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Mathematics and Financial Economics

Short Title: Math. Financ. Econ.
Publisher: Springer, Berlin/Heidelberg
ISSN: 1862-9679; 1862-9660/e
Online: https://link.springer.com/journal/11579/volumes-and-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 342 Publications (since 2007)
References Indexed: 335 Publications with 10,366 References.
all top 5

Authors

7 Jarrow, Robert Alan
6 Schenk-Hoppé, Klaus Reiner
5 Flåm, Sjur Didrik
5 Madan, Dilip B.
5 Munari, Cosimo
4 Assa, Hirbod
4 Biagini, Francesca
4 Cvitanić, Jakša
4 Evstigneev, Igor V.
4 Horst, Ulrich
4 Lehalle, Charles-Albert
4 Malamud, Semyon
4 Meyer-Brandis, Thilo
4 Moreno-Bromberg, Santiago
4 Muhle-Karbe, Johannes
4 Rogers, L. C. G.
4 Rosazza Gianin, Emanuela
4 Rudloff, Birgit
3 Aïd, René
3 Callegaro, Giorgia
3 Campi, Luciano
3 Ekeland, Ivar
3 Ghossoub, Mario
3 Hens, Thorsten
3 Jouini, Elyès
3 Koch Medina, Pablo
3 Maggis, Marco
3 Øksendal, Bernt Karsten
3 Pirvu, Traian A.
3 Protter, Philip Elliott
3 Schachermayer, Walter
3 Schoutens, Wim
3 Scotti, Simone
3 Sgarra, Carlo
3 Svindland, Gregor
2 Balbás, Alejandro
2 Bayraktar, Erhan
2 Benth, Fred Espen
2 Bernis, Guillaume
2 Brignone, Riccardo
2 Capponi, Agostino
2 Carlier, Guillaume
2 Carmona, René A.
2 Cartea, Álvaro
2 Cheridito, Patrick
2 Choi, Jin Hyuk
2 Criens, David
2 Davis, Mark Herbert Ainsworth
2 dos Reis, Gonçalo
2 Fontana, Claudio
2 Frei, Christoph
2 Frittelli, Marco
2 Gaigi, M’hamed
2 Grbac, Zorana
2 Guasoni, Paolo
2 Guéant, Olivier
2 Guo, Xin
2 Hamel, Andreas H.
2 Henderson, Vicky
2 Jaimungal, Sebastian
2 Jeon, Junkee
2 Kuhn, Christoph
2 Kupper, Michael
2 Lachapelle, Aime
2 Lazrak, Ali
2 Lépinette, Emmanuel
2 Liang, Gechun
2 Liang, Zongxia
2 Ludkovski, Michael
2 Lütkebohmert, Eva
2 Melnikov, Aleksander Viktorovich
2 Nutz, Marcel
2 Owari, Keita
2 Pakkanen, Mikko S.
2 Park, Hyungbin
2 Park, Kyunghyun
2 Pedersen, Jesper Lund
2 Pennanen, Teemu
2 Peskir, Goran
2 Pichler, Alois
2 Pistorius, Martijn R.
2 Platen, Eckhard
2 Rásonyi, Miklós
2 Riedel, Frank
2 Roch, Alexandre F.
2 Scheinkman, José Alexandre
2 Seifried, Frank Thomas
2 Seppi, Duane J.
2 Sircar, Ronnie
2 Sung, Jaeyoung
2 Talponen, Jarno
2 Tankov, Peter
2 Tian, Dejian
2 Tian, Weidong
2 Trubowitz, Eugene
2 Villeneuve, Bertrand
2 Voß, Moritz
2 Wang, Yongjin
2 Weston, Kim
2 Xu, Guangli
...and 477 more Authors

Publications by Year

Citations contained in zbMATH Open

244 Publications have been cited 2,113 times in 1,641 Documents Cited by Year
Investment and consumption without commitment. Zbl 1177.91123
Ekeland, Ivar; Pirvu, Traian A.
