frittelli, Marco 7 Jin, Hanqing 7 Kallsen, Jan 6 Černý, Aleš 6 Eberlein, Ernst W. 6 Jaimungal, Sebastian 6 Pham, Huyên 6 Rutkowski, Marek 5 Bender, Christian 5 Bielecki, Tomasz R. 5 Björk, Tomas 5 Cadenillas, Abel 5 El Karoui, Nicole 5 Frey, Rüdiger 5 Geman, Hélyette 5 He, Xuedong 5 Henderson, Vicky 5 Jeanblanc, Monique 5 Kabanov, Yuriĭ Mikhaĭlovich 5 Kwok, Yue-Kuen 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Nutz, Marcel 5 Protter, Philip Elliott 5 Runggaldier, Wolfgang J. 5 Sircar, Ronnie 5 Stricker, Christophe 5 Taksar, Michael I. 5 Teichmann, Josef 5 Xia, Jianming 5 Zariphopoulou, Thaleia 4 Bensoussan, Alain 4 Biagini, Francesca 4 Biagini, Sara 4 Choulli, Tahir 4 Detemple, Jerome B. 4 Fouque, Jean-Pierre 4 Heath, David C. 4 Jouini, Elyès 4 Klein, Irene 4 Korn, Ralf 4 Larsson, Martin 4 Li, Duan 4 Lorig, Matthew J. 4 Obloj, Jan K. 4 Robertson, Scott 4 Schöneborn, Torsten 4 Sethi, Suresh P. 4 Shreve, Steven E. 4 Soner, Halil Mete 4 Xing, Hao 4 Xu, Zuoquan 4 Zapatero, Fernando 4 Žitković, Gordan 3 Aase, Knut Kristian 3 Artzner, Philippe 3 Benth, Fred Espen 3 Bermin, Hans-Peter 3 Bichuch, Maxim 3 Bouchard, Bruno 3 Brigo, Damiano 3 Carassus, Laurence 3 Cartea, Álvaro 3 Crepey, Stephane 3 Dana, Rose-Anne 3 Dolinsky, Yan 3 Duan, Jin-Chuan 3 Duffie, James Darrell 3 Figueroa-López, José E. 3 Friz, Peter Karl 3 Giesecke, Kay 3 Gobet, Emmanuel 3 Gourieroux, Christian 3 Jacka, Saul D. 3 Jamshidian, Farshid 3 Karatzas, Ioannis 3 Keller-Ressel, Martin 3 Kennedy, Douglas P. ...and 882 more Authors all top 5 Fields 797 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 291 Probability theory and stochastic processes (60-XX) 65 Systems theory; control (93-XX) 44 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 27 Numerical analysis (65-XX) 17 Partial differential equations (35-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 5 Functional analysis (46-XX) 4 Special functions (33-XX) 3 Approximations and expansions (41-XX) 3 Integral transforms, operational calculus (44-XX) 3 Integral equations (45-XX) 2 General and overarching topics; collections (00-XX) 2 Combinatorics (05-XX) 2 Real functions (26-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Operator theory (47-XX) 2 Computer science (68-XX) 1 History and biography (01-XX) 1 Number theory (11-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 756 Publications have been cited 19,912 times in 11,429 Documents Cited by ▼ Year ▼ Coherent measures of risk. Zbl 0980.91042Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David 1,757 1999 Backward stochastic differential equations in finance. Zbl 0884.90035El Karoui, N.; Peng, S.; Quenez, M. C. 1,029 1997 Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027Li, Duan; Ng, Wan-Lung 345 2000 A yield-factor model of interest rates. Zbl 0915.90014Duffie, Darrell; Kan, Rui 273 1996 Stochastic volatility for Lévy processes. Zbl 1092.91022Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 249 2003 Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu 201 2014 Long memory in continuous-time stochastic volatility models. Zbl 1020.91021Comte, Fabienne; Renault, Eric 177 1998 The market model of interest rate dynamics. Zbl 0884.90008Brace, Alan; Gątarek, Dariusz; Musiela, Marek 173 1997 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029Geman, Hélyette; Yor, Marc 161 1993 Arbitrage with fractional Brownian motion. Zbl 0884.90045Rogers, L. C. G. 148 1997 Optimal stopping and the American put. Zbl 0900.90109Jacka, S. D. 140 1991 The GARCH option pricing model. Zbl 0866.90031Duan, Jin-Chuan 137 1995 Exponential hedging and entropic penalties. Zbl 1072.91019Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 136 2002 Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu 134 2005 Monte Carlo valuation of American options. Zbl 1029.91036Rogers, L. C. G. 128 2002 Alternative characterizations of American put options. Zbl 0900.90004Carr, Peter; Jarrow, Robert; Myneni, Ravi 127 1992 Pricing via utility maximization and entropy. Zbl 1052.91512Rouge, Richard; El