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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 Paul
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 882 more Authors

Publications by Year

Citations contained in zbMATH Open

756 Publications have been cited 20,133 times in 11,548 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
350
2000
A yield-factor model of interest rates. Zbl 0915.90014
Duffie, Darrell; Kan, Rui
273
1996
Stochastic volatility for Lévy processes. Zbl 1092.91022
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
253
2003
Mean-variance portfolio optimization with state-dependent risk aversion. Zbl 1285.91116
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu
203
2014
Long memory in continuous-time stochastic volatility models. Zbl 1020.91021
Comte, Fabienne; Renault, Eric
179
1998
The market model of interest rate dynamics. Zbl 0884.90008
Brace, Alan; Gątarek, Dariusz; Musiela, Marek
173
1997
Bessel processes, Asian options, and perpetuities. Zbl 0884.90029
Geman, Hélyette; Yor, Marc
162
1993
Arbitrage with fractional Brownian motion. Zbl 0884.90045
Rogers, L. C. G.
149
1997
Optimal stopping and the American put. Zbl 0900.90109
Jacka, S. D.
141
1991
The GARCH option pricing model. Zbl 0866.90031
Duan, Jin-Chuan
140
1995
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
140
2002
Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Zbl 1153.91466
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu
135
2005
Monte Carlo valuation of American options. Zbl 1029.91036
Rogers, L. C. G.
129
2002
Alternative characterizations of American put options. Zbl 0900.90004
Carr, Peter; Jarrow, Robert; Myneni, Ravi
128
1992
Pricing via utility maximization and entropy. Zbl 1052.91512
Rouge, Richard; El Karoui, Nicole
126
2000
Optimal reinsurance and dividend distribution policies in the Cramér-Lundberg model. Zbl 1136.91016
Azcue, Pablo; Muler, Nora
115
2005
Robustness of the Black and Scholes formula. Zbl 0910.90008
El Karoui, Nicole; Jeanblanc-Picqué, Monique; Shreve, Steven E.
111
1998
Option pricing with V. G. martingale components. Zbl 0900.90105
Madan, Dilip B.; Milne, Frank
111
1991
The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Zbl 1119.91046
Schachermayer, Walter
110
2004
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
107
1996
Controlling risk exposure and dividends payout schemes: Insurance company example. Zbl 0999.91052
Højgaard, Bjarne; Taksar, Michael
107
1999
Bond market structure in the presence of marked point processes. Zbl 0884.90014
Björk, Tomas; Kabanov, Yuri; Runggaldier, Wolfgang
102
1997
An old-new concept of convex risk measures: The optimized certainty equivalent. Zbl 1186.91116
Ben-Tal, Aharon; Teboulle, Marc
102
2007
Universal portfolios. Zbl 0900.90052
Cover, Thomas M.
100
1991
Optimal risk sharing for law invariant monetary utility functions. Zbl 1133.91360
Jouini, E.; Schachermayer, W.; Touzi, N.
97
2008
A general fractional white noise theory and applications to finance. Zbl 1069.91047
Elliott, Robert J.; van der Hoek, John
93
2003
Behavioral portfolio selection in continuous time. Zbl 1141.91454
Jin, Hanqing; Zhou, Xun Yu
93
2008
Complete models with stochastic volatility. Zbl 0908.90012
Hobson, David G.; Rogers, L. C. G.
91
1998
Option pricing in stochastic volatility models of the Ornstein-Uhlenbeck type. Zbl 1105.91020
Nicolato, Elisa; Venardos, Emmanouil
91
2003
Model uncertainty and its impact on the pricing of derivative instruments. Zbl 1133.91413
Cont, Rama
91
2006
Valuation of claims on nontraded assets using utility maximization. Zbl 1049.91072
Henderson, Vicky
88
2002
A continuity correction for discrete barrier options. Zbl 1020.91020
Broadie, Mark; Glasserman, Paul; Kou, Steven
88
1997
The moment formula for implied volatility at extreme strikes. Zbl 1134.91443
Lee, Robert W.
