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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: 675 Publications (since 1997)
References Indexed: 443 Publications with 13,557 References.
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Authors

21 Kabanov, Yuriĭ Mikhaĭlovich
12 Guasoni, Paolo
11 Jeanblanc, Monique
11 Muhle-Karbe, Johannes
10 Schachermayer, Walter
9 Bouchard, Bruno
9 Filipović, Damir
9 Hobson, David G.
9 Kardaras, Constantinos
8 Delbaen, Freddy
8 Pham, Huyên
7 Benth, Fred Espen
7 Carr, Peter P.
7 Fukasawa, Masaaki
7 Karatzas, Ioannis
7 Schweizer, Martin
7 Soner, Halil Mete
7 Stricker, Christophe
7 Touzi, Nizar
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 Zariphopoulou, Thaleia
6 Žitković, Gordan
5 Bayraktar, Erhan
5 Belomestny, Denis
5 Çetin, Umut
5 Cvitanić, Jakša
5 Frittelli, Marco
5 Jarrow, Robert Alan
5 Jiao, Ying
5 Kallsen, Jan
5 Keller-Ressel, Martin
5 Lépinette, Emmanuel
5 Rüschendorf, Ludger
5 Wang, Ruodu
5 Yor, Marc
4 Alòs, Elisa
4 Bank, Peter
4 Bartl, Daniel
4 Carmona, René A.
4 Cheridito, Patrick
4 Choulli, Tahir
4 Cox, Alexander Matthew Gordon
4 Cuchiero, Christa
4 Dolinsky, Yan
4 Eberlein, Ernst W.
4 Fontana, Claudio
4 Fouque, Jean-Pierre
4 Frey, Rüdiger
4 Gerhold, Stefan
4 Gobet, Emmanuel
4 Jacod, Jean
4 Jouini, Elyès
4 Madan, Dilip B.
4 Mijatović, Aleksandar
4 Nutz, Marcel
4 Pergamenshchikov, Sergeĭ Markovich
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 Beiglböck, Mathias
3 Bender, Christian
3 Brigo, Damiano
3 Capponi, Agostino
3 Cherny, Alexander S.
3 Coculescu, Delia
3 Dassios, Angelos
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.
3 Forde, Martin
3 Geman, Hélyette
3 Gozzi, Fausto
3 Henderson, Vicky
3 Herdegen, Martin
3 Huang, Yu-Jui
3 Jacquier, Antoine
3 Jamshidian, Farshid
...and 692 more Authors

Publications by Year

Citations contained in zbMATH Open

607 Publications have been cited 12,310 times in 6,880 Documents Cited by Year
Convex measures of risk and trading constraints. Zbl 1041.91039
Föllmer, Hans; Schied, Alexander
401
2002
Processes of normal inverse Gaussian type. Zbl 0894.90011
Barndorff-Nielsen, Ole E.
333
1998
Generalized deviations in risk analysis. Zbl 1150.90006
Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael
138
2006
Quantile hedging. Zbl 0977.91019
Föllmer, Hans; Leukert, Peter
122
1999
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066
Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis
122
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
115
2000
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
115
2007
Moment explosions in stochastic volatility models. Zbl 1142.65004
Andersen, Leif B. G.; Piterbarg, Vladimir V.
110
2007
LIBOR and swap market models and measures. Zbl 0888.60038
Jamshidian, Farshid
109
1997
Conditional and dynamic convex risk measures. Zbl 1092.91017
Detlefsen, Kai; Scandolo, Giacomo
109
2005
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081
Zariphopoulou, Thaleia
106
2001
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083
Çetin, Umut; Jarrow, Robert A.; Protter, Philip
103
2004
Robust hedging of the lookback option. Zbl 0907.90023
Hobson, David G.
102
1998
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037
Barrieu, Pauline; El Karoui, Nicole
101
2005
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162
Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich
101
2013
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074
Föllmer, Hans; Leukert, Peter
100
2000
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051
Barles, Guy; Soner, Halil Mete
97
1998
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036
Kabanov, Yu. M.