131
2008
Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012
Carmona, René; Delarue, François; Lachapelle, Aimé
98
2013
The golden rule when preferences are time inconsistent. Zbl 1255.91249
Ekeland, Ivar; Lazrak, Ali
68
2010
Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert
60
2018
Set-valued risk measures for conical market models. Zbl 1275.91077
Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit
59
2011
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
46
2007
Static portfolio choice under cumulative prospect theory. Zbl 1255.91389
Bernard, Carole; Ghossoub, Mario
45
2010
Incorporating order-flow into optimal execution. Zbl 1404.91241
Cartea, Álvaro; Jaimungal, Sebastian
43
2016
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
43
2009
Dealing with the inventory risk: a solution to the market making problem. Zbl 1273.91462
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
40
2013
A financial market with interacting investors: does an equilibrium exist? Zbl 1255.91447
Frei, Christoph; dos Reis, Gonçalo
38
2011
The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240
Biagini, Sara; Pınar, Mustafa Ç.
36
2017
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
36
2017
Set-valued average value at risk and its computation. Zbl 1269.91071
Hamel, Andreas H.; Rudloff, Birgit; Yankova, Mihaela
34
2013
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
31
2017
Dual characterization of properties of risk measures on Orlicz hearts. Zbl 1181.91092
Cheridito, Patrick; Li, Tianhui
31
2008
Measuring risk with multiple eligible assets. Zbl 1310.91077
Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo
30
2015
Utility maximization with a given pricing measure when the utility is not necessarily concave. Zbl 1277.91055
Reichlin, Christian
30
2013
Optimal risk sharing under distorted probabilities. Zbl 1255.91182
Ludkovski, Michael; Young, Virginia R.
28
2009
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245
Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis
25
2016
Optimal stopping under ambiguity in continuous time. Zbl 1272.60020
Cheng, Xue; Riedel, Frank
25
2013
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
24
2016
The geometry of relative arbitrage. Zbl 1404.91249
Pal, Soumik; Wong, Ting-Kam Leonard
24
2016
A multiple-curve HJM model of interbank risk. Zbl 1264.91131
Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai-Nam
24
2012
Recursiveness of indifference prices and translation-invariant preferences. Zbl 1255.91397
Cheridito, Patrick; Kupper, Michael
22
2009
Convex compactness and its applications. Zbl 1255.46038
Žitković, Gordan
22
2010
Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\). Zbl 1255.91186
Svindland, Gregor
22
2010
Lebesgue property for convex risk measures on Orlicz spaces. Zbl 1258.91108
Orihuela, J.; Ruiz Galán, M.
20
2012
The opportunity process for optimal consumption and investment with power utility. Zbl 1255.91452
Nutz, Marcel
19
2010
Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107
Ledvina, Andrew; Sircar, Ronnie
19
2012
Dual representation of superhedging costs in illiquid markets. Zbl 1275.91063
Pennanen, Teemu
18
2011
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
17
2014
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
17
2008
Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231
Pirvu, Traian A.; Schulze, Klaas
14
2012
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe
14
2020
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087
Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza
13
2015
Optimal investment with inside information and parameter uncertainty. Zbl 1255.91446
Danilova, Albina; Monoyios, Michael; Ng, Andrew
13
2010
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
Madan, Dilip B.; Schoutens, Wim
13
2011
Structured products equilibria in conic two price markets. Zbl 1264.91148
Madan, Dilip B.; Schoutens, Wim
13
2012
Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar
12
2007
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
12
2018
Optimal portfolios of a small investor in a limit order market: a shadow price approach. Zbl 1255.91449
Kühn, Christoph; Stroh, Maximilian
12
2010
Optimal posting price of limit orders: learning by trading. Zbl 1306.91148
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
12
2013
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W.