86
2004
Modeling stochastic volatility: A review and comparative study. Zbl 0884.90054
Taylor, Stephen J.
86
1994
Term structure models driven by general Lévy processes. Zbl 0980.91020
Eberlein, Ernst; Raible, Sebastian
85
1999
Hedging and portfolio optimization in financial markets with a large trader. Zbl 1119.91040
Bank, Peter; Baum, Dietmar
84
2004
Risk measures on Orlitz hearts. Zbl 1168.91409
Cheridito, Patrick; Li, Tianhui
84
2009
An axiomatic approach to capital allocation. Zbl 1102.91049
Kalkbrener, Michael
81
2005
The minimal entropy martingale measure and the valuation problem in incomplete markets. Zbl 1013.60026
Frittelli, Marco
81
2000
On models of default risk. Zbl 1042.91038
Elliott, R. J.; Jeanblanc, M.; Yor, M.
81
2000
Optimal multiple stopping and valuation of swing options. Zbl 1133.91499
Carmona, René; Touzi, Nizar
81
2008
Distribution-invariant risk measures, information, and dynamic consistency. Zbl 1145.91037
Weber, Stefan
79
2006
Optimal investment strategies for controlling drawdowns. Zbl 0884.90031
Grossman, Sanford J.; Zhou, Zhongquan
77
1993
Dynamic indifference valuation via convex risk measures. Zbl 1138.91502
Klöppel, Susanne; Schweizer, Martin
77
2007
Derivative asset pricing with transaction costs. Zbl 0900.90100
Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; Scheinkman, José
76
1992
Coherence and elicitability. Zbl 1390.91336
Ziegel, Johanna F.
74
2016
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.
73
1997
Pricing options with curved boundaries. Zbl 0900.90098
Kunitomo, Naoto; Ikeda, Masayuki
72
1992
Risk measure and capital requirements for processes. Zbl 1130.91030
Frittelli, Marco; Scandolo, Giacomo
69
2006
No arbitrage under transaction costs, with fractional Brownian motion and beyond. Zbl 1133.91421
Guasoni, Paolo
68
2006
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
68
2006
A quantization tree method for princing and hedging multidimensional american options. Zbl 1127.91023
Bally, Vlad; Pagès, Gilles; Printems, Jacques
67
2005
An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Zbl 0885.90019
Whalley, A. E.; Wilmott, P.
67
1997
The range of traded option prices. Zbl 1278.91158
Davis, Mark H. A.; Hobson, David G.
67
2007
Self-decomposability and option pricing. Zbl 1278.91157
Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
67
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
67
2008
On the American option problem. Zbl 1109.91028
Peskir, Goran
66
2005
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
66
2019
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.
66
2016
Option hedging and implied volatilities in a stochastic volatility model. Zbl 0915.90028
Renault, Eric; Touzi, Nizar
65
1996
Guaranteed minimum withdrawal benefit in variable annuities. Zbl 1214.91052
Dai, Min; Kwok, Yue Kuen; Zong, Jianping
64
2008
Pricing and hedging double-barrier options: A probabilistic approach. Zbl 0915.90016
Geman, Hélyette; Yor, Marc
64
1996
On the rate of convergence of discrete-time contingent claims. Zbl 1034.91041
Heston, Steve; Zhou, Guofu
64
2000
Market volatility and feedback effects from dynamic hedging. Zbl 1020.91023
Frey, Rüdiger; Stremme, Alexander
64
1997
Robust hedging of barrier options. Zbl 1047.91024
Brown, Haydyn; Hobson, David; Rogers, L. C. G.
64
2001
On the existence of minimax martingale measures. Zbl 1014.91031
Bellini, Fabio; Frittelli, Marco
64
2002
Asymptotics of implied volatility in local volatility models. Zbl 1270.91093
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng; Wang, Tai-Ho
63
2012
Optimal portfolio management with fixed transaction costs. Zbl 0866.90020
Morton, Andrew J.; Pliska, Stanley R.
