Applied Mathematical Finance Short Title: Appl. Math. Finance Publisher: Taylor & Francis (Routledge), London ISSN: 1350-486X; 1466-4313/e Online: http://www.tandfonline.com/loi/ramf20 Documents Indexed: 506 Publications (since 1994) References Indexed: 456 Publications with 11,293 References. all top 5 Latest Issues 29, No. 4 (2022) 29, No. 3 (2022) 29, No. 2 (2022) 29, No. 1 (2022) 28, No. 6 (2021) 28, No. 5 (2021) 28, No. 4 (2021) 28, No. 3 (2021) 28, No. 2 (2021) 28, No. 1 (2021) 27, No. 6 (2020) 27, No. 5 (2020) 27, No. 4 (2020) 27, No. 3 (2020) 27, No. 1-2 (2020) 26, No. 6 (2019) 26, No. 5 (2019) 26, No. 4 (2019) 26, No. 3 (2019) 26, No. 2 (2019) 26, No. 1 (2019) 25, No. 5-6 (2018) 25, No. 4 (2018) 25, No. 3 (2018) 25, No. 2 (2018) 25, No. 1 (2018) 24, No. 5-6 (2017) 24, No. 3-4 (2017) 24, No. 1-2 (2017) 23, No. 5-6 (2016) 23, No. 3-4 (2016) 23, No. 1-2 (2016) 22, No. 5-6 (2015) 22, No. 3-4 (2015) 22, No. 1-2 (2015) 21, No. 5-6 (2014) 21, No. 3-4 (2014) 21, No. 1-2 (2014) 20, No. 5-6 (2013) 20, No. 1-2 (2013) 19, No. 5-6 (2012) 19, No. 3-4 (2012) 19, No. 1-2 (2012) 18, No. 5-6 (2011) 18, No. 3-4 (2011) 18, No. 1-2 (2011) 17, No. 5-6 (2010) 17, No. 3-4 (2010) 17, No. 1-2 (2010) 16, No. 5-6 (2009) 16, No. 3-4 (2009) 16, No. 1-2 (2009) 15, No. 5-6 (2008) 15, No. 3-4 (2008) 15, No. 2 (2008) 15, No. 1 (2008) 14, No. 5 (2007) 14, No. 4 (2007) 14, No. 3 (2007) 14, No. 2 (2007) 14, No. 1 (2007) 13, No. 4 (2006) 13, No. 3 (2006) 13, No. 2 (2006) 13, No. 1 (2006) 12, No. 4 (2005) 12, No. 3 (2005) 12, No. 2 (2005) 12, No. 1 (2005) 11, No. 4 (2004) 11, No. 3 (2004) 11, No. 2 (2004) 11, No. 1 (2004) 10, No. 4 (2003) 10, No. 3 (2003) 10, No. 2 (2003) 10, No. 1 (2003) 9, No. 4 (2002) 9, No. 3 (2002) 9, No. 2 (2002) 9, No. 1 (2002) 8, No. 4 (2001) 8, No. 3 (2001) 8, No. 2 (2001) 8, No. 1 (2001) 7, No. 4 (2000) 7, No. 3 (2000) 7, No. 2 (2000) 7, No. 1 (2000) 6, No. 4 (1999) 6, No. 3 (1999) 6, No. 2 (1999) 6, No. 1 (1999) 5, No. 3 (1998) 5, No. 2 (1998) 5, No. 1 (1998) 4, No. 4 (1997) 4, No. 3 (1997) 4, No. 2 (1997) 4, No. 1 (1997) ...and 8 more Volumes all top 5 Authors 10 Jaimungal, Sebastian 8 Avellaneda, Marco 8 Benth, Fred Espen 8 Eberlein, Ernst W. 7 Atkinson, Colin 7 Forsyth, Peter A. 7 Siu, Tak Kuen 6 Cartea, Álvaro 6 Chiarella, Carl 6 Howison, Samuel Dexter 6 Madan, Dilip B. 6 Zagst, Rudi 5 Cherubini, Umberto 5 Elliott, Robert James 5 Hagan, Patrick S. 5 Oosterlee, Cornelis Willebrordus 5 Rutkowski, Marek 5 Vetzal, Kenneth R. 4 Donnelly, Ryan 4 Goard, Joanna M. 4 Guéant, Olivier 4 Kwok, Yue-Kuen 4 Lorig, Matthew J. 4 Sircar, Ronnie 3 Baldeaux, Jan 3 Bayraktar, Erhan 3 Bermin, Hans-Peter 3 Caginalp, Gunduz 3 Carr, Peter Paul 3 Cheang, Gerald H. L. 3 Escobar, Marcos 3 Fouque, Jean-Pierre 3 Glau, Kathrin 3 Götz, Barbara 3 Jamshidian, Farshid 3 Jonsson, Mattias 3 Lépinette, Emmanuel 3 Mai, Jan-Frederik 3 Matsumoto, Koichi 3 Mokkhavesa, Sutee 3 Ninomiya, Syoiti 3 Papanicolaou, George C. 3 Para’s, Antonio 3 Platen, Eckhard 3 Rebonato, Riccardo 3 Sabino, Piergiacomo 3 Vaugirard, Victor E. 3 Woodward, Diana E. 3 Zheng, Wendong 2 Ahn, Hyungsok 2 Albrecher, Hansjörg 2 Alexander, Carol 2 Almgren, Robert F. 2 Bacinello, Anna Rita 2 Baptiste, Julien 2 Bensoussan, Alain 2 Bouchaud, Jean-Philippe 2 Boyle, Phelim P. 2 Buchen, Peter W. 2 Carmona, René A. 2 Challet, Damien 2 Chen, Xinfu 2 Chesney, Marc 2 Crouhy, Michel G. 2 Dang, Duy Minh 2 Doust, Paul 2 Duck, Peter W. 2 Ekström, Erik 2 Ericsson, Jan 2 Fabozzi, Frank J. 2 Figueroa, Marcelo G. 2 Forde, Martin 2 Galai, Dan 2 Gamba, Andrea 2 Geman, Hélyette 2 Grasselli, Matheus R. 2 Gzyl, Henryk 2 Hughston, Lane P. 2 Ishii, Ryosuke 2 Jackson, Kenneth R. 2 Jacquier, Antoine 2 Johnson, Paul V. 2 Joshi, Mark S. 2 Kallsen, Jan 2 Keller, Joseph Bishop 2 Kennedy, Joanne E. 2 Keppo, Jussi 2 Kingdon, J. 2 Konstandatos, Otto 2 Korn, Ralf 2 Ku, Hyejin 2 Labahn, George 2 Leung, Tim 2 Levendorskiĭ, Sergeĭ Zakharovich 2 Lord, Roger 2 Ludkovski, Michael 2 Mancino, Maria Elvira 2 Mayer, Philipp A. 