11
2016
Acceptability indexes via \(g\)-expectations: an application to liquidity risk. Zbl 1273.91464
Rosazza Gianin, Emanuela; Sgarra, Carlo
11
2013
Robust consumption-investment problems with random market coefficients. Zbl 1279.91149
Rieder, Ulrich; Wopperer, Christoph
11
2012
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit
11
2020
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting
11
2021
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
10
2014
Optimal compensation with adverse selection and dynamic actions. Zbl 1173.91383
Cvitanić, Jakša; Zhang, Jianfeng
10
2007
Optimal investment in a defaultable bond. Zbl 1142.91537
Lakner, Peter; Liang, Weijian
10
2008
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo
10
2010
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun
9
2018
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao
9
2019
Exchanges and measures of risks. Zbl 1275.91059
Flåm, Sjur Didrik
9
2011
Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037
Carmona, René; Coulon, Michael; Schwarz, Daniel
9
2013
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang
9
2019
Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060
Tian, Dejian; Jiang, Long
8
2015
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
8
2016
Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234
Guo, Xin; de Larrard, Adrien; Ruan, Zhao
8
2017
The consumption-based determinants of the term structure of discount rates. Zbl 1138.91545
Gollier, Christian
8
2007
Convex risk measures on Orlicz spaces: inf-convolution and shortfall. Zbl 1255.91173
Arai, Takuji
8
2010
Taylor series approximations to expected utility and optimal portfolio choice. Zbl 1282.91301
Garlappi, Lorenzo; Skoulakis, Georgios
8
2011
Liquidity-adjusted risk measures. Zbl 1275.91145
Weber, S.; Anderson, W.; Hamm, A.-M.; Knispel, T.; Liese, M.; Salfeld, T.
8
2013
Evolutionary finance and dynamic games. Zbl 1275.91027
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le
8
2011
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
8
2012
Drawdown: from practice to theory and back again. Zbl 1415.91260
Goldberg, Lisa R.; Mahmoud, Ola
8
2017
An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632
Ahmadi-Javid, Amir; Pichler, Alois
8
2017
Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096
Liang, Gechun; Lütkebohmert, Eva; Wei, Wei
7
2015
Shock elasticities and impulse responses. Zbl 1307.91124
Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A.
7
2014
Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene
7
2016
Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim
7
2018
Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie
7
2019
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William
7
2019
Optimal incentive contracts under relative income concerns. Zbl 1255.91205
Goukasian, Levon; Wan, Xuhu
7
2010
Pricing in an equilibrium based model for a large investor. Zbl 1255.91128
German, David
7
2011
Curve following in illiquid markets. Zbl 1255.91451
Naujokat, Felix; Westray, Nicholas
7
2011
An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility. Zbl 1264.91133
Grasselli, M. R.; Costa Lima, B.
7
2012
Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo
7
2017
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643
Jarrow, Robert
7
2017
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
7
2020
An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158
Chan, Leunglung; Zhu, Song-Ping
6
2015
Dilatation monotonicity and convex order. Zbl 1318.46054
Svindland, Gregor
6
2014
Remarks on existence and uniqueness of Cournot-Nash equilibria in the non-potential case. Zbl 1318.91024
Blanchet, A.; Carlier, G.
6
2014
Optimal portfolio liquidation with additional information. Zbl 1404.91238
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne
6
2016
Positive alphas and a generalized multiple-factor asset pricing model. Zbl 1404.91113
Jarrow, Robert; Protter, Philip
6
2016
Borrowing constraints, effective flexibility in labor supply, and portfolio selection. Zbl 1410.91318
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun
6
2019
A forward-backward SDE approach to affine models. Zbl 1255.91437
Hyndman, Cody Blaine
6
2009
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents. Zbl 1255.91107
Kraft, Holger; Seifried, Frank Thomas
6
2010
Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset. Zbl 1275.91058
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner
6
2011
Simplified mean-variance portfolio optimisation. Zbl 1264.91115
Fontana, Claudio; Schweizer, Martin
6
2012
Indifference pricing for CRRA utilities. Zbl 1275.91055
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V.