Karoui, Nicole 123 2000 Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016Azcue, Pablo; Muler, Nora 115 2005 Robustness of the Black and Scholes formula. Zbl 0910.90008El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 111 1998 Option pricing with V. G. martingale components. Zbl 0900.90105Madan, Dilip B.; Milne, Frank 110 1991 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046Schachermayer, Walter 110 2004 Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052Højgaard, Bjarne; Taksar, Michael 107 1999 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007Cvitanić, Jakša; Karatzas, Ioannis 107 1996 Bond market structure in the presence of marked point processes. Zbl 0884.90014Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang 102 1997 Universal portfolios. Zbl 0900.90052Cover, Thomas M. 99 1991 An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116Ben-Tal, Aharon; Teboulle, Marc 97 2007 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360Jouini, E.; Schachermayer, W.; Touzi, N. 96 2008 Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020Nicolato, Elisa; Venardos, Emmanouil 91 2003 A general fractional white noise theory and applications to finance. Zbl 1069.91047Elliott, Robert J.; van der Hoek, John 91 2003 Complete models with stochastic volatility. Zbl 0908.90012Hobson, David G.; Rogers, L. C. G. 91 1998 Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413Cont, Rama 91 2006 Behavioral portfolio selection in continuous time. Zbl 1141.91454Jin, Hanqing; Zhou, Xun Yu 89 2008 A continuity correction for discrete barrier options. Zbl 1020.91020Broadie, Mark; Glasserman, Paul; Kou, Steven 88 1997 Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072Henderson, Vicky 88 2002 The moment formula for implied volatility at extreme strikes. Zbl 1134.91443Lee, Robert W. 86 2004 Term structure models driven by general Lévy processes. Zbl 0980.91020Eberlein, Ernst; Raible, Sebastian 85 1999 Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054Taylor, Stephen J. 85 1994 Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040Bank, Peter; Baum, Dietmar 84 2004 Risk measures on Orlitz hearts. Zbl 1168.91409Cheridito, Patrick; Li, Tianhui 84 2009 On models of default risk. Zbl 1042.91038Elliott, R. J.; Jeanblanc, M.; Yor, M. 81 2000 The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026Frittelli, Marco 80 2000 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499Carmona, René; Touzi, Nizar 80 2008 An axiomatic approach to capital allocation. Zbl 1102.91049Kalkbrener, Michael 79 2005 Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037Weber, Stefan 77 2006 Optimal investment strategies for controlling drawdowns. Zbl 0884.90031Grossman, Sanford J.; Zhou, Zhongquan 77 1993 Dynamic indifference valuation via convex risk measures. Zbl 1138.91502Klöppel, Susanne; Schweizer, Martin 77 2007 Derivative asset pricing with transaction costs. Zbl 0900.90100Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José 76 1992 Coherence and elicitability. Zbl 1390.91336Ziegel, Johanna F. 74 2016 Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. Zbl 1020.91030Scott, Louis O. 73 1997 Pricing options with curved boundaries. Zbl 0900.90098Kunitomo, Naoto; Ikeda, Masayuki 72 1992 Risk measure and capital requirements for processes. Zbl 1130.91030Frittelli, Marco; Scandolo, Giacomo 69 2006 Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Zbl 1136.91473Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; Zhang, Lei 68 2006 An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019Whalley, A. E.; Wilmott, P. 68 1997 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023Bally, Vlad; Pagès, Gilles; Printems, Jacques 67 2005 No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421Guasoni, Paolo 67 2006 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438Feng, Liming; Linetsky, Vadim 67 2008 On the American option problem. Zbl 1109.91028Peskir, Goran 66 2005 The range of traded option prices. Zbl 1278.91158Davis, Mark H. A.; Hobson, David G. 66 2007 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. 