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Finance and Stochastics

Short Title: Finance Stoch.
Publisher: Springer, Berlin/Heidelberg
ISSN: 0949-2984; 1432-1122/e
Online: http://link.springer.com/journal/volumesAndIssues/780
Comments: Indexed cover-to-cover
Documents Indexed: 705 Publications (since 1997)
References Indexed: 472 Publications with 14,786 References.
all top 5

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...and 4 more Volumes
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Authors

22 Kabanov, Yuriĭ Mikhaĭlovich
12 Guasoni, Paolo
11 Jeanblanc, Monique
11 Muhle-Karbe, Johannes
11 Schachermayer, Walter
9 Bouchard, Bruno
9 Filipović, Damir
9 Hobson, David Graham
9 Kardaras, Constantinos
9 Pham, Huyên
8 Carr, Peter Paul
8 Delbaen, Freddy
7 Benth, Fred Espen
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 Glasserman, Paul
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 Çetin, Umut
5 Choulli, Tahir
5 Cvitanić, Jakša
5 Dolinsky, Yan
5 Frittelli, Marco
5 Jarrow, Robert Alan
5 Jiao, Ying
5 Kallsen, Jan
5 Keller-Ressel, Martin
5 Lépinette, Emmanuel
5 Mijatović, Aleksandar
5 Pergamenshchikov, Sergeĭ Markovich
5 Rüschendorf, Ludger
5 Yor, Marc
4 Alòs, Elisa
4 Bank, Peter
4 Bartl, Daniel
4 Beiglböck, Mathias
4 Carmona, René A.
4 Cheridito, Patrick
4 Cox, Alexander Matthew Gordon
4 Cuchiero, Christa
4 Eberlein, Ernst W.
4 Fontana, Claudio
4 Fouque, Jean-Pierre
4 Frey, Rüdiger
4 Gerhold, Stefan
4 Gobet, Emmanuel
4 Herdegen, Martin
4 Huang, Yu-Jui
4 Jacod, Jean
4 Jouini, Elyès
4 Kratschmer, Volker
4 Madan, Dilip B.
4 Nutz, Marcel
4 Robertson, Scott
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 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 Feinstein, Zachary
3 Figueroa-López, José E.
3 Forde, Martin
3 Geman, Hélyette
3 Gozzi, Fausto
...and 722 more Authors