6
2013
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun
6
2020
Modeling and estimating commodity prices: copper prices. Zbl 1321.91114
Wets, Roger J.-B.; Rios, Ignacio
5
2015
Non-concave utility maximisation on the positive real axis in discrete time. Zbl 1327.93407
Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M.
5
2015
Local risk-minimization under the benchmark approach. Zbl 1308.91157
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard
5
2014
Diversification, protection of liability holders and regulatory arbitrage. Zbl 1404.91140
Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario
5
2017
Existence of solutions in non-convex dynamic programming and optimal investment. Zbl 1401.90255
Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós
5
2017
Radner equilibrium in incomplete Lévy models. Zbl 1390.91232
Larsen, Kasper; Sae-Sue, Tanawit
5
2016
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
5
2018
Robust utility maximization under model uncertainty via a penalization approach. Zbl 1484.91421
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei
5
2022
Term structure modeling under volatility uncertainty. Zbl 1484.91496
Hölzermann, Julian
4
2022
Price formation and optimal trading in intraday electricity markets. Zbl 1484.91315
Féron, Olivier; Tankov, Peter; Tinsi, Laura
3
2022
Investment timing and capacity choice in duopolistic competition under a jump-diffusion model. Zbl 1484.91512
Wu, Xiaoqin; Hu, Zhijun
2
2022
Optimal portfolios in the presence of stress scenarios a worst-case approach. Zbl 1484.91428
Korn, Ralf; Müller, Lukas
2
2022
Law-invariant functionals that collapse to the mean: beyond convexity. Zbl 1497.91344
Liebrich, Felix-Benedikt; Munari, Cosimo
1
2022
Governmental incentives for Green bonds investment. Zbl 1497.91270
Baldacci, Bastien; Possamaï, Dylan
1
2022
Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition. Zbl 1484.91487
Park, Hyungbin
1
2022
Price impact equilibrium with transaction costs and TWAP trading. Zbl 1484.91461
Noh, Eunjung; Weston, Kim
1
2022
Arbitrage-free Nelson-Siegel model for multiple yield curves. Zbl 1484.91493
Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva
1
2022
A dynamical model for real economy and finance. Zbl 1484.91452
Grassetti, F.; Mammana, C.; Michetti, E.
1
2022
Robust utility maximizing strategies under model uncertainty and their convergence. Zbl 1484.91439
Sass, Jörn; Westphal, Dorothee
1
2022
Learning about latent dynamic trading demand. Zbl 1498.91414
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
1
2022
A stochastic control approach to public debt management. Zbl 1498.91267
Brachetta, M.; Ceci, C.