2 Nejad, Sina 2 Ning, Brian ...and 660 more Authors all top 5 Fields 504 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 122 Probability theory and stochastic processes (60-XX) 39 Statistics (62-XX) 32 Numerical analysis (65-XX) 23 Systems theory; control (93-XX) 17 Partial differential equations (35-XX) 15 Operations research, mathematical programming (90-XX) 10 Calculus of variations and optimal control; optimization (49-XX) 10 Computer science (68-XX) 2 Integral equations (45-XX) 2 Geophysics (86-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Real functions (26-XX) 1 Measure and integration (28-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Biology and other natural sciences (92-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 369 Publications have been cited 3,102 times in 2,414 Documents Cited by ▼ Year ▼ Optimal execution with nonlinear impact functions and trading-enchanced risk. Zbl 1064.91058Almgren, Robert F. 105 2003 Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. Zbl 1134.91526Cartea, Álvaro; Figueroa, Marcelo G. 65 2005 Calibrating volatility surfaces via relative-entropy minimization. Zbl 1007.91015Avellaneda, Marco; Friedman, Craig; Holmes, Richard; Samperi, Dominick 64 1997 Multigrid for American option pricing with stochastic volatility. Zbl 1009.91034Clarke, Nigel; Parrott, Kevin 64 1999 A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing. Zbl 1160.91337Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo 63 2007 Weak approximation of stochastic differential equations and application to derivative pricing. Zbl 1134.91524Ninomiya, Syoiti; Victoir, Nicolas 55 2008 Analysis of Fourier transform valuation formulas and applications. Zbl 1233.91267Eberlein, Ernst; Glau, Kathrin; Papapantoleon, Antonis 54 2010 Pricing volatility swaps under Heston’s stochastic volatility model with regime switching. Zbl 1281.91161Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung 51 2007 General Black-Scholes models accounting for increased market volatility from hedging strategies. Zbl 1009.91023Sircar, K. Ronnie; Papanicolaou, George 51 1998 Volatility skews and extensions of the Libor market model. Zbl 1013.91041Andersen, Leif; Andreasen, Jesper 51 2000 Optimal basket liquidation for CARA investors is deterministic. Zbl 1206.91077Schied, Alexander; Schöneborn, Torsten; Tehranchi, Michael 46 2010 Managing the volatility risk of portfolios of derivative securities: The Lagrangian uncertain volatility model. Zbl 1097.91514Avellaneda, Marco; Para’s, Antonio 44 1996 On modelling and pricing weather derivatives. Zbl 1013.91036Alaton, Peter; Djehiche, Boualem; Stillberger, David 42 2002 On Markov-modulated exponential-affine bond price formulae. Zbl 1169.91342Elliott, Robert J.; Siu, Tak Kuen 39 2009 On the pricing and hedging of volatility derivatives. Zbl 1108.91316Howison, Sam; Rafailidis, Avraam; Rasmussen, Henrik 38 2004 Toward real-time pricing of complex financial derivatives. Zbl 1097.91530Ninomiya, S.; Tezuka, S. 37 1996 Optimal exercise boundary for an American put option. Zbl 1009.91025Kuske, Rachel A.; Keller, Joseph B. 35 1998 Equivalent Black volatilities. Zbl 1009.91033Hagan, Patrick S.; Woodward, Diana E. 31 1999 Stochastic modelling of temperature variations with a view towards weather derivatives. Zbl 1093.91021Benth, Fred Espen; Šaltytė-Benth, Jūratė 30 2005 Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137Chen, Ping; Yang, Hailiang 29 2011 A finite element approach to the pricing of discrete lookbacks with stochastic volatility. Zbl 1009.91030Forsyth, P. A.; Vetzal, K. R.; Zvan, R. 29 1999 Pricing asset scheduling flexibility using optimal switching. Zbl 1156.91361Carmona, Renè; Ludkovski, Michael 27 2008 Stochastic volatility effects on defaultable bonds. Zbl 1142.91523Fouque, Jean-Pierre; Sircar, Ronnie; Sølna, Knut 25 2006 An explicit finite difference approach to the pricing of barrier options. Zbl 1009.91022Boyle, Phelim P.; Tian, Yisong 25 1998 