62
1995
Pricing of American path-dependent contingent claims. Zbl 0919.90005
Barraquand, Jérôme; Pudet, Thierry
61
1996
Asset price bubbles in incomplete markets. Zbl 1205.91069
Jarrow, Robert A.; Protter, Philip; Shimbo, Kazuhiro
61
2010
Robust bounds for forward start options. Zbl 1278.91162
Hobson, David; Neuberger, Anthony
60
2012
Time changes for Lévy processes. Zbl 0983.60082
Geman, Hélyette; Madan, Dilip B.; Yor, Marc
59
2001
Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Zbl 0980.91034
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez
59
1999
The valuation of American options on multiple assets. Zbl 0882.90005
Broadie, Mark; Detemple, Jérôme
58
1997
Contingent claims and market completeness in a stochastic volatility model. Zbl 1034.91501
Romano, Marc; Touzi, Nizar
58
1997
Mean-variance hedging and numéraire. Zbl 1020.91024
Gourieroux, Christian; Laurent, Jean Paul; Pham, Huyên
57
1998
Better than dynamic mean-variance: time inconsistency and free cash flow stream. Zbl 1278.91131
Cui, Xiangyu; Li, Duan; Wang, Shouyang; Zhu, Shushang
57
2012
Cash subadditive risk measures and interest rate ambiguity. Zbl 1184.91111
El Karoui, Nicole; Ravanelli, Claudia
56
2009
The asymptotic expansion approach to the valuation of interest rate contingent claims. Zbl 0994.91023
Kunitomo, Naoto; Takahashi, Akihiko
56
2001
Arbitrage in securities markets with short-sales constraints. Zbl 0866.90032
Jouini, Elyès; Kallal, Hédi
55
1995
Optimal insurance design under rank-dependent expected utility. Zbl 1314.91134
Bernard, Carole; He, Xuedong; Yan, Jia-An; Zhou, Xun Yu
54
2015
Portfolio choice via quantiles. Zbl 1229.91291
He, Xue Dong; Zhou, Xun Yu
53
2011
Explicit solutions of consumption-investment problems in financial markets with regime switching. Zbl 1168.91400
Sotomayor, Luz Rocío; Cadenillas, Abel
53
2009
Laguerre series for Asian and other options. Zbl 1014.91040
Dufresne, Daniel
52
2000
Volatility structures of forward rates and the dynamics of the term structure. Zbl 0866.90023
Ritchken, Peter; Sankarasubramanian, L.
51
1995
Risk-sensitive control and an optimal investment model. Zbl 1039.93069
Fleming, W. H.; Sheu, S. J.
51
2000
Moment explosions and long-term behavior of affine stochastic volatility models. Zbl 1229.91135
Keller-Ressel, Martin
49
2011
Valuations and dynamic convex risk measures. Zbl 1138.91501
Jobert, A.; Rogers, L. C. G.
49
2008
Monte Carlo methods for the valuation of multiple-exercise options. Zbl 1169.91372
Meinshausen, N.; Hambly, B. M.
48
2004
A closed-form exact solution for pricing variance swaps with stochastic volatility. Zbl 1214.91115
Zhu, Song-Ping; Lian, Guang-Hua
48
2011
Consumption and portfolio selection with labor income: a continuous time approach. Zbl 0911.90030
Koo, Hyeng Keun
48
1998
The potential approach to the term structure of interest rates and foreign exchange rates. Zbl 0884.90046
Rogers, L. C. G.
