# zbMATH — the first resource for mathematics

## 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: 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.
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#### Latest Issues

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#### 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 G. 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 P. 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 877 more Authors
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#### Fields

 797 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 274 Probability theory and stochastic processes (60-XX) 63 Systems theory; control (93-XX) 43 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 27 Numerical analysis (65-XX) 15 Partial differential equations (35-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 4 Special functions (33-XX) 4 Functional analysis (46-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 Operator theory (47-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 Harmonic analysis on Euclidean spaces (42-XX) 1 Statistical mechanics, structure of matter (82-XX)

#### Citations contained in zbMATH Open

712 Publications have been cited 17,124 times in 9,906 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
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2003
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
1997
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
2014
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
1993
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
1998
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
1991
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
2002
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
1995
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
1997
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
2005
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
1992
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
2000
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
1998
Option pricing with V. G. martingale components. Zbl 0900.90105
1991
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
2004
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
1996
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
1999
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
1997
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
2005
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
2003
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
2008
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
1998
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
1991
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
2002
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
2004
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
2003
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
1997
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
2007
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
1999
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
2006
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
2004
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
2000
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
2008
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
1994
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
2000
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
2007
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
2009
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
1992
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
2008
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
2005
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.
1997
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
1992
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
1993
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
2001
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
1997
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
1996
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
1997
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
2008
On the American option problem. Zbl 1109.91028
Peskir, Goran
2005
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
2002
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
2007
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
2000
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
2006
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
1996
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
1995
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
2008
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
1996
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
2005
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
2006
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
2006
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
2006
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
2012
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
1998
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.
2016
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
1999
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2001
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
1995
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
2012
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
2007
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
1997
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
2010
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
2016
The valuation of American options on multiple assets. Zbl 0882.90005
1997
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
2001
The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046
Rogers, L. C. G.
1997
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
2009
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
2000
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
2012
Coherent acceptability measures in multiperiod models. Zbl 1107.91059
Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob
2005
Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372
Meinshausen, N.; Hambly, B. M.
2004
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
2002
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
2008
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
2007
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
2011
Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030
Koo, Hyeng Keun
1998
Interest rate dynamics and consistent forward rate curves. Zbl 0980.91030
Björk, Tomas; Christensen, Bent Jesper
1999
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
2001
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
2001
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
1995
Critical stock price near expiration. Zbl 0866.90029
Barles, Guy; Burdeau, Julien; Romano, Marc; Samsœn, Nicolas
1995
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
2009
A representation result for concave Schur concave functions. Zbl 1142.28001
Dana, Rose-Anne
2005
Default risk insurance and incomplete markets. Zbl 0866.90047
Artzner, Philippe; Delbaen, Freddy
1995
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
1992
American options on assets with dividends near expiry. Zbl 1031.91047
Evans, J. D.; Kuske, R.; Keller, Joseph B.
2002
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
2019
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
2019
Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567
Kirkby, Justin Lars; Deng, Shijie
2019
The robust pricing-hedging duality for American options in discrete time financial markets. Zbl 1432.91116
Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu
2019
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
2019
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
2019
Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325
Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao
2019
Mean field and $$n$$-agent games for optimal investment under relative performance criteria. Zbl 1433.91158
Lacker, Daniel; Zariphopoulou, Thaleia
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
2019
Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
2019
Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556
Garnier, Josselin; Sølna, Knut
2019
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
2019
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
2019
Trading algorithms with learning in latent alpha models. Zbl 1426.91241
Casgrain, Philippe; Jaimungal, Sebastian
2019
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
2019
Backward SDEs for control with partial information. Zbl 1458.91196
Papanicolaou, Andrew
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
2019
Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Zbl 1411.91506
Herdegen, Martin; Herrmann, Sebastian
2019
Realization utility with adaptive reference points. Zbl 1411.91507
He, Xuedong; Yang, Linan
2019
Trading co-integrated assets with price impact. Zbl 1411.91487
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
2019
On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038
Filipović, Damir; Larsson, Martin; Trolle, Anders B.