94
1999
An example of indifference prices under exponential preferences. Zbl 1062.93048
Musiela, Marek; Zariphopoulou, Thaleia
87
2004
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020
Clément, Emmanuelle; Lamberton, Damien; Protter, Philip
87
2002
Local martingales, bubbles and option prices. Zbl 1092.91023
Cox, Alexander M. G.; Hobson, David G.
82
2005
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038
Björk, Tomas; Murgoci, Agatha
80
2014
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038
Mordecki, Ernesto
79
2002
Arbitrage in fractional Brownian motion models. Zbl 1035.60036
Cheridito, Patrick
78
2003
The cumulant process and Esscher’s change of measure. Zbl 1035.60042
Kallsen, Jan; Shiryaev, Albert N.
77
2002
Game options. Zbl 1066.91042
Kifer, Yuri
74
2000
Vector-valued coherent risk measures. Zbl 1063.91048
Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar
74
2004
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091
Malliavin, Paul; Mancino, Maria Elvira
69
2002
Towards a general theory of bond markets. Zbl 0889.90019
Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang
69
1997
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
68
2017
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061
Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis
67
2001
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018
Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui
67
2001
Stock market prices and long-range dependence. Zbl 0924.90029
Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim
66
1999
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052
Taksar, Michael I.; Markussen, Charlotte
66
2003
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
64
2010
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
64
2007
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040
Sass, Jörn; Haussmann, Ulrich G.
63
2004
Connecting discrete and continuous path-dependent options. Zbl 0924.90007
Broadie, Mark; Glasserman, Paul; Kou, S. G.
62
1999
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057
Carr, Peter; Linetsky, Vadim
61
2006
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040
Fujiwara, Tsukasa; Miyahara, Yoshio
60
2003
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
59
2003
Coherent risk measures and good-deal bounds. Zbl 0993.91023
Jaschke, Stefan; Küchler, Uwe
57
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.
57
1997
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025
Browne, Sid
56
1999
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023
Cont, Rama; Voltchkova, Ekaterina
56
2005
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037
Sottinen, Tommi
55
2001
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190
Schied, Alexander; Schöneborn, Torsten
55
2009
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024
Bion-Nadal, Jocelyne
55
2008
In the insurance business risky investments are dangerous. Zbl 1002.91037
Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei
54
2002
Optimal capital structure and endogenous default. Zbl 1002.91019
Hilberink, Bianca; Rogers, L. C. G.
53
2002
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023
Embrechts, Paul; Höing, Andrea; Juri, Alessandro
52
2003
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021
Björk, Tomas; Hult, Henrik
52
2005
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021
Korn, Ralf
51
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
51
1998
Robust pricing and hedging of double no-touch options. Zbl 1303.91171
Cox, Alexander M. G.; Obłój, Jan
51
2011
On dynamic measure of risk. Zbl 0982.91030
Cvitanić, Jakša; Karatzas, Ioannis
49
1999
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188
Morlais, Marie-Amélie
49
2009
Dynamic programming and mean-variance hedging. Zbl 0924.90021
Laurent, Jean Paul; Pham, Huyên
48
1999
Optimization of consumption with labor income. Zbl 0930.60050
El Karoui, Nicole; Jeanblanc-Picqué, Monique
48
1998
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051
Hipp, Christian; Plum, Michael
48
2003
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022
Goll, Thomas; Rüschendorf, Ludger
48
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
47
2000
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081
Paulsen, Jostein
47
2003
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046
Czichowsky, Christoph
47
2013
Perfect option hedging for a large trader. Zbl 0894.90017
Frey, Rüdiger
46
1998
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076
Møller, Thomas
46
2001
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
46
2013
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022
Elliott, Robert J.; van der Hoek, John
44
1997
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
44
1997
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
43
1997
Pricing options on realized variance. Zbl 1096.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
43
2005
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034
Elliott, Robert J.; Osakwe, Carlton-James U.