1
2022
A two-player portfolio tracking game. Zbl 1496.91080
Voß, Moritz
1
2022
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting
11
2021
Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336
Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo
5
2021
Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
5
2021
Systemic credit freezes in financial lending networks. Zbl 1461.91334
Acemoglu, Daron; Ozdaglar, Asuman; Siderius, James; Tahbaz-Salehi, Alireza
4
2021
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization. Zbl 1461.91128
Rudloff, Birgit; Ulus, Firdevs
4
2021
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo
3
2021
Supermartingale deflators in the absence of a numéraire. Zbl 1471.91541
Harms, Philipp; Liu, Chong; Neufeld, Ariel
3
2021
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model. Zbl 1467.91101
Mehrdoust, Farshid; Noorani, Idin
3
2021
Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry
3
2021
Multiple yield curve modelling with CBI processes. Zbl 1471.91588
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
3
2021
Risk management with expected shortfall. Zbl 1471.91518
Wei, Pengyu
2
2021
An optimization model for minimizing systemic risk. Zbl 1461.91338
Castellano, Rosella; Cerqueti, Roy; Clemente, Gian Paolo; Grassi, Rosanna
2
2021
Systemic optimal risk transfer equilibrium. Zbl 1461.91337
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
2
2021
A financial market with singular drift and no arbitrage. Zbl 1465.91104
Agram, Nacira; Øksendal, Bernt
2
2021
Preface to the special issue on systemic risk and financial networks. Zbl 07344559
1
2021
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure. Zbl 1461.91109
Zimper, Alexander; Assa, Hirbod
1
2021
Safety-first portfolio selection. Zbl 1468.91135
Chiu, Wan-Yi
1
2021
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe
14
2020
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit
11
2020
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
7
2020
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun
6
2020
Fractional risk process in insurance. Zbl 1435.91156
Kumar, Arun; Leonenko, Nikolai; Pichler, Alois
5
2020
No arbitrage in continuous financial markets. Zbl 1443.91272
Criens, David
5
2020
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. Zbl 1461.91286
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying
5
2020
A regime switching model for temperature modeling and applications to weather derivatives pricing. Zbl 1436.91111
Türkvatan, Aysun; Hayfavi, Azize; Omay, Tolga
3
2020
Properly discounted asset prices are semimartingales. Zbl 1461.91323
Bálint, Dániel Ágoston; Schweizer, Martin
3
2020
Capital allocation rules and acceptance sets. Zbl 1461.91364
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela
3
2020
On the probability of default in a market with price clustering and jump risk. Zbl 1437.91443
Song, Shiyu; Wang, Yongjin; Xu, Guangli
2
2020
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration. Zbl 1443.91337
Backhoff-Veraguas, Julio; Tangpi, Ludovic
2
2020
No-arbitrage commodity option pricing with market manipulation. Zbl 1443.91281
Aïd, René; Callegaro, Giorgia; Campi, Luciano
2
2020
Mean-variance efficiency of optimal power and logarithmic utility portfolios. Zbl 1461.91269
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; Schmid, Wolfgang
2
2020
Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail. Zbl 1433.91147
Wong, Tat Wing
1
2020
Optimal portfolio choice: a minimum expected loss approach. Zbl 1466.91299
Ramírez-Hassan, Andrés; Guerra-Urzola, Rosember
1
2020
The learning premium. Zbl 1469.91048
Bichuch, Maxim; Guasoni, Paolo
1
2020
Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets. Zbl 1437.91046
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le
1
2020
Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415
Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail
1
2020
Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies. Zbl 1437.91409
Lepinette, E.; Tran, T. Q.
1
2020
Consumption and portfolio decisions with uncertain lifetimes. Zbl 1437.91405
Chen, Shou; Fu, Richard; Wedge, Lei; Zou, Ziran
1
2020
A generalized stochastic differential utility driven by \(G\)-Brownian motion. Zbl 1443.91155
Lin, Qian; Tian, Dejian; Tian, Weidong
1
2020
Arbitrage-free modeling under Knightian uncertainty. Zbl 1461.91291
Burzoni, Matteo; Maggis, Marco
1
2020
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao
9
2019
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang
9
2019
Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie
7
2019
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William
7
2019
Borrowing constraints, effective flexibility in labor supply, and portfolio selection. Zbl 1410.91318
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun
6
2019
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano
5
2019
Golden options in financial mathematics. Zbl 1422.91679
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel
4
2019
A switching microstructure model for stock prices. Zbl 1417.91565
Hainaut, Donatien; Goutte, Stephane
3
2019
Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. Zbl 1422.91649
Federico, Salvatore; Rosestolato, Mauro; Tacconi, Elisa
3
2019
Nonlinear equity valuation using conic finance and its regulatory implications. Zbl 1411.91636
Madan, Dilip B.