48
1997
On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. Zbl 1073.91034
Kabanov, Yuri M.; Stricker, Christophe
48
2002
Correlated defaults in intensity-based models. Zbl 1186.91237
Yu, Fan
48
2007
Bilateral counterparty risk under funding constraints. II: CVA. Zbl 1314.91208
Crépey, Stéphane
48
2015
Coherent acceptability measures in multiperiod models. Zbl 1107.91059
Roorda, Berend; Schumacher, J. M.; Engwerda, Jacob
47
2005
A comparison of two quadratic approaches to hedging in incomplete markets. Zbl 1032.91058
Heath, David; Platen, Eckhard; Schweizer, Martin
47
2001
The cost of illiquidity and its effects on hedging. Zbl 1232.91635
Rogers, L. C. G.; Singh, Surbjeet
47
2010
Mean-field games with differing beliefs for algorithmic trading. Zbl 1508.91522
Casgrain, Philippe; Jaimungal, Sebastian
16
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
15
2020
A regularity structure for rough volatility. Zbl 1508.91548
Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin
15
2020
Option pricing with orthogonal polynomial expansions. Zbl 1508.91546
Ackerer, Damien; Filipović, Damir
9
2020
Continuous-time mean-variance portfolio selection: a reinforcement learning framework. Zbl 1508.91515
Wang, Haoran; Zhou, Xun Yu
8
2020
Existence, uniqueness, and stability of optimal payoffs of eligible assets. Zbl 1508.91493
Baes, Michel; Koch-Medina, Pablo; Munari, Cosimo
7
2020
Optimal dividend policies with random profitability. Zbl 1508.91483
Reppen, A. Max; Rochet, Jean-Charles; Soner, H. Mete
7
2020
Computational aspects of robust optimized certainty equivalents and option pricing. Zbl 1508.91613
Bartl, Daniel; Drapeau, Samuel; Tangpi, Ludovic
7
2020
Distress and default contagion in financial networks. Zbl 1508.91599
Veraart, Luitgard Anna Maria
7
2020
Optimal equilibria for time-inconsistent stopping problems in continuous time. Zbl 1508.91627
Huang, Yu-jui; Zhou, Zhou
7
2020
Network valuation in financial systems. Zbl 1508.91593
Barucca, Paolo; Bardoscia, Marco; Caccioli, Fabio; D’Errico, Marco; Visentin, Gabriele; Caldarelli, Guido; Battiston, Stefano
7
2020
No-arbitrage implies power-law market impact and rough volatility. Zbl 1508.91536
Jusselin, Paul; Rosenbaum, Mathieu
7
2020
Self-similarity in long-horizon returns. Zbl 1508.91583
Madan, Dilip B.; Schoutens, Wim
7
2020
Inference for large financial systems. Zbl 1508.91530
Giesecke, Kay; Schwenkler, Gustavo; Sirignano, Justin A.
5
2020
Multiple curve Lévy forward price model allowing for negative interest rates. Zbl 1508.91578
Eberlein, Ernst; Gerhart, Christoph; Grbac, Zorana
5
2020
Dynamically consistent alpha-maxmin expected utility. Zbl 1508.91574
Beissner, Patrick; Lin, Qian; Riedel, Frank
5
2020
Nonlinear price impact and portfolio choice. Zbl 1508.91502
Guasoni, Paolo; Weber, Marko Hans
4
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
4
2020
Shortfall aversion. Zbl 1508.91501
Guasoni, Paolo; Huberman, Gur; Ren, Dan
4
2020
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets. Zbl 1508.91538
Liang, Zongxia; Ma, Ming
4
2020
Static and semistatic hedging as contrarian or conformist bets. Zbl 1508.91551
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
3
2020
Lifetime investment and consumption with recursive preferences and small transaction costs. Zbl 1508.91509
