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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: http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965/issues
Comments: Indexed cover-to-cover
Documents Indexed: 800 Publications (since 1991)
References Indexed: 598 Publications with 16,161 References.
all top 5

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...and 17 more Volumes
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Authors

15 Jarrow, Robert Alan
14 Schachermayer, Walter
13 Filipović, Damir
13 Madan, Dilip B.
13 Zhou, Xunyu
12 Guasoni, Paolo
11 Rogers, L. C. G.
10 Delbaen, Freddy
10 Platen, Eckhard
10 Yor, Marc
9 Capponi, Agostino
9 Hobson, David Graham
9 Muhle-Karbe, Johannes
9 Schweizer, Martin
9 Touzi, Nizar
8 Cont, Rama
8 Glasserman, Paul
8 Kardaras, Constantinos
8 Linetsky, Vadim
7 Bayraktar, Erhan
7 Carr, Peter P.
7 Dai, Min
7 Elliott, Robert James
7 Frittelli, Marco
7 Jin, Hanqing
7 Kallsen, Jan
6 Černý, Aleš
6 Eberlein, Ernst W.
6 Jaimungal, Sebastian
6 Pham, Huyên
6 Rutkowski, Marek
5 Bender, Christian
5 Bielecki, Tomasz R.
5 Björk, Tomas
5 Cadenillas, Abel
5 El Karoui, Nicole
5 Frey, Rüdiger
5 Geman, Hélyette
5 He, Xuedong
5 Henderson, Vicky
5 Jeanblanc, Monique
5 Kabanov, Yuriĭ Mikhaĭlovich
5 Kwok, Yue-Kuen
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Nutz, Marcel
5 Protter, Philip Elliott
5 Runggaldier, Wolfgang J.
5 Sircar, Ronnie
5 Stricker, Christophe
5 Taksar, Michael I.
5 Teichmann, Josef
5 Xia, Jianming
5 Zariphopoulou, Thaleia
4 Bensoussan, Alain
4 Biagini, Francesca
4 Biagini, Sara
4 Choulli, Tahir
4 Detemple, Jerome B.
4 Fouque, Jean-Pierre
4 Heath, David C.
4 Jouini, Elyès
4 Klein, Irene
4 Korn, Ralf
4 Larsson, Martin
4 Li, Duan
4 Lorig, Matthew J.
4 Obloj, Jan K.
4 Robertson, Scott
4 Schöneborn, Torsten
4 Sethi, Suresh P.
4 Shreve, Steven E.
4 Soner, Halil Mete
4 Xing, Hao
4 Xu, Zuoquan
4 Zapatero, Fernando
4 Žitković, Gordan
3 Aase, Knut Kristian
3 Artzner, Philippe
3 Benth, Fred Espen
3 Bermin, Hans-Peter
3 Bichuch, Maxim
3 Bouchard, Bruno
3 Brigo, Damiano
3 Carassus, Laurence
3 Cartea, Álvaro
3 Crepey, Stephane
3 Dana, Rose-Anne
3 Dolinsky, Yan
3 Duan, Jin-Chuan
3 Duffie, James Darrell
3 Figueroa-López, José E.
3 Friz, Peter Karl
3 Giesecke, Kay
3 Gobet, Emmanuel
3 Gourieroux, Christian
3 Jacka, Saul D.
3 Jamshidian, Farshid
3 Karatzas, Ioannis
3 Keller-Ressel, Martin
3 Kennedy, Douglas P.
...and 879 more Authors

Publications by Year

Citations contained in zbMATH Open

753 Publications have been cited 18,820 times in 10,878 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.
950
1997
Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Zbl 0997.91027
Li, Duan; Ng, Wan-Lung
330
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
269
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
233
2003
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
191
2014
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
167
1997
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
158
1998
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
154
1993
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
137
1991
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
135
1995
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
134
1997
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
132
2002
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
131
2005
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
126
1992
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
123
2002
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
118
2000
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
109
1991
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
108
2005
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
107
1998
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
105
1999
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
104
2004
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
101
1996
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
101
1997
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
94
1991
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
91
2003
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
89
1998
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
89
2007
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
88
2008
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
86
2003
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
86
2006
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
85
1997
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
85
2002
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
85
2008
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
84
1999
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
83
2004
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
82
1994
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
82
2004
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
79
2009
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
78
2000
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
78
2000
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
75
2007
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
73
1992
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
73
2005
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
73
2008
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.