The dynamic interaction of speculation and diversification. Zbl 1113.91019Chiarella, Carl; Dieci, Roberto; Gardini, Laura 24 2005 Binomial models for option valuation – examining and improving. Zbl 1097.91513 24 1996 On American options under the variance gamma process. Zbl 1160.91346Almendral, Ariel; Oosterlee, Cornelis W. 24 2007 Prices and asymptotics for discrete variance swaps. Zbl 1396.91718Bernard, Carole; Cui, Zhenyu 23 2014 Optimal financial portfolios. Zbl 1151.91542Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J. 23 2007 Valuing volatility and variance swaps for a non-Gaussian Ornstein-Uhlenbeck stochastic volatility model. Zbl 1141.91015Benth, Fred Espen; Groth, Martin; Kufakunesu, Rodwell 23 2007 On cross-currency models with stochastic volatility and correlated interest rates. Zbl 1372.91075Grzelak, Lech A.; Oosterlee, Cornelis W. 22 2012 Sharp upper and lower bounds for basket options. Zbl 1138.91457Laurence, Peter; Wang, Tai-Ho 21 2005 Valuing the guaranteed minimum death benefit clause with partial withdrawals. Zbl 1189.91066Bélanger, A. C.; Forsyth, P. A.; Labahn, G. 21 2009 Interpolation methods for curve construction. Zbl 1142.91526Hagan, Patrick S.; West, Graeme 21 2006 Modelling asset prices for algorithmic and high-frequency trading. Zbl 1396.91680Cartea, Álvaro; Jaimungal, Sebastian 20 2013 ADI schemes for pricing American options under the Heston model. Zbl 1396.91799Haentjens, Tinne; in ’t Hout, Karel J. 20 2015 Mean-variance optimal adaptive execution. Zbl 1239.91153Lorenz, Julian; Almgren, Robert 20 2011 General lower bounds for arithmetic Asian option prices. Zbl 1134.91394Albrecher, H.; Mayer, P. A.; Schoutens, W. 20 2008 Pricing and hedging derivative securities in markets with uncertain volatilities. Zbl 1466.91323Avellaneda, M.; Levy, A.; Parás, A. 20 1995 Option pricing and filtering with hidden Markov-modulated pure-jump processes. Zbl 1457.91372Elliott, Robert J.; Siu, Tak Kuen 19 2013 Bond, futures and option evaluation in the quadratic interest rate model. Zbl 1097.91525Jamshidian, Farshid 19 1996 Optimal quantization for the pricing of swing options. Zbl 1169.91337Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles 19 2009 Stochastic volatility model with time-dependent skew. Zbl 1148.91021Piterbarg, Vladimir V. 18 2005 A matched asymptotic expansions approach to continuity corrections for discretely sampled options. I: Barrier options. Zbl 1281.91166Howison, Sam; Steinberg, Mario 18 2007 Stochastic volatility, smile & asymptotics. Zbl 1009.91032Sircar, K. Ronnie; Papanicolaou, George C. 18 1999 Energy futures prices: term structure models with Kalman filter estimation. Zbl 1016.91033Manoliu, Mihaela; Tompaidis, Stathis 18 2002 Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model. Zbl 1395.91429Baldeaux, Jan; Badran, Alexander 17 2014 Mean-field game strategies for optimal execution. Zbl 1410.91498Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba 17 2019 Convex hedging in incomplete markets. Zbl 1151.91537Rudloff, Birgit 17 2007 Bivariate option pricing with copulas. Zbl 1013.91050Cherubini, U.; Luciano, E. 17 2002 Asymptotic pricing of commodity derivatives using stochastic volatility spot models. Zbl 1156.91374Hikspoors, Samuel; Jaimungal, Sebastian 17 2008 Small-time asymptotics for an uncorrelated local-stochastic volatility model. Zbl 1246.91129Forde, Martin; Jacquier, Antoine 16 2011 On the distributional characterization of daily log-returns of a world stock index. Zbl 1157.91422Fergusson, Kevin; Platen, Eckhard 16 2006 Stochastic volatility: option pricing using a multinomial recombining tree. Zbl 1134.91372Florescu, Ionuţ; Viens, Frederi G. 16 2008 Modelling the temperature time-dependent speed of mean reversion in the context of weather derivatives pricing. Zbl 1142.91575Zapranis, A.; Alexandridis, A. 16 2008 Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints. Zbl 1090.91054Nakano, Yumiharu 15 2003 Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672Kirkby, J. Lars 15 2017 American call options under jump-diffusion processes – A Fourier transform approach. Zbl 1169.91340Chiarella, Carl; Ziogas, Andrew 15 2009 Boundary values and finite difference methods for the single factor term structure equation. Zbl 1179.91247Ekström, Erik; Lötstedt, Per; Tysk, Johan 14 2009 Fuzzy measures and asset prices: Accounting for information ambiguity. Zbl 1009.91006Cherubini, Umberto 14 1997 A note on the Flesaker-Hughston model of the term structure of interest rates. Zbl 1009.91020Rutkowski, Marek 14 1997 Enhancing trading strategies with order book signals. Zbl 1418.91454Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 14 2018 Mean-semivariance efficient frontier: a downside risk model for portfolio selection. Zbl 1113.91018Ballestero, Enrique 13 2005 Simulations of transaction costs and optimal rehedging. Zbl 0832.90006Mohamed, Benjamin 13 1994 Multiple time scales in volatility and leverage correlations: a stochastic volatility model. Zbl 1093.91537Perelló, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe 13 2004 The use and pricing of convertible bonds. Zbl 0876.90022Nyborg, K. G. 13 1996 The endogenous price dynamics of emission allowances and an application to CO\(_2\) option pricing. Zbl 1372.91079Chesney, Marc; Taschini, Luca 13 2012 Numerical methods for non-linear Black-Scholes equations. Zbl 1229.91339Heider, Pascal 13 2010 On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Zbl 1087.91020Benth, Fred Espen 12 2003 Multi-asset portfolio optimization with transaction cost. Zbl 1106.91319Atkinson, C.; Mokkhavesa, S. 12 2004 Variance-optimal hedging for time-changed Lévy processes. Zbl 1232.91668Kallsen, Jan; Pauwels, Arnd 12 2011 A new approach to pricing double-barrier options with arbitrary payoffs and exponential boundaries. Zbl 1188.91210Buchen, Peter; Konstandatos, Otto 12 2009 Numerical methods and volatility models for valuing cliquet options. Zbl 1142.91570Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R. 12 2006 Exchange options under jump-diffusion dynamics. Zbl 1239.91160Cheang, Gerald H. L.; Chiarella, Carl 12 2011 Pricing of Parisian options for a jump-diffusion model with two-sided jumps. Zbl 1372.91100Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen 12 2012 Phenomenology of the interest rate curve. Zbl 1009.91036Bouchaud, Jean-Philippe; Sagna, Nicolas; Cont, Rama; El-Karoui, Nicole; Potters, Marc 12 1999 Robust approximations for pricing Asian options and volatility swaps under stochastic volatility. Zbl 1233.91272Forde, Martin; Jacquier, Antoine 12 2010 Indifference pricing and hedging for volatility derivatives. Zbl 1213.91152Grasselli, M. R.; Hurd, T. R. 12 2007 Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593Goutte, Stéphane; Ismail, Amine; Pham, Huyên 12 2017 A note on arbitrage-free pricing of forward contracts in energy markets. Zbl 1101.91323Benth, Fred Espen; Ekeland, Lars; Hauge, Ragnar; Nielsen, Bjørn Fredrik 11 2003 A note on the suboptimality of path-dependent pay-offs in Lévy markets. Zbl 1179.91085Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; Schoutens, Wim 11 2009 Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies. Zbl 1396.91705Tse, S. T.; Forsyth, P. A.; Kennedy, J. S.; Windcliff, H. 11 2013 Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497Eberlein, Ernst; Glau, Kathrin 11 2014 A matched asymptotic expansions approach to continuity corrections for discretely sampled options. II: Bermudan options. Zbl 1281.91165Howison, Sam 11 2007 Pricing stock and bond derivatives with a multi-factor Gaussian model. Zbl 1011.91040Bajeux-Besnainou, Isabelle; Portait, Roland 11 1998 A numerical PDE approach for pricing callable bonds. Zbl 1026.91046D’Halluin, Y.; Forsyth, P. A.; Vetzal, K. R.; Labahn, G. 11 2001 Level-slope-curvature - fact or artefact? Zbl 1160.91334Lord, Roger; Pelsser, Antoon 11 2007 Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion. Zbl 