Melnyk, Yaroslav; Muhle-Karbe, Johannes; Seifried, Frank Thomas
3
2020
Risk functionals with convex level sets. Zbl 1508.91624
Wang, Ruodu; Wei, Yunran
3
2020
Consistency of option prices under bid-ask spreads. Zbl 07200939
Gerhold, Stefan; Gülüm, Ismail Cetin
2
2020
Robust martingale selection problem and its connections to the no-arbitrage theory. Zbl 1508.91576
Burzoni, Matteo; Šikić, Mario
2
2020
Robust XVA. Zbl 1508.91550
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
2
2020
Semimartingale theory of monotone mean-variance portfolio allocation. Zbl 1508.91496
Černý, Aleš
2
2020
Robust risk aggregation with neural networks. Zbl 1508.91619
Eckstein, Stephan; Kupper, Michael; Pohl, Mathias
2
2020
Asset pricing with heterogeneous beliefs and illiquidity. Zbl 1508.91584
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 1508.91554
Dassios, Angelos; Lim, Jia Wei; Qu, Yan
2
2020
A martingale representation theorem and valuation of defaultable securities. Zbl 1508.91553
Choulli, Tahir; Daveloose, Catherine; Vanmaele, Michèle
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 1508.91562
Jacquier, Antoine; Spiliopoulos, Konstantinos
1
2020
Existence of a calibrated regime switching local volatility model. Zbl 1506.91165
Jourdain, Benjamin; Zhou, Alexandre
1
2020
Optimal consumption and investment with liquid and illiquid assets. Zbl 1508.91498
Choi, Jin Hyuk
1
2020
Convex duality and Orlicz spaces in expected utility maximization. Zbl 1508.91575
Biagini, Sara; Černý, Aleš
1
2020
A term structure model for dividends and interest rates. Zbl 1508.91580
Filipović, Damir; Willems, Sander
1
2020
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm. Zbl 1508.91614
Belomestny, Denis; Kaledin, Maxim; Schoenmakers, John
1
2020
The characteristic function of rough Heston models. Zbl 1411.91553
El Euch, Omar; Rosenbaum, Mathieu
66
2019
A unified approach to systemic risk measures via acceptance sets. Zbl 1411.91633
Biagini, Francesca; Fouque, Jean-pierre; Frittelli, Marco; Meyer-brandis, Thilo
32
2019
Optimal insurance under rank-dependent utility and incentive compatibility. Zbl 1411.91325
Xu, Zuo Quan; Zhou, Xun Yu; Zhuang, Sheng Chao
27
2019
Mean field and \(n\)-agent games for optimal investment under relative performance criteria. Zbl 1433.91158
Lacker, Daniel; Zariphopoulou, Thaleia
24
2019
Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix. Zbl 1411.91511
Ismail, Amine; Pham, Huyên
21
2019
Static hedging and pricing of exotic options with payoff frames. Zbl 1411.91567
Kirkby, Justin Lars; Deng, Shijie
16
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
13
2019
An efficient approach to quantile capital allocation and sensitivity analysis. Zbl 1480.91322
Asimit, Vali; Peng, Liang; Wang, Ruodu; Yu, Alex
11
2019
Trading algorithms with learning in latent alpha models. Zbl 1426.91241
Casgrain, Philippe; Jaimungal, Sebastian
10
2019
Credit portfolio selection with decaying contagion intensities. Zbl 1411.91485
Bo, Lijun; Capponi, Agostino; Chen, Peng-Chu
9
2019
Affine multiple yield curve models. Zbl 1411.91589
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro
9
2019
Optimal portfolio under fractional stochastic environment. Zbl 1426.91245
Fouque, Jean-pierre; Hu, Ruimeng
9
2019
Distribution-constrained optimal stopping. Zbl 1411.91540
Bayraktar, Erhan; Miller, Christopher W.
