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Mathematical Finance

An 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: 916 Publications (since 1991)
References Indexed: 713 Publications with 21,218 References.
all top 5

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...and 30 more Volumes
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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
11 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 Jin, Hanqing
8 Kardaras, Constantinos
8 Linetsky, Vadim
8 Pham, Huyên
7 Elliott, Robert James
7 Frittelli, Marco
7 Jaimungal, Sebastian
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 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 Bichuch, Maxim
4 Brigo, Damiano
4 Carassus, Laurence
4 Chen, Xinfu
4 Choulli, Tahir
4 Crepey, Stephane
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 Minca, Andreea
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
4 Zhou, Zhou
4 Žitković, Gordan
...and 1,046 more Authors

Publications by Year

Citations contained in zbMATH Open

792 Publications have been cited 21,520 times in 12,285 Documents Cited by Year
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
Backward stochastic differential equations in finance. Zbl 0884.90035
El Karoui, N.; Peng, S.; Quenez, M. C.
1997
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
370
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
279
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
260
2003
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
231
2014
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
197
1998
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
177
1997
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
168
1993
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
161
1997
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
149
1995
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
144
2002
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
143
2005
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
139
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
135
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
120
2005
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
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
113
1991
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
110
1999
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
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
107
2007
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
107
1997
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
104
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
98
2003
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
97
1998
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
95
2003
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
94
2006
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
93
1994
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
92
2002
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
91
2004
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
90
1997
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
89
2009
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
89
2004
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
88
1999
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
86
2016
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
86
2008
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
85
2019
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
84
2005
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
84
1993
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
84
2006
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
84
2000
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
84
2000
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
81
2007
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
80
1992
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
77
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.
75
2016
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
73
2005
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
73
2006
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
73
1992
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
72
2006
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
71
2007
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
On the American option problem. Zbl 1109.91028
Peskir, Goran
70
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
69
2006
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
69
1996
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
69
2008
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
68
2012
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
68
1997
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
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
65
2002
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
65
2000
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
65
2012
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
64
1995
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
64
2012
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
64
1996
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
64
2010
Portfolio choice via quantiles. Zbl 1229.91291
He, Xue Dong; Zhou, Xun Yu
63
2011
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
62
2001
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
62
1999
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
61
1997
