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 Latest Issues 17, No. 4 (2023) 17, No. 3 (2023) 17, No. 2 (2023) 17, No. 1 (2023) 16, No. 4 (2022) 16, No. 3 (2022) 16, No. 2 (2022) 16, No. 1 (2022) 15, No. 4 (2021) 15, No. 3 (2021) 15, No. 2 (2021) 15, No. 1 (2021) 14, No. 4 (2020) 14, No. 3 (2020) 14, No. 2 (2020) 14, No. 1 (2020) 13, No. 4 (2019) 13, No. 3 (2019) 13, No. 2 (2019) 13, No. 1 (2019) 12, No. 4 (2018) 12, No. 3 (2018) 12, No. 2 (2018) 12, No. 1 (2018) 11, No. 4 (2017) 11, No. 3 (2017) 11, No. 2 (2017) 11, No. 1 (2017) 10, No. 4 (2016) 10, No. 3 (2016) 10, No. 2 (2016) 10, No. 1 (2016) 9, No. 4 (2015) 9, No. 3 (2015) 9, No. 2 (2015) 9, No. 1 (2015) 8, No. 4 (2014) 8, No. 3 (2014) 8, No. 2 (2014) 8, No. 1 (2014) 7, No. 4 (2013) 7, No. 3 (2013) 7, No. 2 (2013) 7, No. 1 (2013) 6, No. 4 (2012) 6, No. 3 (2012) 6, No. 2 (2012) 6, No. 1 (2012) 5, No. 4 (2011) 5, No. 3 (2011) 5, No. 2 (2011) 5, No. 1 (2011) 4, No. 4 (2011) 4, No. 3 (2011) 4, No. 2 (2011) 4, No. 1 (2010) 3, No. 3-4 (2010) 3, No. 2 (2010) 3, No. 1 (2010) 2, No. 4 (2010) 2, No. 3 (2009) 2, No. 2 (2009) 2, No. 1 (2008) 1, No. 3-4 (2008) 1, No. 2 (2007) 1, No. 1 (2007) 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 473 more Authors all top 5 Fields 339 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 107 Probability theory and stochastic processes (60-XX) 35 Systems theory; control (93-XX) 26 Calculus of variations and optimal control; optimization (49-XX) 19 Statistics (62-XX) 16 Functional analysis (46-XX) 16 Operations research, mathematical programming (90-XX) 8 General and overarching topics; collections (00-XX) 7 Partial differential equations (35-XX) 5 Real functions (26-XX) 4 Ordinary differential equations (34-XX) 3 Numerical analysis (65-XX) 2 Operator theory (47-XX) 1 Combinatorics (05-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Integral equations (45-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 249 Publications have been cited 2,213 times in 1,712 Documents Cited by ▼ Year ▼ Investment and consumption without commitment. Zbl 1177.91123 Ekeland, Ivar; Pirvu, Traian A. 136 2008 Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012 Carmona, René; Delarue, François; Lachapelle, Aimé 99 2013 The golden rule when preferences are time inconsistent. Zbl 1255.91249 Ekeland, Ivar; Lazrak, Ali 70 2010 Mean field game of controls and an application to trade crowding. Zbl 1397.91084 Cardaliaguet, Pierre; Lehalle, Charles-Albert 70 2018 Set-valued risk measures for conical market models. Zbl 1275.91077 Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit 60 2011 Incorporating order-flow into optimal execution. Zbl 1404.91241 Cartea, Álvaro; Jaimungal, Sebastian 47 2016 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 Dealing with the inventory risk: a solution to the market making problem. Zbl 1273.91462 Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 44 2013 Representation results for law invariant time consistent functions. Zbl 1255.91181 Kupper, Michael; Schachermayer, Walter 43 2009 A financial market with interacting investors: does an equilibrium exist? Zbl 1255.91447 Frei, Christoph; dos Reis, Gonçalo 40 2011 The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240 Biagini, Sara; Pınar, Mustafa Ç. 37 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 36 2013 Hedging with temporary price impact. Zbl 1409.91226 Bank, Peter; Soner, H. Mete; Voß, Moritz 33 2017 Dual characterization of properties of risk measures on Orlicz hearts. Zbl 1181.91092 Cheridito, Patrick; Li, Tianhui 31 2008 Utility maximization with a given pricing measure when the utility is not necessarily concave. Zbl 1277.91055 Reichlin, Christian 31 2013 Measuring risk with multiple eligible assets. Zbl 1310.91077 Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo 30 2015 Optimal risk sharing under distorted probabilities. Zbl 1255.91182 Ludkovski, Michael; Young, Virginia R. 28 2009 Optimal stopping under ambiguity in continuous time. Zbl 1272.60020 Cheng, Xue; Riedel, Frank 26 2013 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 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 Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057 Lacker, Daniel; Soret, Agathe 16 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 15 2021 Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231 Pirvu, Traian