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Finance and Stochastics

Short Title: Finance Stoch.
Publisher: Springer, Berlin/Heidelberg
ISSN: 0949-2984; 1432-1122/e
Online: https://link.springer.com/journal/780/volumes-and-issues
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 741 Publications (since 1997)
References Indexed: 506 Publications with 16,091 References.
all top 5

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...and 9 more Volumes
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Authors

23 Kabanov, Yuriĭ Mikhaĭlovich
13 Guasoni, Paolo
12 Schachermayer, Walter
11 Hobson, David Graham
11 Jeanblanc, Monique
11 Muhle-Karbe, Johannes
10 Filipović, Damir
9 Bouchard, Bruno
9 Kardaras, Constantinos
9 Pham, Huyên
8 Benth, Fred Espen
8 Carr, Peter Paul
8 Delbaen, Freddy
7 Fukasawa, Masaaki
7 Karatzas, Ioannis
7 Schweizer, Martin
7 Soner, Halil Mete
7 Stricker, Christophe
7 Touzi, Nizar
6 Belomestny, Denis
6 Björk, Tomas
6 Campi, Luciano
6 Föllmer, Hans
6 Frittelli, Marco
6 Glasserman, Paul
6 Herdegen, Martin
6 Kupper, Michael
6 Linetsky, Vadim
6 Obloj, Jan K.
6 Protter, Philip Elliott
6 Rásonyi, Miklós
6 Rogers, L. C. G.
6 Schied, Alexander
6 Wang, Ruodu
6 Zariphopoulou, Thaleia
6 Žitković, Gordan
5 Bayraktar, Erhan
5 Beiglböck, Mathias
5 Çetin, Umut
5 Choulli, Tahir
5 Cvitanić, Jakša
5 Dolinsky, Yan
5 Fontana, Claudio
5 Jarrow, Robert Alan
5 Jiao, Ying
5 Kallsen, Jan
5 Keller-Ressel, Martin
5 Lépinette, Emmanuel
5 Mijatović, Aleksandar
5 Nutz, Marcel
5 Pergamenshchikov, Sergeĭ Markovich
5 Rüschendorf, Ludger
5 Yor, Marc
4 Alòs, Elisa
4 Bank, Peter
4 Bartl, Daniel
4 Carmona, René A.
4 Cheridito, Patrick
4 Cox, Alexander Matthew Gordon
4 Cuchiero, Christa
4 Eberlein, Ernst W.
4 Feinstein, Zachary
4 Fouque, Jean-Pierre
4 Frey, Rüdiger
4 Gerhold, Stefan
4 Gobet, Emmanuel
4 Huang, Yu-Jui
4 Jacod, Jean
4 Jouini, Elyès
4 Kratschmer, Volker
4 Madan, Dilip B.
4 Munari, Cosimo
4 Robertson, Scott
4 Runggaldier, Wolfgang J.
4 Rutkowski, Marek
4 Schoenmakers, John G. M.
4 Seifried, Frank Thomas
4 Shreve, Steven E.
4 Sircar, Ronnie
4 Song, Shiqi
4 Tehranchi, Michael R.
4 Villeneuve, Stéphane
3 Acciaio, Beatrice
3 Becherer, Dirk
3 Bender, Christian
3 Biagini, Francesca
3 Brigo, Damiano
3 Capponi, Agostino
3 Cherny, Alexander S.
3 Coculescu, Delia
3 Dassios, Angelos
3 De Angelis, Tiziano
3 Deng, Jun
3 Denis, Emmanuel
3 El Karoui, Nicole
3 Elie, Romuald
3 Elliott, Robert James
3 Embrechts, Paul
3 Federico, Salvatore
3 Figueroa-López, José E.
...and 771 more Authors

Publications by Year

Citations contained in zbMATH Open

674 Publications have been cited 15,425 times in 8,518 Documents Cited by Year
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
488
2002
Processes of normal inverse Gaussian type. Zbl 0894.90011
Barndorff-Nielsen, Ole E.