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
Option pricing under fast-varying long-memory stochastic volatility. Zbl 1411.91556
Garnier, Josselin; Sølna, Knut
6
2019
Trading co-integrated assets with price impact. Zbl 1411.91487
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
6
2019
The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework. Zbl 1429.91312
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano
6
2019
Optimal trade execution in order books with stochastic liquidity. Zbl 1411.91500
Fruth, Antje; Schöneborn, Torsten; Urusov, Mikhail
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
Superreplication with proportional transaction cost under model uncertainty. Zbl 1426.91283
Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
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
Who should sell stocks? Zbl 1411.91502
Guasoni, Paolo; Liu, Ren; Muhle-Karbe, Johannes
3
2019
Value-at-risk bounds with two-sided dependence information. Zbl 1426.91308
Lux, Thibaut; Rüschendorf, Ludger
3
2019
Portfolio choice with small temporary and transient price impact. Zbl 1432.91102
Ekren, Ibrahim; Muhle-Karbe, Johannes
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
Optimal consumption and investment under transaction costs. Zbl 1411.91508
Hobson, David; Tse, Alex S. L.; Zhu, Yeqi
2
2019
Financial models with defaultable numéraires. Zbl 1411.91597
Fisher, Travis; Pulido, Sergio; Ruf, Johannes
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
Periodic strategies in optimal execution with multiplicative price impact. Zbl 1433.91157
Hernández-Hernández, Daniel; Moreno-Franco, Harold A.; Pérez, José-luis
1
2019
Robust utility maximization with Lévy processes. Zbl 1403.91321
Neufeld, Ariel; Nutz, Marcel
29
2018
Arbitrage-free XVA. Zbl 1390.91276
Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan
20
2018
Error analysis of finite difference and Markov chain approximations for option pricing. Zbl 1411.91626
Li, Lingfei; Zhang, Gongqiu
18
2018
Profit sharing in hedge funds. Zbl 1403.91312
He, Xue Dong; Kou, Steven
16
2018
On the C-property and \(w^*\)-representations of risk measures. Zbl 1390.91334
Gao, Niushan; Xanthos, Foivos
14
2018
Dynamic defaultable term structure modeling beyond the intensity paradigm. Zbl 1403.91361
Gehmlich, Frank; Schmidt, Thorsten
12
2018
Option pricing in the moderate deviations regime. Zbl 1411.91554
Friz, Peter; Gerhold, Stefan; Pinter, Arpad
11
2018
Asymptotic equivalence of risk measures under dependence uncertainty. Zbl 1403.91188
Cai, Jun; Liu, Haiyan; Wang, Ruodu
10
2018
Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. Zbl 1403.91354
Zanger, Daniel Z.
9
2018
Bounding wrong-way risk in CVA calculation. Zbl 1403.91362
Glasserman, Paul; Yang, Linan
7
2018
On American VIX options under the generalized 3/2 and 1/2 models. Zbl 1390.91297
Detemple, Jérôme; Kitapbayev, Yerkin
7
2018
Consistent recalibration of yield curve models. Zbl 1411.91622
Harms, Philipp; Stefanovits, David; Teichmann, Josef; Wüthrich, Mario V.
6
2018
On the market viability under proportional transaction costs. Zbl 1411.91479
Bayraktar, Erhan; Yu, Xiang
6
2018
Risk management with weighted VaR. Zbl 1417.91484
Wei, Pengyu
6
2018
Modeling sovereign risks: from a hybrid model to the generalized density approach. Zbl 1403.91364
Jiao, Ying; Li, Shanqiu
6
2018
Indifference prices and implied volatilities. Zbl 1403.91347
Lorig, Matthew
6
2018
Super-replication in fully incomplete markets. Zbl 1390.91298
Dolinsky, Yan; Neufeld, Ariel
6
2018
Convex duality for Epstein-Zin stochastic differential utility. Zbl 1417.91470
Matoussi, Anis; Xing, Hao
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
Semi-efficient valuations and put-call parity. Zbl 1417.91503
Herdegen, Martin; Schweizer, Martin
4
2018
Social discounting and the long rate of interest. Zbl 1403.91355
Brody, Dorje C.; Hughston, Lane P.
4
2018
International reserve management: a drift-switching reflected jump-diffusion model. Zbl 1403.91308
Cai, Ning; Yang, Xuewei
4
2018
Liquidity effects of trading frequency. Zbl 1411.91501
Gayduk, Roman; Nadtochiy, Sergey
3
2018
Analytical approximations of local-Heston volatility model and error analysis. Zbl 1411.91544
Bompis, R.; Gobet, E.