43
2006
Bounds for functions of dependent risks. Zbl 1101.60010
Embrechts, Paul; Puccetti, Giovanni
43
2006
An optimal consumption model with stochastic volatility. Zbl 1035.60028
Fleming, Wendell H.; Hernández-Hernández, Daniel
42
2003
Spectral calibration of exponential Lévy models. Zbl 1126.91022
Belomestny, Denis; Reiß, Markus
41
2006
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046
Frittelli, Marco
41
2000
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085
Brigo, Damiano; Alfonsi, Aurélien
41
2005
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038
Becherer, Dirk
41
2001
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326
Embrechts, Paul; Wang, Bin; Wang, Ruodu
41
2015
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021
Schied, Alexander
41
2007
A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010
Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar
40
1999
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066
Jiang, Zhengjun; Pistorius, Martijn R.
40
2008
On Lévy processes, Malliavin calculus and market models with jumps. Zbl 1005.60067
León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep
39
2002
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024
Campi, Luciano; Schachermayer, Walter
39
2006
Mean-variance hedging for continuous processes: New proofs and examples. Zbl 0894.90023
Pham, Huyên; Rheinländer, Thorsten; Schweizer, Martin
39
1998
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
39
1998
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051
Janeček, Karel; Shreve, Steven
39
2004
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079
Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef
38
2012
The relaxed investor and parameter uncertainty. Zbl 0993.91017
Rogers, L. C. G.
38
2001
Continuous-time term structure models: Forward measure approach. Zbl 0888.60037
Musiela, Marek; Rutkowski, Marek
38
1997
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
38
2001
Non-arbitrage criteria for financial markets with efficient friction. Zbl 1026.60051
Kabanov, Yuri; Rásonyi, Miklós; Stricker, Christophe
38
2002
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177
Fukasawa, Masaaki
38
2011
A general characterization of one factor affine term structure models. Zbl 0978.91033
Filipović, Damir
37
2001
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk
37
2014
Hazard rate for credit risk and hedging defaultable contingent claims. Zbl 1052.91036
Blanchet-Scalliet, Christophette; Jeanblanc, Monique
36
2004
The rate of convergence of the binomial tree scheme. Zbl 1062.91027
Walsh, John B.
36
2003
A monetary value for initial information in portfolio optimization. Zbl 1035.60069
Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin
36
2003
Optional decomposition and Lagrange multipliers. Zbl 0894.90016
Föllmer, H.; Kabanov, Yu. M.
35
1998
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit
1
2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307
Strub, Moris S.; Zhou, Xun Yu
1
2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036
Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu
6
2020
Linear credit risk models. Zbl 1445.91066
Ackerer, Damien; Filipović, Damir
5
2020
Pathwise superhedging on prediction sets. Zbl 1458.91210
Bartl, Daniel; Kupper, Michael; Neufeld, Ariel
5
2020
The value of informational arbitrage. Zbl 1433.91151
Chau, Huy N.; Cosso, Andrea; Fontana, Claudio
2
2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195
Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten
2
2020
On fairness of systemic risk measures. Zbl 1433.91188
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
2
2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277
Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip
2
2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098
Kiiski, Matti
2
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
2
2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
1
2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161
Hambly, Ben; Kolliopoulos, Nikolaos
1
2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031
Kabanov, Yuri; Pergamenshchikov, Serguei
1
2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127
De Angelis, Tiziano
1
2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168
Bayraktar, Erhan; Burzoni, Matteo
1
2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099
Kardaras, Constantinos; Ruf, Johannes
1
2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271
Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan
1
2020
Affine forward variance models. Zbl 1430.91110
Gatheral, Jim; Keller-Ressel, Martin
8
2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239
Belak, Christoph; Christensen, Sören
8
2019
An application of fractional differential equations to risk theory. Zbl 1432.91097
Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.
