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: 926 Publications (since 1991) References Indexed: 722 Publications with 21,909 References. all top 5 Latest Issues 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. 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) 9, No. 4 (1999) 9, No. 3 (1999) 9, No. 2 (1999) ...and 31 more Volumes all top 5 Authors 19 Zhou, Xunyu 16 Jarrow, Robert Alan 15 Schachermayer, Walter 14 Filipović, Damir 13 Guasoni, Paolo 13 Madan, Dilip B. 13 Muhle-Karbe, Johannes 12 Cont, Rama 11 Delbaen, Freddy 11 Rogers, L. C. G. 10 Bayraktar, Erhan 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 Černý, Aleš 6 Eberlein, Ernst W. 6 He, Xuedong 6 Kwok, Yue-Kuen 6 Larsson, Martin 6 Nutz, Marcel 6 Obloj, Jan K. 6 Rutkowski, Marek 5 Bender, Christian 5 Bensoussan, Alain 5 Biagini, Francesca 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 Henderson, Vicky 5 Jeanblanc, Monique 5 Kabanov, Yuriĭ Mikhaĭlovich 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Li, Duan 5 Lorig, Matthew J. 5 Minca, Andreea 5 Protter, Philip Elliott 5 Robertson, Scott 5 Runggaldier, Wolfgang J. 5 Sircar, Ronnie 5 Soner, Halil Mete 5 Stricker, Christophe 5 Taksar, Michael I. 5 Teichmann, Josef 5 Wang, Ruodu 5 Xia, Jianming 4 Acciaio, Beatrice 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 Guéant, Olivier 4 Heath, David C. 4 Herdegen, Martin 4 Huang, Yu-Jui 4 Jouini, Elyès 4 Karatzas, Ioannis 4 Klein, Irene 4 Korn, Ralf 4 Nadtochiy, Sergey 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 4 Xu, Zuoquan 4 Zapatero, Fernando ...and 1,070 more Authors all top 5 Fields 920 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 325 Probability theory and stochastic processes (60-XX) 72 Systems theory; control (93-XX) 46 Statistics (62-XX) 35 Operations research, mathematical programming (90-XX) 31 Numerical analysis (65-XX) 28 Calculus of variations and optimal control; optimization (49-XX) 26 Partial differential equations (35-XX) 8 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 828 Publications have been cited 22,134 times in 12,605 Documents Cited by ▼ Year ▼ Coherent measures of risk. Zbl 0980.91042 Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David 1,913 1999 Backward stochastic differential equations in finance. Zbl 0884.90035 El Karoui, N.; Peng, S.; Quenez, M. C. 1,135 1997 Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027 Li, Duan; Ng, Wan-Lung 380 2000 A yield-factor model of interest rates. Zbl 0915.90014 Duffie, Darrell; Kan, Rui 284 1996 Stochastic volatility for Lévy processes. Zbl 1092.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 264 2003 Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116 Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu 242 2014 Long memory in continuous-time stochastic volatility models. Zbl 1020.91021 Comte, Fabienne; Renault, Eric 204 1998 The market model of interest rate dynamics. Zbl 0884.90008 Brace, Alan; Gątarek, Dariusz; Musiela, Marek 178 1997 Bessel processes, Asian options, and perpetuities. Zbl 0884.90029 Geman, Hélyette; Yor, Marc 170 1993 Arbitrage with fractional Brownian motion. Zbl 0884.90045 Rogers, L. C. G. 166 1997 The GARCH option pricing model. Zbl 0866.90031 Duan, Jin-Chuan 153 1995 Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466 Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu 147 2005 Optimal stopping and the American put. Zbl 0900.90109 Jacka, S. D. 146 1991 Exponential hedging and entropic penalties. Zbl 1072.91019 Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe 145 2002 Monte Carlo valuation of American options. Zbl 1029.91036 Rogers, L. C. G. 140 2002 Pricing via utility maximization and entropy. Zbl 1052.91512 Rouge, Richard; El Karoui, Nicole 137 2000 Alternative characterizations of American put options. Zbl 0900.90004 Carr, Peter; Jarrow, Robert; Myneni, Ravi 134 1992 Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016 Azcue, Pablo; Muler, Nora 123 2005 Universal portfolios. Zbl 0900.90052 Cover, Thomas M. 116 1991 Option pricing with V. G. martingale components. Zbl 0900.90105 Madan, Dilip B.; Milne, Frank 115 1991 Robustness of the Black and Scholes formula. Zbl 0910.90008 El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E. 114 1998 Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052 Højgaard, Bjarne; Taksar, Michael 114 1999 An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116 