2
2019
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles. Zbl 1411.91512
Jarrow, Robert
2
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2
2019
Impact of contingent payments on systemic risk in financial networks. Zbl 1422.91740
Banerjee, Tathagata; Feinstein, Zachary
2
2019
Optimal credit investment and risk control for an insurer with regime-switching. Zbl 1411.91267
Bo, Lijun; Liao, Huafu; Wang, Yongjin
1
2019
Turnpike property and convergence rate for an investment and consumption model. Zbl 1410.91410
Bian, Baojun; Zheng, Harry
1
2019
Increasing risk aversion and life-cycle investing. Zbl 1410.91408
Back, Kerry; Liu, Ruomeng; Teguia, Alberto
1
2019
Characterizations of risk aversion in cumulative prospect theory. Zbl 1410.91225
Mao, Tiantian; Yang, Fan
1
2019
How local in time is the no-arbitrage property under capital gains taxes? Zbl 1417.91571
Kühn, Christoph
1
2019
Bubbles in assets with finite life. Zbl 1417.91222
Berestycki, Henri; Bruggeman, Cameron; Monneau, Regis; Scheinkman, José A.
1
2019
Consumption-investment problem with pathwise ambiguity under logarithmic utility. Zbl 1422.91655
Liang, Zongxia; Ma, Ming
1
2019
Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert
60
2018
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
12
2018
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun
9
2018
Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim
7
2018
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
5
2018
Sensitivity analysis for expected utility maximization in incomplete Brownian market models. Zbl 1397.91545
Backhoff Veraguas, Julio; Silva, Francisco J.
5
2018
Strongly consistent multivariate conditional risk measures. Zbl 1397.91600
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor
5
2018
Multidimensional investment problem. Zbl 1404.91255
Christensen, Sören; Salminen, Paavo
5
2018
Sensitivity analysis for marked Hawkes processes: application to CLO pricing. Zbl 1396.91785
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone
4
2018
Black-Scholes in a CEV random environment. Zbl 1397.91571
Jacquier, Antoine; Roome, Patrick
4
2018
Martingale problem under nonlinear expectations. Zbl 1391.60094
Guo, Xin; Pan, Chen; Peng, Shige
4
2018
A scaled version of the double-mean-reverting model for VIX derivatives. Zbl 1396.91738
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon
3
2018
Optimal rebalancing frequencies for multidimensional portfolios. Zbl 1404.91244
Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes
3
2018
Symmetry axioms and perceived ambiguity. Zbl 1404.91072
Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon
2
2018
Asymptotic asset pricing and bubbles. Zbl 1404.91115
Roch, Alexandre
2
2018
Asset prices in an ambiguous economy. Zbl 1404.91114
Pennesi, Daniele
1
2018
Backward nonlinear expectation equations. Zbl 1404.91091
Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas
1
2018
Chisini means and rational decision making: equivalence of investment criteria. Zbl 1404.91265
Magni, Carlo Alberto; Veronese, Piero; Graziani, Rebecca
1
2018
The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240
Biagini, Sara; Pınar, Mustafa Ç.
36
2017
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
36
2017
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
31
2017
Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234
Guo, Xin; de Larrard, Adrien; Ruan, Zhao
8
2017
Drawdown: from practice to theory and back again. Zbl 1415.91260
Goldberg, Lisa R.; Mahmoud, Ola
8
2017
An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632
Ahmadi-Javid, Amir; Pichler, Alois
8
2017
Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo
7
2017
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Cited by 1,994 Authors