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
61
1996
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
60
1997
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
59
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
58
1995
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
58
1998
Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208
Crépey, Stéphane
56
2015
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
55
2015
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
55
2000
Risk-sensitive control and an optimal investment model. Zbl 1039.93069
Fleming, W. H.; Sheu, S. J.
54
2000
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
54
2009
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
53
1995
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
52
2011
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
51
2008
Optimal investment under relative performance concerns. Zbl 1403.91310
Espinosa, Gilles-Edouard; Touzi, Nizar
50
2015
Resilience to contagion in financial networks. Zbl 1348.91297
Amini, Hamed; Cont, Rama; Minca, Andreea
50
2016
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
50
2007
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
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
49
2014
Disutility, optimal retirement, and portfolio selection. Zbl 1145.91343
Choi, Kyoung Jin; Shim, Gyoocheol
49
2006
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
49
2001
Optimal portfolio, consumption-leisure and retirement choice problem with CES utility. Zbl 1141.91428
Choi, Kyoung Jin; Shim, Gyoocheol; Shin, Yong Hyun
49
2008
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
Algorithmic market making in dealer markets with hedging and market impact. Zbl 1522.91237
Barzykin, Alexander; Bergault, Philippe; Guéant, Olivier
2
2023
Preference robust distortion risk measure and its application. Zbl 1522.91322
Wang, Wei; Xu, Huifu
2
2023
Neural network approximation for superhedging prices. Zbl 1522.91263
Biagini, Francesca; Gonon, Lukas; Reitsam, Thomas
1
2023
A model-free approach to continuous-time finance. Zbl 1522.91213
Chiu, Henry; Cont, Rama
1
2023
Consistent estimation for fractional stochastic volatility model under high-frequency asymptotics. Zbl 1522.91272
Fukasawa, Masaaki; Takabatake, Tetsuya; Westphal, Rebecca
3
2022
Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Zbl 1522.91226
Itkin, David; Larsson, Martin
1
2022
Mean-\( \rho\) portfolio selection and \(\rho \)-arbitrage for coherent risk measures. Zbl 1522.91223
Herdegen, Martin; Khan, Nazem
1
2022
Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. Zbl 1522.91233
Pham, Huyên; Wei, Xiaoli; Zhou, Chao
1
2022
Portfolio liquidation games with self-exciting order flow. Zbl 1522.91219
Fu, Guanxing; Horst, Ulrich; Xia, Xiaonyu
1
2022
Equilibrium concepts for time-inconsistent stopping problems in continuous time. Zbl 1522.91260
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
4
2021
Optimal make-take fees for market making regulation. Zbl 1522.91242
El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar
3
2021
Optimal stopping under model ambiguity: a time-consistent equilibrium approach. Zbl 07743026
Huang, Yu-Jui; Yu, Xiang
3
2021
Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Zbl 07743016
Chen, Lv; Landriault, David; Li, Bin; Li, Danping
2
2021
Forward rank-dependent performance criteria: time-consistent investment under probability distortion. Zbl 1522.91224
He, Xue Dong; Strub, Moris S.; Zariphopoulou, Thaleia
2
2021
Risk-sensitive benchmarked asset management with expert forecasts. Zbl 1522.91216
Davis, Mark H. A.; Lleo, Sébastien
2
2021
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets. Zbl 1522.91231
Obłój, Jan; Wiesel, Johannes
2
2021
On utility maximization under model uncertainty in discrete-time markets. Zbl 1522.91234
Rásonyi, Miklós; Meireles-Rodrigues, Andrea
1
2021
Model risk in credit risk. Zbl 07742856
Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia
1
2021
Size matters for OTC market makers: general results and dimensionality reduction techniques. Zbl 1522.91238
Bergault, Philippe; Guéant, Olivier
1
2021
Markov chains under nonlinear expectation. Zbl 1522.91281
Nendel, Max
1
2021
Sharing the value-at-risk under distributional ambiguity. Zbl 1522.91317
Chen, Zhi; Xie, Weijun
1
2021
Double continuation regions for American options under Poisson exercise opportunities. Zbl 1522.91282
Palmowski, Zbigniew; Pérez, José Luis; Yamazaki, Kazutoshi
1
2021
Intra-horizon expected shortfall and risk structure in models with jumps. Zbl 1522.91319
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola
1
2021
Simulating risk measures via asymptotic expansions for relative errors. Zbl 1522.91320
Jiang, Wei; Kou, Steven
1
2021
The alpha-Heston stochastic volatility model. Zbl 1522.91278
Jiao, Ying; Ma, Chunhua; Scotti, Simone; Zhou, Chao
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
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
Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522
Casgrain, Philippe; Jaimungal, Sebastian
26
2020
A regularity structure for rough volatility. Zbl 1508.91548
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
23
2020
Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627
Huang, Yu-jui; Zhou, Zhou
15
2020
Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515
Wang, Haoran; Zhou, Xun Yu
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
14
2020
Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic
13
2020