65 2016 Self-decomposability and option pricing. Zbl 1278.91157Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 65 2007 On the existence of minimax martingale measures. Zbl 1014.91031Bellini, Fabio; Frittelli, Marco 64 2002 Robust hedging of barrier options. Zbl 1047.91024Brown, Haydyn; Hobson, David; Rogers, L. C. G. 64 2001 On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041Heston, Steve; Zhou, Guofu 64 2000 Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023Frey, Rüdiger; Stremme, Alexander 64 1997 Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028Renault, Eric; Touzi, Nizar 64 1996 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016Geman, Hélyette; Yor, Marc 64 1996 Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052Dai, Min; Kwok, Yue Kuen; Zong, Jianping 64 2008 Asymptotics of implied volatility in local volatility models. Zbl 1270.91093Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho 63 2012 The characteristic function of rough Heston models. Zbl 1411.91553El Euch, Omar; Rosenbaum, Mathieu 63 2019 Optimal portfolio management with fixed transaction costs. Zbl 0866.90020Morton, Andrew J.; Pliska, Stanley R. 62 1995 Asset price bubbles in incomplete markets. Zbl 1205.91069Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 61 2010 Pricing of American path-dependent contingent claims. Zbl 0919.90005Barraquand, Jérôme; Pudet, Thierry 60 1996 Robust bounds for forward start options. Zbl 1278.91162Hobson, David; Neuberger, Anthony 59 2012 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 58 1999 Time changes for Lévy processes. Zbl 0983.60082Geman, Hélyette; Madan, Dilip B.; Yor, Marc 58 2001 Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501Romano, Marc; Touzi, Nizar 58 1997 The valuation of American options on multiple assets. Zbl 0882.90005Broadie, Mark; Detemple, Jérôme 58 1997 Mean-variance hedging and numéraire. Zbl 1020.91024Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên 57 1998 The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023Kunitomo, Naoto; Takahashi, Akihiko 56 2001 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111El Karoui, Nicole; Ravanelli, Claudia 55 2009 Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang 55 2012 Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032Jouini, Elyès; Kallal, Hédi 54 1995 Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu 52 2015 Laguerre series for Asian and other options. Zbl 1014.91040Dufresne, Daniel 52 2000 Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400Sotomayor, Luz Rocío; Cadenillas, Abel 52 2009 Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023Ritchken, Peter; Sankarasubramanian, L. 51 1995 Valuations and dynamic convex risk measures. Zbl 1138.91501Jobert, A.; Rogers, L. C. G. 49 2008 Portfolio choice via quantiles. Zbl 1229.91291He, Xue Dong; Zhou, Xun Yu 49 2011 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034Kabanov, Yuri M.; Stricker, Christophe 48 2002 Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208Crépey, Stéphane 48 2015 The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046Rogers, L. C. G. 48 1997 Risk-sensitive control and an optimal investment model. Zbl 1039.93069Fleming, W. H.; Sheu, S. J. 48 2000 Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030Koo, Hyeng Keun 48 1998 Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135Keller-Ressel, Martin 48 2011 Correlated defaults in intensity-based models. Zbl 1186.91237Yu, Fan 48 2007 The cost of illiquidity and its effects on hedging. Zbl 1232.91635Rogers, L. C. G.; Singh, Surbjeet 47 2010 Coherent acceptability measures in multiperiod models. Zbl 1107.91059Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob 47 2005 A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058Heath, David; Platen, Eckhard; Schweizer, Martin 47 2001 Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372Meinshausen, N.; Hambly, B. M. 47 2004 Modeling