24 Madan, Dilip B.
22 Rudloff, Birgit
20 Cartea, Álvaro
20 Jaimungal, Sebastian
18 Rásonyi, Miklós
18 Wei, Jiaqin
16 Muhle-Karbe, Johannes
14 Feinstein, Zachary
14 Hu, Yijun
14 Pham, Huyên
13 Bayraktar, Erhan
13 Biagini, Francesca
13 Boonen, Tim J.
13 Munari, Cosimo
12 Jarrow, Robert Alan
12 Laurière, Mathieu
12 Possamaï, Dylan
12 Rosazza Gianin, Emanuela
12 Schoutens, Wim
11 Chen, Yanhong
11 Guéant, Olivier
11 Wong, Ting-Kam Leonard
10 Carmona, René A.
10 Feng, Runhuan
10 He, Xuedong
10 Horst, Ulrich
10 Lépinette, Emmanuel
10 Stadje, Mitja
9 Bielecki, Tomasz R.
9 Cialenco, Igor
9 Flåm, Sjur Didrik
9 Hamel, Andreas H.
9 Henderson, Vicky
9 Lacker, Daniel
9 Neufeld, Ariel David
9 Pichler, Alois
9 Schachermayer, Walter
9 Svindland, Gregor
9 Wang, Tianxiao
9 Zhou, Xunyu
8 Bank, Peter
8 Delbaen, Freddy
8 Drapeau, Samuel
8 Geraskin, Mikhail I.
8 Hu, Ying
8 Kupper, Michael
8 Lehalle, Charles-Albert
8 Orihuela, José
8 Wong, Hoi Ying
8 Yong, Jiongmin
8 Zhao, Qian
8 Zhou, Chao
7 Agram, Nacira
7 Bellini, Fabio
7 Bergault, Philippe
7 Campi, Luciano
7 Evstigneev, Igor V.
7 Frittelli, Marco
7 Gao, Niushan
7 Herdegen, Martin
7 Kardaras, Constantinos
7 Leung, Tim
7 Löhne, Andreas
7 Pennanen, Teemu
7 Pistorius, Martijn R.
7 Schenk-Hoppé, Klaus Reiner
7 Scotti, Simone
7 Shen, Yang
7 Sircar, Ronnie
7 Siu, Tak Kuen
7 Tangpi, Ludovic
7 Wang, Ruodu
7 Wu, Zhen
7 Yam, Sheung Chi Phillip
7 Zeng, Yan
7 Zheng, Harry H.
6 Achdou, Yves
6 Asimit, Alexandru V.
6 Bensoussan, Alain
6 Bo, Lijun
6 Carassus, Laurence
6 Ceci, Claudia
6 Chau, Huy N.
6 Cui, Zhenyu
6 Delarue, François
6 Eberlein, Ernst W.
6 Ferrari, Giorgio
6 Grbac, Zorana
6 Huang, Yu-Jui
6 Koch Medina, Pablo
6 Kramkov, Dmitriĭ Olegovich
6 Kuhn, Christoph
6 Li, Duan
6 Liang, Gechun
6 Liang, Zongxia
6 Lindensjö, Kristoffer
6 Lütkebohmert, Eva
6 Marín-Solano, Jesús
6 Mastrogiacomo, Elisa
6 Molchanov, Ilya S.
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Cited in 221 Journals

105 Mathematics and Financial Economics
78 SIAM Journal on Financial Mathematics
77 Insurance Mathematics & Economics
76 Finance and Stochastics
74 Mathematical Finance
71 Quantitative Finance
70 International Journal of Theoretical and Applied Finance
50 SIAM Journal on Control and Optimization
49 European Journal of Operational Research
40 Stochastic Processes and their Applications
37 Applied Mathematics and Optimization
37 Journal of Economic Dynamics & Control
35 The Annals of Applied Probability
27 Mathematics of Operations Research
26 Annals of Finance
24 Journal of Mathematical Analysis and Applications
24 Journal of Optimization Theory and Applications
21 Applied Mathematical Finance
20 Mathematical Methods of Operations Research
19 Annals of Operations Research
18 Journal of Industrial and Management Optimization
16 Communications in Statistics. Theory and Methods
16 Probability, Uncertainty and Quantitative Risk
15 Journal of Mathematical Economics
13 Operations Research
13 Scandinavian Actuarial Journal
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
12 Discrete Dynamics in Nature and Society
11 Electronic Journal of Probability
11 Positivity
11 Decisions in Economics and Finance
11 Stochastics
10 ASTIN Bulletin
10 Mathematical Control and Related Fields
9 Physica A
9 Journal of Computational and Applied Mathematics
8 Applied Mathematics and Computation
8 Automatica
8 Journal of Economic Theory
8 Dynamic Games and Applications
8 Frontiers of Mathematical Finance
7 Journal of Applied Probability
7 Operations Research Letters
7 Optimization
7 Journal of Global Optimization
7 Automation and Remote Control
7 Mathematical Programming. Series A. Series B
7 Economic Theory
7 European Actuarial Journal