388
1998
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
181
2014
Generalized deviations in risk analysis. Zbl 1150.90006
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
170
2006
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
157
2017
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis
156
1999
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
150
2007
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich
142
2013
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
133
1999
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
128
2000
Conditional and dynamic convex risk measures. Zbl 1092.91017
Detlefsen, Kai; Scandolo, Giacomo
127
2005
Moment explosions in stochastic volatility models. Zbl 1142.65004
Andersen, Leif B. G.; Piterbarg, Vladimir V.
123
2007
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
122
2005
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
122
1998
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
Zariphopoulou, Thaleia
122
2001
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
120
1998
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
117
2004
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
114
1997
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
111
2000
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
108
2003
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
104
1999
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
103
2002
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020
Alòs, Elisa; León, Jorge A.; Vives, Josep
101
2007
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
96
2004
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
96
2002
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
94
2005
Game options. Zbl 1066.91042
Kifer, Yuri
88
2000
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
88
2004
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
85
2002
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061
Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis
80
2001
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
78
2002
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
77
1997
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
77
2001
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
77
2010
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
77
2003
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040
Sass, Jörn; Haussmann, Ulrich G.
76
2004
Stock market prices and long-range dependence. Zbl 0924.90029
Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim
76
1999
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
75
2003
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
71
2005
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
70
2005
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
69
1999
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
Bion-Nadal, Jocelyne
67
2008
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
66
1999
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
66
2001
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
66
2003
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
65
2006
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
65
2013
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
65
2003
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
64
2002
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
64
2009
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
64
2001
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
64
2009
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021
Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.
61
1997
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
59
1998
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
59
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
58
2011
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
58
2014
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
58
1998
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
58
2002
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038
Wang, Ruodu; Peng, Liang; Yang, Jingping
58
2013
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
57
2011
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
57
2015
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
55
2006
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
55
2001
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065
Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan
55
2000
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
54
2012
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
53
2003
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
52
2001
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
52
1999
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
52
2003
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
51
1998
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
51
2017
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
50
2006
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
49
2006
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
49
1997
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
49
1999
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
48
2007
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
48
2001
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
48
2005
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
48
2003
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
48
2008
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
47
2006
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
47
2005
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
47
1997
Polynomial diffusions and applications in finance. Zbl 1386.60237
Filipović, Damir; Larsson, Martin
46
2016
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
46
1998
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
46
2001
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135
Jiang, Zhengjun; Pistorius, Martijn
46
2012
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
46
2004
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
45
2000
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
45
2018
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039
Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin
45
2001
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
A stochastic control problem with delay arising in a pension fund model. Zbl 1302.93238
Federico, Salvatore
43
2011
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
43
1998
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
43
2001
Pricing double barrier options using Laplace transforms. Zbl 0940.91026
Pelsser, Antoon
43
2000
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
42
1999
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
42
2003
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011
Elie, Romuald; Touzi, Nizar
42
2008
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations. Zbl 1502.91054
Herdegen, Martin; Hobson, David; Jerome, Joseph
3
2023
A general approach for Parisian stopping times under Markov processes. Zbl 1520.91408
Zhang, Gongqiu; Li, Lingfei
2
2023
Martingale Schrödinger bridges and optimal semistatic portfolios. Zbl 1503.91131
Nutz, Marcel; Wiesel, Johannes; Zhao, Long
2
2023
Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 1511.91161
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
2
2023
Optimal execution with stochastic delay. Zbl 1505.91361
Cartea, Álvaro; Sánchez-Betancourt, Leandro
1
2023
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\). Zbl 1502.91055
Herdegen, Martin; Hobson, David; Jerome, Joseph
1
2023
Price impact in Nash equilibria. Zbl 1512.91131
Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
1
2023
Optimal insurance under maxmin expected utility. Zbl 1517.91187
Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario
1
2023
Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 1494.91133
Choulli, Tahir; Yansori, Sina
3
2022
Optimal consumption with reference to past spending maximum. Zbl 1484.91449
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
3
2022
Dynamic mean-variance problem with frictions. Zbl 1484.91414
Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip
2
2022
The characteristic function of Gaussian stochastic volatility models: an analytic expression. Zbl 1498.91443
Jaber, Eduardo Abi
2
2022
From Bachelier to Dupire via optimal transport. Zbl 1482.91226
Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter
1
2022
Reinforcement learning and stochastic optimisation. Zbl 1482.91225
Jaimungal, Sebastian
1
2022
A least-squares Monte Carlo approach to the estimation of enterprise risk. Zbl 1494.91176
Ha, Hongjun; Bauer, Daniel
1
2022
A class of short-term models for the oil industry that accounts for speculative oil storage. Zbl 1494.91139
Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José A.