Publications by Year

Citations contained in zbMATH Open

637 Publications have been cited 13,807 times in 7,731 Documents Cited by Year
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
451
2002
Processes of normal inverse Gaussian type. Zbl 0894.90011
Barndorff-Nielsen, Ole E.
364
1998
Generalized deviations in risk analysis. Zbl 1150.90006
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
151
2006
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis
131
1999
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
129
1999
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
126
2007
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
122
2000
Conditional and dynamic convex risk measures. Zbl 1092.91017
Detlefsen, Kai; Scandolo, Giacomo
121
2005
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich
116
2013
Moment explosions in stochastic volatility models. Zbl 1142.65004
Andersen, Leif B. G.; Piterbarg, Vladimir V.
115
2007
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
114
2014
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
Zariphopoulou, Thaleia
113
2001
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
113
1998
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
112
1997
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
110
2004
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
109
2005
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
108
2000
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
108
1998
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
108
2017
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
99
1999
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
95
2003
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
94
2002
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
91
2004
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
88
2002
Game options. Zbl 1066.91042
Kifer, Yuri
87
2000
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
85
2005
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
82
2007
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
80
2004
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
80
2002
Stock market prices and long-range dependence. Zbl 0924.90029
Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim
75
1999
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
74
2001
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
74
1997
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
73
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
72
2001
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
72
2010
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
71
2003
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
71
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.
69
2004
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
67
1999
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
65
2005
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
64
2003
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
64
2006
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
Bion-Nadal, Jocelyne
62
2008
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
62
2002
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
62
2005
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
61
2001
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
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
59
2009
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
58
1999
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
58
2001
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
58
2003
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
57
2013
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
57
2009
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
55
1998
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
55
2002
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
54
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
54
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
53
2011
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
52
2000
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
52
2001
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
50
1999
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
50
2003
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
50
2014
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
49
1998
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
49
2003
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
49
2013
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
49
1999
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
49
2006
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
49
2001
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
48
2015
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
48
2011
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
47
2006
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
46
1997
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
46
1997
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
46
2005
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
45
2003
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
45
2012
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
45
2008
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
44
2000
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
44
2005
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
44
2006
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
44
2007
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
43
2001
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
43
2006
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
42
2001
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
42
2004
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
41
1998
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
41
1999
On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep
41
2002
Pricing double barrier options using Laplace transforms. Zbl 0940.91026
Pelsser, Antoon
40
2000
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
40
2001
Continuous-time term structure models: Forward measure approach. Zbl 0888.60037
Musiela, Marek; Rutkowski, Marek
40
1997
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
40
1998
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
40
2003
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
40
2017
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
39
2001
The rate of convergence of the binomial tree scheme. Zbl 1062.91027
Walsh, John B.
39
2003
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
39
2002
Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 07552980
Choulli, Tahir; Yansori, Sina
2
2022
Optimal consumption with reference to past spending maximum. Zbl 1484.91449
Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
1
2022
A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472
Cohen, Asaf; Dolinsky, Yan
1
2022
A class of short-term models for the oil industry that accounts for speculative oil storage. Zbl 07552982
Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José A.
1
2022
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
4
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
3
2021
Infinite-dimensional polynomial processes. Zbl 1461.91310
Cuchiero, Christa; Svaluto-Ferro, Sara
2
2021
A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051
Obłój, Jan; Wiesel, Johannes
2
2021
Duality theory for robust utility maximisation. Zbl 1475.91094
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
2
2021
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356
Gonon, Lukas; Schwab, Christoph
2
2021
Nonlinear expectations of random sets. Zbl 1461.91283
Molchanov, Ilya; Mühlemann, Anja
1
2021
Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317
Lépinette, Emmanuel; Molchanov, Ilya
1
2021
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
1
2021
Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310
Jaśkiewicz, Anna; Nowak, Andrzej S.
1
2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327
Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan
1
2021
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós
1
2021
Change of drift in one-dimensional diffusions. Zbl 1461.91365
Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G.
1
2021
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272
Bouchard, Bruno; Tan, Xiaolu
1
2021
Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Zbl 1471.49028
Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying
1
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
14
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
9
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
6
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
6
2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259
Chi, Yichun; Wei, Wei
6
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
5
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
5
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
5
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
4
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
4
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
3
2020
An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180
Weston, Kim; Žitković, Gordan
3
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
3
2020
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070
Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio
3
2020
Consumption in incomplete markets. Zbl 1435.91179
Guasoni, Paolo; Wang, Gu
2
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
2
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
2
2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2
2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103
Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi
2
2020
A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126
Tehranchi, Michael R.
1
2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190
Albani, Vinicius V. L.; Zubelli, Jorge P.
1
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
1
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
1
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
22
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
15
2019
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
11
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
11
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
11
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060
Hambly, Ben; Søjmark, Andreas
10
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
7
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
7
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
7
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
6
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
5
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
5
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
4
2019
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
4
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
4
2019
Forward transition rates. Zbl 1469.91057
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens
3
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
2
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
2
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
2
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
2
2019
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies. Zbl 1428.91016
Belak, Christoph; Sass, Jörn
2
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
2
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
1
2019
Minimax theorems for American options without time-consistency. Zbl 1430.91105
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; Nolte, Sascha
1
2019
A multi-asset investment and consumption problem with transaction costs. Zbl 1484.91423
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
Financial risk measures for a network of individual agents holding portfolios of light-tailed objects. Zbl 1426.91306
Klüppelberg, Claudia; Seifert, Miriam Isabel
1
2019
Dual utilities on risk aggregation under dependence uncertainty. Zbl 1426.91115
Wang, Ruodu; Xu, Zuo Quan; Zhou, Xun Yu
1
2019
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs. Zbl 1444.91216
Kühn, Christoph; Molitor, Alexander
1
2019
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
30
2018
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789
Hou, Zhaoxu; Obłój, Jan
29
2018
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Zbl 1401.91141
Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos
21
2018
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
20
2018
Time-consistent stopping under decreasing impatience. Zbl 1391.60086
Huang, Yu-Jui; Nguyen-Huu, Adrien
18
2018
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
17
2018
Optimal liquidation under stochastic liquidity. Zbl 1391.91164
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter
15
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
14
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
9
2018
Stability of Radner equilibria with respect to small frictions. Zbl 1416.91349
Herdegen, Martin; Muhle-Karbe, Johannes
9
2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
8
2018
An expansion in the model space in the context of utility maximization. Zbl 1396.91692
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan
8
2018
Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353
Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia
8
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
7
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
6
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
6
2018
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284
Beissner, Patrick; Riedel, Frank
4
2018
Financial equilibrium with asymmetric information and random horizon. Zbl 1422.91799
Çetin, Umut
4
2018
A risk-neutral equilibrium leading to uncertain volatility pricing. Zbl 1422.91716
Muhle-Karbe, Johannes; Nutz, Marcel
4
2018
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Zbl 1396.91782
Keller-Ressel, Martin
2
2018
Convex duality in optimal investment and contingent claim valuation in illiquid markets. Zbl 1416.91358
Pennanen, Teemu; Perkkiö, Ari-Pekka
2
2018
Sensitivity analysis of long-term cash flows. Zbl 1416.91382
Park, Hyungbin
2
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Zbl 1416.60064
Brzeźniak, Zdzisław; Kok, Tayfun
2
2018
Explosion in the quasi-Gaussian HJM model. Zbl 1423.60123
Pirjol, Dan; Zhu, Lingjiong
1
2018
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
108
2017
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
40
2017
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
18
2017
Alpha-CIR model with branching processes in sovereign interest rate modeling. Zbl 1378.91123
Jiao, Ying; Ma, Chunhua; Scotti, Simone
18
2017
Pathwise superreplication via Vovk’s outer measure. Zbl 1391.91153
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin; Perkowski, Nicolas; Prömel, David J.
17
2017
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Cited by 6,653 Authors