2019
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221
Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu
2019
Financial models with defaultable numéraires. Zbl 1411.91597
Fisher, Travis; Pulido, Sergio; Ruf, Johannes
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2019
Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500
Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
2019
Robust utility maximization with Lévy processes. Zbl 1403.91321
Neufeld, Ariel; Nutz, Marcel
2018
Profit sharing in hedge funds. Zbl 1403.91312
He, Xue Dong; Kou, Steven
2018
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
2018
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
2018
On the C-property and $$w^*$$-representations of risk measures. Zbl 1390.91334
Gao, Niushan; Xanthos, Foivos
2018
Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626
Li, Lingfei; Zhang, Gongqiu
2018
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
2018
Consistent recalibration of yield curve models. Zbl 1411.91622
Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V.
2018
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
2018
Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354
Zanger, Daniel Z.
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
2018
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
2018
Indifference prices and implied volatilities. Zbl 1403.91347
Lorig, Matthew
2018
Conic martingales from stochastic integrals. Zbl 1390.60161
Jeanblanc, Monique; Vrins, Frédéric
2018
On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297
Detemple, Jérôme; Kitapbayev, Yerkin
2018
Risk management with weighted VaR. Zbl 1417.91484
Wei, Pengyu
2018
Social discounting and the long rate of interest. Zbl 1403.91355
Brody, Dorje C.; Hughston, Lane P.
2018
Super-replication in fully incomplete markets. Zbl 1390.91298
Dolinsky, Yan; Neufeld, Ariel
2018
Fair bilateral pricing under funding costs and exogenous collateralization. Zbl 1390.91284
Nie, Tianyang; Rutkowski, Marek
2018
Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470
Matoussi, Anis; Xing, Hao
2018
Semi-efficient valuations and put-call parity. Zbl 1417.91503
Herdegen, Martin; Schweizer, Martin
2018
International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308
Cai, Ning; Yang, Xuewei
2018
Liquidity effects of trading frequency. Zbl 1411.91501
2018
Utility maximization in a large market. Zbl 1403.91320
Mostovyi, Oleksii
2018
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
2018
Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364
Jiao, Ying; Li, Shanqiu
2018
Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283
Melnyk, Yaroslav; Seifried, Frank Thomas
2018
Optimal cash holdings under heterogeneous beliefs. Zbl 1390.91319
Jarrow, Robert; Krishenik, Andrey; Minca, Andreea
2018
Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544
Bompis, R.; Gobet, E.
2018
The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506
Klimsiak, Tomasz; Rozkosz, Andrzej
2018
The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555
Ibáñez, Alfredo; Velasco, Carlos
2018
Optimal liquidation and adverse selection in dark pools. Zbl 1403.91314
Kratz, Peter; Schöneborn, Torsten
2018
Indifference pricing for contingent claims: large deviations effects. Zbl 1403.91324
Robertson, Scott; Spiliopoulos, Konstantinos
2018
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299
Ewald, Christian-oliver; Yor, Marc
2018
Robust fundamental theorem for continuous processes. Zbl 1411.91543
Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; Nutz, Marcel
2017
Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148
Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia
2017
Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
2017
The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006
Kallsen, Jan; Muhle-Karbe, Johannes
2017
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
2017
The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Zbl 1411.91427
Grasselli, Martino
2017
A primal-dual algorithm for BSDEs. Zbl 1423.91008
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia
2017
Density of skew Brownian motion and its functionals with application in finance. Zbl 1411.91555
2017
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
2017
A state-constrained differential game arising in optimal portfolio liquidation. Zbl 1397.91561
Schied, Alexander; Zhang, Tao
2017
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
2017
Optimal investment with intermediate consumption and random endowment. Zbl 1391.91149
Mostovyi, Oleksii
2017
Option pricing and hedging with execution costs and market impact. Zbl 1380.91130
Guéant, Olivier; Pu, Jiang
2017
Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572
Leung, Tim; Lorig, Matthew; Pascucci, Andrea
2017
The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard
2017
Real options with competition and regime switching. Zbl 1414.91403
Bensoussan, Alain; Hoe, Singru; Yan, Zhongfeng; Yin, George
2017
Sensitivity analysis of nonlinear behavior with distorted probability. Zbl 1390.91130
Cao, Xi-Ren; Wan, Xiangwei
2017
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
2017
Pricing for large positions in contingent claims. Zbl 1377.91161
Robertson, Scott
2017
Approximate hedging problem with transaction costs in stochastic volatility markets. Zbl 1391.91159
Nguyen, Thai Huu; Pergamenshchikov, Serguei
2017
Efficient pricing of barrier options and credit default swaps in Lévy models with stochastic interest rate. Zbl 1411.91545
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2017
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
2017
Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao
2017
Stability of the exponential utility maximization problem with respect to preferences. Zbl 1377.91153
Xing, Hao
2017
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.