Distress and default contagion in financial networks. Zbl 1508.91599
Veraart, Luitgard Anna Maria
12
2020
No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536
Jusselin, Paul; Rosenbaum, Mathieu
12
2020
Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574
Beissner, Patrick; Lin, Qian; Riedel, Frank
10
2020
Option pricing with orthogonal polynomial expansions. Zbl 1508.91546
Ackerer, Damien; Filipović, Damir
10
2020
Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
9
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
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
Inference for large financial systems. Zbl 1508.91530
Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A.
8
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, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493
Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo
7
2020
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
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
Existence of a calibrated regime switching local volatility model. Zbl 1506.91165
Jourdain, Benjamin; Zhou, Alexandre
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
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
Consistency of option prices under bid-ask spreads. Zbl 1517.91239
Gerhold, Stefan; Gülüm, Ismail Cetin
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
2
2020
Semistatic and sparse variance-optimal hedging. Zbl 1519.91255
Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin
2
2020
Pathwise moderate deviations for option pricing. Zbl 1508.91562
Jacquier, Antoine; Spiliopoulos, Konstantinos
2
2020
Optimal consumption and investment with liquid and illiquid assets. Zbl 1508.91498
Choi, Jin Hyuk
2
2020
Convex duality and Orlicz spaces in expected utility maximization. Zbl 1508.91575
Biagini, Sara; Černý, Aleš
2
2020
Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 1508.91576
Burzoni, Matteo; Šikić, Mario
2
2020
Convergence of optimal expected utility for a sequence of discrete-time markets. Zbl 1508.91537
Kreps, David M.; Schachermayer, Walter
1
2020
A term structure model for dividends and interest rates. Zbl 1508.91580
Filipović, Damir; Willems, Sander
1
2020
Effective risk aversion in thin risk-sharing markets. Zbl 1508.91518
Anthropelos, Michail; Kardaras, Constantinos; Vichos, Georgios
1
2020
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 1508.91614
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John
1
2020
Firm capital dynamics in centrally cleared markets. Zbl 1508.91600
Capponi, Agostino; Cheng, W. Allen; Rajan, Sriram
1
2020
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
85
2019
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
40
2019
Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158
Lacker, Daniel; Zariphopoulou, Thaleia
34
2019
Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325
Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao
29
2019
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
24
2019
Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567
Kirkby, Justin Lars; Deng, Shijie
17
2019
The robust pricing-hedging duality for American options in discrete time financial markets. Zbl 1432.91116
Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu
15
2019
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
14
2019
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
13
2019
Trading algorithms with learning in latent alpha models. Zbl 1426.91241
Casgrain, Philippe; Jaimungal, Sebastian
12
2019
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
11
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
10
2019
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
10
2019
Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500
Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
9
2019
Trading co-integrated assets with price impact. Zbl 1411.91487
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
9
2019
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
9
2019
Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556
Garnier, Josselin; Sølna, Knut
8
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
8
2019
Portfolio choice with small temporary and transient price impact. Zbl 1432.91102
Ekren, Ibrahim; Muhle-Karbe, Johannes
8
2019
Backward SDEs for control with partial information. Zbl 1458.91196
Papanicolaou, Andrew
7
2019
Realization utility with adaptive reference points. Zbl 1411.91507
He, Xuedong; Yang, Linan
7
2019
Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
5
2019
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
4
2019
On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038
Filipović, Damir; Larsson, Martin; Trolle, Anders B.
4
2019
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221
Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu
4
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
3
2019
Value-at-risk bounds with two-sided dependence information. Zbl 1426.91308
Lux, Thibaut; Rüschendorf, Ludger
3
2019
Financial models with defaultable numéraires. Zbl 1411.91597
Fisher, Travis; Pulido, Sergio; Ruf, Johannes
2
2019
Strict local martingales and optimal investment in a Black-Scholes model with a bubble. Zbl 1411.91506
Herdegen, Martin; Herrmann, Sebastian
2
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2
2019
Unspanned stochastic volatility in the multifactor CIR model. Zbl 1426.91285
Filipović, Damir; Larsson, Martin; Statti, Francesco
1
2019
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Cited by 10,865 Authors