6
2019
An SPDE model for systemic risk with endogenous contagion. Zbl 07074031
Hambly, Ben; Søjmark, Andreas
6
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
6
2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314
Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic
5
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
Incorporating signals into optimal trading. Zbl 1411.91517
Lehalle, Charles-Albert; Neuman, Eyal
4
2019
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Zbl 1411.91536
Alòs, Elisa; Shiraya, Kenichiro
4
2019
Sensitivity analysis of the utility maximisation problem with respect to model perturbations. Zbl 1465.91100
Mostovyi, Oleksii; Sîrbu, Mihai
4
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
4
2019
The self-financing equation in limit order book markets. Zbl 1460.91246
Carmona, René; Webster, Kevin
3
2019
Distributional compatibility for change of measures. Zbl 1420.60027
Shen, Jie; Shen, Yi; Wang, Bin; Wang, Ruodu
3
2019
Risk sharing for capital requirements with multidimensional security markets. Zbl 1430.91032
Liebrich, Felix-Benedikt; Svindland, Gregor
2
2019
Consumption, investment and healthcare with aging. Zbl 1411.91365
Guasoni, Paolo; Huang, Yu-Jui
1
2019
Robust bounds for the American put. Zbl 1411.91558
Hobson, David; Norgilas, Dominykas
1
2019
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Zbl 1411.91248
Coculescu, Delia; Jeanblanc, Monique
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
Extreme at-the-money skew in a local volatility model. Zbl 1427.91279
Pigato, Paolo
1
2019
Multi-dimensional optimal trade execution under stochastic resilience. Zbl 1432.91103
Horst, Ulrich; Xia, Xiaonyu
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
A multi-asset investment and consumption problem with transaction costs. Zbl 07074033
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
Robust utility maximisation in markets with transaction costs. Zbl 1457.91356
Chau, Huy N.; Rásonyi, Miklós
1
2019
On the free boundary of an annuity purchase. Zbl 1428.91015
De Angelis, Tiziano; Stabile, Gabriele
1
2019
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789
Hou, Zhaoxu; Obłój, Jan
24
2018
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu
18
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
15
2018
The Jacobi stochastic volatility model. Zbl 1402.91746
Ackerer, Damien; Filipović, Damir; Pulido, Sergio
12
2018
Dynamic programming approach to principal-agent problems. Zbl 1391.91116
Cvitanić, Jakša; Possamaï, Dylan; Touzi, Nizar
11
2018
Optimal liquidation under stochastic liquidity. Zbl 1391.91164
Becherer, Dirk; Bilarev, Todor; Frentrup, Peter
11
2018
Time-consistent stopping under decreasing impatience. Zbl 1391.60086
Huang, Yu-Jui; Nguyen-Huu, Adrien
11
2018
Chebyshev interpolation for parametric option pricing. Zbl 1402.91782
Gaß, Maximilian; Glau, Kathrin; Mahlstedt, Mirco; Mair, Maximilian
9
2018
Dynamically consistent investment under model uncertainty: the robust forward criteria. Zbl 1416.91353
Källblad, Sigrid; Obłój, Jan; Zariphopoulou, Thaleia
8
2018
An expansion in the model space in the context of utility maximization. Zbl 1396.91692
Larsen, Kasper; Mostovyi, Oleksii; Žitković, Gordan
7
2018
No-arbitrage under a class of honest times. Zbl 1391.91166
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
6
2018
Stability of Radner equilibria with respect to small frictions. Zbl 1416.91349
Herdegen, Martin; Muhle-Karbe, Johannes
6
2018
Equilibrium returns with transaction costs. Zbl 1402.91666
Bouchard, Bruno; Fukasawa, Masaaki; Herdegen, Martin; Muhle-Karbe, Johannes
4
2018
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Zbl 1396.91683
Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter; Yang, Junjian
4
2018
Risk measures based on behavioural economics theory. Zbl 1397.91606
Mao, Tiantian; Cai, Jun
4
2018
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Zbl 1402.91284
Beissner, Patrick; Riedel, Frank
3
2018
Replicating portfolio approach to capital calculation. Zbl 1396.91294
Cambou, Mathieu; Filipović, Damir
3
2018
A risk-neutral equilibrium leading to uncertain volatility pricing. Zbl 1422.91716
Muhle-Karbe, Johannes; Nutz, Marcel
3
2018
Second order approximations for limit order books. Zbl 1416.91350
Horst, Ulrich; Kreher, Dörte
2
2018
Sensitivity analysis of long-term cash flows. Zbl 1416.91382
Park, Hyungbin
1
2018
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Zbl 1416.60064
Brzeźniak, Zdzisław; Kok, Tayfun
1
2018
Financial equilibrium with asymmetric information and random horizon. Zbl 1422.91799
Çetin, Umut
1
2018
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Zbl 1396.91782
Keller-Ressel, Martin
1
2018
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha
68
2017
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.