1233.91315Kawai, Reiichiro; Kohatsu-Higa, Arturo 11 2010 Pricing of swing options in a mean reverting model with jumps. Zbl 1156.91377Kjaer, Mats 11 2008 Multi-asset barrier options and occupation time derivatives. Zbl 1089.91031Wong, Hoi Ying; Kwok, Yue-Kuen 10 2003 Delta, gamma and bucket hedging of interest rate derivatives. Zbl 0831.90012Jarrow, Robert A.; Turnbull, Stuart M. 10 1994 Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805Pagès, Gilles; Sagna, Abass 10 2015 The British put option. Zbl 1239.91166Peskir, Goran; Samee, Farman 10 2011 The implied market price of weather risk. Zbl 1372.91108Härdle, Wolfgang Karl; Cabrera, Brenda López 10 2012 Various passport options and their valuation. Zbl 1009.91038Ahn, Hyungsok; Penaud, Antony; Wilmott, Paul 10 1999 Laplace transforms and American options. Zbl 1031.91053Mallier, Roland; Alobaidi, Ghada 10 2000 Optimal market making. Zbl 1398.91520Guéant, Olivier 10 2017 A new approximate swaption formula in the LIBOR market model: an asymptotic expansion approach. Zbl 1072.91016Kawai, Atsushi 9 2003 Dynamic programming and mean-variance hedging in discrete time. Zbl 1088.91030Černý, Aleš 9 2004 Optimal execution and block trade pricing: a general framework. Zbl 1396.91687Guéant, Olivier 9 2015 Valuation of European options under an uncertain market price of volatility risk. Zbl 1508.91616Jaroszkowski, Bartosz; Jensen, Max 1 2022 Fast pricing of energy derivatives with mean-reverting jump-diffusion processes. Zbl 1475.91363Sabino, Piergiacomo; Cufaro Petroni, Nicola 5 2021 Closed-form approximations in multi-asset market making. Zbl 1484.91513Bergault, Philippe; Evangelista, David; Guéant, Olivier; Vieira, Douglas 2 2021 A bivariate normal inverse Gaussian process with stochastic delay: efficient simulations and applications to energy markets. Zbl 1484.91451Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela 2 2021 Structural clustering of volatility regimes for dynamic trading strategies. Zbl 1490.91200Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad 2 2021 Unbiased deep solvers for linear parametric PDEs. Zbl 1497.91340Sabate Vidales, Marc; Šiška, David; Szpruch, Lukasz 1 2021 Exact simulation of variance gamma-related OU processes: application to the pricing of energy derivatives. Zbl 1457.91391Sabino, Piergiacomo 6 2020 Optimal generation and trading in solar renewable energy certificate (SREC) markets. Zbl 1451.91203Shrivats, Arvind; Jaimungal, Sebastian 4 2020 Additive processes with bilateral gamma marginals. Zbl 1457.91385Madan, Dilip B.; Wang, King 3 2020 Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models. Zbl 1451.91186Hambly, Ben; Kalsi, Jasdeep; Newbury, James 2 2020 Sequential hypothesis testing in machine learning, and crude oil price jump size detection. Zbl 1466.91359Roberts, Michael; SenGupta, Indranil 2 2020 American strangle options. Zbl 1457.91390Qiu, Shi 1 2020 Optimal market making under partial information with general intensities. Zbl 1452.91295Campi, Luciano; Zabaljauregui, Diego 1 2020 Spoofing and price manipulation in order-driven markets. Zbl 1454.91242Cartea, Álvaro; Jaimungal, Sebastian; Wang, Yixuan 1 2020 Optimal trading with differing trade signals. Zbl 1466.91309Donnelly, Ryan; Lorig, Matthew 1 2020 A multiple curve Lévy swap market model. Zbl 1466.91333Eberlein, Ernst; Gerhart, Christoph; Lütkebohmert, Eva 1 2020 Smart indexing under regime-switching economic states. Zbl 1466.91283Edirisinghe, Chanaka; Zhao, Yonggan 1 2020 Non-parametric pricing and hedging of exotic derivatives. Zbl 1466.91346Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol 1 2020 Mean-field game strategies for optimal execution. Zbl 1410.91498Huang, Xuancheng; Jaimungal, Sebastian; Nourian, Mojtaba 17 2019 Optimal asset allocation for retirement saving: deterministic vs. time consistent adaptive strategies. Zbl 1410.91413Forsyth, Peter A.; Vetzal, Kenneth R. 9 2019 Polynomial processes for power prices. Zbl 1433.91104Ware, Tony 5 2019 Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality. Zbl 1433.91194Guéant, Olivier; Manziuk, Iuliia 4 2019 Generalised Lyapunov functions and functionally generated trading strategies. Zbl 1430.91089Ruf, Johannes; Xie, Kangjianan 4 2019 Numerical method for model-free pricing of exotic derivatives in discrete time using rough path signatures. Zbl 1437.91431Lyons, Terry; Nejad, Sina; Perez Arribas, Imanol 3 2019 Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing. Zbl 1426.91273Ninomiya, Syoiti; Shinozaki, Yuji 3 2019 Network effects in default clustering for large systems. Zbl 1437.91446Spiliopoulos, Konstantinos; Yang, Jia 2 2019 Short maturity forward start Asian options in local volatility models. Zbl 1426.91274Pirjol, Dan; Wang, Jing; Zhu, Lingjiong 2 2019 Dual representation of the cost of designing a portfolio satisfying multiple risk constraints. Zbl 1426.91262Bouveret, Géraldine 1 2019 High-dimensional statistical arbitrage with factor models and stochastic control. Zbl 1430.91095Guijarro-Ordonez, Jorge 1 2019 A copula-based Markov reward approach to the credit spread in the European Union. Zbl 1430.91123D’Amico, Guglielmo; Petroni, Filippo; Regnault, Philippe; Scocchera, Stefania; Storchi, Loriano 1 2019 Enhancing trading strategies with order book signals. Zbl 1418.91454Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 14 2018 A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures. Zbl 1418.91503Benth, Fred Espen; Pircalabu, Anca 9 2018 Optimal decisions in a time priority queue. Zbl 1418.91465Donnelly, Ryan; Gan, Luhui 5 2018 Transition probability of Brownian motion in the octant and its application to default modelling. Zbl 1411.91601Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph 4 2018 Outperformance and tracking: dynamic asset allocation for active and passive portfolio management. Zbl 1418.91445Al-Aradi, Ali; Jaimungal, Sebastian 4 2018 Extended Gini-type measures of risk and variability. Zbl 1418.91229Berkhouch, Mohammed; Lakhnati, Ghizlane; Righi, Marcelo Brutti 4 2018 Portfolio optimization under fast mean-reverting and rough fractional stochastic environment. Zbl 1411.91498Fouque, Jean-Pierre; Hu, Ruimeng 3 2018 Option pricing in illiquid markets with jumps. Zbl 1411.91619Cruz, José M. T. S.; Ševčovic, Daniel 3 2018 Hybrid Lévy models: design and computational aspects. Zbl 1411.91552Eberlein, Ernst; Rudmann, Marcus 2 2018 Optimal expected-shortfall portfolio selection with copula-induced dependence. Zbl 1418.91469Gijbels, Irène; Herrmann, Klaus 2 2018 Dynamic index tracking and risk exposure control using derivatives. Zbl 1418.91522Leung, Tim; Ward, Brian 2 2018 Risk-neutral pricing and hedging of in-play football bets. Zbl 1411.91161Divos, Peter; Del Bano Rollin, Sebastian; Bihari, Zsolt; Aste, Tomaso 1 2018 Real-world scenarios with negative interest rates based on the LIBOR market model. Zbl 1411.91591Lopes, Sara Dutra; Vázquez, Carlos 1 2018 The optimal interaction between a hedge fund manager and investor. Zbl 1411.91527Ramirez, Hugo Eduardo; Johnson, Paul V.; Duck, Peter; Howell, Sydney 1 2018 Log-optimal portfolios with memory effect. Zbl 1411.91522Nika, Z.; Rásonyi, M. 1 2018 Robust barrier option pricing by frame projection under exponential Lévy dynamics. Zbl 1398.91672Kirkby, J. Lars 15 2017 Regime-switching stochastic volatility model: estimation and calibration to VIX options. Zbl 1398.91593Goutte, Stéphane; Ismail, Amine; Pham, Huyên 12 2017 Optimal market making. Zbl 1398.91520Guéant, Olivier 10 2017 A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models. Zbl 1398.91669Dang, Duy-Minh; Jackson, Kenneth R.; Sues, Scott 7 2017 Price manipulation in a market impact model with dark pool. Zbl 1398.91529Klöck, Florian; Schied, Alexander; Sun, Yuemeng 5 2017 Optimal accelerated share repurchases. Zbl 1398.91600Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. 