A.; Schulze, Klaas 14 2012 Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087 Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza 13 2015 Dual representations for systemic risk measures. Zbl 1433.91187 Ararat, Çağın; Rudloff, Birgit 13 2020 Optimal investment with inside information and parameter uncertainty. Zbl 1255.91446 Danilova, Albina; Monoyios, Michael; Ng, Andrew 13 2010 Optimal portfolios of a small investor in a limit order market: a shadow price approach. Zbl 1255.91449 Kühn, Christoph; Stroh, Maximilian 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 posting price of limit orders: learning by trading. Zbl 1306.91148 Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 12 2013 Optimal compensation with adverse selection and dynamic actions. Zbl 1173.91383 Cvitanić, Jakša; Zhang, Jianfeng 11 2007 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 Optimal investment in a defaultable bond. Zbl 1142.91537 Lakner, Peter; Liang, Weijian 11 2008 Acceptability indexes via \(g\)-expectations: an application to liquidity risk. Zbl 1273.91464 Rosazza Gianin, Emanuela; Sgarra, Carlo 11 2013 On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401 Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo 11 2010 Robust consumption-investment problems with random market coefficients. Zbl 1279.91149 Rieder, Ulrich; Wopperer, Christoph 11 2012 The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136 Schachermayer, Walter 10 2014 Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595 Chen, Yanhong; Hu, Yijun 10 2018 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643 Bismuth, Alexis; Guéant, Olivier; Pu, Jiang 10 2019 An optimal trading problem in intraday electricity markets. Zbl 1332.35363 Aïd, René; Gruet, Pierre; Pham, Huyên 9 2016 Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037 Carmona, René; Coulon, Michael; Schwarz, Daniel 9 2013 Taylor series approximations to expected utility and optimal portfolio choice. Zbl 1282.91301 Garlappi, Lorenzo; Skoulakis, Georgios 9 2011 Exchanges and measures of risks. Zbl 1275.91059 Flåm, Sjur Didrik 9 2011 Insider trading equilibrium in a market with memory. Zbl 1262.91156 Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt 9 2012 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488 Yang, Zhou; Liang, Gechun; Zhou, Chao 9 2019 The consumption-based determinants of the term structure of discount rates. Zbl 1138.91545 Gollier, Christian 8 2007 Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096 Liang, Gechun; Lütkebohmert, Eva; Wei, Wei 8 2015 Drawdown: from practice to theory and back again. Zbl 1415.91260 Goldberg, Lisa R.; Mahmoud, Ola 8 2017 On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643 Jarrow, Robert 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 Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060 Tian, Dejian; Jiang, Long 8 2015 Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234 Guo, Xin; de Larrard, Adrien; Ruan, Zhao 8 2017 Shock elasticities and impulse responses. Zbl 1307.91124 Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A. 8 2014 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 8 2020 Continuity of utility maximization under weak convergence. Zbl 1461.91288 Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 8 2020 Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706 Weston, Kim 8 2018 Convex risk measures on Orlicz spaces: inf-convolution and shortfall. Zbl 1255.91173 Arai, Takuji 8 2010 Optimal incentive contracts under relative income concerns. Zbl 1255.91205 Goukasian, Levon; Wan, Xuhu 8 2010 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 Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261 Jeon, Junkee; Park, Kyunghyun 8 2020 Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465 SenGupta, Indranil; Wilson, William; Nganje, William 8 2019 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 Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136 Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene 7 2016 Radner equilibrium in incomplete Lévy models. Zbl 1390.91232 Larsen, Kasper; Sae-Sue, Tanawit 7 2016 Remarks on existence and uniqueness of Cournot-Nash equilibria in the non-potential case. Zbl 1318.91024 Blanchet, A.; Carlier, G. 7 2014 Foreign exchange markets with last look. Zbl 1411.91488 Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie 7 2019 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 Dilatation monotonicity and convex order. Zbl 1318.46054 Svindland, Gregor 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 An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158 Chan, Leunglung; Zhu, Song-Ping 6 2015 Diversification, protection of liability holders and regulatory arbitrage. Zbl 1404.91140 Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario 6 2017 Existence of solutions in non-convex dynamic programming and optimal investment. Zbl 1401.90255 Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós 6 2017 Indifference pricing for CRRA utilities. Zbl 1275.91055 Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. 6 2013 Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294 Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. 6 2021 Fractional risk process in insurance. Zbl 1435.91156 Kumar, Arun; Leonenko, Nikolai; Pichler, Alois 6 2020 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 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 6 2019 Robust utility maximization under model uncertainty via a penalization approach. Zbl 1484.91421 Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei 5 2022 Price formation and optimal trading in intraday electricity markets. Zbl 1484.91315 Féron, Olivier; Tankov, Peter; Tinsi, Laura 4 2022 Term structure modeling under volatility uncertainty. Zbl 1484.91496 Hölzermann, Julian 4 2022 Law-invariant functionals that collapse to the mean: beyond convexity. Zbl 1497.91344 Liebrich, Felix-Benedikt; Munari, Cosimo 2 2022 Governmental incentives for Green bonds investment. Zbl 1497.91270 Baldacci, Bastien; Possamaï, Dylan 2 2022 Learning about latent dynamic trading demand. Zbl 1498.91414 Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. 2 2022 A two-player portfolio tracking game. Zbl 1496.91080 Voß, Moritz 2 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 Price impact equilibrium with transaction costs and TWAP trading. Zbl 1484.91461 Noh, Eunjung; Weston, Kim 2 2022 Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk. Zbl 1497.91272 Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji 1 2022 A stochastic control approach to public debt management. Zbl 1498.91267 Brachetta, M.; Ceci, C. 1 2022 Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition. Zbl 1484.91487 Park, Hyungbin 1 2022 Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction. Zbl 1484.91318 Liang, Jin; Huang, Wenlin 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 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 15 2021 Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294 Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J. 6 2021 Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336 Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo 5 2021 Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization. Zbl 1461.91128 Rudloff, Birgit; Ulus, Firdevs 5 2021 Systemic credit freezes in financial lending networks. Zbl 1461.91334 Acemoglu, Daron; Ozdaglar, Asuman; Siderius, James; Tahbaz-Salehi, Alireza 4 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 A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560 Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo 3 2021 Risk management with expected shortfall. Zbl 1471.91518 Wei, Pengyu 3 2021 Supermartingale deflators in the absence of a numéraire. Zbl 1471.91541 Harms, Philipp; Liu, Chong; Neufeld, Ariel 3 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 Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Zbl 1460.91229 Lichtenstern, Andreas; Shevchenko, Pavel V.; Zagst, Rudi 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 16 2020 Dual representations for systemic risk measures. Zbl 1433.91187 Ararat, Çağın; Rudloff, Birgit 13 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 8 2020 Continuity of utility maximization under weak convergence. Zbl 1461.91288 Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia 8 2020 Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261 Jeon, Junkee; Park, Kyunghyun 8 2020 Fractional risk process in insurance. Zbl 1435.91156 Kumar, Arun; Leonenko, Nikolai; Pichler, Alois 6 2020 No arbitrage in continuous financial markets. Zbl 1443.91272 Criens, David 5 2020 Properly discounted asset prices are semimartingales. Zbl 1461.91323 Bálint, Dániel