2016
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
2016
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
2016
Multivariate risk measures: a constructive approach based on selections. Zbl 1368.91183
Molchanov, Ilya; Cascos, Ignacio
2016
A new look at short-term implied volatility in asset price models with jumps. Zbl 1403.91348
Mijatović, Aleksandar; Tankov, Peter
2016
Utility maximization under model uncertainty in discrete time. Zbl 1378.91114
Nutz, Marcel
2016
Fire sales forensics: measuring endogenous risk. Zbl 1348.91291
Cont, Rama; Wagalath, Lakshithe
2016
Measuring distribution model risk. Zbl 1348.91290
Breuer, Thomas; Csiszár, Imre
2016
Arrow-Debreu equilibria for rank-dependent utilities. Zbl 1348.91204
Xia, Jianming; Zhou, Xun Yu
2016
Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103
2016
The incentives of hedge fund fees and high-water marks. Zbl 1348.91254
Guasoni, Paolo; Obłój, Jan
2016
Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248
Bo, Lijun; Capponi, Agostino
2016
Hope, fear, and aspirations. Zbl 1403.91313
He, Xue Dong; Zhou, Xun Yu
2016
Multidimensional dynamic risk measure via conditional $$g$$-expectation. Zbl 1378.91128
Xu, Yuhong
2016
Bessel processes, stochastic volatility, and timer options. Zbl 1331.91180
Li, Chenxu
2016
High-order short-time expansions for ATM option prices of exponential Lévy models. Zbl 1348.91268
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian
2016
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#### Cited by 8,729 Authors

 76 Siu, Tak Kuen 60 Madan, Dilip B. 53 Elliott, Robert James 47 Touzi, Nizar 45 Bayraktar, Erhan 43 Wu, Zhen 41 Zhu, Songping 40 Platen, Eckhard 40 Yang, Hailiang 38 Wong, Hoi Ying 38 Young, Virginia R. 35 Forsyth, Peter A. 35 Li, Zhongfei 33 Filipović, Damir 33 Jeanblanc, Monique 33 Muhle-Karbe, Johannes 32 Jarrow, Robert Alan 32 Rásonyi, Miklós 32 Schachermayer, Walter 32 Schoutens, Wim 30 Hu, Ying 30 Peng, Shige 30 Pham, Huyên 30 Soner, Halil Mete 29 Li, Duan 27 Bo, Lijun 27 Eberlein, Ernst W. 27 Jaimungal, Sebastian 27 Kupper, Michael 27 Levendorskiĭ, Sergeĭ Zakharovich 27 Rutkowski, Marek 27 Zeng, Yan 26 Benth, Fred Espen 26 Pascucci, Andrea 26 Yong, Jiongmin 25 Biagini, Francesca 25 Chiarella, Carl 25 Hu, Yijun 25 Jin, Zhuo 25 Øksendal, Bernt Karsten 25 Oosterlee, Cornelis Willebrordus 25 Rachev, Svetlozar T. 24 Bender, Christian 24 Bielecki, Tomasz R. 24 Guasoni, Paolo 24 Jacquier, Antoine 24 Joshi, Mark S. 24 Leung, Tim 24 Obloj, Jan K. 24 Schied, Alexander 24 Shen, Yang 24 Takahashi, Akihiko 24 Wang, Ruodu 23 Bouchard, Bruno 23 Fabozzi, Frank J. 23 Hobson, David G. 23 Kallsen, Jan 23 Li, Xun 23 Pagès, Gilles 23 Tan, Ken Seng 23 Xiong, Dewen 23 Yor, Marc 22 Chen, Zhiping 22 Crepey, Stephane 22 Cui, Zhenyu 22 Dai, Min 22 Delbaen, Freddy 22 Dolinsky, Yan 22 Protter, Philip Elliott 22 Rüschendorf, Ludger 22 Schoenmakers, John G. M. 21 Carr, Peter P. 21 Gobet, Emmanuel 21 Ji, Shaolin 21 Korn, Ralf 21 Kwok, Yue-Kuen 21 Linetsky, Vadim 21 Pistorius, Martijn R. 21 Possamaï, Dylan 21 Rogers, L. C. G. 21 Schweizer, Martin 21 Sircar, Ronnie 21 Teichmann, Josef 21 Wang, Rongming 21 Wang, Yongjin 20 Balbás, Alejandro 20 Belomestny, Denis 20 Campi, Luciano 20 Cheridito, Patrick 20 Cvitanić, Jakša 20 Ekström, Erik 20 Grasselli, Martino 20 Kijima, Masaaki 20 Lorig, Matthew J. 20 Mishura, Yuliya Stepanivna 20 Shin, Yong Hyun 20 Tankov, Peter 20 Zhang, Jianfeng 20 Zhou, Xunyu 19 Bernard, Carole ...and 8,629 more Authors