4 2017 Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models. Zbl 1398.91574Criens, David; Glau, Kathrin; Grbac, Zorana 3 2017 Third-order short-time expansions for close-to-the-money option prices under the CGMY model. Zbl 1398.91586Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian 3 2017 Sharper asset ranking from total drawdown durations. Zbl 1398.62286Challet, Damien 2 2017 The affine inflation market models. Zbl 1398.91619Waldenberger, Stefan 2 2017 Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. Zbl 1398.91671Itkin, Andrey 1 2017 Two asset-barrier option under stochastic volatility. Zbl 1398.91592Goetz, Barbara; Escobar, Marcos; Zagst, Rudi 1 2017 Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. Zbl 1396.91731Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad 8 2016 Market calibration under a long memory stochastic volatility model. Zbl 1396.91760Pospíšil, Jan; Sobotka, Tomáš 7 2016 Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. Zbl 1396.91741Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis W. 5 2016 Pricing occupation-time options in a mixed-exponential jump-diffusion model. Zbl 1396.91713Aoudia, Djilali Ait; Renaud, Jean-François 4 2016 Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model. Zbl 1396.91774Zheng, Wendong; Zeng, Pingping 3 2016 Optimal prediction of resistance and support levels. Zbl 1396.60041De Angelis, T.; Peskir, G. 3 2016 Pitfalls of the Fourier transform method in affine models, and remedies. Zbl 1396.91803Levendorskiĭ, Sergei 3 2016 Indifference fee rate for variable annuities. Zbl 1396.91295Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo 2 2016 Analysis of VIX markets with a time-spread portfolio. Zbl 1396.91758Papanicolaou, A. 2 2016 Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse. Zbl 1396.62242Kim, Young Shin 1 2016 Eurodollar futures pricing in log-normal interest rate models in discrete time. Zbl 1396.91783Pirjol, Dan 1 2016 Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs. Zbl 1396.91801Joshi, Mark S.; Zhu, Dan 1 2016 On the method of optimal portfolio choice by cost-efficiency. Zbl 1396.91702Rüschendorf, Ludger; Wolf, Viktor 1 2016 ADI schemes for pricing American options under the Heston model. Zbl 1396.91799Haentjens, Tinne; in ’t Hout, Karel J. 20 2015 Recursive marginal quantization of the Euler scheme of a diffusion process. Zbl 1396.91805Pagès, Gilles; Sagna, Abass 10 2015 Optimal execution and block trade pricing: a general framework. Zbl 1396.91687Guéant, Olivier 9 2015 Pricing path-dependent options with discrete monitoring under time-changed Lévy processes. Zbl 1396.91769Umezawa, Yuji; Yamazaki, Akira 7 2015 Implied volatility of leveraged ETF options. Zbl 1396.91748Leung, Tim; Sircar, Ronnie 7 2015 Semi-Markov model for market microstructure. Zbl 1396.91218Fodra, Pietro; Pham, Huyên 6 2015 Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance. Zbl 1396.91798Dang, Duy-Minh; Jackson, Kenneth R.; Mohammadi, Mohammadreza 6 2015 Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models. Zbl 1396.91772Yuen, Chi Hung; Zheng, Wendong; Kwok, Yue Kuen 5 2015 Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model. Zbl 1396.91710Ahlip, Rehez; Rutkowski, Marek 4 2015 Correction to: “Exchange option under jump-diffusion dynamics”. Zbl 1406.91435Caldana, Ruggero; Cheang, Gerald H. L.; Chiarella, Carl; Fusai, Gianluca 3 2015 Pricing of spread options on a bivariate jump market and stability to model risk. Zbl 1396.91717Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane 2 2015 A note on dual-curve construction: Mr. Crab’s bootstrap. Zbl 1396.91778Baviera, Roberto; Cassaro, Alessandro 2 2015 Effect of volatility clustering on indifference pricing of options by convex risk measures. Zbl 1396.91744Kumar, Rohini 1 2015 A new variance reduction technique for estimating value-at-risk. Zbl 1396.91802Korn, Ralf; Pupashenko, Mykhailo 1 2015 Stochastic models for oil prices and the pricing of futures on oil. Zbl 1396.91756Oud, Mohammed A. Aba; Goard, Joanna 1 2015 The British lookback option