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50 Bayraktar, Erhan
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46 Elliott, Robert James
44 Madan, Dilip B.
39 Young, Virginia R.
36 Bouchard, Bruno
36 Muhle-Karbe, Johannes
36 Touzi, Nizar
34 Øksendal, Bernt Karsten
34 Platen, Eckhard
33 Yang, Hailiang
31 Jacquier, Antoine
31 Rásonyi, Miklós
31 Rüschendorf, Ludger
30 Benth, Fred Espen
30 Dolinsky, Yan
30 Hobson, David Graham
30 Kupper, Michael
30 Obloj, Jan K.
30 Schachermayer, Walter
29 Belomestny, Denis
28 Filipović, Damir
28 Jeanblanc, Monique
28 Rutkowski, Marek
28 Wong, Hoi Ying
27 Guasoni, Paolo
27 Kardaras, Constantinos
27 Soner, Halil Mete
26 Biagini, Francesca
26 Bo, Lijun
26 Gobet, Emmanuel
26 Jarrow, Robert Alan
26 Levendorskiĭ, Sergeĭ Zakharovich
26 Protter, Philip Elliott
26 Rudloff, Birgit
25 Eberlein, Ernst W.
25 Pham, Huyên
25 Schoenmakers, John G. M.
24 Hu, Yijun
24 Pascucci, Andrea
24 Schied, Alexander
23 Beiglböck, Mathias
23 Gapeev, Pavel V.
23 Leonenko, Nikolai N.
23 Mishura, Yuliya Stepanivna
23 Tankov, Peter
22 Balbás, Alejandro
22 Brigo, Damiano
22 Ekström, Erik
22 Kabanov, Yuriĭ Mikhaĭlovich
22 Kallsen, Jan
22 Sircar, Ronnie
22 Wang, Yongjin
22 Xiong, Dewen
22 Zeng, Yan
22 Zheng, Harry H.
21 Bielecki, Tomasz R.
21 Choulli, Tahir
21 Karatzas, Ioannis
21 Lépinette, Emmanuel
21 Meyer-Brandis, Thilo
21 Nutz, Marcel
21 Schoutens, Wim
21 Yuen, Kam Chuen
20 Barndorff-Nielsen, Ole Eiler
20 Campi, Luciano
20 Ferrari, Giorgio
20 Fukasawa, Masaaki
20 Jin, Zhuo
20 Linetsky, Vadim
20 Teichmann, Josef
19 Cui, Zhenyu
19 Figueroa-López, José E.
19 Fouque, Jean-Pierre
19 Larsson, Martin
19 Li, Zhongfei
19 Pistorius, Martijn R.
19 Puccetti, Giovanni
19 Sass, Jörn
19 Schweizer, Martin
19 Svindland, Gregor
19 Žitković, Gordan
18 Bender, Christian
18 Carr, Peter Paul
18 Ceci, Claudia
18 Cheridito, Patrick
18 Crepey, Stephane
18 Dassios, Angelos
18 Joshi, Mark S.
18 Korn, Ralf
18 Lorig, Matthew J.
18 Papapantoleon, Antonis
18 Riedel, Frank
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19 Acta Mathematicae Applicatae Sinica. English Series
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13 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
12 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
12 Acta Applicandae Mathematicae
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