liquidity effects in discrete time. Zbl 1278.91125Çetin, Umut; Rogers, L. C. G. 46 2007 Mean-field games with differing beliefs for algorithmic trading. Zbl 07326774Casgrain, Philippe; Jaimungal, Sebastian 16 2020 A regularity structure for rough volatility. Zbl 07326769Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 14 2020 General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 07200959Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu 13 2020 Option pricing with orthogonal polynomial expansions. Zbl 07200951Ackerer, Damien; Filipović, Damir 8 2020 Optimal dividend policies with random profitability. Zbl 07200956Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 7 2020 Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 07200958Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic 7 2020 Network valuation in financial systems. Zbl 07326781Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano 7 2020 Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 07326784Wang, Haoran; Zhou, Xun Yu 7 2020 No-arbitrage implies power-law market impact and rough volatility. Zbl 07326785Jusselin, Paul; Rosenbaum, Mathieu 7 2020 Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 07200953Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo 6 2020 Distress and default contagion in financial networks. Zbl 07326767Veraart, Luitgard Anna Maria 6 2020 Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 07326777Huang, Yu-jui; Zhou, Zhou 6 2020 Self-similarity in long-horizon returns. Zbl 07326787Madan, Dilip B.; Schoutens, Wim 6 2020 Inference for large financial systems. Zbl 07200950Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A. 5 2020 Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 07200954Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana 5 2020 Dynamically consistent alpha-maxmin expected utility. Zbl 07326776Beissner, Patrick; Lin, Qian; Riedel, Frank 5 2020 Nonlinear price impact and portfolio choice. Zbl 07200938Guasoni, Paolo; Weber, Marko Hans 4 2020 Double continuation regions for American and swing options with negative discount rate in Lévy models. Zbl 07200955De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna 4 2020 Shortfall aversion. Zbl 07326771Guasoni, Paolo; Huberman, Gur; Ren, Dan 4 2020 Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 07326775Liang, Zongxia; Ma, Ming 4 2020 Static and semistatic hedging as contrarian or conformist bets. Zbl 07326772Boyarchenko, Svetlana; Levendorskiĭ, Sergei 3 2020 Risk functionals with convex level sets. Zbl 07326786Wang, Ruodu; Wei, Yunran 3 2020 Consistency of option prices under bid-ask spreads. Zbl 07200939Gerhold, Stefan; Gülüm, Ismail Cetin 2 2020 Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 07200957Burzoni, Matteo; Šikić, Mario 2 2020 Robust risk aggregation with neural networks. Zbl 07326783Eckstein, Stephan; Kupper, Michael; Pohl, Mathias 2 2020 Asset pricing with heterogeneous beliefs and illiquidity. Zbl 07326788Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei 2 2020 Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 07326791Dassios, Angelos; Lim, Jia Wei; Qu, Yan 2 2020 A martingale representation theorem and valuation of defaultable securities. Zbl 07326792Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle 2 2020 Semistatic and sparse variance-optimal hedging. Zbl 07200940Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin 1 2020 Pathwise moderate deviations for option pricing. Zbl 07200941Jacquier, Antoine; Spiliopoulos, Konstantinos 1 2020 Existence of a calibrated regime switching local volatility model. Zbl 07200943Jourdain, Benjamin; Zhou, Alexandre 1 2020 Optimal consumption and investment with liquid and illiquid assets. Zbl 07200946Choi, Jin Hyuk 1 2020 Convex duality and Orlicz spaces in expected utility maximization. Zbl 07200952Biagini, Sara; Černý, Aleš 1 2020 Robust XVA. Zbl 07326768Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 1 2020 Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 