with fixed strike. Zbl 1396.91742Kitapbayev, Yerkin 1 2015 Perpetual exchange options under jump-diffusion dynamics. Zbl 1396.91722Cheang, Gerald H. L.; Lian, Guanghua 1 2015 Prices and asymptotics for discrete variance swaps. Zbl 1396.91718Bernard, Carole; Cui, Zhenyu 23 2014 Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model. Zbl 1395.91429Baldeaux, Jan; Badran, Alexander 17 2014 Variational solutions of the pricing PIDEs for European options in Lévy models. Zbl 1395.91497Eberlein, Ernst; Glau, Kathrin 11 2014 Optimal trade execution under stochastic volatility and liquidity. Zbl 1395.91398Cheridito, Patrick; Sepin, Tardu 8 2014 An extension of the chaos expansion approximation for the pricing of exotic basket options. Zbl 1396.91727Funahashi, Hideharu; Kijima, Masaaki 7 2014 A radial basis function scheme for option pricing in exponential Lévy models. Zbl 1395.91433Brummelhuis, Raymond; Chan, Ron T. L. 6 2014 Option pricing with transaction costs and stochastic interest rate. Zbl 1395.91466Sengupta, Indranil 6 2014 Saddlepoint approximation methods for pricing derivatives on discrete realized variance. Zbl 1396.91773Zheng, Wendong; Kwok, Yue Kuen 5 2014 Optimal execution and price manipulations in time-varying limit order books. Zbl 1395.91394Alfonsi, Aurélien; Acevedo, José Infante 5 2014 Stochastic correlation and volatility mean-reversion – empirical motivation and derivatives pricing via perturbation theory. Zbl 1395.91439Escobar, Marcos; Götz, Barbara; Neykova, Daniela; Zagst, Rudi 4 2014 Rare shock, two-factor stochastic volatility and currency option pricing. Zbl 1396.91770Wang, Guanying; Wang, Xingchun; Wang, Yongjin 3 2014 Closed-form pricing of two-asset barrier options with stochastic covariance. Zbl 1395.91443Götz, Barbara; Escobar, Marcos; Zagst, Rudi 3 2014 Approximate hedging in a local volatility model with proportional transaction costs. Zbl 1395.91455Lépinette, Emmanuel; Tran, Tuan 2 2014 ...and 269 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,115 Authors 36 Siu, Tak Kuen 32 Benth, Fred Espen 27 Forsyth, Peter A. 25 Zhu, Songping 24 Elliott, Robert James 21 Jaimungal, Sebastian 20 Cartea, Álvaro 16 Cui, Zhenyu 16 Schied, Alexander 15 Lorig, Matthew J. 15 Oosterlee, Cornelis Willebrordus 13 Chiarella, Carl 13 Kim, Jeong-Hoon 13 Sircar, Ronnie 12 Ballestra, Luca Vincenzo 12 Glau, Kathrin 12 Vetzal, Kenneth R. 12 Westerhoff, Frank H. 11 Bernard, Carole L. 11 Company, Rafael 11 Eberlein, Ernst W. 11 Escobar, Marcos 10 Goard, Joanna M. 10 Guéant, Olivier 10 He, Xinjiang 10 Jódar Sanchez, Lucas Antonio 10 Kawai, Reiichiro 10 Lian, Guanghua 10 Sabino, Piergiacomo 10 Yang, Hailiang 10 Zagst, Rudi 9 Boyle, Phelim P. 9 Dang, Duy Minh 9 Dieci, Roberto 9 Ekström, Erik 9 Fouque, Jean-Pierre 9 Horst, Ulrich 9 Leung, Tim 9 Li, Shenghong 9 Linetsky, Vadim 9 Mamon, Rogemar S. 9 Muhle-Karbe, Johannes 9 Schöneborn, Torsten 8 Alfonsi, Aurélien 8 Bayer, Christian 8 Bayraktar, Erhan 8 Ching, Wai-Ki 8 Düring, Bertram 8 Ferrando, Sebastián Esteban 8 Figueroa-López, José E. 8 Gobet, Emmanuel 8 Grasselli, Martino 8 Joshi, Mark S. 8 Kim, Geonwoo 8 Kwok, Yue-Kuen 8 Lu, Xiaoping 8 Pacelli, Graziella 8 Pagès, Gilles 8 Papapantoleon, Antonis 8 Pham, Huyên 8 Soner, Halil Mete 8 Tan, Ken Seng 8 Vázquez Cendón, Carlos 7 Bouchard, Bruno 7 Brody, Dorje C. 7 Carmona, René A. 7 Chan, Leunglung 7 Dyshaev, Mikhaĭl Mikhaĭlovich 7 Fabozzi, Frank J. 7 Ivanov, Roman V. 7 Kallsen, Jan 7 Li, Lingfei 7 Li, Zhongfei 7 Loeper, Grégoire 7 Mariani, Maria Cristina 7 Pagliarani, Stefano 7 Pascucci, Andrea 7 Platen, Eckhard 7 Sgarra, Carlo 7 Vanduffel, Steven 7 Wong, Hoi Ying 7 Yamada, Toshihiro 7 Yao, Haixiang 7 Yoon, Ji-Hun 6 Avellaneda, Marco 6 Bank, Peter 6 Callegaro, Giorgia 6 Chen, Wenting 6 Funahashi, Hideharu 6 Fusai, Gianluca 6 Gan, Guojun 6 Goutte, Stéphane 6 Grzelak, Lech A. 6 Hobson, David Graham 6 Howison, Samuel Dexter 6 Hughston, Lane P. 6 Khaliq, Abdul Q. 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