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#### Cited in 499 Journals

 575 Quantitative Finance 550 Insurance Mathematics & Economics 548 International Journal of Theoretical and Applied Finance 385 Mathematical Finance 339 Stochastic Processes and their Applications 336 European Journal of Operational Research 322 Finance and Stochastics 249 Applied Mathematical Finance 233 Journal of Economic Dynamics & Control 216 The Annals of Applied Probability 178 SIAM Journal on Financial Mathematics 172 Mathematics and Financial Economics 165 Journal of Econometrics 160 Journal of Computational and Applied Mathematics 141 Statistics & Probability Letters 134 Stochastic Analysis and Applications 134 Annals of Operations Research 104 Stochastics 103 Journal of Mathematical Analysis and Applications 101 Journal of Applied Probability 96 Applied Mathematics and Computation 92 Asia-Pacific Financial Markets 89 ASTIN Bulletin 88 Mathematical Methods of Operations Research 88 Review of Derivatives Research 88 Annals of Finance 81 Scandinavian Actuarial Journal 79 Applied Mathematics and Optimization 79 Journal of Mathematical Economics 76 SIAM Journal on Control and Optimization 75 Decisions in Economics and Finance 73 Operations Research Letters 72 Advances in Applied Probability 67 Methodology and Computing in Applied Probability 65 Journal of Optimization Theory and Applications 60 Mathematical Problems in Engineering 60 North American Actuarial Journal 58 Mathematics of Operations Research 52 Bernoulli 51 Operations Research 49 The Annals of Probability 48 Computers & Mathematics with Applications 47 Automatica 47 Journal of Industrial and Management Optimization 43 Computational Statistics and Data Analysis 42 Mathematical Programming. Series A. Series B 41 Acta Mathematicae Applicatae Sinica. English Series 39 Journal of Economic Theory 38 Communications in Statistics. Theory and Methods 38 Abstract and Applied Analysis 38 Discrete Dynamics in Nature and Society 37 Optimization 36 Journal of Systems Science and Complexity 36 Stochastic Models 34 Mathematical and Computer Modelling 32 European Actuarial Journal 31 Mathematical Control and Related Fields 30 Journal of Theoretical Probability 30 Stochastics and Dynamics 30 Computational Management Science 29 Probability Theory and Related Fields 29 Economic Theory 29 Econometric Theory 28 Journal of Multivariate Analysis 28 International Journal of Computer Mathematics 28 Probability, Uncertainty and Quantitative Risk 27 Physica A 27 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 27 Science China. Mathematics 26 Applied Mathematics. Series B (English Edition) 25 The ANZIAM Journal 25 Comptes Rendus. Mathématique. Académie des Sciences, Paris 24 Systems & Control Letters 23 