×

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.
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 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

Publications by Year

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.
864
1997
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
286
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
259
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
217
2003
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
163
1997
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
152
2014
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
146
1993
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
139
1998
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
132
1991
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
127
2002
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
122
1995
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
121
1997
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
121
2005
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
118
1992
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
113
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
111
2000
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
104
1998
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
102
1991
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
101
2004
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
98
1996
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
97
1999
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
97
1997
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
93
2005
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
86
2003
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
84
2008
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
82
1998
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
81
1991
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
81
2002
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
80
2004
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
80
2003
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
80
1997
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
80
2007
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
79
1999
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
79
2006
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
77
2004
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
75
2000
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
75
2008
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
74
1994
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
73
2000
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
73
2007
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
71
2009
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
70
1992
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
69
2008
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
68
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.
65
1997
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
64
1992
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
64
1993
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
62
2001
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
62
1997
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
61
1996
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
61
1997
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
61
2008
On the American option problem. Zbl 1109.91028
Peskir, Goran
60
2005
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
60
2002
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
60
2007
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
59
2000
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
59
2006
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
58
1996
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
58
1995
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
58
2008
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
57
1996
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
57
2005
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
57
2006
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
57
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
56
2006
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
56
2012
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
55
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.
54
2016
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
54
1999
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
54
2001
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
53
1995
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
52
2012
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
52
2007
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
51
1997
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
51
2010
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
50
2016
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
50
1997
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
49
2001
The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046
Rogers, L. C. G.
47
1997
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
Sotomayor, Luz Rocío; Cadenillas, Abel
46
2009
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
46
2000
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
45
2012
Coherent acceptability measures in multiperiod models. Zbl 1107.91059
Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob
44
2005
Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372
Meinshausen, N.; Hambly, B. M.
44
2004
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
44
2002
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
44
2008
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