6 Advances in Applied Probability
6 The Annals of Probability
6 Journal of Functional Analysis
6 Stochastic Analysis and Applications
6 Methodology and Computing in Applied Probability
6 Set-Valued and Variational Analysis
6 Statistics & Risk Modeling
5 Computers & Mathematics with Applications
5 Journal of Differential Equations
5 Systems & Control Letters
5 Probability Theory and Related Fields
5 Mathematical Problems in Engineering
5 North American Actuarial Journal
5 Journal of Dynamics and Games
5 Modern Stochastics. Theory and Applications
4 International Journal of Control
4 Journal of Economics
4 Japan Journal of Industrial and Applied Mathematics
4 Computational and Applied Mathematics
4 Discrete and Continuous Dynamical Systems
4 Probability in the Engineering and Informational Sciences
4 Optimization and Engineering
4 Journal of Systems Science and Complexity
4 Asia-Pacific Financial Markets
4 Review of Derivatives Research
4 Minimax Theory and its Applications
4 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
4 Information Geometry
3 Lithuanian Mathematical Journal
3 Theory of Probability and its Applications
3 Proceedings of the American Mathematical Society
3 Transactions of the American Mathematical Society
3 Mathematical Social Sciences
3 Statistics & Probability Letters
3 Economics Letters
3 Communications in Partial Differential Equations
3 SIAM Journal on Mathematical Analysis
3 NoDEA. Nonlinear Differential Equations and Applications
3 Communications in Nonlinear Science and Numerical Simulation
3 Journal of Applied Mathematics
3 Computational Management Science
3 Afrika Matematika
3 Journal of the Operations Research Society of China
3 Dependence Modeling
2 Journal of Computational Physics
2 Chaos, Solitons and Fractals
2 International Journal of Mathematics and Mathematical Sciences
2 Journal of Econometrics
2 Journal of Environmental Economics and Management
2 Mathematics and Computers in Simulation
2 Numerische Mathematik
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Cited in 40 Fields

1,383 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
596 Probability theory and stochastic processes (60-XX)
368 Systems theory; control (93-XX)
234 Calculus of variations and optimal control; optimization (49-XX)
176 Operations research, mathematical programming (90-XX)
104 Statistics (62-XX)
103 Partial differential equations (35-XX)
67 Functional analysis (46-XX)
48 Numerical analysis (65-XX)
25 Computer science (68-XX)
18 Measure and integration (28-XX)
16 Integral equations (45-XX)
15 Real functions (26-XX)
13 Biology and other natural sciences (92-XX)
12 Ordinary differential equations (34-XX)
8 Dynamical systems and ergodic theory (37-XX)
8 General topology (54-XX)
8 Statistical mechanics, structure of matter (82-XX)
6 Operator theory (47-XX)
6 Convex and discrete geometry (52-XX)
6 Differential geometry (53-XX)
5 Difference and functional equations (39-XX)
5 Global analysis, analysis on manifolds (58-XX)
3 Combinatorics (05-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Approximations and expansions (41-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Fluid mechanics (76-XX)
3 Information and communication theory, circuits (94-XX)
2 General and overarching topics; collections (00-XX)
2 Mathematical logic and foundations (03-XX)
2 Mechanics of particles and systems (70-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Special functions (33-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral transforms, operational calculus (44-XX)
1 Algebraic topology (55-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

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