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 Latest Issues 28, No. 1 (2024) 27, No. 4 (2023) 27, No. 3 (2023) 27, No. 2 (2023) 27, No. 1 (2023) 26, No. 4 (2022) 26, No. 3 (2022) 26, No. 2 (2022) 26, No. 1 (2022) 25, No. 4 (2021) 25, No. 3 (2021) 25, No. 2 (2021) 25, No. 1 (2021) 24, No. 4 (2020) 24, No. 3 (2020) 24, No. 2 (2020) 24, No. 1 (2020) 23, No. 4 (2019) 23, No. 3 (2019) 23, No. 2 (2019) 23, No. 1 (2019) 22, No. 4 (2018) 22, No. 3 (2018) 22, No. 2 (2018) 22, No. 1 (2018) 21, No. 4 (2017) 21, No. 3 (2017) 21, No. 2 (2017) 21, No. 1 (2017) 20, No. 4 (2016) 20, No. 3 (2016) 20, No. 2 (2016) 20, No. 1 (2016) 19, No. 4 (2015) 19, No. 3 (2015) 19, No. 2 (2015) 19, No. 1 (2015) 18, No. 4 (2014) 18, No. 3 (2014) 18, No. 2 (2014) 18, No. 1 (2014) 17, No. 4 (2013) 17, No. 3 (2013) 17, No. 2 (2013) 17, No. 1 (2013) 16, No. 4 (2012) 16, No. 3 (2012) 16, No. 2 (2012) 16, No. 1 (2012) 15, No. 4 (2011) 15, No. 3 (2011) 15, No. 2 (2011) 15, No. 1 (2011) 14, No. 4 (2010) 14, No. 3 (2010) 14, No. 2 (2010) 14, No. 1 (2010) 13, No. 4 (2009) 13, No. 3 (2009) 13, No. 2 (2009) 13, No. 1 (2009) 12, No. 4 (2008) 12, No. 3 (2008) 12, No. 2 (2008) 12, No. 1 (2008) 11, No. 4 (2007) 11, No. 3 (2007) 11, No. 2 (2007) 11, No. 1 (2007) 11, No. 4 (2006) 10, No. 4 (2006) 10, No. 3 (2006) 10, No. 2 (2006) 10, No. 1 (2006) 9, No. 4 (2005) 9, No. 3 (2005) 9, No. 2 (2005) 9, No. 1 (2005) 9, No. 3 (2004) 8, No. 4 (2004) 8, No. 3 (2004) 8, No. 2 (2004) 8, No. 1 (2004) 7, No. 4 (2003) 7, No. 3 (2003) 7, No. 2 (2003) 7, No. 1 (2003) 6, No. 4 (2002) 6, No. 3 (2002) 6, No. 2 (2002) 6, No. 1 (2002) 5, No. 4 (2001) 5, No. 3 (2001) 5, No. 2 (2001) 5, No. 1 (2001) 4, No. 4 (2000) 4, No. 3 (2000) 4, No. 2 (2000) 4, No. 1 (2000) 3, No. 4 (1999) ...and 9 more Volumes all top 5 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 Madan, Dilip B. 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 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 770 more Authors all top 5 Fields 700 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 541 Probability theory and stochastic processes (60-XX) 121 Systems theory; control (93-XX) 83 Statistics (62-XX) 62 Calculus of variations and optimal control; optimization (49-XX) 41 Numerical analysis (65-XX) 32 Partial differential equations (35-XX) 31 Operations research, mathematical programming (90-XX) 21 Functional analysis (46-XX) 11 Integral equations (45-XX) 8 Real functions (26-XX) 8 Measure and integration (28-XX) 7 Operator theory (47-XX) 5 General and overarching topics; collections (00-XX) 5 History and biography (01-XX) 5 Convex and discrete geometry (52-XX) 5 Information and communication theory, circuits (94-XX) 4 Approximations and expansions (41-XX) 4 Computer science (68-XX) 3 Ordinary differential equations (34-XX) 3 Integral transforms, operational calculus (44-XX) 2 Special functions (33-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 General topology (54-XX) 1 Mathematical logic and foundations (03-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Nonassociative rings and algebras (17-XX) 1 Difference and functional equations (39-XX) 1 Differential geometry (53-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 677 Publications have been cited 15,765 times in 8,704 Documents Cited by ▼ Year ▼ Convex measures of risk and trading constraints. Zbl 1041.91039 Föllmer, Hans; Schied, Alexander 496 2002 Processes of normal inverse Gaussian type. Zbl 0894.90011 Barndorff-Nielsen, Ole E. 394 1998 A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038 Björk, Tomas; Murgoci, Agatha 188 2014 Generalized deviations in risk analysis. Zbl 1150.90006 Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael 174 2006 On time-inconsistent stochastic control in continuous time. Zbl 1360.49013 Björk, Tomas; Khapko, Mariana; Murgoci, Agatha 167 2017 Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066 Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis 159 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 149 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 130 2000 Conditional and dynamic convex risk measures. Zbl 1092.91017 Detlefsen, Kai; Scandolo, Giacomo 130 2005 Moment explosions in stochastic volatility models. Zbl 1142.65004 Andersen, Leif B. G.; Piterbarg, Vladimir V. 126 2007 A solution approach to valuation with unhedgeable risks. Zbl 0977.93081 Zariphopoulou, Thaleia 124 2001 Robust hedging of the lookback option. Zbl 0907.90023 Hobson, David G. 122 1998 Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051 Barles, Guy; Soner, Halil Mete 122 1998 Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037 Barrieu, Pauline; El Karoui, Nicole 122 2005 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 113 2000 Arbitrage in fractional Brownian motion models. Zbl 1035.60036 Cheridito, Patrick 111 2003 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 105 2007 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 104 2002 An example of indifference prices under exponential preferences. Zbl 1062.93048 Musiela, Marek; Zariphopoulou, Thaleia 97 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. 95 2005 Game options. Zbl 1066.91042 Kifer, Yuri 89 2000 Vector-valued coherent risk measures. Zbl 1063.91048 Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar 89 2004 The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N. 86 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 80 2002 Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040 Sass, Jörn; Haussmann, Ulrich G. 79 2004 Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025 Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela 78 2010 Towards a general theory of bond markets. Zbl 0889.90019 Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang 78 1997 Utility maximization in incomplete markets with random endowment. Zbl 0993.91018 Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui 77 2001 Stock market prices and long-range dependence. Zbl 0924.90029 Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim 77 1999 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038 Dassios, Angelos; Jang, Ji-Wook 77 2003 Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052 Taksar, Michael I.; Markussen, Charlotte 76 2003 A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021 Björk, Tomas; Hult, Henrik 75 2005 Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023 Cont, Rama; Voltchkova, Ekaterina 71 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 Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037 Sottinen, Tommi 67 2001 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 Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190 Schied, Alexander; Schöneborn, Torsten 66 2009 Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023 Embrechts, Paul; Höing, Andrea; Juri, Alessandro 66 2003 The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040 Fujiwara, Tsukasa; Miyahara, Yoshio 66 2003 Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046 Czichowsky, Christoph 66 2013 A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057 Carr, Peter; Linetsky, Vadim 65 2006 Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188 Morlais, Marie-Amélie 64 2009 In the insurance business risky investments are dangerous. Zbl 1002.91037 Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei 64 2002 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 61 1998 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 Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195 Krätschmer, Volker; Schied, Alexander; Zähle, Henryk 60 2014 Optimization of consumption with labor income. Zbl 0930.60050 El Karoui, Nicole; Jeanblanc-Picqué, Monique 59 1998 Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021 Korn, Ralf 59 1998 Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177 Fukasawa, Masaaki 59 2011 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 59 2013 Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326 Embrechts, Paul; Wang, Bin; Wang, Ruodu 58 2015 Robust pricing and hedging of double no-touch options. Zbl 1303.91171 Cox, Alexander M. G.; Obłój, Jan 58 2011 Optimal capital structure and endogenous default. Zbl 1002.91019 Hilberink, Bianca; Rogers, L. C. G. 58 2002 Bounds for functions of dependent risks. Zbl 1101.60010 Embrechts, Paul; Puccetti, Giovanni 56 2006 Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010 Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. 56 2017 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 Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022 Goll, Thomas; Rüschendorf, Ludger 55 2001 Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081 Paulsen, Jostein 54 2003 Polynomial processes and their applications to mathematical finance. Zbl 1270.60079 Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef 54 2012 Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034 Elliott, Robert J.; Osakwe, Carlton-James U. 53 2006 Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051 Hipp, Christian; Plum, Michael 53 2003 On dynamic measure of risk. Zbl 0982.91030 Cvitanić, Jakša; Karatzas, Ioannis 52 1999 Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076 Møller, Thomas 52 2001 Perfect option hedging for a large trader. Zbl 0894.90017 Frey, Rüdiger 51 1998 Spectral calibration of exponential Lévy models. Zbl 1126.91022 Belomestny, Denis; Reiß, Markus 50 2006 Dynamic programming and mean-variance hedging. Zbl 0924.90021 Laurent, Jean Paul; Pham, Huyên 49 1999 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 49 1997 Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021 Schied, Alexander 49 2007 The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491 El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu 48 2018 The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038 Becherer, Dirk 48 2001 An optimal consumption model with stochastic volatility. Zbl 1035.60028 Fleming, Wendell H.; Hernández-Hernández, Daniel 48 2003 Pricing options on realized variance. Zbl 1096.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 48 2005 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 Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085 Brigo, Damiano; Alfonsi, Aurélien 48 2005 A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024 Campi, Luciano; Schachermayer, Walter 47 2006 An application of hidden Markov models to asset allocation problems. Zbl 0907.90022 Elliott, Robert J.; van der Hoek, John 47 1997 The relaxed investor and parameter uncertainty. Zbl 0993.91017 Rogers, L. C. G. 47 2001 Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051 Janeček, Karel; Shreve, Steven 47 2004 Optimal dividend distribution under Markov regime switching. Zbl 1252.93135 Jiang, Zhengjun; Pistorius, Martijn 47 2012 Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046 Frittelli, Marco 46 2000 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 46 2001 Asymptotic arbitrage in large financial markets. Zbl 0894.90020 Kabanov, Yu. M.; Kramkov, D. O. 46 1998 Polynomial diffusions and applications in finance. Zbl 1386.60237 Filipović, Damir; Larsson, Martin 46 2016 Pricing double barrier options using Laplace transforms. Zbl 0940.91026 Pelsser, Antoon 45 2000 Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011 Elie, Romuald; Touzi, Nizar 45 2008 A stochastic control problem with delay arising in a pension fund model. Zbl 1302.93238 Federico, Salvatore 45 2011 Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016 Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe 44 1997 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 Optional decomposition and Lagrange multipliers. Zbl 0894.90016 Föllmer, H.; Kabanov, Yu. M. 43 1998 A closed-form solution to the problem of super-replication under transaction costs. Zbl 0924.90010 Cvitanić, Jakša; Pham, Huyên; Touzi, Nizar 42 1999 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 Fundamental theorem of asset pricing with acceptable risk in markets with frictions. Zbl 1520.91409 Arduca, Maria; Munari, Cosimo 1 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 Mean field portfolio games. Zbl 1505.91059 Fu, Guanxing; Zhou, Chao 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 Optimal consumption with reference to past spending maximum. Zbl 1484.91449 Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang 4 2022 Reinforcement learning and stochastic optimisation. Zbl 1482.91225 Jaimungal, Sebastian 4 2022 Dynamic mean-variance problem with frictions. Zbl 1484.91414 Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip 3 2022 A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. Zbl 1484.91088 Huang, Yu-Jui; Zhou, Zhou 3 2022 Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 1494.91133 Choulli, Tahir; Yansori, Sina 3 2022 The characteristic function of Gaussian stochastic volatility models: an analytic expression. Zbl 1498.91443 Jaber, Eduardo Abi 2 2022 A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472 Cohen, Asaf; Dolinsky, Yan 2 2022 Scaled insurance cash flows: representation and computation via change of measure techniques. Zbl 1484.91384 Furrer, Christian 2 2022 From Bachelier to Dupire via optimal transport. Zbl 1482.91226 Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter 2 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 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 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 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 9 2021 Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307 Strub, Moris S.; Zhou, Xun Yu 7 2021 Duality theory for robust utility maximisation. Zbl 1475.91094 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 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 Scenario-based risk evaluation. Zbl 1476.91222 Wang, Ruodu; Ziegel, Johanna F. 5 2021 A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051 Obłój, Jan; Wiesel, Johannes 5 2021 Additive logistic processes in option pricing. Zbl 1475.91352 Carr, Peter; Torricelli, Lorenzo 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 Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310 Jaśkiewicz, Anna; Nowak, Andrzej S. 3 2021 High-frequency trading with fractional Brownian motion. Zbl 1461.91300 Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 3 2021 Nonlinear expectations of random sets. Zbl 1461.91283 Molchanov, Ilya; Mühlemann, Anja 2 2021 Set-valued risk measures as backward stochastic difference inclusions and equations. Zbl 1461.91363 Ararat, Çağın; Feinstein, Zachary 2 2021 Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077 Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit 2 2021 Concavity, stochastic utility, and risk aversion. Zbl 1461.91274 Jarrow, Robert; Li, Siguang 2 2021 Change of drift in one-dimensional diffusions. Zbl 1461.91365 Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G. 2 2021 A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272 Bouchard, Bruno; Tan, Xiaolu 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 Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317 Lépinette, Emmanuel; Molchanov, Ilya 1 2021 Time-dynamic evaluations under non-monotone information generated by marked point processes. Zbl 1470.91302 Christiansen, Marcus C. 1 2021 Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036 Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu 27 2020 Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259 Chi, Yichun; Wei, Wei 15 2020 Pathwise superhedging on prediction sets. Zbl 1458.91210 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel 14 2020 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127 De Angelis, Tiziano 12 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 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 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 The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103 Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi 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 Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271 Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan 6 2020 An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180 Weston, Kim; Žitković, Gordan 6 2020 The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277 Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip 5 2020 Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164 Karatzas, Ioannis; Kim, Donghan 5 2020 Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099 Kardaras, Constantinos; Ruf, Johannes 4 2020 On the quasi-sure superhedging duality with frictions. Zbl 1433.91168 Bayraktar, Erhan; Burzoni, Matteo 3 2020 Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. 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Zbl 1428.91016 Belak, Christoph; Sass, Jörn 3 2019 ...and 577 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 7,459 Authors 77 Siu, Tak Kuen 61 Bayraktar, Erhan 60 Wang, Ruodu 52 Madan, Dilip B. 50 Elliott, Robert James 45 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 Biagini, Francesca 34 Hobson, David Graham 34 Rüschendorf, Ludger 33 Belomestny, Denis 33 Jacquier, Antoine 33 Wong, Hoi Ying 32 Benth, Fred Espen 32 Dolinsky, Yan 32 Filipović, Damir 32 Schachermayer, Walter 31 Kupper, Michael 31 Obloj, Jan K. 30 Gobet, Emmanuel 29 Beiglböck, Mathias 29 Guasoni, Paolo 29 Jeanblanc, Monique 29 Kardaras, Constantinos 29 Rutkowski, Marek 28 Hu, Yijun 28 Jarrow, Robert Alan 28 Pham, Huyên 27 Bo, Lijun 27 Protter, Philip Elliott 27 Schoenmakers, John G. M. 27 Soner, Halil Mete 26 Ferrari, Giorgio 26 Fukasawa, Masaaki 26 Lépinette, Emmanuel 26 Levendorskiĭ, Sergeĭ Zakharovich 26 Rudloff, Birgit 26 Tankov, Peter 25 Eberlein, Ernst W. 25 Mishura, Yuliya Stepanivna 25 Schied, Alexander 25 Zeng, Yan 25 Zheng, Harry H. 24 Balbás, Alejandro 24 Ekström, Erik 24 Pascucci, Andrea 24 Possamaï, Dylan 23 Brigo, Damiano 23 Gapeev, Pavel V. 23 Kabanov, Yuriĭ Mikhaĭlovich 23 Leonenko, Nikolai N. 23 Nutz, Marcel 22 Bielecki, Tomasz R. 22 Campi, Luciano 22 Choulli, Tahir 22 Fontana, Claudio 22 Fouque, Jean-Pierre 22 Jin, Zhuo 22 Kallsen, Jan 22 Karatzas, Ioannis 22 Meyer-Brandis, Thilo 22 Schoutens, Wim 22 Sircar, Ronnie 22 Steffensen, Mogens 22 Wang, Yongjin 22 Xiong, Dewen 22 Yuen, Kam Chuen 21 Carr, Peter Paul 21 Cui, Zhenyu 21 Larsson, Martin 21 Li, Zhongfei 21 Teichmann, Josef 20 Barndorff-Nielsen, Ole Eiler 20 De Angelis, Tiziano 20 Forsyth, Peter A. 20 Frittelli, Marco 20 Linetsky, Vadim 20 Puccetti, Giovanni 20 Riedel, Frank 20 Sass, Jörn 20 Schmidt, Thorsten 20 Svindland, Gregor 20 Tan, Xiaolu 20 Žitković, Gordan 19 Alòs, Elisa 19 Cheridito, Patrick 19 Crepey, Stephane 19 Dassios, Angelos 19 Figueroa-López, José E. 19 Jaimungal, Sebastian 19 Korn, Ralf 19 Lorig, Matthew J. 19 Papapantoleon, Antonis 19 Pistorius, Martijn R. ...and 7,359 more Authors all top 5 Cited in 501 Journals 469 Quantitative Finance 456 International Journal of Theoretical and Applied Finance 428 Finance and Stochastics 413 Insurance Mathematics & Economics 373 Mathematical Finance 326 Stochastic Processes and their Applications 257 SIAM Journal on Financial Mathematics 244 The Annals of Applied Probability 195 European Journal of Operational Research 185 Mathematics and Financial Economics 150 Stochastics 149 Applied Mathematical Finance 143 Journal of Computational and Applied Mathematics 128 Statistics & Probability Letters 124 Journal of Economic Dynamics & Control 124 Scandinavian Actuarial Journal 122 SIAM Journal on Control and Optimization 120 Stochastic Analysis and Applications 108 Journal of Applied Probability 89 Applied Mathematics and Optimization 85 Annals of Finance 83 Communications in Statistics. 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Académie des Sciences, Paris 13 Advances in Difference Equations 13 Journal of the Korean Statistical Society ...and 401 more Journals all top 5 Cited in 53 Fields 6,791 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4,492 Probability theory and stochastic processes (60-XX) 1,222 Statistics (62-XX) 1,197 Systems theory; control (93-XX) 809 Numerical analysis (65-XX) 665 Calculus of variations and optimal control; optimization (49-XX) 615 Operations research, mathematical programming (90-XX) 462 Partial differential equations (35-XX) 134 Functional analysis (46-XX) 116 Ordinary differential equations (34-XX) 108 Integral equations (45-XX) 81 Computer science (68-XX) 74 Real functions (26-XX) 66 Operator theory (47-XX) 52 Approximations and expansions (41-XX) 49 Integral transforms, operational calculus (44-XX) 43 Measure and integration (28-XX) 38 Statistical mechanics, structure of matter (82-XX) 37 Biology and other natural sciences (92-XX) 33 Harmonic analysis on Euclidean spaces (42-XX) 30 Dynamical systems and ergodic theory (37-XX) 29 Information and communication theory, circuits (94-XX) 22 Global analysis, analysis on manifolds (58-XX) 21 Convex and discrete geometry (52-XX) 19 Special functions (33-XX) 18 Difference and functional equations (39-XX) 12 Combinatorics (05-XX) 12 Number theory (11-XX) 9 General and overarching topics; collections (00-XX) 8 Fluid mechanics (76-XX) 7 History and biography (01-XX) 7 Mathematical logic and foundations (03-XX) 7 General topology (54-XX) 7 Quantum theory (81-XX) 6 Linear and multilinear algebra; matrix theory (15-XX) 6 Functions of a complex variable (30-XX) 5 Topological groups, Lie groups (22-XX) 5 Mechanics of particles and systems (70-XX) 5 Mechanics of deformable solids (74-XX) 5 Geophysics (86-XX) 4 Order, lattices, ordered algebraic structures (06-XX) 4 Potential theory (31-XX) 3 Sequences, series, summability (40-XX) 3 Abstract harmonic analysis (43-XX) 3 Differential geometry (53-XX) 3 Optics, electromagnetic theory (78-XX) 2 Classical thermodynamics, heat transfer (80-XX) 2 Relativity and gravitational theory (83-XX) 2 Mathematics education (97-XX) 1 Associative rings and algebras (16-XX) 1 Nonassociative rings and algebras (17-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) Citations by Year