1
2022
Machine learning with kernels for portfolio valuation and risk management. Zbl 1484.91417
Boudabsa, Lotfi; Filipović, Damir
1
2022
An analytical study of participating policies with minimum rate guarantee and surrender option. Zbl 1484.91379
Chiarolla, Maria B.; De Angelis, Tiziano; Stabile, Gabriele
1
2022
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. Zbl 1484.91088
Huang, Yu-Jui; Zhou, Zhou
1
2022
A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472
Cohen, Asaf; Dolinsky, Yan
1
2022
Scaled insurance cash flows: representation and computation via change of measure techniques. Zbl 1484.91384
Furrer, Christian
1
2022
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Zbl 1498.91494
González Cázares, Jorge; Mijatović, Aleksandar
1
2022
A concept of copula robustness and its applications in quantitative risk management. Zbl 1498.91509
Zähle, Henryk
1
2022
On ruin probabilities with investments in a risky asset with a regime-switching price. Zbl 1498.91361
Kabanov, Yuri; Pergamenshchikov, Sergey
1
2022
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
11
2021
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356
Gonon, Lukas; Schwab, Christoph
7
2021
Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Zbl 1471.49028
Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying
6
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
6
2021
A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051
Obłój, Jan; Wiesel, Johannes
4
2021
Duality theory for robust utility maximisation. Zbl 1475.91094
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
4
2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
4
2021
Infinite-dimensional polynomial processes. Zbl 1461.91310
Cuchiero, Christa; Svaluto-Ferro, Sara
4
2021
Additive logistic processes in option pricing. Zbl 1475.91352
Carr, Peter; Torricelli, Lorenzo
3
2021
Scenario-based risk evaluation. Zbl 1476.91222
Wang, Ruodu; Ziegel, Johanna F.
3
2021
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós
3
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Nonlinear expectations of random sets. Zbl 1461.91283
Molchanov, Ilya; Mühlemann, Anja
2
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Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
2
2021
Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310
Jaśkiewicz, Anna; Nowak, Andrzej S.
2
2021
Change of drift in one-dimensional diffusions. Zbl 1461.91365
Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G.
2
2021
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Zbl 1476.91166
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
1
2021
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272
Bouchard, Bruno; Tan, Xiaolu
1
2021
Time-dynamic evaluations under non-monotone information generated by marked point processes. Zbl 1470.91302
Christiansen, Marcus C.
1
2021
Set-valued risk measures as backward stochastic difference inclusions and equations. Zbl 1461.91363
Ararat, Çağın; Feinstein, Zachary
1
2021
Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317
Lépinette, Emmanuel; Molchanov, Ilya
1
2021
Concavity, stochastic utility, and risk aversion. Zbl 1461.91274
Jarrow, Robert; Li, Siguang
1
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
22
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
13
2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259
Chi, Yichun; Wei, Wei
12
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
10
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
8
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
8
2020
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie
8
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
7
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
7
2020
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
7
2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
6
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
5
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
5
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
4
2020
An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180
Weston, Kim; Žitković, Gordan
4
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
3
2020
A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126
Tehranchi, Michael R.