27
2017
Risk bounds for factor models. Zbl 1443.91338
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; Wang, Ruodu
16
2017
Change of numeraire in the two-marginals martingale transport problem. Zbl 1369.91174
Campi, Luciano; Laachir, Ismail; Martini, Claude
15
2017
Pathwise superreplication via Vovk’s outer measure. Zbl 1391.91153
Beiglböck, Mathias; Cox, Alexander M. G.; Huesmann, Martin; Perkowski, Nicolas; Prömel, David J.
15
2017
Alpha-CIR model with branching processes in sovereign interest rate modeling. Zbl 1378.91123
Jiao, Ying; Ma, Chunhua; Scotti, Simone
15
2017
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
10
2017
No-arbitrage up to random horizon for quasi-left-continuous models. Zbl 1391.91165
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique
9
2017
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Zbl 1422.91783
Madan, D.; Pistorius, M.; Stadje, M.
8
2017
The exact Taylor formula of the implied volatility. Zbl 1414.91385
Pagliarani, Stefano; Pascucci, Andrea
8
2017
Optimal consumption and investment with Epstein-Zin recursive utility. Zbl 1352.93102
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas
8
2017
Equilibrium in risk-sharing games. Zbl 1416.91012
Anthropelos, Michail; Kardaras, Constantinos
6
2017
Hedging with small uncertainty aversion. Zbl 1360.91141
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, Frank Thomas
6
2017
Multilevel Monte Carlo for exponential Lévy models. Zbl 1403.91371
Giles, Michael B.; Xia, Yuan
5
2017
Model uncertainty and the pricing of American options. Zbl 1380.91131
Hobson, David; Neuberger, Anthony
5
2017
Hedging under multiple risk constraints. Zbl 1360.91136
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter
4
2017
The scaling limit of superreplication prices with small transaction costs in the multivariate case. Zbl 1378.91132
Bank, Peter; Dolinsky, Yan; Perkkiö, Ari-Pekka
4
2017
Computing deltas without derivatives. Zbl 1378.91117
Baños, D.; Meyer-Brandis, T.; Proske, F.; Duedahl, S.
4
2017
Model uncertainty, recalibration, and the emergence of delta-vega hedging. Zbl 1390.91300
Herrmann, Sebastian; Muhle-Karbe, Johannes
4
2017
Market completion with derivative securities. Zbl 1377.91162
Schwarz, Daniel C.
4
2017
Local risk-minimization for Barndorff-Nielsen and Shephard models. Zbl 1378.91116
Arai, Takuji; Imai, Yuto; Suzuki, Ryoichi
3
2017
Bounds for VIX futures given S&P 500 smiles. Zbl 1422.91698
Guyon, Julien; Menegaux, Romain; Nutz, Marcel
3
2017
Erratum to: “Utility maximization in incomplete markets with random endowment”. Zbl 1422.91647
Cvitanić, Jaksa; Schachermayer, Walter; Wang, Hui
3
2017
Consumption-investment optimization with Epstein-Zin utility in incomplete markets. Zbl 1352.93107
Xing, Hao
3
2017
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Zbl 1367.91165
Källblad, Sigrid
2
2017
The space of outcomes of semi-static trading strategies need not be closed. Zbl 1416.91410
Acciaio, Beatrice; Larsson, Martin; Schachermayer, Walter
2
2017
Continuous-time perpetuities and time reversal of diffusions. Zbl 1390.91303
Kardaras, Constantinos; Robertson, Scott
2
2017
Watermark options. Zbl 1380.91134
Rodosthenous, Neofytos; Zervos, Mihail
2
2017
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. Zbl 1379.62061
Liu, Zhi
1
2017
A direct solution method for pricing options involving the maximum process. Zbl 1391.91155
Egami, Masahiko; Oryu, Tadao
1
2017
Polynomial diffusions and applications in finance. Zbl 1386.60237
Filipović, Damir; Larsson, Martin
29
2016
An explicit martingale version of the one-dimensional Brenier theorem. Zbl 1369.91181
Henry-Labordère, Pierre; Touzi, Nizar
25
2016
A general HJM framework for multiple yield curve modelling. Zbl 1376.91166
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
23
2016
Risk measures with the CxLS property. Zbl 1376.91173
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.
20
2016
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Cited by 5,941 Authors

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43 Bayraktar, Erhan
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38 Madan, Dilip B.
36 Wang, Ruodu
35 Muhle-Karbe, Johannes
33 Bouchard, Bruno
33 Touzi, Nizar
33 Yang, Hailiang
31 Øksendal, Bernt Karsten
31 Platen, Eckhard
31 Rüschendorf, Ludger
30 Young, Virginia R.
29 Hobson, David G.
29 Jacquier, Antoine
29 Kupper, Michael
29 Schachermayer, Walter
28 Benth, Fred Espen
28 Filipović, Damir
28 Jeanblanc, Monique
28 Obloj, Jan K.
28 Rásonyi, Miklós
27 Belomestny, Denis
27 Guasoni, Paolo
27 Rutkowski, Marek
27 Soner, Halil Mete
26 Gobet, Emmanuel
26 Kardaras, Constantinos
25 Biagini, Francesca
25 Bo, Lijun
25 Dolinsky, Yan
25 Jarrow, Robert Alan
25 Levendorskiĭ, Sergeĭ Zakharovich
24 Pham, Huyên
24 Protter, Philip Elliott
23 Eberlein, Ernst W.
23 Leonenko, Nikolai N.
23 Pascucci, Andrea
23 Schoenmakers, John G. M.
22 Kallsen, Jan
22 Rudloff, Birgit
22 Schied, Alexander
22 Wang, Yongjin
21 Bielecki, Tomasz R.
21 Ekström, Erik
21 Hu, Yijun
21 Mishura, Yuliya Stepanivna
21 Schoutens, Wim
21 Tankov, Peter
21 Teichmann, Josef
21 Xiong, Dewen
20 Balbás, Alejandro
20 Barndorff-Nielsen, Ole Eiler
20 Brigo, Damiano
20 Karatzas, Ioannis
20 Linetsky, Vadim
20 Meyer-Brandis, Thilo
20 Sircar, Ronnie
20 Zeng, Yan
20 Zheng, Harry H.
19 Campi, Luciano
19 Lépinette, Emmanuel
19 Nutz, Marcel
19 Pistorius, Martijn R.
19 Puccetti, Giovanni
19 Schweizer, Martin
19 Wong, Hoi Ying
19 Yuen, Kam Chuen
19 Žitković, Gordan
18 Beiglböck, Mathias
18 Bender, Christian
18 Carr, Peter P.
18 Choulli, Tahir
18 Figueroa-López, José E.
18 Joshi, Mark S.
18 Kabanov, Yuriĭ Mikhaĭlovich
18 Larsson, Martin
18 Li, Zhongfei
18 Svindland, Gregor
17 Cheridito, Patrick
17 Crepey, Stephane
17 Cui, Zhenyu
17 El Karoui, Nicole
17 Ferrari, Giorgio
17 Fontana, Claudio
17 Fouque, Jean-Pierre
17 Jin, Zhuo
17 Kohlmann, Michael
17 Leung, Tim
17 Papapantoleon, Antonis
17 Rosazza Gianin, Emanuela
17 Sass, Jörn
17 Steffensen, Mogens
16 Capponi, Agostino
16 Ceci, Claudia
16 Dassios, Angelos
16 Henderson, Vicky
16 Lorig, Matthew J.
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210 The Annals of Applied Probability
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156 Mathematics and Financial Economics
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17 Japan Journal of Industrial and Applied Mathematics
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13 Comptes Rendus. Mathématique. Académie des Sciences, Paris
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12 Infinite Dimensional Analysis, Quantum Probability and Related Topics
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11 Communications in Nonlinear Science and Numerical Simulation
11 The ANZIAM Journal
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