3
2018
The valuation of American options in a multidimensional exponential Lévy model. Zbl 1417.91506
Klimsiak, Tomasz; Rozkosz, Andrzej
3
2018
Utility maximization in a large market. Zbl 1403.91320
Mostovyi, Oleksii
3
2018
Small-cost asymptotics for long-term growth rates in incomplete markets. Zbl 1390.91283
Melnyk, Yaroslav; Seifried, Frank Thomas
3
2018
The optimal method for pricing Bermudan options by simulation. Zbl 1417.91555
Ibáñez, Alfredo; Velasco, Carlos
2
2018
Investing with liquid and illiquid assets. Zbl 1403.91306
Bichuch, Maxim; Guasoni, Paolo
2
2018
Optimal liquidation and adverse selection in dark pools. Zbl 1403.91314
Kratz, Peter; Schöneborn, Torsten
2
2018
...and 656 more Documents
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Cited by 10,250 Authors

82 Siu, Tak Kuen
71 Madan, Dilip B.
58 Elliott, Robert James
55 Bayraktar, Erhan
54 Wong, Hoi Ying
52 Wu, Zhen
50 Touzi, Nizar
46 Zhu, Songping
45 Young, Virginia R.
41 Li, Zhongfei
41 Platen, Eckhard
41 Yang, Hailiang
37 Wang, Ruodu
36 Forsyth, Peter A.
36 Jeanblanc, Monique
36 Rásonyi, Miklós
35 Jarrow, Robert Alan
34 Muhle-Karbe, Johannes
33 Filipović, Damir
33 Hu, Ying
33 Schachermayer, Walter
33 Schoutens, Wim
32 Hu, Yijun
32 Jaimungal, Sebastian
31 Kupper, Michael
31 Li, Duan
31 Oosterlee, Cornelis Willebrordus
31 Peng, Shige
31 Pham, Huyên
31 Soner, Halil Mete
30 Biagini, Francesca
30 Bo, Lijun
30 Ji, Shaolin
30 Jin, Zhuo
29 Benth, Fred Espen
29 Shen, Yang
29 Yong, Jiongmin
29 Zeng, Yan
28 Cui, Zhenyu
28 Eberlein, Ernst W.
28 Hobson, David Graham
28 Levendorskiĭ, Sergeĭ Zakharovich
28 Li, Xun
28 Pascucci, Andrea
28 Rutkowski, Marek
28 Takahashi, Akihiko
27 Bouchard, Bruno
27 Chen, Zhiping
27 Fabozzi, Frank J.
27 Øksendal, Bernt Karsten
27 Rachev, Svetlozar T.
27 Schied, Alexander
26 Dolinsky, Yan
26 Korn, Ralf
26 Obloj, Jan K.
26 Pagès, Gilles
26 Tan, Ken Seng
25 Bender, Christian
25 Carr, Peter Paul
25 Chiarella, Carl
25 Jacquier, Antoine
25 Shin, Yong Hyun
25 Xiong, Dewen
24 Bielecki, Tomasz R.
24 Crepey, Stephane
24 Delbaen, Freddy
24 Gobet, Emmanuel
24 Guasoni, Paolo
24 Joshi, Mark S.
24 Kallsen, Jan
24 Leung, Tim
24 Lorig, Matthew J.
24 Protter, Philip Elliott
24 Rudloff, Birgit
24 Schoenmakers, John G. M.
24 Tankov, Peter
24 Zheng, Harry H.
23 Campi, Luciano
23 Cheridito, Patrick
23 Grasselli, Martino
23 Possamaï, Dylan
23 Sircar, Ronnie
23 Wang, Rongming
23 Yor, Marc
22 Balbás, Alejandro
22 Beiglböck, Mathias
22 Belomestny, Denis
22 Cartea, Álvaro
22 Dai, Min
22 El Karoui, Nicole
22 Rüschendorf, Ludger
22 Shapiro, Alexander
22 Wei, Jiaqin
22 Xu, Zuoquan
22 Zhou, Xunyu
21 Choulli, Tahir
21 Ekström, Erik
21 Jeon, Junkee
21 Kwok, Yue-Kuen
21 Linetsky, Vadim
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Cited in 559 Journals

651 Quantitative Finance
610 Insurance Mathematics & Economics
582 International Journal of Theoretical and Applied Finance
385 Mathematical Finance
377 European Journal of Operational Research
372 Stochastic Processes and their Applications
356 Finance and Stochastics
261 Applied Mathematical Finance
250 Journal of Economic Dynamics & Control
242 SIAM Journal on Financial Mathematics
238 The Annals of Applied Probability
190 Mathematics and Financial Economics
182 Journal of Computational and Applied Mathematics
173 Journal of Econometrics
164 Annals of Operations Research
157 Statistics & Probability Letters
146 Stochastics
144 Stochastic Analysis and Applications