72
1997
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
72
1993
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
72
2006
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
70
1992
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
69
2016
Pricing discretely monitored barrier options and defaultable bonds in Lévy process models: A fast Hilbert transform approach. Zbl 1141.91438
Feng, Liming; Linetsky, Vadim
66
2008
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
65
2007
On the American option problem. Zbl 1109.91028
Peskir, Goran
64
2005
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
64
1997
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
64
1997
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
64
2006
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
63
2002
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
63
2005
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
63
1996
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
63
1996
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
63
2001
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
62
2008
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
62
2006
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
62
2006
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
61
2000
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.
61
2016
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
60
1995
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
60
2007
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
58
2012
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
57
1996
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
56
2001
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
56
1998
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
56
1999
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
56
2012
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
55
1997
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
55
1997
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
54
2019
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
54
2010
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
53
1995
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
53
2001
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
53
2012
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
Sotomayor, Luz Rocío; Cadenillas, Abel
52
2009
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
49
2000
The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046
Rogers, L. C. G.
48
1997
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
48
2009
Coherent acceptability measures in multiperiod models. Zbl 1107.91059
Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob
47
2005
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
47
2011
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
46
2002
Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372
Meinshausen, N.; Hambly, B. M.
46
2004
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
46
1995
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
46
2001
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
46
2007
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
46
2008
Default risk insurance and incomplete markets. Zbl 0866.90047
Artzner, Philippe; Delbaen, Freddy
45
1995
Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030
Koo, Hyeng Keun
45
1998
Risk-sensitive control and an optimal investment model. Zbl 1039.93069
Fleming, W. H.; Sheu, S. J.
45
2000
Nonparametric estimation and sensitivity analysis of expected shortfall. Zbl 1097.91049
Scaillet, O.
45
2004
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
45
2015
Portfolio choice via quantiles. Zbl 1229.91291
He, Xue Dong; Zhou, Xun Yu
44
2011
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps. Zbl 1285.91137
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea
44
2014
Mean-field games with differing beliefs for algorithmic trading. Zbl 07326774
Casgrain, Philippe; Jaimungal, Sebastian
12
2020
General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion. Zbl 07200959
Huang, Yu-Jui; Nguyen-Huu, Adrien; Zhou, Xun Yu
11
2020
A regularity structure for rough volatility. Zbl 07326769
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
10
2020
No-arbitrage implies power-law market impact and rough volatility. Zbl 07326785
Jusselin, Paul; Rosenbaum, Mathieu
7
2020
Option pricing with orthogonal polynomial expansions. Zbl 07200951
Ackerer, Damien; Filipović, Damir
5
2020
Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 07200954
Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana
5
2020
Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 07200958
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic
5
2020
Network valuation in financial systems. Zbl 07326781
Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano
5
2020
Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 07326784
Wang, Haoran; Zhou, Xun Yu
5
2020
Nonlinear price impact and portfolio choice. Zbl 07200938
Guasoni, Paolo; Weber, Marko Hans
4
2020
Optimal dividend policies with random profitability. Zbl 07200956
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
4
2020
Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 07326777
Huang, Yu-jui; Zhou, Zhou
4
2020
Inference for large financial systems. Zbl 07200950
Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A.
3
2020
Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 07200953
Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo
3
2020
Distress and default contagion in financial networks. Zbl 07326767
Veraart, Luitgard Anna Maria
3
2020
Shortfall aversion. Zbl 07326771
Guasoni, Paolo; Huberman, Gur; Ren, Dan
3
2020
Dynamically consistent alpha-maxmin expected utility. Zbl 07326776
Beissner, Patrick; Lin, Qian; Riedel, Frank
3
2020
Risk functionals with convex level sets. Zbl 07326786
Wang, Ruodu; Wei, Yunran
3
2020
Self-similarity in long-horizon returns. Zbl 07326787
Madan, Dilip B.; Schoutens, Wim
3
2020
Consistency of option prices under bid-ask spreads. Zbl 07200939
Gerhold, Stefan; Gülüm, Ismail Cetin
2
2020
Double continuation regions for American and swing options with negative discount rate in Lévy models. Zbl 07200955