07326778Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas 1 2020 Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 07326779Černý, Aleš 1 2020 A term structure model for dividends and interest rates. Zbl 07326790Filipović, Damir; Willems, Sander 1 2020 Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 07326794Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John 1 2020 The characteristic function of rough Heston models. Zbl 1411.91553El Euch, Omar; Rosenbaum, Mathieu 63 2019 A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo 31 2019 Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao 25 2019 Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158Lacker, Daniel; Zariphopoulou, Thaleia 21 2019 Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511Ismail, Amine; Pham, Huyên 21 2019 Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567Kirkby, Justin Lars; Deng, Shijie 15 2019 The robust pricing-hedging duality for American options in discrete time financial markets. Zbl 1432.91116Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu 13 2019 Trading algorithms with learning in latent alpha models. Zbl 1426.91241Casgrain, Philippe; Jaimungal, Sebastian 10 2019 Optimal portfolio under fractional stochastic environment. Zbl 1426.91245Fouque, Jean-pierre; Hu, Ruimeng 9 2019 An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex 9 2019 Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu 9 2019 Affine multiple yield curve models. Zbl 1411.91589Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro 9 2019 Distribution-constrained optimal stopping. Zbl 1411.91540Bayraktar, Erhan; Miller, Christopher W. 8 2019 Backward SDEs for control with partial information. Zbl 1458.91196Papanicolaou, Andrew 7 2019 Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556Garnier, Josselin; Sølna, Knut 6 2019 Trading co-integrated assets with price impact. Zbl 1411.91487Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian 6 2019 Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard 5 2019 The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano 5 2019 Realization utility with adaptive reference points. Zbl 1411.91507He, Xuedong; Yang, Linan 5 2019 Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail 5 2019 Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu 4 2019 Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu 4 2019 Value-at-risk bounds with two-sided dependence information. Zbl 1426.91308Lux, Thibaut; Rüschendorf, Ludger 3 2019 Portfolio choice with small temporary and transient price impact. Zbl 1432.91102Ekren, Ibrahim; Muhle-Karbe, Johannes 3 2019 Who should sell stocks? Zbl 1411.91502Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes 3 2019 The limits of leverage. Zbl 1411.91503Guasoni, Paolo; Mayerhofer, Eberhard 2 2019 Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Zbl 1411.91506Herdegen, Martin; Herrmann, Sebastian 2 2019 On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038Filipović, Damir; Larsson, Martin; Trolle, Anders B. 1 2019 Periodic strategies in optimal execution with multiplicative price impact. Zbl 1433.91157Hernández-Hernández, Daniel; Moreno-Franco, Harold A.; Pérez, José-luis 1 2019 Financial models with defaultable numéraires. Zbl 1411.91597Fisher, Travis; Pulido, Sergio; Ruf, Johannes 1 2019 Optimal consumption and investment under transaction costs. Zbl 1411.91508Hobson, David; Tse, Alex S. L.; Zhu, Yeqi 1 2019 Robust utility maximization with Lévy processes. Zbl 1403.91321Neufeld, Ariel; Nutz, Marcel 28 2018 Arbitrage-free XVA. Zbl 1390.91276Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 18 2018 Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626Li, Lingfei; Zhang, Gongqiu 17 2018 Profit sharing in hedge funds. Zbl 1403.91312He, Xue Dong; Kou, Steven 16 2018 On the C-property and \(w^*\)-representations of risk measures. Zbl 1390.91334Gao, Niushan; Xanthos, Foivos 14 2018 Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361Gehmlich, Frank; Schmidt, Thorsten 12 2018 Option pricing