44
2007
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
44
2011
Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030
Koo, Hyeng Keun
43
1998
Interest rate dynamics and consistent forward rate curves. Zbl 0980.91030
Björk, Tomas; Christensen, Bent Jesper
43
1999
Optimal portfolios with bounded capital at risk. Zbl 1038.91044
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf
43
2001
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
43
2001
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
43
1995
Critical stock price near expiration. Zbl 0866.90029
Barles, Guy; Burdeau, Julien; Romano, Marc; Samsœn, Nicolas
43
1995
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
43
2009
A representation result for concave Schur concave functions. Zbl 1142.28001
Dana, Rose-Anne
42
2005
Default risk insurance and incomplete markets. Zbl 0866.90047
Artzner, Philippe; Delbaen, Freddy
42
1995
From discrete- to continuous-time finance: weak convergence of the financial gain process. Zbl 0900.90046
Duffie, Darrell; Protter, Philip
42
1992
American options on assets with dividends near expiry. Zbl 1031.91047
Evans, J. D.; Kuske, R.; Keller, Joseph B.
42
2002
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
28
2019
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
19
2019
Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567
Kirkby, Justin Lars; Deng, Shijie
11
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
8
2019
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
7
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
6
2019
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
6
2019
Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325
Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao
6
2019
Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158
Lacker, Daniel; Zariphopoulou, Thaleia
4
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
3
2019
Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
3
2019
Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556
Garnier, Josselin; Sølna, Knut
3
2019
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
3
2019
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
3
2019
Trading algorithms with learning in latent alpha models. Zbl 1426.91241
Casgrain, Philippe; Jaimungal, Sebastian
2
2019
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
2
2019
Backward SDEs for control with partial information. Zbl 1458.91196
Papanicolaou, Andrew
2
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
2
2019
Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Zbl 1411.91506
Herdegen, Martin; Herrmann, Sebastian
2
2019
Realization utility with adaptive reference points. Zbl 1411.91507
He, Xuedong; Yang, Linan
2
2019
Trading co-integrated assets with price impact. Zbl 1411.91487
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
2
2019
On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038
Filipović, Damir; Larsson, Martin; Trolle, Anders B.
1
2019
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221
Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu
1
2019
Financial models with defaultable numéraires. Zbl 1411.91597
Fisher, Travis; Pulido, Sergio; Ruf, Johannes
1
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500
Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
1
2019
Robust utility maximization with Lévy processes. Zbl 1403.91321
Neufeld, Ariel; Nutz, Marcel
15
2018
Profit sharing in hedge funds. Zbl 1403.91312
He, Xue Dong; Kou, Steven
12
2018
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
12
2018
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
10
2018
On the C-property and \(w^*\)-representations of risk measures. Zbl 1390.91334
Gao, Niushan; Xanthos, Foivos
10
2018
Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626
Li, Lingfei; Zhang, Gongqiu
9
2018
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
8
2018
Consistent recalibration of yield curve models. Zbl 1411.91622
Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V.
6
2018
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
6
2018
Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354
Zanger, Daniel Z.
6
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
5
2018
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
5
2018
Indifference prices and implied volatilities. Zbl 1403.91347
Lorig, Matthew
5
2018
Conic martingales from stochastic integrals. Zbl 1390.60161
Jeanblanc, Monique; Vrins, Frédéric
5
2018
On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297
Detemple, Jérôme; Kitapbayev, Yerkin
5
2018
Risk management with weighted VaR. Zbl 1417.91484
Wei, Pengyu
4
2018
Social discounting and the long rate of interest. Zbl 1403.91355
Brody, Dorje C.; Hughston, Lane P.
4
2018
Super-replication in fully incomplete markets. Zbl 1390.91298
Dolinsky, Yan; Neufeld, Ariel
4
2018
Fair bilateral pricing under funding costs and exogenous collateralization. Zbl 1390.91284
Nie, Tianyang; Rutkowski, Marek
4
2018
Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470
Matoussi, Anis; Xing, Hao
3
2018
Semi-efficient valuations and put-call parity. Zbl 1417.91503
Herdegen, Martin; Schweizer, Martin
3
2018
International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308
Cai, Ning; Yang, Xuewei
3
2018
Liquidity effects of trading frequency. Zbl 1411.91501
Gayduk, Roman; Nadtochiy, Sergey
2
2018
Utility maximization in a large market. Zbl 1403.91320
Mostovyi, Oleksii
2
2018
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
2
2018
Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364
Jiao, Ying; Li, Shanqiu
2
2018
Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283
Melnyk, Yaroslav; Seifried, Frank Thomas
2
2018