De Donno, Marzia; Palmowski, Zbigniew; Tumilewicz, Joanna
2
2020
Static and semistatic hedging as contrarian or conformist bets. Zbl 07326772
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2
2020
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 07326775
Liang, Zongxia; Ma, Ming
2
2020
Robust risk aggregation with neural networks. Zbl 07326783
Eckstein, Stephan; Kupper, Michael; Pohl, Mathias
2
2020
Asset pricing with heterogeneous beliefs and illiquidity. Zbl 07326788
Muhle-Karbe, Johannes; Nutz, Marcel; Tan, Xiaowei
2
2020
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Zbl 07326791
Dassios, Angelos; Lim, Jia Wei; Qu, Yan
2
2020
Semistatic and sparse variance-optimal hedging. Zbl 07200940
Di Tella, Paolo; Haubold, Martin; Keller-Ressel, Martin
1
2020
Pathwise moderate deviations for option pricing. Zbl 07200941
Jacquier, Antoine; Spiliopoulos, Konstantinos
1
2020
Existence of a calibrated regime switching local volatility model. Zbl 07200943
Jourdain, Benjamin; Zhou, Alexandre
1
2020
Optimal consumption and investment with liquid and illiquid assets. Zbl 07200946
Choi, Jin Hyuk
1
2020
Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 07200957
Burzoni, Matteo; Šikić, Mario
1
2020
Robust XVA. Zbl 07326768
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
1
2020
Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 07326778
Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas
1
2020
Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 07326779
Černý, Aleš
1
2020
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 07326794
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John
1
2020
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
54
2019
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
27
2019
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
17
2019
Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567
Kirkby, Justin Lars; Deng, Shijie
14
2019
Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325
Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao
14
2019
Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158
Lacker, Daniel; Zariphopoulou, Thaleia
12
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
11
2019
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
9
2019
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
8
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
8
2019
Trading algorithms with learning in latent alpha models. Zbl 1426.91241
Casgrain, Philippe; Jaimungal, Sebastian
8
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
6
2019
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
6
2019
Backward SDEs for control with partial information. Zbl 1458.91196
Papanicolaou, Andrew
5
2019
Cover’s universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Zbl 1427.91254
Cuchiero, Christa; Schachermayer, Walter; Wong, Ting-Kam Leonard
5
2019
Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556
Garnier, Josselin; Sølna, Knut
4
2019
Realization utility with adaptive reference points. Zbl 1411.91507
He, Xuedong; Yang, Linan
4
2019
Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500
Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
4
2019
Trading co-integrated assets with price impact. Zbl 1411.91487
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
4
2019
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
4
2019
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
3
2019
Portfolio choice with small temporary and transient price impact. Zbl 1432.91102
Ekren, Ibrahim; Muhle-Karbe, Johannes
3
2019
Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
3
2019
Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting. Zbl 1431.91221
Jin, Hanqing; Xia, Jianming; Zhou, Xun Yu
3
2019
Value-at-risk bounds with two-sided dependence information. Zbl 1426.91308
Lux, Thibaut; Rüschendorf, Ludger
3
2019
The limits of leverage. Zbl 1411.91503
Guasoni, Paolo; Mayerhofer, Eberhard
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
Financial models with defaultable numéraires. Zbl 1411.91597
Fisher, Travis; Pulido, Sergio; Ruf, Johannes
1
2019
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
1
2019
Periodic strategies in optimal execution with multiplicative price impact. Zbl 1433.91157
Hernández-Hernández, Daniel; Moreno-Franco, Harold A.; Pérez, José-luis
1
2019
On the relation between linearity-generating processes and linear-rational models. Zbl 1440.91038
Filipović, Damir; Larsson, Martin; Trolle, Anders B.
1
2019
Robust utility maximization with Lévy processes. Zbl 1403.91321
Neufeld, Ariel; Nutz, Marcel
23
2018
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
16
2018
Profit sharing in hedge funds. Zbl 1403.91312
He, Xue Dong; Kou, Steven
14
2018
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
12
2018
Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626
Li, Lingfei; Zhang, Gongqiu
12
2018
On the C-property and \(w^*\)-representations of risk measures. Zbl 1390.91334
Gao, Niushan; Xanthos, Foivos
11
2018
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
10
2018
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
9
2018
Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354
Zanger, Daniel Z.
8
2018
On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297
Detemple, Jérôme; Kitapbayev, Yerkin
7
2018
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
6
2018
Indifference prices and implied volatilities. Zbl 1403.91347
Lorig, Matthew
6
2018
Consistent recalibration of yield curve models. Zbl 1411.91622
Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V.
6
2018
Super-replication in fully incomplete markets. Zbl 1390.91298
Dolinsky, Yan; Neufeld, Ariel
6
2018
Risk management with weighted VaR. Zbl 1417.91484
Wei, Pengyu
6
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
5
2018
Conic martingales from stochastic integrals. Zbl 1390.60161
Jeanblanc, Monique; Vrins, Frédéric
5
2018
Fair bilateral pricing under funding costs and exogenous collateralization. Zbl 1390.91284
Nie, Tianyang; Rutkowski, Marek
5
2018
Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364
Jiao, Ying; Li, Shanqiu
4
2018
Social discounting and the long rate of interest. Zbl 1403.91355
Brody, Dorje C.; Hughston, Lane P.