Ben-Tal, Aharon; Teboulle, Marc 113 2007 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007 Cvitanić, Jakša; Karatzas, Ioannis 110 1996 The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046 Schachermayer, Walter 110 2004 Bond market structure in the presence of marked point processes. Zbl 0884.90014 Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang 109 1997 Behavioral portfolio selection in continuous time. Zbl 1141.91454 Jin, Hanqing; Zhou, Xun Yu 105 2008 Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360 Jouini, E.; Schachermayer, W.; Touzi, N. 102 2008 A general fractional white noise theory and applications to finance. Zbl 1069.91047 Elliott, Robert J.; van der Hoek, John 101 2003 Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054 Taylor, Stephen J. 99 1994 Complete models with stochastic volatility. Zbl 0908.90012 Hobson, David G.; Rogers, L. C. G. 98 1998 The characteristic function of rough Heston models. Zbl 1411.91553 El Euch, Omar; Rosenbaum, Mathieu 96 2019 Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413 Cont, Rama 95 2006 Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020 Nicolato, Elisa; Venardos, Emmanouil 95 2003 Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072 Henderson, Vicky 93 2002 Risk measures on Orlitz hearts. Zbl 1168.91409 Cheridito, Patrick; Li, Tianhui 92 2009 The moment formula for implied volatility at extreme strikes. Zbl 1134.91443 Lee, Robert W. 92 2004 Coherence and elicitability. Zbl 1390.91336 Ziegel, Johanna F. 92 2016 A continuity correction for discrete barrier options. Zbl 1020.91020 Broadie, Mark; Glasserman, Paul; Kou, Steven 91 1997 Term structure models driven by general Lévy processes. Zbl 0980.91020 Eberlein, Ernst; Raible, Sebastian 90 1999 Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040 Bank, Peter; Baum, Dietmar 90 2004 Optimal multiple stopping and valuation of swing options. Zbl 1133.91499 Carmona, René; Touzi, Nizar 87 2008 Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037 Weber, Stefan 87 2006 The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026 Frittelli, Marco 86 2000 Optimal investment strategies for controlling drawdowns. Zbl 0884.90031 Grossman, Sanford J.; Zhou, Zhongquan 85 1993 On models of default risk. Zbl 1042.91038 Elliott, R. J.; Jeanblanc, M.; Yor, M. 85 2000 An axiomatic approach to capital allocation. Zbl 1102.91049 Kalkbrener, Michael 84 2005 Dynamic indifference valuation via convex risk measures. Zbl 1138.91502 Klöppel, Susanne; Schweizer, Martin 82 2007 Derivative asset pricing with transaction costs. Zbl 0900.90100 Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José 81 1992 The range of traded option prices. Zbl 1278.91158 Davis, Mark H. A.; Hobson, David G. 80 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. 77 1997 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. 77 2016 Pricing options with curved boundaries. Zbl 0900.90098 Kunitomo, Naoto; Ikeda, Masayuki 76 1992 A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023 Bally, Vlad; Pagès, Gilles; Printems, Jacques 75 2005 Self-decomposability and option pricing. Zbl 1278.91157 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc 74 2007 Risk measure and capital requirements for processes. Zbl 1130.91030 Frittelli, Marco; Scandolo, Giacomo 73 2006 No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421 Guasoni, Paolo 73 2006 On the American option problem. Zbl 1109.91028 Peskir, Goran 73 2005 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 71 2006 Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052 Dai, Min; Kwok, Yue Kuen; Zong, Jianping 71 2008 Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438 Feng, Liming; Linetsky, Vadim 71 2008 Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028 Renault, Eric; Touzi, Nizar 70 1996 Asymptotics of implied volatility in local volatility models. Zbl 1270.91093 Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho 70 2012 An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019 Whalley, A. E.; Wilmott, P. 69 1997 Robust bounds for forward start options. Zbl 1278.91162 Hobson, David; Neuberger, Anthony 68 2012 Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023 Frey, Rüdiger; Stremme, Alexander 67 1997 Robust hedging of barrier options. Zbl 1047.91024 Brown, Haydyn; Hobson, David; Rogers, L. C. G. 67 2001 Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016 Geman, Hélyette; Yor, Marc 67 1996 Optimal portfolio management with fixed transaction costs. Zbl 0866.90020 Morton, Andrew J.; Pliska, Stanley R. 67 1995 On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041 Heston, Steve; Zhou, Guofu 66 2000 Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131 Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang 66 2012 Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034 Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez 65 1999 Asset price bubbles in incomplete markets. Zbl 1205.91069 Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro 65 2010 On the existence of minimax martingale measures. Zbl 1014.91031 Bellini, Fabio; Frittelli, Marco 65 2002 Portfolio choice via quantiles. Zbl 1229.91291 He, Xue Dong; Zhou, Xun Yu 64 2011 Time changes for Lévy processes. Zbl 0983.60082 Geman, Hélyette; Madan, Dilip B.; Yor, Marc 64 2001 Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501 Romano, Marc; Touzi, Nizar 62 1997 Pricing of American path-dependent contingent claims. Zbl 0919.90005 Barraquand, Jérôme; Pudet, Thierry 62 1996 The valuation of American options on multiple assets. Zbl 0882.90005 Broadie, Mark; Detemple, Jérôme 61 1997 The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023 Kunitomo, Naoto; Takahashi, Akihiko 60 2001 Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400 Sotomayor, Luz Rocío; Cadenillas, Abel 59 2009 Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032 Jouini, Elyès; Kallal, Hédi 59 1995 Mean-variance hedging and numéraire. Zbl 1020.91024 Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên 58 1998 Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134 Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu 58 2015 Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208 Crépey, Stéphane 57 2015 Risk-sensitive control and an optimal investment model. Zbl 1039.93069 Fleming, W. H.; Sheu, S. J. 55 2000 Laguerre series for Asian and other options. Zbl 1014.91040 Dufresne, Daniel 55 2000 Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111 El Karoui, Nicole; Ravanelli, Claudia 55 2009 Optimal investment under relative performance concerns. Zbl 1403.91310 Espinosa, Gilles-Edouard; Touzi, Nizar 55 2015 Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135 Keller-Ressel, Martin 54 2011 Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023 Ritchken, Peter; Sankarasubramanian, L. 53 1995 Resilience to contagion in financial networks. Zbl 1348.91297 Amini, Hamed; Cont, Rama; Minca, Andreea 53 2016 Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137 Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea 52 2014 Valuations and dynamic convex risk measures. Zbl 1138.91501 Jobert, A.; Rogers, L. C. G. 51 2008 Disutility, optimal retirement, and portfolio selection. Zbl 1145.91343 Choi, Kyoung Jin; Shim, Gyoocheol 51 2006 Correlated defaults in intensity-based models. Zbl 1186.91237 Yu, Fan 50 2007 Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Zbl 1141.91428 Choi, Kyoung Jin; Shim, Gyoocheol; Shin, Yong Hyun 50 2008 On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034 Kabanov, Yuri M.; Stricker, Christophe 50 2002 A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115 Zhu, Song-Ping; Lian, Guang-Hua 49 2011 Interest rate dynamics and consistent forward rate curves. Zbl 0980.91030 Björk, Tomas; Christensen, Bent Jesper 49 1999 Effective algorithms for optimal portfolio deleveraging problem with cross impact. Zbl 07790867 Luo, Hezhi; Chen, Yuanyuan; Zhang, Xianye; Li, Duan; Wu, Huixian 1 2024 Nonlocality, nonlinearity, and time inconsistency in stochastic differential games. Zbl 07790870 Lei, Qian; Pun, Chi Seng 1 2024 Algorithmic market making in dealer markets with hedging and market impact. Zbl 1522.91237 Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier 4 2023 Preference robust distortion risk measure and its application. Zbl 1522.91322 Wang, Wei; Xu, Huifu 2 2023 Equilibria of time-inconsistent stopping for one-dimensional diffusion processes. Zbl 07797366 Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou 2 2023 Deep empirical risk minimization in finance: looking into the future. Zbl 1522.91312 Reppen, Anders Max; Soner, Halil Mete 1 2023 Neural network approximation for superhedging prices. Zbl 1522.91263 Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas 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 Recent advances in reinforcement learning in finance. Zbl 07797359 Hambly, Ben; Xu, Renyuan; Yang, Huining 1 2023 Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233 Pham, Huyên; Wei, Xiaoli; Zhou, Chao 6 2022 Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272 Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca 6 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 5 2022 Calibration of local-stochastic volatility models by optimal transport. Zbl 1522.91274 Guo, Ivan; Loeper, Grégoire; Wang, Shiyi 4 2022 Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact. Zbl 1522.91271 Ekren, Ibrahim; Nadtochiy, Sergey 3 2022 Mean-\( \rho\) portfolio selection and \(\rho \)-arbitrage for coherent risk measures. Zbl 1522.91223 Herdegen, Martin; Khan, Nazem 3 2022 Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Zbl 1522.91226 Itkin, David; Larsson, Martin 2 2022 The Laplace transform of the integrated Volterra Wishart process. Zbl 1522.91254 Abi Jaber, Eduardo 2 2022 Optimal dividend payout under stochastic discounting. Zbl 1522.91305 Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; Gozzi, Fausto 2 2022 Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219 Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu 2 2022 The American put with finite-time maturity and stochastic interest rate. Zbl 1522.91265 Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan 2 2022 A simple microstructural explanation of the concavity of price impact. Zbl 1522.91248 Nadtochiy, Sergey 1 2022 Protecting pegged currency markets from speculative investors. Zbl 1522.91163 Neuman, Eyal; Schied, Alexander 1 2022 Optimal investment for retail investors. Zbl 1522.91206 Belak, Christoph; Mich, Lukas; Seifried, Frank T. 1 2022 When does portfolio compression reduce systemic risk? Zbl 07743077 Veraart, Luitgard Anna Maria 1 2022 Inter-temporal mutual-fund management. Zbl 1522.91208 Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip 1 2022 Super-replication with transaction costs under model uncertainty for continuous processes. Zbl 07743087 Chau, Huy N.; Fukasawa, Masaaki; Rásonyi, Miklós 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 Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260 Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou 12 2021 Mean-field moral hazard for optimal energy demand response management. Zbl 1522.91170 Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan 8 2021 Forward rank-dependent performance criteria: time-consistent investment under probability distortion. Zbl 1522.91224 He, Xue Dong; Strub, Moris S.; Zariphopoulou, Thaleia 8 2021 Optimal stopping under model ambiguity: a time-consistent equilibrium approach. Zbl 07743026 Huang, Yu-Jui; Yu, Xiang 8 2021 Optimal make-take fees for market making regulation. Zbl 1522.91242 El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar 7 2021 Size matters for OTC market makers: general results and dimensionality reduction techniques. Zbl 1522.91238 Bergault, Philippe; Guéant, Olivier 7 2021 The alpha-Heston stochastic volatility model. Zbl 1522.91278 Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao 7 2021 Sharing the value-at-risk under distributional ambiguity. Zbl 1522.91317 Chen, Zhi; Xie, Weijun 6 2021 Weak transport for non-convex costs and model-independence in a fixed-income market. Zbl 1522.91255 Acciaio, Beatrice; Beiglböck, Mathias; Pammer, Gudmund 5 2021 Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. Zbl 1522.91243 Forde, Martin; Gerhold, Stefan; Smith, Benjamin 4 2021 Asset pricing with general transaction costs: theory and numerics. Zbl 1521.91366 Gonon, Lukas; Muhle-Karbe, Johannes; Shi, Xiaofei 4 2021 Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282 Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi 4 2021 Intra-horizon expected shortfall and risk structure in models with jumps. Zbl 1522.91319 Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola 4 2021 Risk-sensitive benchmarked asset management with expert forecasts. Zbl 1522.91216 Davis, Mark H. A.; Lleo, Sébastien 4 2021 An elementary approach to the Merton problem. Zbl 1522.91222 Herdegen, Martin; Hobson, David; Jerome, Joseph 4 2021 Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. Zbl 1522.91231 Obłój, Jan; Wiesel, Johannes 4 2021 On utility maximization under