2
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2
2020
Regime switching affine processes with applications to finance. Zbl 1435.91192
van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik
2
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
2
2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
2
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
2
2020
Partial liquidation under reference-dependent preferences. Zbl 1433.91155
Henderson, Vicky; Muscat, Jonathan
1
2020
Asset prices in segmented and integrated markets. Zbl 1452.91317
Guasoni, Paolo; Wong, Kwok Chuen
1
2020
Conditional Davis pricing. Zbl 1461.91316
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan
1
2020
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier
1
2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190
Albani, Vinicius V. L.; Zubelli, Jorge P.
1
2020
Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186
Egami, Masahiko; Kevkhishvili, Rusudan
1
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
26
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
19
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060
Hambly, Ben; Søjmark, Andreas
16
2019
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
14
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
13
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
12
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
12
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
9
2019
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Zbl 1425.91401
Hefter, Mario; Jentzen, Arnulf
8
2019
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia
8
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
8
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
7
2019
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
7
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
5
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
5
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
5
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
4
2019
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
4
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
3
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
3
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
3
2019
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Zbl 1428.91016
Belak, Christoph; Sass, Jörn
3
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
3
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
2
2019
Minimax theorems for American options without time-consistency. Zbl 1430.91105
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
2
2019
Laws of large numbers for Hayashi-Yoshida-type functionals. Zbl 1419.62217
Martin, Ole; Vetter, Mathias
2
2019
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Cited by 7,325 Authors