4
2018
Semi-efficient valuations and put-call parity. Zbl 1417.91503
Herdegen, Martin; Schweizer, Martin
4
2018
Utility maximization in a large market. Zbl 1403.91320
Mostovyi, Oleksii
3
2018
International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308
Cai, Ning; Yang, Xuewei
3
2018
Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283
Melnyk, Yaroslav; Seifried, Frank Thomas
3
2018
Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470
Matoussi, Anis; Xing, Hao
3
2018
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
2
2018
Liquidity effects of trading frequency. Zbl 1411.91501
Gayduk, Roman; Nadtochiy, Sergey
2
2018
Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544
Bompis, R.; Gobet, E.
2
2018
Optimal cash holdings under heterogeneous beliefs. Zbl 1390.91319
Jarrow, Robert; Krishenik, Andrey; Minca, Andreea
2
2018
The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555
Ibáñez, Alfredo; Velasco, Carlos
2
2018
Optimal liquidation and adverse selection in dark pools. Zbl 1403.91314
Kratz, Peter; Schöneborn, Torsten
1
2018
Indifference pricing for contingent claims: large deviations effects. Zbl 1403.91324
Robertson, Scott; Spiliopoulos, Konstantinos
1
2018
On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales. Zbl 1390.91299
Ewald, Christian-Oliver; Yor, Marc
1
2018
The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506
Klimsiak, Tomasz; Rozkosz, Andrzej
1
2018
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43 Young, Virginia R.
43 Zhu, Songping
41 Platen, Eckhard
41 Yang, Hailiang
37 Li, Zhongfei
36 Forsyth, Peter A.
35 Jeanblanc, Monique
34 Muhle-Karbe, Johannes
33 Filipović, Damir
33 Rásonyi, Miklós
33 Schachermayer, Walter
32 Jarrow, Robert Alan
32 Schoutens, Wim
32 Wang, Ruodu
31 Hu, Ying
31 Kupper, Michael
31 Pham, Huyên
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30 Jaimungal, Sebastian
30 Li, Duan
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29 Oosterlee, Cornelis Willebrordus
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28 Eberlein, Ernst W.
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28 Rutkowski, Marek
28 Zeng, Yan
27 Bouchard, Bruno
27 Rachev, Svetlozar T.
27 Schied, Alexander
27 Takahashi, Akihiko
27 Yong, Jiongmin
26 Biagini, Francesca
26 Cui, Zhenyu
26 Korn, Ralf
26 Li, Xun
26 Obloj, Jan K.
26 Øksendal, Bernt Karsten
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26 Tan, Ken Seng
25 Bender, Christian
25 Chen, Zhiping
25 Chiarella, Carl
25 Dolinsky, Yan
25 Fabozzi, Frank J.
25 Hobson, David Graham
25 Jacquier, Antoine
25 Ji, Shaolin
25 Shin, Yong Hyun
24 Bielecki, Tomasz R.
24 Carr, Peter P.
24 Delbaen, Freddy
24 Guasoni, Paolo
24 Joshi, Mark S.
24 Kallsen, Jan
24 Leung, Tim
24 Pagès, Gilles
24 Schoenmakers, John G. M.
24 Xiong, Dewen
23 Cheridito, Patrick
23 Crepey, Stephane
23 Lorig, Matthew J.
23 Protter, Philip Elliott
23 Tankov, Peter
23 Yor, Marc
22 Beiglböck, Mathias
22 Dai, Min
22 Grasselli, Martino
22 Possamaï, Dylan
22 Rudloff, Birgit
22 Rüschendorf, Ludger
22 Sircar, Ronnie
22 Wang, Rongming
22 Zheng, Harry H.
21 Balbás, Alejandro
21 Belomestny, Denis
21 Campi, Luciano
21 Cartea, Álvaro
21 Gobet, Emmanuel
21 Kwok, Yue-Kuen
21 Linetsky, Vadim
21 Pistorius, Martijn R.
21 Rogers, L. C. G.
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21 Seifried, Frank Thomas
21 Shapiro, Alexander
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21 Wang, Yongjin
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23 Acta Mathematica Sinica. English Series
23 Applied Stochastic Models in Business and Industry
21 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
21 Advances in Difference Equations
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20 OR Spectrum
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