model uncertainty in discrete-time markets. Zbl 1522.91234 Rásonyi, Miklós; Meireles-Rodrigues, Andrea 3 2021 Markov chains under nonlinear expectation. Zbl 1522.91281 Nendel, Max 3 2021 Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Zbl 07743016 Chen, Lv; Landriault, David; Li, Bin; Li, Danping 3 2021 Open markets. Zbl 1522.91227 Karatzas, Ioannis; Kim, Donghan 3 2021 Bayes risk, elicitability, and the expected shortfall. Zbl 1522.91318 Embrechts, Paul; Mao, Tiantian; Wang, Qiuqi; Wang, Ruodu 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 Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. Zbl 1522.91205 Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim 2 2021 Model risk in credit risk. Zbl 07742856 Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia 2 2021 Relative arbitrage: sharp time horizons and motion by curvature. Zbl 1522.91228 Larsson, Martin; Ruf, Johannes 2 2021 Penalty method for portfolio selection with capital gains tax. Zbl 1522.91209 Bian, Baojun; Chen, Xinfu; Dai, Min; Qian, Shuaijie 2 2021 Robust replication of volatility and hybrid derivatives on jump diffusions. Zbl 1522.91267 Carr, Peter; Lee, Roger; Lorig, Matthew 2 2021 Binary funding impacts in derivative valuation. Zbl 1522.91279 Lee, Junbeom; Zhou, Chao 1 2021 The asymptotic expansion of the regular discretization error of Itô integrals. Zbl 1522.91257 Alòs, Elisa; Fukasawa, Masaaki 1 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 Consistent investment of sophisticated rank-dependent utility agents in continuous time. Zbl 1522.91225 Hu, Ying; Jin, Hanqing; Zhou, Xun Yu 1 2021 Option pricing models without probability: a rough paths approach. Zbl 1522.91258 Armstrong, John; Bellani, Claudio; Brigo, Damiano; Cass, Thomas 1 2021 Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522 Casgrain, Philippe; Jaimungal, Sebastian 29 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 27 2020 A regularity structure for rough volatility. Zbl 1508.91548 Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin 25 2020 Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627 Huang, Yu-jui; Zhou, Zhou 15 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 Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515 Wang, Haoran; Zhou, Xun Yu 15 2020 No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536 Jusselin, Paul; Rosenbaum, Mathieu 15 2020 Distress and default contagion in financial networks. Zbl 1508.91599 Veraart, Luitgard Anna Maria 13 2020 Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613 Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic 13 2020 Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574 Beissner, Patrick; Lin, Qian; Riedel, Frank 11 2020 Option pricing with orthogonal polynomial expansions. Zbl 1508.91546 Ackerer, Damien; Filipović, Damir 10 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 Nonlinear price impact and portfolio choice. Zbl 1508.91502 Guasoni, Paolo; Weber, Marko Hans 9 2020 Inference for large financial systems. Zbl 1508.91530 Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A. 9 2020 Optimal dividend policies with random profitability. Zbl 1508.91483 Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete 9 2020 Self-similarity in long-horizon returns. Zbl 1508.91583 Madan, Dilip B.; Schoutens, Wim 8 2020 Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493 Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo 8 2020 Shortfall aversion. Zbl 1508.91501 Guasoni, Paolo; Huberman, Gur; Ren, Dan 7 2020 Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 1508.91538 Liang, Zongxia; Ma, Ming 7 2020 Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 1508.91509 Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas 7 2020 Risk functionals with convex level sets. Zbl 1508.91624 Wang, Ruodu; Wei, Yunran 7 2020 Existence of a calibrated regime switching local volatility model. Zbl 1506.91165 Jourdain, Benjamin; Zhou, Alexandre 6 2020 Static and semistatic hedging as contrarian or conformist bets. Zbl 1508.91551 Boyarchenko, Svetlana; Levendorskiĭ, Sergei 5 2020 A martingale representation theorem and valuation of defaultable securities. Zbl 1508.91553 Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle 5 2020 Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 1508.91578 Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana 5 2020 Asset pricing with heterogeneous