Ágoston; Schweizer, Martin 3 2020 Mean-variance efficiency of optimal power and logarithmic utility portfolios. Zbl 1461.91269 Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; Schmid, Wolfgang 3 2020 Capital allocation rules and acceptance sets. Zbl 1461.91364 Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela 3 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 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 Arbitrage-free modeling under Knightian uncertainty. Zbl 1461.91291 Burzoni, Matteo; Maggis, Marco 1 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 Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643 Bismuth, Alexis; Guéant, Olivier; Pu, Jiang 10 2019 Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488 Yang, Zhou; Liang, Gechun; Zhou, Chao 9 2019 Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465 SenGupta, Indranil; Wilson, William; Nganje, William 8 2019 Foreign exchange markets with last look. Zbl 1411.91488 Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie 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 6 2019 Golden options in financial mathematics. Zbl 1422.91679 Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel 5 2019 Impact of contingent payments on systemic risk in financial networks. Zbl 1422.91740 Banerjee, Tathagata; Feinstein, Zachary 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 credit investment and risk control for an insurer with regime-switching. Zbl 1411.91267 Bo, Lijun; Liao, Huafu; Wang, Yongjin 2 2019 Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409 Bayraktar, Erhan; Yu, Xiang 2 2019 Turnpike property and convergence rate for an investment and consumption model. 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Zbl 1415.91260 Goldberg, Lisa R.; Mahmoud, Ola 8 2017 ...and 149 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,064 Authors 25 Madan, Dilip B. 22 Rudloff, Birgit 20 Cartea, Álvaro 20 Jaimungal, Sebastian 18 Rásonyi, Miklós 18 Wei, Jiaqin 16 Muhle-Karbe, Johannes 15 Feinstein, Zachary 14 Hu, Yijun 14 Pham, Huyên 13 Bayraktar, Erhan 13 Biagini, Francesca 13 Boonen, Tim J. 13 Jarrow, Robert Alan 13 Munari, Cosimo 13 Possamaï, Dylan 12 Laurière, Mathieu 12 Rosazza Gianin, Emanuela 12 Schoutens, Wim 11 Carmona, René A. 11 Chen, Yanhong 11 Guéant, Olivier 11 Wong, Ting-Kam Leonard 10 Feng, Runhuan 10 He, Xuedong 10 Horst, Ulrich 10 Lépinette, Emmanuel 10 Stadje, Mitja 9 Bank, Peter 9 Bielecki, Tomasz R. 9 Cialenco, Igor 9 Flåm, Sjur Didrik 9 Hamel, Andreas H. 9 Henderson, Vicky 9 Lacker, Daniel 9 Lehalle, Charles-Albert 9 Liang, Zongxia 9 Neufeld, Ariel David 9 Pichler, Alois 9 Schachermayer, Walter 9 Svindland, Gregor 9 Wang, Tianxiao 9 Wong, Hoi Ying 9 Zhou, Xunyu 8 Delbaen, Freddy 8 Drapeau, Samuel 8 Geraskin, Mikhail I. 8 Hu, Ying 8 Kupper, Michael 8 Orihuela, José 8 Pennanen, Teemu 8 Yong, Jiongmin 8 Zhao, Qian 8 Zhou, Chao 7 Agram, Nacira 7 Ararat, Çağın 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 Pfeiffer, Laurent 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. 7 Zhou, Zhou 6 Achdou, Yves 6 Asimit, Alexandru V. 6 Balbás, Alejandro 6 Balbás, Beatriz 6 Balbás, Raquel 6 Bensoussan, Alain 6 Bo, Lijun 6 Carassus, Laurence 6 Ceci, Claudia 6 Chau, Huy N. 6 Choi, Jin Hyuk 6 Cui, Zhenyu 6 Delarue, François 6 Dolinsky, Yan 6 Eberlein, Ernst W. 6 Ferrari, Giorgio 6 Fu, Guanxing 6 Grbac, Zorana 6 Huang, Yu-Jui 6 Koch Medina, Pablo ...and 1,964 more Authors all top 5 Cited in 225 Journals 111 Mathematics and Financial Economics 81 SIAM Journal on Financial Mathematics 80 Insurance Mathematics & Economics 78 Mathematical Finance 77 Finance and Stochastics 72 International Journal of Theoretical and Applied Finance 72 Quantitative Finance 56 SIAM Journal on Control and Optimization 49 European Journal of Operational Research 42 Applied Mathematics and Optimization 40 Stochastic Processes and their Applications 38 The Annals of Applied Probability 37 Journal of Economic Dynamics & Control 27 Mathematics of Operations Research 26 Journal of Optimization Theory and Applications 26 Annals of Finance 24 Journal of Mathematical Analysis and Applications 24 Applied Mathematical Finance 21 Mathematical Methods of Operations Research 19 Annals of Operations Research 19 Journal of Industrial and Management Optimization 17 Communications in Statistics. 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