in the moderate deviations regime. Zbl 1411.91554Friz, Peter; Gerhold, Stefan; Pinter, Arpad 11 2018 Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188Cai, Jun; Liu, Haiyan; Wang, Ruodu 10 2018 Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354Zanger, Daniel Z. 9 2018 On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297Detemple, Jérôme; Kitapbayev, Yerkin 7 2018 Bounding wrong-way risk in CVA calculation. Zbl 1403.91362Glasserman, Paul; Yang, Linan 7 2018 Consistent recalibration of yield curve models. Zbl 1411.91622Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V. 6 2018 On the market viability under proportional transaction costs. Zbl 1411.91479Bayraktar, Erhan; Yu, Xiang 6 2018 Risk management with weighted VaR. Zbl 1417.91484Wei, Pengyu 6 2018 Super-replication in fully incomplete markets. Zbl 1390.91298Dolinsky, Yan; Neufeld, Ariel 6 2018 Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364Jiao, Ying; Li, Shanqiu 6 2018 Indifference prices and implied volatilities. Zbl 1403.91347Lorig, Matthew 6 2018 Conic martingales from stochastic integrals. Zbl 1390.60161Jeanblanc, Monique; Vrins, Frédéric 5 2018 Fair bilateral pricing under funding costs and exogenous collateralization. Zbl 1390.91284Nie, Tianyang; Rutkowski, Marek 5 2018 Semi-efficient valuations and put-call parity. Zbl 1417.91503Herdegen, Martin; Schweizer, Martin 4 2018 Social discounting and the long rate of interest. Zbl 1403.91355Brody, Dorje C.; Hughston, Lane P. 4 2018 International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308Cai, Ning; Yang, Xuewei 4 2018 Liquidity effects of trading frequency. Zbl 1411.91501Gayduk, Roman; Nadtochiy, Sergey 3 2018 Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544Bompis, R.; Gobet, E. 3 2018 Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470Matoussi, Anis; Xing, Hao 3 2018 Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283Melnyk, Yaroslav; Seifried, Frank Thomas 3 2018 Utility maximization in a large market. Zbl 1403.91320Mostovyi, Oleksii 3 2018 The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506Klimsiak, Tomasz; Rozkosz, Andrzej 2 2018 The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555Ibáñez, Alfredo; Velasco, Carlos 2 2018 On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299Ewald, Christian-Oliver; Yor, Marc 2 2018 Optimal cash holdings under heterogeneous beliefs. Zbl 1390.91319Jarrow, Robert; Krishenik, Andrey; Minca, Andreea 2 2018 ...and 656 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 10,146 Authors 82 Siu, Tak Kuen 69 Madan, Dilip B. 58 Elliott, Robert James 53 Bayraktar, Erhan 53 Wong, Hoi Ying 52 Wu, Zhen 50 Touzi, Nizar 46 Zhu, Songping 44 Young, Virginia R. 41 Li, Zhongfei 41 Platen, Eckhard 41 Yang, Hailiang 36 Forsyth, Peter A. 36 Jeanblanc, Monique 36 Rásonyi, Miklós 35 Jarrow, Robert Alan 35 Wang, Ruodu 34 Muhle-Karbe, Johannes 33 Filipović, Damir 33 Hu, Ying 33 Schachermayer, Walter 32 Jaimungal, Sebastian 32 Schoutens, Wim 31 Kupper, Michael 31 Li, Duan 31 Oosterlee, Cornelis Willebrordus 31 Pham, Huyên 31 Soner, Halil Mete 30 Bo, Lijun 30 Hu, Yijun 30 Ji, Shaolin 30 Jin, Zhuo 30 Peng, Shige 29 Benth, Fred Espen 29 Biagini, Francesca 29 Yong, Jiongmin 29 Zeng, Yan 28 Cui, Zhenyu 28 Eberlein, Ernst W. 28 Levendorskiĭ, Sergeĭ Zakharovich 28 Li, Xun 28 Pascucci, Andrea 28 Rutkowski, Marek 28 Shen, Yang 28 Takahashi, Akihiko 27 Bouchard, Bruno 27 Øksendal, Bernt Karsten 27 Rachev, Svetlozar T. 27 Schied, Alexander 26 Chen, Zhiping 26 Dolinsky, Yan 26 Fabozzi, Frank J. 26 Korn, Ralf 26 Obloj, Jan K. 26 Pagès, Gilles 26 Tan, Ken Seng 25 Bender, Christian 25 Carr, Peter Paul 25 Chiarella, Carl 25 Hobson, David Graham 25 Jacquier, Antoine 25 Shin, Yong Hyun 25 Xiong, Dewen 24 Bielecki, Tomasz R. 24 Crepey, Stephane 24 Delbaen, Freddy 24 Gobet, Emmanuel 24 Guasoni, Paolo 24 Joshi, Mark S. 24 Kallsen, Jan 24 Leung, Tim 24 Lorig, Matthew J. 24 Protter, Philip Elliott 24 Rudloff, Birgit 24 Schoenmakers, John G. 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