75 Siu, Tak Kuen
60 Bayraktar, Erhan
58 Wang, Ruodu
50 Elliott, Robert James
50 Madan, Dilip B.
42 Young, Virginia R.
40 Muhle-Karbe, Johannes
38 Touzi, Nizar
37 Bouchard, Bruno
36 Platen, Eckhard
35 Øksendal, Bernt Karsten
35 Rásonyi, Miklós
35 Yang, Hailiang
34 Hobson, David Graham
34 Rüschendorf, Ludger
33 Biagini, Francesca
33 Jacquier, Antoine
33 Wong, Hoi Ying
32 Belomestny, Denis
32 Benth, Fred Espen
32 Filipović, Damir
32 Schachermayer, Walter
31 Dolinsky, Yan
31 Kupper, Michael
31 Obloj, Jan K.
30 Gobet, Emmanuel
29 Guasoni, Paolo
29 Jeanblanc, Monique
29 Kardaras, Constantinos
29 Rutkowski, Marek
28 Beiglböck, Mathias
28 Pham, Huyên
27 Bo, Lijun
27 Jarrow, Robert Alan
27 Protter, Philip Elliott
27 Soner, Halil Mete
26 Ferrari, Giorgio
26 Hu, Yijun
26 Lépinette, Emmanuel
26 Levendorskiĭ, Sergeĭ Zakharovich
26 Rudloff, Birgit
26 Schoenmakers, John G. M.
26 Tankov, Peter
25 Eberlein, Ernst W.
25 Fukasawa, Masaaki
25 Schied, Alexander
25 Zheng, Harry H.
24 Mishura, Yuliya Stepanivna
24 Pascucci, Andrea
24 Possamaï, Dylan
24 Zeng, Yan
23 Balbás, Alejandro
23 Brigo, Damiano
23 Ekström, Erik
23 Gapeev, Pavel V.
23 Kabanov, Yuriĭ Mikhaĭlovich
23 Leonenko, Nikolai N.
23 Nutz, Marcel
22 Bielecki, Tomasz R.
22 Choulli, Tahir
22 Fouque, Jean-Pierre
22 Kallsen, Jan
22 Karatzas, Ioannis
22 Meyer-Brandis, Thilo
22 Schoutens, Wim
22 Sircar, Ronnie
22 Wang, Yongjin
22 Xiong, Dewen
22 Yuen, Kam Chuen
21 Campi, Luciano
21 Carr, Peter Paul
21 Cui, Zhenyu
21 Fontana, Claudio
21 Jin, Zhuo
21 Larsson, Martin
21 Li, Zhongfei
21 Teichmann, Josef
20 Barndorff-Nielsen, Ole Eiler
20 Forsyth, Peter A.
20 Linetsky, Vadim
20 Sass, Jörn
20 Schmidt, Thorsten
20 Steffensen, Mogens
20 Žitković, Gordan
19 Alòs, Elisa
19 Cheridito, Patrick
19 Crepey, Stephane
19 Dassios, Angelos
19 De Angelis, Tiziano
19 Figueroa-López, José E.
19 Frittelli, Marco
19 Korn, Ralf
19 Lorig, Matthew J.
19 Papapantoleon, Antonis
19 Pistorius, Martijn R.
19 Puccetti, Giovanni
19 Riedel, Frank
19 Runggaldier, Wolfgang J.
19 Schweizer, Martin
19 Seifried, Frank Thomas
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Cited in 490 Journals

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451 International Journal of Theoretical and Applied Finance
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403 Insurance Mathematics & Economics
370 Mathematical Finance
322 Stochastic Processes and their Applications
248 SIAM Journal on Financial Mathematics
236 The Annals of Applied Probability
194 European Journal of Operational Research
178 Mathematics and Financial Economics
149 Stochastics
147 Applied Mathematical Finance
143 Journal of Computational and Applied Mathematics
127 Statistics & Probability Letters
124 Journal of Economic Dynamics & Control
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116 SIAM Journal on Control and Optimization
115 Scandinavian Actuarial Journal
108 Journal of Applied Probability
85 Annals of Finance
84 Applied Mathematics and Optimization
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80 Communications in Statistics. Theory and Methods
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75 Annals of Operations Research
69 Methodology and Computing in Applied Probability
67 Asia-Pacific Financial Markets
66 Decisions in Economics and Finance
65 Journal of Econometrics
65 Mathematical Methods of Operations Research
63 Applied Mathematics and Computation
58 Bernoulli
57 ASTIN Bulletin
56 Journal of Optimization Theory and Applications
54 Journal of Mathematical Economics
53 Mathematics of Operations Research
50 Review of Derivatives Research
48 Journal of Industrial and Management Optimization
46 Physica A
46 The Annals of Probability
44 North American Actuarial Journal
37 Stochastic Models
36 Operations Research Letters
35 Mathematical Problems in Engineering
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34 European Actuarial Journal
33 Electronic Journal of Probability
32 Chaos, Solitons and Fractals
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31 Journal of Theoretical Probability
31 Mathematical Programming. Series A. Series B
30 Computers & Mathematics with Applications
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29 International Journal of Computer Mathematics
28 Theory of Probability and its Applications
28 Discrete Dynamics in Nature and Society
24 Optimization
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23 Journal of Multivariate Analysis
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23 Abstract and Applied Analysis
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22 Japan Journal of Industrial and Applied Mathematics
22 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
21 Lithuanian Mathematical Journal
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21 Acta Mathematicae Applicatae Sinica. English Series
21 Probability in the Engineering and Informational Sciences
20 Communications in Nonlinear Science and Numerical Simulation
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19 Mathematics and Computers in Simulation
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19 Frontiers of Mathematical Finance
18 Journal of Systems Science and Complexity
18 Stochastics and Dynamics
18 Electronic Journal of Statistics
18 Science China. Mathematics
17 Electronic Communications in Probability
17 Dependence Modeling
16 The Annals of Statistics
16 Automatica
16 Statistical Inference for Stochastic Processes
16 International Journal of Stochastic Analysis
15 Journal of Differential Equations
15 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
14 Journal of Functional Analysis
14 Communications in Statistics. Simulation and Computation
14 SIAM Journal on Optimization
14 Econometric Theory
14 The ANZIAM Journal
13 Applied Numerical Mathematics
13 International Journal of Approximate Reasoning
13 Applied Mathematics. Series B (English Edition)
13 Economic Theory
13 Journal of Applied Mathematics
13 Comptes Rendus. Mathématique. Académie des Sciences, Paris
13 Advances in Difference Equations
13 Journal of the Korean Statistical Society
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