84 Siu, Tak Kuen
73 Madan, Dilip B.
65 Bayraktar, Erhan
60 Elliott, Robert James
59 Wong, Hoi Ying
54 Wu, Zhen
50 Touzi, Nizar
50 Young, Virginia R.
47 Zhu, Songping
43 Platen, Eckhard
42 Li, Zhongfei
42 Wang, Ruodu
42 Yang, Hailiang
40 Rásonyi, Miklós
38 Forsyth, Peter A.
38 Muhle-Karbe, Johannes
37 Hu, Ying
37 Jarrow, Robert Alan
37 Jeanblanc, Monique
36 Filipović, Damir
36 Zhou, Xunyu
35 Kupper, Michael
35 Schachermayer, Walter
34 Biagini, Francesca
34 Jaimungal, Sebastian
34 Li, Duan
33 Hu, Yijun
33 Pham, Huyên
33 Schoutens, Wim
32 Oosterlee, Cornelis Willebrordus
32 Peng, Shige
32 Soner, Halil Mete
31 Benth, Fred Espen
31 Ji, Shaolin
31 Jin, Zhuo
31 Yong, Jiongmin
30 Bo, Lijun
30 Cui, Zhenyu
30 Li, Xun
30 Takahashi, Akihiko
29 Fabozzi, Frank J.
29 Hobson, David Graham
29 Pascucci, Andrea
29 Rutkowski, Marek
29 Shen, Yang
29 Zeng, Yan
28 Bouchard, Bruno
28 Chen, Zhiping
28 Eberlein, Ernst W.
28 Jacquier, Antoine
28 Levendorskiĭ, Sergeĭ Zakharovich
28 Rachev, Svetlozar T.
28 Schied, Alexander
27 Carr, Peter Paul
27 Dolinsky, Yan
27 Gobet, Emmanuel
27 Obloj, Jan K.
27 Øksendal, Bernt Karsten
27 Pagès, Gilles
27 Possamaï, Dylan
27 Shin, Yong Hyun
26 Bender, Christian
26 Guasoni, Paolo
26 Korn, Ralf
26 Schoenmakers, John G. M.
26 Tan, Ken Seng
26 Tankov, Peter
25 Bielecki, Tomasz R.
25 Chiarella, Carl
25 Dai, Min
25 Delbaen, Freddy
25 Lorig, Matthew J.
25 Protter, Philip Elliott
25 Wei, Jiaqin
25 Xiong, Dewen
25 Xu, Zuoquan
25 Zheng, Harry H.
24 Beiglböck, Mathias
24 Belomestny, Denis
24 Campi, Luciano
24 Cheridito, Patrick
24 Crepey, Stephane
24 Joshi, Mark S.
24 Kallsen, Jan
24 Leung, Tim
24 Li, Lingfei
24 Rudloff, Birgit
24 Rüschendorf, Ludger
24 Wang, Rongming
23 Balbás, Alejandro
23 Fan, Shengjun
23 Feinstein, Zachary
23 Fukasawa, Masaaki
23 Grasselli, Martino
23 Jeon, Junkee
23 Kwok, Yue-Kuen
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23 Shapiro, Alexander
23 Sircar, Ronnie
23 Yor, Marc
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Cited in 580 Journals

687 Quantitative Finance
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593 International Journal of Theoretical and Applied Finance
480 Mathematical Finance
404 European Journal of Operational Research
387 Stochastic Processes and their Applications
369 Finance and Stochastics
276 SIAM Journal on Financial Mathematics
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89 Methodology and Computing in Applied Probability
86 Advances in Applied Probability
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38 Abstract and Applied Analysis
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37 Systems & Control Letters
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36 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
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26 Journal of Global Optimization
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26 Random Operators and Stochastic Equations
25 Econometric Reviews
25 SIAM Journal on Optimization
25 INFORMS Journal on Computing
25 Acta Mathematica Sinica. English Series
25 Comptes Rendus. Mathématique. Académie des Sciences, Paris
24 Applied Stochastic Models in Business and Industry
23 Monte Carlo Methods and Applications
23 Communications in Nonlinear Science and Numerical Simulation
23 Advances in Difference Equations
22 Electronic Journal of Statistics
22 Dependence Modeling
21 The Annals of Statistics
21 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
21 Journal of Applied Mathematics
21 OR Spectrum
21 International Journal of Stochastic Analysis
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