125 Journal of Mathematical Analysis and Applications
120 Applied Mathematics and Computation
108 Journal of Applied Probability
105 Applied Mathematics and Optimization
103 SIAM Journal on Control and Optimization
101 Scandinavian Actuarial Journal
100 Annals of Finance
97 Review of Derivatives Research
96 Mathematical Methods of Operations Research
96 Asia-Pacific Financial Markets
95 ASTIN Bulletin
89 Communications in Statistics. Theory and Methods
89 North American Actuarial Journal
86 Decisions in Economics and Finance
85 Methodology and Computing in Applied Probability
82 Journal of Mathematical Economics
81 Operations Research Letters
80 Advances in Applied Probability
80 Journal of Industrial and Management Optimization
79 Mathematics of Operations Research
71 Physica A
71 Journal of Optimization Theory and Applications
67 Operations Research
59 Mathematical Problems in Engineering
56 Automatica
55 Bernoulli
52 The Annals of Probability
51 Computers & Mathematics with Applications
50 Optimization
50 Mathematical Programming. Series A. Series B
48 Journal of Economic Theory
45 Probability, Uncertainty and Quantitative Risk
44 International Journal of Computer Mathematics
44 Computational Statistics and Data Analysis
44 Discrete Dynamics in Nature and Society
43 Acta Mathematicae Applicatae Sinica. English Series
41 Chaos, Solitons and Fractals
41 Journal of Systems Science and Complexity
40 European Actuarial Journal
38 Journal of Theoretical Probability
38 Abstract and Applied Analysis
38 Stochastic Models
37 Stochastics and Dynamics
36 Economic Theory
36 Computational Management Science
34 Journal of Multivariate Analysis
34 Mathematical and Computer Modelling
34 Mathematical Control and Related Fields
33 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
33 Econometric Theory
32 Systems & Control Letters
31 Statistics & Risk Modeling
30 Probability Theory and Related Fields
30 Electronic Journal of Probability
30 The ANZIAM Journal
27 Mathematics and Computers in Simulation
27 Computers & Operations Research
27 Science China. Mathematics
26 Theory of Probability and its Applications
26 Applied Mathematics. Series B (English Edition)
26 Probability in the Engineering and Informational Sciences
25 Journal of Statistical Planning and Inference
25 Japan Journal of Industrial and Applied Mathematics
25 SIAM Journal on Optimization
25 INFORMS Journal on Computing
25 Comptes Rendus. Mathématique. Académie des Sciences, Paris
24 Econometric Reviews
24 Journal of Global Optimization
24 Communications in Statistics. Simulation and Computation
24 Acta Mathematica Sinica. English Series
23 Random Operators and Stochastic Equations
23 Monte Carlo Methods and Applications
23 Applied Stochastic Models in Business and Industry
23 Advances in Difference Equations
22 Electronic Journal of Statistics
21 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
21 Dependence Modeling
20 Soft Computing
20 Extremes
20 Communications in Nonlinear Science and Numerical Simulation
20 Journal of Applied Mathematics
20 OR Spectrum
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Cited in 53 Fields

8,857 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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132 Functional analysis (46-XX)
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123 Ordinary differential equations (34-XX)
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