beliefs and illiquidity. Zbl 1508.91584 Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei 4 2020 Consistency of option prices under bid-ask spreads. Zbl 1517.91239 Gerhold, Stefan; Gülüm, Ismail Cetin 4 2020 Robust XVA. Zbl 1508.91550 Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan 3 2020 Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 1508.91496 Černý, Aleš 3 2020 Robust risk aggregation with neural networks. Zbl 1508.91619 Eckstein, Stephan; Kupper, Michael; Pohl, Mathias 3 2020 Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 1508.91554 Dassios, Angelos; Lim, Jia Wei; Qu, Yan 3 2020 Pathwise moderate deviations for option pricing. Zbl 1508.91562 Jacquier, Antoine; Spiliopoulos, Konstantinos 3 2020 Optimal consumption and investment with liquid and illiquid assets. Zbl 1508.91498 Choi, Jin Hyuk 3 2020 Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 1508.91576 Burzoni, Matteo; Šikić, Mario 3 2020 Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 1508.91614 Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John 2 2020 Semistatic and sparse variance-optimal hedging. Zbl 1519.91255 Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin 2 2020 Convex duality and Orlicz spaces in expected utility maximization. Zbl 1508.91575 Biagini, Sara; Černý, Aleš 2 2020 ...and 728 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 11,163 Authors 87 Siu, Tak Kuen 76 Madan, Dilip B. 67 Bayraktar, Erhan 61 Elliott, Robert James 59 Wong, Hoi Ying 56 Wu, Zhen 52 Young, Virginia R. 50 Touzi, Nizar 47 Zhu, Songping 43 Platen, Eckhard 43 Wang, Ruodu 42 Li, Zhongfei 42 Yang, Hailiang 40 Rásonyi, Miklós 38 Forsyth, Peter A. 38 Jarrow, Robert Alan 38 Jeanblanc, Monique 38 Muhle-Karbe, Johannes 37 Hu, Ying 37 Jaimungal, Sebastian 36 Filipović, Damir 36 Zhou, Xunyu 35 Biagini, Francesca 35 Kupper, Michael 35 Li, Duan 35 Schachermayer, Walter 34 Hu, Yijun 33 Jin, Zhuo 33 Pham, Huyên 33 Schoutens, Wim 32 Ji, Shaolin 32 Oosterlee, Cornelis Willebrordus 32 Peng, Shige 32 Soner, Halil Mete 31 Benth, Fred Espen 31 Li, Xun 31 Yong, Jiongmin 30 Bo, Lijun 30 Bouchard, Bruno 30 Cui, Zhenyu 30 Possamaï, Dylan 30 Shen, Yang 30 Takahashi, Akihiko 30 Zeng, Yan 29 Fabozzi, Frank J. 29 Hobson, David Graham 29 Pascucci, Andrea 29 Rutkowski, Marek 28 Dolinsky, Yan 28 Eberlein, Ernst W. 28 Jacquier, Antoine 28 Levendorskiĭ, Sergeĭ Zakharovich 28 Øksendal, Bernt Karsten 28 Rachev, Svetlozar T. 28 Schied, Alexander 27 Carr, Peter Paul 27 Gobet, Emmanuel 27 Obloj, Jan K. 27 Pagès, Gilles 27 Shin, Yong Hyun 27 Tan, Ken Seng 26 Bender, Christian 26 Chen, Zhiping 26 Guasoni, Paolo 26 Korn, Ralf 26 Schoenmakers, John G. M. 26 Tankov, Peter 26 Wang, Rongming 26 Wei, Jiaqin 25 Beiglböck, Mathias 25 Belomestny, Denis 25 Bielecki, Tomasz R. 25 Chiarella, Carl 25 Crepey, Stephane 25 Dai, Min 25 Delbaen, Freddy 25 Jeon, Junkee 25 Lorig, Matthew J. 25 Protter, Philip Elliott 25 Xiong, Dewen 25 Xu, Zuoquan 25 Zheng, Harry H. 24 Balbás, Alejandro 24 Campi, Luciano 24 Cheridito, Patrick 24 Joshi, Mark S. 24 Kallsen, Jan 24 Leung, Tim 24 Li, Lingfei 24 Rudloff, Birgit 24 Rüschendorf, Ludger 24 Ruszczyński, Andrzej 23 Cartea, Álvaro 23 Fan, Shengjun 23 Feinstein, Zachary 23 Frittelli, Marco 23 Fukasawa, Masaaki 23 Grasselli, Martino 23 Kwok, Yue-Kuen 23 Seifried, Frank Thomas ...and 11,063 more Authors all top 5 Cited in 596 Journals 693 Quantitative Finance 628 Insurance Mathematics & Economics 602 International Journal of Theoretical and Applied Finance 484 Mathematical Finance 405 European Journal of Operational Research 394 Stochastic Processes and their Applications 377 Finance and Stochastics 285 SIAM Journal on Financial Mathematics 272 Applied Mathematical Finance 259 Journal of Economic Dynamics & Control 248 The Annals of Applied Probability 208 Mathematics and Financial Economics 189 Journal of Computational and Applied Mathematics 185 Journal of Econometrics 171 Annals of Operations Research 163 Statistics & Probability Letters 156 Stochastics 148 Stochastic Analysis and Applications 132 Journal of Mathematical Analysis and Applications 125 Applied Mathematics and Computation 125 SIAM Journal on Control and Optimization 115 Applied Mathematics and Optimization 112 Scandinavian Actuarial Journal 111 Journal of Applied Probability 104 Annals of Finance 102 Communications in Statistics. 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