Optimal cash holdings under heterogeneous beliefs. Zbl 1390.91319
Jarrow, Robert; Krishenik, Andrey; Minca, Andreea
2
2018
Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544
Bompis, R.; Gobet, E.
1
2018
The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506
Klimsiak, Tomasz; Rozkosz, Andrzej
1
2018
The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555
Ibáñez, Alfredo; Velasco, Carlos
1
2018
Optimal liquidation and adverse selection in dark pools. Zbl 1403.91314
Kratz, Peter; Schöneborn, Torsten
1
2018
Indifference pricing for contingent claims: large deviations effects. Zbl 1403.91324
Robertson, Scott; Spiliopoulos, Konstantinos
1
2018
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299
Ewald, Christian-oliver; Yor, Marc
1
2018
Robust fundamental theorem for continuous processes. Zbl 1411.91543
Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; Nutz, Marcel
27
2017
Portfolio optimization and stochastic volatility asymptotics. Zbl 1377.91148
Fouque, Jean-Pierre; Sircar, Ronnie; Zariphopoulou, Thaleia
24
2017
Explicit implied volatilities for multifactor local-stochastic volatility models. Zbl 1422.91713
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
20
2017
The general structure of optimal investment and consumption with small transaction costs. Zbl 1423.91006
Kallsen, Jan; Muhle-Karbe, Johannes
19
2017
On arbitrage and duality under model uncertainty and portfolio constraints. Zbl 1411.91541
Bayraktar, Erhan; Zhou, Zhou
16
2017
The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Zbl 1411.91427
Grasselli, Martino
16
2017
A primal-dual algorithm for BSDEs. Zbl 1423.91008
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia
11
2017
Density of skew Brownian motion and its functionals with application in finance. Zbl 1411.91555
Gairat, Alexander; Shcherbakov, Vadim
11
2017
On the martingale property in stochastic volatility models based on time-homogeneous diffusions. Zbl 1414.91432
Bernard, Carole; Cui, Zhenyu; McLeish, Don
11
2017
A state-constrained differential game arising in optimal portfolio liquidation. Zbl 1397.91561
Schied, Alexander; Zhang, Tao
9
2017
Shadow prices for continuous processes. Zbl 1396.91684
Czichowsky, Christoph; Schachermayer, Walter; Yang, Junjian
8
2017
Optimal investment with intermediate consumption and random endowment. Zbl 1391.91149
Mostovyi, Oleksii
8
2017
Option pricing and hedging with execution costs and market impact. Zbl 1380.91130
Guéant, Olivier; Pu, Jiang
7
2017
Leveraged ETF implied volatilities from ETF dynamics. Zbl 1411.91572
Leung, Tim; Lorig, Matthew; Pascucci, Andrea
4
2017
The numéraire property and long-term growth optimality for drawdown-constrained investments. Zbl 1414.91344
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard
4
2017
Real options with competition and regime switching. Zbl 1414.91403
Bensoussan, Alain; Hoe, Singru; Yan, Zhongfeng; Yin, George
4
2017
Sensitivity analysis of nonlinear behavior with distorted probability. Zbl 1390.91130
Cao, Xi-Ren; Wan, Xiangwei
3
2017
Local variance gamma and explicit calibration to option prices. Zbl 1422.91685
Carr, Peter; Nadtochiy, Sergey
3
2017
Pricing for large positions in contingent claims. Zbl 1377.91161
Robertson, Scott
2
2017
Approximate hedging problem with transaction costs in stochastic volatility markets. Zbl 1391.91159
Nguyen, Thai Huu; Pergamenshchikov, Serguei
2
2017
Efficient pricing of barrier options and credit default swaps in Lévy models with stochastic interest rate. Zbl 1411.91545
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2
2017
A first-order BSPDE for swing option pricing: classical solutions. Zbl 1414.91362
Bender, Christian; Dokuchaev, Nikolai
1
2017
Robust portfolios and weak incentives in long-run investments. Zbl 1414.91339
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao
1
2017
Stability of the exponential utility maximization problem with respect to preferences. Zbl 1377.91153
Xing, Hao
1
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.
54
2016
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
50
2016
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
34
2016
Multivariate risk measures: a constructive approach based on selections. Zbl 1368.91183
Molchanov, Ilya; Cascos, Ignacio
25
2016
A new look at short-term implied volatility in asset price models with jumps. Zbl 1403.91348
Mijatović, Aleksandar; Tankov, Peter
21
2016
Utility maximization under model uncertainty in discrete time. Zbl 1378.91114
Nutz, Marcel
20
2016
Fire sales forensics: measuring endogenous risk. Zbl 1348.91291
Cont, Rama; Wagalath, Lakshithe
20
2016
Measuring distribution model risk. Zbl 1348.91290
Breuer, Thomas; Csiszár, Imre
18
2016
Arrow-Debreu equilibria for rank-dependent utilities. Zbl 1348.91204
Xia, Jianming; Zhou, Xun Yu
13
2016
Multivariate subordination of Markov processes with financial applications. Zbl 1351.60103
Mendoza-Arriaga, Rafael; Linetsky, Vadim
13
2016
The incentives of hedge fund fees and high-water marks. Zbl 1348.91254
Guasoni, Paolo; Obłój, Jan
12
2016
Optimal investment in credit derivatives portfolio under contagion risk. Zbl 1348.91248
Bo, Lijun; Capponi, Agostino
12
2016
Hope, fear, and aspirations. Zbl 1403.91313
He, Xue Dong; Zhou, Xun Yu
11
2016
Multidimensional dynamic risk measure via conditional \(g\)-expectation. Zbl 1378.91128
Xu, Yuhong
7
2016
Bessel processes, stochastic volatility, and timer options. Zbl 1331.91180
Li, Chenxu
5
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
5
2016
...and 612 more Documents
all top 5

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
all top 5

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
all top 5

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)

Citations by Year