Theory of Probability and its Applications 23 Journal of Statistical Planning and Inference 23 Mathematics and Computers in Simulation 23 Japan Journal of Industrial and Applied Mathematics 23 Applied Stochastic Models in Business and Industry 22 Chaos, Solitons and Fractals 22 SIAM Journal on Optimization 22 Monte Carlo Methods and Applications 22 Acta Mathematica Sinica. English Series 22 Statistics & Risk Modeling 21 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 21 Computers & Operations Research 21 Journal of Global Optimization 21 Random Operators and Stochastic Equations 20 OR Spectrum 20 International Journal of Stochastic Analysis 20 Dependence Modeling 18 Applied Mathematics Letters 18 Electronic Journal of Probability 18 INFORMS Journal on Computing 18 Extremes 18 Journal of Applied Mathematics 17 Economics Letters 17 Computational Optimization and Applications 17 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 17 Electronic Journal of Statistics 16 The Annals of Statistics ...and 399 more Journals
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#### Cited in 51 Fields

 7,706 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4,498 Probability theory and stochastic processes (60-XX) 1,504 Statistics (62-XX) 1,203 Systems theory; control (93-XX) 1,019 Operations research, mathematical programming (90-XX) 852 Numerical analysis (65-XX) 610 Calculus of variations and optimal control; optimization (49-XX) 510 Partial differential equations (35-XX) 121 Functional analysis (46-XX) 96 Ordinary differential equations (34-XX) 82 Computer science (68-XX) 67 Integral equations (45-XX) 56 Operator theory (47-XX) 52 Real functions (26-XX) 51 Measure and integration (28-XX) 50 Integral transforms, operational calculus (44-XX) 45 Approximations and expansions (41-XX) 35 Dynamical systems and ergodic theory (37-XX) 32 Harmonic analysis on Euclidean spaces (42-XX) 28 Statistical mechanics, structure of matter (82-XX) 28 Biology and other natural sciences (92-XX) 23 Special functions (33-XX) 20 Information and communication theory, circuits (94-XX) 17 Combinatorics (05-XX) 17 Linear and multilinear algebra; matrix theory (15-XX) 17 Difference and functional equations (39-XX) 15 Convex and discrete geometry (52-XX) 13 Mathematical logic and foundations (03-XX) 13 Global analysis, analysis on manifolds (58-XX) 12 General and overarching topics; collections (00-XX) 11 Potential theory (31-XX) 11 Fluid mechanics (76-XX) 9 Functions of a complex variable (30-XX) 8 Quantum theory (81-XX) 7 History and biography (01-XX) 7 Geophysics (86-XX) 6 Number theory (11-XX) 5 Topological groups, Lie groups (22-XX) 4 Sequences, series, summability (40-XX) 4 Mechanics of particles and systems (70-XX) 4 Classical thermodynamics, heat transfer (80-XX) 3 Order, lattices, ordered algebraic structures (06-XX) 3 Abstract harmonic analysis (43-XX) 2 General topology (54-XX) 2 Mechanics of deformable solids (74-XX) 1 Algebraic geometry (14-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Geometry (51-XX) 1 Differential geometry (53-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX)