Mathematical FinanceAn International Journal of Mathematics, Statistics and Financial Economics Short Title: Math. Finance Publisher: Wiley (Wiley-Blackwell), Hoboken, NJ ISSN: 0960-1627; 1467-9965/e Online: https://onlinelibrary.wiley.com/loi/14679965 Comments: Journal; Indexed cover-to-cover Documents Indexed: 951 Publications (since 1991) References Indexed: 842 Publications with 26,675 References. all top 5 Latest Issues 34, No. 4 (2024) 34, No. 3 (2024) 34, No. 2 (2024) 34, No. 1 (2024) 33, No. 4 (2023) 33, No. 3 (2023) 33, No. 2 (2023) 33, No. 1 (2023) 32, No. 4 (2022) 32, No. 3 (2022) 32, No. 2 (2022) 32, No. 1 (2022) 31, No. 4 (2021) 31, No. 3 (2021) 31, No. 2 (2021) 31, No. 1 (2021) 30, No. 4 (2020) 30, No. 3 (2020) 30, No. 2 (2020) 30, No. 1 (2020) 29, No. 4 (2019) 29, No. 3 (2019) 29, No. 2 (2019) 29, No. 1 (2019) 28, No. 4 (2018) 28, No. 3 (2018) 28, No. 2 (2018) 28, No. 1 (2018) 27, No. 4 (2017) 27, No. 3 (2017) 27, No. 2 (2017) 27, No. 1 (2017) 26, No. 4 (2016) 26, No. 3 (2016) 26, No. 2 (2016) 26, No. 1 (2016) 25, No. 4 (2015) 25, No. 3 (2015) 25, No. 2 (2015) 25, No. 1 (2015) 24, No. 4 (2014) 24, No. 3 (2014) 24, No. 2 (2014) 24, No. 1 (2014) 23, No. 4 (2013) 23, No. 3 (2013) 23, No. 2 (2013) 23, No. 1 (2013) 22, No. 4 (2012) 22, No. 3 (2012) 22, No. 2 (2012) 22, No. 1 (2012) 21, No. 4 (2011) 21, No. 3 (2011) 21, No. 2 (2011) 21, No. 1 (2011) 20, No. 4 (2010) 20, No. 3 (2010) 20, No. 2 (2010) 20, No. 1 (2010) 19, No. 4 (2009) 19, No. 3 (2009) 19, No. 2 (2009) 19, No. 1 (2009) 18, No. 4 (2008) 18, No. 3 (2008) 18, No. 2 (2008) 18, No. 1 (2008) 17, No. 4 (2007) 17, No. 3 (2007) 17, No. 2 (2007) 17, No. 1 (2007) 16, No. 4 (2006) 16, No. 3 (2006) 16, No. 2 (2006) 16, No. 1 (2006) 15, No. 4 (2005) 15, No. 3 (2005) 15, No. 2 (2005) 15, No. 1 (2005) 14, No. 4 (2004) 14, No. 3 (2004) 14, No. 2 (2004) 14, No. 1 (2004) 13, No. 4 (2003) 13, No. 3 (2003) 13, No. 2 (2003) 13, No. 1 (2003) 12, No. 4 (2002) 12, No. 3 (2002) 12, No. 2 (2002) 12, No. 1 (2002) 11, No. 4 (2001) 11, No. 3 (2001) 11, No. 2 (2001) 11, No. 1 (2001) 10, No. 4 (2000) 10, No. 3 (2000) 10, No. 2 (2000) 10, No. 1 (2000) ...and 34 more Volumes all top 5 Authors 20 Zhou, Xunyu 16 Jarrow, Robert Alan 15 Filipović, Damir 15 Guasoni, Paolo 15 Schachermayer, Walter 14 Muhle-Karbe, Johannes 13 Madan, Dilip B. 12 Bayraktar, Erhan 12 Cont, Rama 11 Delbaen, Freddy 11 Rogers, L. C. G. 10 Dai, Min 10 Hobson, David Graham 10 Platen, Eckhard 10 Touzi, Nizar 10 Yor, Marc 9 Capponi, Agostino 9 Schweizer, Martin 8 Carr, Peter Paul 8 Glasserman, Paul 8 Jaimungal, Sebastian 8 Jin, Hanqing 8 Kardaras, Constantinos 8 Linetsky, Vadim 8 Pham, Huyên 7 Elliott, Robert James 7 Frittelli, Marco 7 Kallsen, Jan 7 Zariphopoulou, Thaleia 6 Biagini, Francesca 6 Černý, Aleš 6 Eberlein, Ernst W. 6 He, Xuedong 6 Kwok, Yue-Kuen 6 Larsson, Martin 6 Li, Duan 6 Nutz, Marcel 6 Obloj, Jan K. 6 Rutkowski, Marek 6 Soner, Halil Mete 6 Wang, Ruodu 5 Bender, Christian 5 Bensoussan, Alain 5 Biagini, Sara 5 Bielecki, Tomasz R. 5 Björk, Tomas 5 Cadenillas, Abel 5 El Karoui, Nicole 5 Fouque, Jean-Pierre 5 Frey, Rüdiger 5 Friz, Peter 5 Fukasawa, Masaaki 5 Geman, Hélyette 5 Guéant, Olivier 5 Henderson, Vicky 5 Herdegen, Martin 5 Jeanblanc, Monique 5 Kabanov, Yuriĭ Mikhaĭlovich 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Lorig, Matthew J. 5 Minca, Andreea 5 Nadtochiy, Sergey 5 Protter, Philip Elliott 5 Robertson, Scott 5 Runggaldier, Wolfgang J. 5 Sircar, Ronnie 5 Stricker, Christophe 5 Taksar, Michael I. 5 Teichmann, Josef 5 Xia, Jianming 5 Zhou, Zhou 4 Acciaio, Beatrice 4 Artzner, Philippe 4 Bichuch, Maxim 4 Brigo, Damiano 4 Carassus, Laurence 4 Chen, Xinfu 4 Choulli, Tahir 4 Crepey, Stephane 4 Cuchiero, Christa 4 Davis, Mark Herbert Ainsworth 4 Detemple, Jerome B. 4 Ekren, Ibrahim 4 Gourieroux, Christian 4 Heath, David C. 4 Huang, Yu-Jui 4 Jouini, Elyès 4 Karatzas, Ioannis 4 Klein, Irene 4 Korn, Ralf 4 Rásonyi, Miklós 4 Ritchken, Peter H. 4 Rosenbaum, Mathieu 4 Schmidt, Thorsten 4 Schöneborn, Torsten 4 Seifried, Frank Thomas 4 Sethi, Suresh P. 4 Shreve, Steven E. 4 Spiliopoulos, Konstantinos V. 4 Xing, Hao ...and 1,098 more Authors all top 5 Fields 944 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 330 Probability theory and stochastic processes (60-XX) 77 Systems theory; control (93-XX) 46 Statistics (62-XX) 36 Operations research, mathematical programming (90-XX) 31 Calculus of variations and optimal control; optimization (49-XX) 31 Numerical analysis (65-XX) 28 Partial differential equations (35-XX) 15 Computer science (68-XX) 5 General and overarching topics; collections (00-XX) 5 Functional analysis (46-XX) 4 Special functions (33-XX) 4 Approximations and expansions (41-XX) 4 Integral transforms, operational calculus (44-XX) 4 Integral equations (45-XX) 3 History and biography (01-XX) 2 Combinatorics (05-XX) 2 Real functions (26-XX) 2 Ordinary differential equations (34-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Operator theory (47-XX) 1 Number theory (11-XX) 1 Measure and integration (28-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 862 Publications have been cited 24,140 times in 13,586 Documents Cited by ▼ Year ▼ Coherent measures of risk. Zbl 0980.91042 Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David 2,053 1999 Backward stochastic differential equations in finance. Zbl 0884.90035 El Karoui, N.; Peng, S.; Quenez, M. C. 1,216 1997 Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027 Li, Duan; Ng, Wan-Lung 407 2000 A yield-factor model of interest rates. Zbl 0915.90014 Duffie, Darrell; Kan, Rui 308 1996 Stochastic volatility for Lévy processes. Zbl 1092.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 282 2003 Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116 Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu 268 2014 Long memory in continuous-time stochastic volatility models. Zbl 1020.91021 Comte, Fabienne; Renault, Eric 225 1998 The market model of interest rate dynamics. Zbl 0884.90008 Brace, Alan; Gątarek, Dariusz; Musiela, Marek 183 1997 Arbitrage with fractional Brownian motion. Zbl 0884.90045 Rogers, L. C. G. 180 1997 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029 Geman, Hélyette; Yor, Marc 179 1993 The GARCH option pricing model. Zbl 0866.90031 Duan, Jin-Chuan 163 1995 Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466 Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu 161 2005 Optimal stopping and the American put. Zbl 0900.90109 Jacka, S. D. 153 1991 Exponential hedging and entropic penalties. Zbl 1072.91019 Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 153 2002 Monte Carlo valuation of American options. Zbl 1029.91036 Rogers, L. C. G. 148 2002 Pricing via utility maximization and entropy. Zbl 1052.91512 Rouge, Richard; El Karoui, Nicole 142 2000 Alternative characterizations of American put options. Zbl 0900.90004 Carr, Peter; Jarrow, Robert; Myneni, Ravi 141 1992 An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116 Ben-Tal, Aharon; Teboulle, Marc 131 2007 Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016 Azcue, Pablo; Muler, Nora 129 2005 Universal portfolios. Zbl 0900.90052 Cover, Thomas M. 127 1991 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046 Schachermayer, Walter 120 2004 Behavioral portfolio selection in continuous time. Zbl 1141.91454 Jin, Hanqing; Zhou, Xun Yu 120 2008 Robustness of the Black and Scholes formula. Zbl 0910.90008 El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 120 1998 Option pricing with V. G. martingale components. Zbl 0900.90105 Madan, Dilip B.; Milne, Frank 118 1991 Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052 Højgaard, Bjarne; Taksar, Michael 118 1999 The characteristic function of rough Heston models. Zbl 1411.91553 El Euch, Omar; Rosenbaum, Mathieu 118 2019 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007 Cvitanić, Jakša; Karatzas, Ioannis 114 1996 Coherence and elicitability. Zbl 1390.91336 Ziegel, Johanna F. 113 2016 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360 Jouini, E.; Schachermayer, W.; Touzi, N. 112 2008 Bond market structure in the presence of marked point processes. Zbl 0884.90014 Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang 110 1997 A general fractional white noise theory and applications to finance. Zbl 1069.91047 Elliott, Robert J.; van der Hoek, John 110 2003 Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054 Taylor, Stephen J. 107 1994 Complete models with stochastic volatility. Zbl 0908.90012 Hobson, David G.; Rogers, L. C. G. 106 1998 Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413 Cont, Rama 100 2006 Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020 Nicolato, Elisa; Venardos, Emmanouil 100 2003 Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072 Henderson, Vicky 99 2002 Risk measures on Orlitz hearts. Zbl 1168.91409 Cheridito, Patrick; Li, Tianhui 97 2009 Optimal investment strategies for controlling drawdowns. Zbl 0884.90031 Grossman, Sanford J.; Zhou, Zhongquan 96 1993 Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040 Bank, Peter; Baum, Dietmar 96 2004 The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026 Frittelli, Marco 95 2000 A continuity correction for discrete barrier options. Zbl 1020.91020 Broadie, Mark; Glasserman, Paul; Kou, Steven 95 1997 The moment formula for implied volatility at extreme strikes. Zbl 1134.91443 Lee, Robert W. 94 2004 Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037 Weber, Stefan 94 2006 A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Zbl 1378.91129 Acciaio, B.; Beiglböck, M.; Penkner, F.; Schachermayer, W. 92 2016 Term structure models driven by general Lévy processes. Zbl 0980.91020 Eberlein, Ernst; Raible, Sebastian 92 1999 On models of default risk. Zbl 1042.91038 Elliott, R. J.; Jeanblanc, M.; Yor, M. 90 2000 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499 Carmona, René; Touzi, Nizar 89 2008 An axiomatic approach to capital allocation. Zbl 1102.91049 Kalkbrener, Michael 88 2005 The range of traded option prices. Zbl 1278.91158 Davis, Mark H. A.; Hobson, David G. 88 2007 Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods. Zbl 1020.91030 Scott, Louis O. 85 1997 Dynamic indifference valuation via convex risk measures. Zbl 1138.91502 Klöppel, Susanne; Schweizer, Martin 84 2007 Derivative asset pricing with transaction costs. Zbl 0900.90100 Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José 83 1992 Pricing options with curved boundaries. Zbl 0900.90098 Kunitomo, Naoto; Ikeda, Masayuki 81 1992 Self-decomposability and option pricing. Zbl 1278.91157 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 80 2007 Optimal investment under relative performance concerns. Zbl 1403.91310 Espinosa, Gilles-Edouard; Touzi, Nizar 79 2015 On the American option problem. Zbl 1109.91028 Peskir, Goran 79 2005 An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019 Whalley, A. E.; Wilmott, P. 78 1997 Risk measure and capital requirements for processes. Zbl 1130.91030 Frittelli, Marco; Scandolo, Giacomo 78 2006 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023 Bally, Vlad; Pagès, Gilles; Printems, Jacques 78 2005 No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421 Guasoni, Paolo 77 2006 Portfolio choice via quantiles. Zbl 1229.91291 He, Xue Dong; Zhou, Xun Yu 76 2011 Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052 Dai, Min; Kwok, Yue Kuen; Zong, Jianping 76 2008 Robust bounds for forward start options. Zbl 1278.91162 Hobson, David; Neuberger, Anthony 74 2012 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438 Feng, Liming; Linetsky, Vadim 74 2008 Asymptotics of implied volatility in local volatility models. Zbl 1270.91093 Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho 73 2012 Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm. Zbl 1136.91473 Cadenillas, Abel; Choulli, Tahir; Taksar, Michael; Zhang, Lei 73 2006 Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028 Renault, Eric; Touzi, Nizar 71 1996 Robust hedging of barrier options. Zbl 1047.91024 Brown, Haydyn; Hobson, David; Rogers, L. C. G. 70 2001 On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041 Heston, Steve; Zhou, Guofu 70 2000 Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131 Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang 69 2012 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016 Geman, Hélyette; Yor, Marc 69 1996 Asset price bubbles in incomplete markets. Zbl 1205.91069 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 69 2010 Optimal portfolio management with fixed transaction costs. Zbl 0866.90020 Morton, Andrew J.; Pliska, Stanley R. 68 1995 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034 Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 68 1999 Time changes for Lévy processes. Zbl 0983.60082 Geman, Hélyette; Madan, Dilip B.; Yor, Marc 68 2001 Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023 Frey, Rüdiger; Stremme, Alexander 68 1997 On the existence of minimax martingale measures. Zbl 1014.91031 Bellini, Fabio; Frittelli, Marco 67 2002 Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501 Romano, Marc; Touzi, Nizar 64 1997 Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134 Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu 63 2015 Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400 Sotomayor, Luz Rocío; Cadenillas, Abel 63 2009 Pricing of American path-dependent contingent claims. Zbl 0919.90005 Barraquand, Jérôme; Pudet, Thierry 63 1996 The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023 Kunitomo, Naoto; Takahashi, Akihiko 63 2001 Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032 Jouini, Elyès; Kallal, Hédi 62 1995 Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208 Crépey, Stéphane 62 2015 The valuation of American options on multiple assets. Zbl 0882.90005 Broadie, Mark; Detemple, Jérôme 62 1997 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111 El Karoui, Nicole; Ravanelli, Claudia 60 2009 Mean-variance hedging and numéraire. Zbl 1020.91024 Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên 60 1998 Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137 Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea 58 2014 Resilience to contagion in financial networks. Zbl 1348.91297 Amini, Hamed; Cont, Rama; Minca, Andreea 58 2016 A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115 Zhu, Song-Ping; Lian, Guang-Hua 58 2011 Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135 Keller-Ressel, Martin 57 2011 Disutility, optimal retirement, and portfolio selection. Zbl 1145.91343 Choi, Kyoung Jin; Shim, Gyoocheol 56 2006 Correlated defaults in intensity-based models. Zbl 1186.91237 Yu, Fan 56 2007 Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049 Scaillet, O. 56 2004 Risk-sensitive control and an optimal investment model. Zbl 1039.93069 Fleming, W. H.; Sheu, S. J. 56 2000 Laguerre series for Asian and other options. Zbl 1014.91040 Dufresne, Daniel 56 2000 Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023 Ritchken, Peter; Sankarasubramanian, L. 55 1995 The 4/2 stochastic volatility model: a unified approach for the Heston and the 3/2 model. Zbl 1411.91427 Grasselli, Martino 55 2017 Transient linear price impact and Fredholm integral equations. Zbl 1278.91061 Gatheral, Jim; Schied, Alexander; Slynko, Alla 55 2012 Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Zbl 1141.91428 Choi, Kyoung Jin; Shim, Gyoocheol; Shin, Yong Hyun 54 2008 Reinforcement learning with dynamic convex risk measures. Zbl 1533.91501 Coache, Anthony; Jaimungal, Sebastian 2 2024 Designing universal causal deep learning models: the geometric (hyper)transformer. Zbl 1533.91509 Acciaio, Beatrice; Kratsios, Anastasis; Pammer, Gudmund 2 2024 Effective algorithms for optimal portfolio deleveraging problem with cross impact. Zbl 1530.91531 Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian 1 2024 Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. Zbl 1536.91042 Lei, Qian; Pun, Chi Seng 1 2024 Insurance-finance arbitrage. Zbl 07947049 Artzner, Philippe; Eisele, Karl-Theodor; Schmidt, Thorsten 1 2024 Predictable forward performance processes: infrequent evaluation and applications to human-machine interactions. Zbl 1531.91242 Liang, Gechun; Strub, Moris S.; Wang, Yuwei 8 2023 Algorithmic market making in dealer markets with hedging and market impact. Zbl 1522.91237 Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier 7 2023 Discrete-time risk sensitive portfolio optimization with proportional transaction costs. Zbl 1531.91234 Pitera, Marcin; Stettner, Łukasz 5 2023 Recent advances in reinforcement learning in finance. Zbl 1531.91225 Hambly, Ben; Xu, Renyuan; Yang, Huining 5 2023 Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. Zbl 1531.91257 Zeng, Pingping; Xu, Ziqing; Jiang, Pingping; Kwok, Yue Kuen 4 2023 Equilibrium investment with random risk aversion. Zbl 1531.91221 Desmettre, Sascha; Steffensen, Mogens 4 2023 Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312 Reppen, Anders Max; Soner, Halil Mete 3 2023 Trading with the crowd. Zbl 1531.91232 Neuman, Eyal; Voß, Moritz 3 2023 Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. Zbl 1529.91066 Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 3 2023 Neural network approximation for superhedging prices. Zbl 1522.91263 Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas 2 2023 Preference robust distortion risk measure and its application. Zbl 1522.91322 Wang, Wei; Xu, Huifu 2 2023 Markov decision processes under model uncertainty. Zbl 1531.91231 Neufeld, Ariel; Sester, Julian; Šikić, Mario 2 2023 Crypto quanto and inverse options. Zbl 1531.91247 Alexander, Carol; Chen, Ding; Imeraj, Arben 2 2023 Optimal dynamic regulation of carbon emissions market. Zbl 1522.91171 Aïd, René; Biagini, Sara 1 2023 Reverse stress testing: scenario design for macroprudential stress tests. Zbl 1522.91296 Baes, Michel; Schaanning, Eric 1 2023 A model-free approach to continuous-time finance. Zbl 1522.91213 Chiu, Henry; Cont, Rama 1 2023 Pathwise CVA regressions with oversimulated defaults. Zbl 1522.91253 Abbas-Turki, Lokman A.; Crépey, Stéphane; Saadeddine, Bouazza 1 2023 Pro-cyclicality beyond business cycle. Zbl 1522.91315 Bräutigam, Marcel; Dacorogna, Michel; Kratz, Marie 1 2023 Model-free portfolio theory: a rough path approach. Zbl 1531.91211 Allan, Andrew L.; Cuchiero, Christa; Liu, Chong; Prömel, David J. 1 2023 Deep order flow imbalance: extracting alpha at multiple horizons from the limit order book. Zbl 1531.91240 Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas 1 2023 Closed-loop Nash competition for liquidity. Zbl 1531.91245 Micheli, Alessandro; Muhle-Karbe, Johannes; Neuman, Eyal 1 2023 Local volatility under rough volatility. Zbl 1529.91068 Bourgey, Florian; De Marco, Stefano; Friz, Peter K.; Pigato, Paolo 1 2023 Learning equilibrium mean-variance strategy. Zbl 1531.91218 Dai, Min; Dong, Yuchao; Jia, Yanwei 1 2023 Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272 Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca 13 2022 A mean-field game approach to equilibrium pricing in solar renewable energy certificate markets. Zbl 1522.91176 Shrivats, Arvind V.; Firoozi, Dena; Jaimungal, Sebastian 7 2022 Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233 Pham, Huyên; Wei, Xiaoli; Zhou, Chao 7 2022 An infinite-dimensional affine stochastic volatility model. Zbl 1522.91270 Cox, Sonja; Karbach, Sven; Khedher, Asma 6 2022 Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. Zbl 1522.91271 Ekren, Ibrahim; Nadtochiy, Sergey 5 2022 Mean-\( \rho\) portfolio selection and \(\rho \)-arbitrage for coherent risk measures. Zbl 1522.91223 Herdegen, Martin; Khan, Nazem 5 2022 Calibration of local-stochastic volatility models by optimal transport. Zbl 1522.91274 Guo, Ivan; Loeper, Grégoire; Wang, Shiyi 4 2022 The Laplace transform of the integrated Volterra Wishart process. Zbl 1522.91254 Abi Jaber, Eduardo 4 2022 Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219 Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu 4 2022 Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Zbl 1522.91226 Itkin, David; Larsson, Martin 3 2022 Optimal dividend payout under stochastic discounting. Zbl 1522.91305 Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; Gozzi, Fausto 3 2022 When does portfolio compression reduce systemic risk? Zbl 1534.91170 Veraart, Luitgard Anna Maria 3 2022 The American put with finite-time maturity and stochastic interest rate. Zbl 1522.91265 Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan 3 2022 A simple microstructural explanation of the concavity of price impact. Zbl 1522.91248 Nadtochiy, Sergey 2 2022 Optimal investment for retail investors. Zbl 1522.91206 Belak, Christoph; Mich, Lukas; Seifried, Frank T. 2 2022 Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 1530.91564 Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós 2 2022 Inter-temporal mutual-fund management. Zbl 1522.91208 Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip 1 2022 Consistent time-homogeneous modeling of SPX and VIX derivatives. Zbl 1522.91283 Papanicolaou, Andrew 1 2022 While stability lasts: a stochastic model of noncustodial stablecoins. Zbl 1522.91326 Klages-Mundt, Ariah; Minca, Andreea 1 2022 Asymptotic analysis of long-term investment with two illiquid and correlated assets. Zbl 1522.91212 Chen, Xinfu; Dai, Min; Jiang, Wei; Qin, Cong 1 2022 Protecting pegged currency markets from speculative investors. Zbl 1522.91163 Neuman, Eyal; Schied, Alexander 1 2022 Ordering and inequalities for mixtures on risk aggregation. Zbl 1522.91316 Chen, Yuyu; Liu, Peng; Liu, Yang; Wang, Ruodu 1 2022 Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260 Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 18 2021 The alpha-Heston stochastic volatility model. Zbl 1522.91278 Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao 12 2021 Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170 Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan 12 2021 Forward rank-dependent performance criteria: time-consistent investment under probability distortion. Zbl 1522.91224 He, Xue Dong; Strub, Moris S.; Zariphopoulou, Thaleia 12 2021 Optimal stopping under model ambiguity: a time-consistent equilibrium approach. Zbl 1530.91599 Huang, Yu-Jui; Yu, Xiang 11 2021 Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. Zbl 1522.91243 Forde, Martin; Gerhold, Stefan; Smith, Benjamin 11 2021 Risk-sensitive benchmarked asset management with expert forecasts. Zbl 1522.91216 Davis, Mark H. A.; Lleo, Sébastien 9 2021 Size matters for OTC market makers: general results and dimensionality reduction techniques. Zbl 1522.91238 Bergault, Philippe; Guéant, Olivier 9 2021 Sharing the value-at-risk under distributional ambiguity. Zbl 1522.91317 Chen, Zhi; Xie, Weijun 9 2021 Weak transport for non-convex costs and model-independence in a fixed-income market. Zbl 1522.91255 Acciaio, Beatrice; Beiglböck, Mathias; Pammer, Gudmund 8 2021 Optimal make-take fees for market making regulation. Zbl 1522.91242 El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar 8 2021 Bayes risk, elicitability, and the expected shortfall. Zbl 1522.91318 Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu 7 2021 Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Zbl 1530.91510 Chen, Lv; Landriault, David; Li, Bin; Li, Danping 7 2021 Open markets. Zbl 1522.91227 Karatzas, Ioannis; Kim, Donghan 6 2021 Markov chains under nonlinear expectation. Zbl 1522.91281 Nendel, Max 6 2021 Asset pricing with general transaction costs: theory and numerics. Zbl 1521.91366 Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei 6 2021 Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282 Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi 6 2021 An elementary approach to the Merton problem. Zbl 1522.91222 Herdegen, Martin; Hobson, David; Jerome, Joseph 5 2021 Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. Zbl 1522.91231 Obłój, Jan; Wiesel, Johannes 5 2021 On utility maximization under model uncertainty in discrete-time markets. Zbl 1522.91234 Rásonyi, Miklós; Meireles-Rodrigues, Andrea 5 2021 Model risk in credit risk. Zbl 1529.91070 Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia 4 2021 Intra-horizon expected shortfall and risk structure in models with jumps. Zbl 1522.91319 Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola 4 2021 Relative arbitrage: sharp time horizons and motion by curvature. Zbl 1522.91228 Larsson, Martin; Ruf, Johannes 3 2021 Interbank lending with benchmark rates: Pareto optima for a class of singular control games. Zbl 1522.91297 Cont, Rama; Guo, Xin; Xu, Renyuan 3 2021 Generalized statistical arbitrage concepts and related gain strategies. Zbl 1521.91349 Rein, Christian; Rüschendorf, Ludger; Schmidt, Thorsten 2 2021 Penalty method for portfolio selection with capital gains tax. Zbl 1522.91209 Bian, Baojun; Chen, Xinfu; Dai, Min; Qian, Shuaijie 2 2021 Consistent investment of sophisticated rank-dependent utility agents in continuous time. Zbl 1522.91225 Hu, Ying; Jin, Hanqing; Zhou, Xun Yu 2 2021 Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267 Carr, Peter; Lee, Roger; Lorig, Matthew 2 2021 Option pricing models without probability: a rough paths approach. Zbl 1522.91258 Armstrong, John; Bellani, Claudio; Brigo, Damiano; Cass, Thomas 2 2021 Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. Zbl 1522.91205 Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim 2 2021 Binary funding impacts in derivative valuation. Zbl 1522.91279 Lee, Junbeom; Zhou, Chao 2 2021 Liquidity in competitive dealer markets. Zbl 1521.91342 Bank, Peter; Ekren, Ibrahim; Muhle-Karbe, Johannes 1 2021 Risk-neutral pricing techniques and examples. Zbl 1521.91360 Jarrow, Robert A.; Patie, Pierre; Srapionyan, Anna; Zhao, Yixuan 1 2021 Simulating risk measures via asymptotic expansions for relative errors. Zbl 1522.91320 Jiang, Wei; Kou, Steven 1 2021 The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257 Alòs, Elisa; Fukasawa, Masaaki 1 2021 Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522 Casgrain, Philippe; Jaimungal, Sebastian 34 2020 A regularity structure for rough volatility. Zbl 1508.91548 Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 33 2020 General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 1508.91603 Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu 31 2020 No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536 Jusselin, Paul; Rosenbaum, Mathieu 21 2020 Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515 Wang, Haoran; Zhou, Xun Yu 20 2020 Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613 Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic 18 2020 Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627 Huang, Yu-jui; Zhou, Zhou 18 2020 Distress and default contagion in financial networks. Zbl 1508.91599 Veraart, Luitgard Anna Maria 16 2020 Network valuation in financial systems. Zbl 1508.91593 Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano 15 2020 Option pricing with orthogonal polynomial expansions. Zbl 1508.91546 Ackerer, Damien; Filipović, Damir 14 2020 Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574 Beissner, Patrick; Lin, Qian; Riedel, Frank 13 2020 Risk functionals with convex level sets. Zbl 1508.91624 Wang, Ruodu; Wei, Yunran 11 2020 Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493 Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo 11 2020 Optimal dividend policies with random profitability. Zbl 1508.91483 Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 11 2020 Double continuation regions for American and swing options with negative discount rate in Lévy models. Zbl 1508.91555 De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna 10 2020 ...and 762 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 11,957 Authors 89 Siu, Tak Kuen 80 Madan, Dilip B. 75 Bayraktar, Erhan 62 Wu, Zhen 61 Elliott, Robert James 61 Wong, Hoi Ying 52 Young, Virginia R. 50 Touzi, Nizar 50 Wang, Ruodu 47 Zhu, Songping 46 Jaimungal, Sebastian 45 Muhle-Karbe, Johannes 45 Zhou, Xunyu 44 Platen, Eckhard 43 Li, Zhongfei 43 Yang, Hailiang 42 Jarrow, Robert Alan 42 Rásonyi, Miklós 41 Filipović, Damir 41 Hu, Ying 39 Forsyth, Peter A. 38 Biagini, Francesca 38 Jeanblanc, Monique 37 Kupper, Michael 37 Li, Duan 37 Schachermayer, Walter 35 Ji, Shaolin 35 Soner, Halil Mete 34 Benth, Fred Espen 34 Hu, Yijun 34 Jin, Zhuo 34 Li, Xun 34 Schoutens, Wim 33 Bo, Lijun 33 Oosterlee, Cornelis Willebrordus 33 Peng, Shige 33 Pham, Huyên 32 Bouchard, Bruno 32 Chen, Zhiping 32 Jacquier, Antoine 32 Possamaï, Dylan 32 Yong, Jiongmin 31 Cui, Zhenyu 31 Dolinsky, Yan 31 Guasoni, Paolo 31 Hobson, David Graham 31 Levendorskiĭ, Sergeĭ Zakharovich 31 Rutkowski, Marek 31 Shen, Yang 31 Takahashi, Akihiko 30 Rachev, Svetlozar T. 30 Xu, Zuoquan 30 Zeng, Yan 29 Eberlein, Ernst W. 29 Fabozzi, Frank J. 29 Gobet, Emmanuel 29 Obloj, Jan K. 29 Pagès, Gilles 29 Pascucci, Andrea 29 Schied, Alexander 29 Wei, Jiaqin 29 Zhang, Jianfeng 28 Carr, Peter Paul 28 Li, Lingfei 28 Øksendal, Bernt Karsten 28 Schoenmakers, John G. 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