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International Journal of Theoretical and Applied Finance

Short Title: Int. J. Theor. Appl. Finance
Publisher: World Scientific, Singapore
ISSN: 0219-0249; 1793-6322/e
Online: https://www.worldscientific.com/loi/ijtaf
Comments: Journal; Indexed cover-to-cover
Documents Indexed: 1,262 Publications (since 1998)
References Indexed: 1,238 Publications with 29,200 References.
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Authors

13 Elliott, Robert James
13 Kwok, Yue-Kuen
13 Levendorskiĭ, Sergeĭ Zakharovich
13 Madan, Dilip B.
12 Benth, Fred Espen
12 Fabozzi, Frank J.
12 Schoutens, Wim
11 Avellaneda, Marco
11 Brigo, Damiano
10 Jeanblanc, Monique
10 Korn, Ralf
9 Bouchaud, Jean-Philippe
9 Oosterlee, Cornelis Willebrordus
9 Rachev, Svetlozar T.
9 Rutkowski, Marek
8 Leung, Tim
8 Platen, Eckhard
8 Rebonato, Riccardo
8 Wu, Lixin
7 Arai, Takuji
7 Gapeev, Pavel V.
7 Jaimungal, Sebastian
7 Jarrow, Robert Alan
7 Joshi, Mark S.
7 Konno, Hiroshi
7 Pallavicini, Andrea
7 Protter, Philip Elliott
7 Takahashi, Akihiko
7 Wilmott, Paul
7 Zubelli, Jorge P.
6 Baviera, Roberto
6 Bielecki, Tomasz R.
6 Cartea, Álvaro
6 Crepey, Stephane
6 Friedman, Craig
6 Macrina, Andrea
6 Meyer-Brandis, Thilo
6 Siu, Tak Kuen
6 Stoyanov, Stoyan V.
6 Zhu, Songping
5 Aurell, Erik
5 Biagini, Francesca
5 Boyarchenko, Svetlana I.
5 Chiarella, Carl
5 Cont, Rama
5 Ekström, Erik
5 Forsyth, Peter A.
5 Grzelak, Lech A.
5 Hughston, Lane P.
5 Hui, Cho-Hoi
5 Lipton, Alexander
5 Lo, Chi-Fai
5 Pistorius, Martijn R.
5 Ramponi, Alessandro
5 Sornette, Didier
5 Yamazaki, Akira
4 Albanese, Claudio
4 Bayraktar, Erhan
4 Bernard, Carole
4 Brody, Dorje C.
4 Capriotti, Luca
4 Carr, Peter Paul
4 Cialenco, Igor
4 Ehrhardt, Matthias
4 Forde, Martin
4 Frahm, Gabriel
4 Frey, Rüdiger
4 Gatheral, Jim
4 Gil-Alana, Luis Alberiko
4 Grorud, Axel
4 Hobson, David Graham
4 Lütkebohmert, Eva
4 Mijatović, Aleksandar
4 Pirjol, Dan
4 Schmidt, Thorsten
4 Seifried, Frank Thomas
4 Semeraro, Patrizia
4 Serva, Maurizio
4 Stanley, H. Eugene
4 Zagst, Rudi
3 Alfonsi, Aurélien
3 Antonelli, Fabio
3 Bäuerle, Nicole
3 Belomestny, Denis
3 Bermin, Hans-Peter
3 Bernaschi, Massimo
3 Boyarchenko, Mitya
3 Broadie, Mark N.
3 Buescu, Cristin
3 Carmona, René A.
3 Ceci, Claudia
3 Charpin, Françoise
3 Cruz Rambaud, Salvador
3 Cui, Zhenyu
3 D’Addona, Stefano
3 Dahl, Lars O.
3 Dokuchaev, Nikolai G.
3 Dorfleitner, Gregor
3 Dupire, Bruno
3 Filipović, Damir
...and 1,643 more Authors

Publications by Year

Citations contained in zbMATH Open

880 Publications have been cited 6,476 times in 4,630 Documents Cited by Year
American options with regime switching. Zbl 1107.91325
Buffington, John; Elliott, Robert J.
250
2002
Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072
Lux, Thomas; Marchesi, Michele
114
2000
Option pricing for truncated Lévy processes. Zbl 0973.91037
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z.
91
2000
Random matrix theory and financial correlations. Zbl 0970.91059
Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe
75
2000
Pricing of the American put under Lévy processes. Zbl 1107.91050
Levendorskiĭ, S. Z.
74
2004
The spectral decomposition of the option value. Zbl 1107.91051
Linetsky, Vadim
69
2004
The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283
Broadie, Mark; Jain, Ashish
69
2008
Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147
Cheridito, Patrick; Kupper, Michael
68
2011
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
63
2010
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403
Gatheral, Jim; Schied, Alexander
62
2011
Insider trading in a continuous time market model. Zbl 0909.90023
Grorud, Axel; Pontier, Monique
59
1998
A multivariate variance gamma model for financial applications. Zbl 1152.91548
Semeraro, Patrizia
55
2008
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009
Derman, Emanuel; Kani, Iraj
53
1998
Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290
Forde, Martin; Jacquier, Antoine
51
2009
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
51
2000
Crashes as critical points. Zbl 1153.91790
Johansen, Anders; Ledoit, Olivier; Sornette, Didier
50
2000
Drawdown measure in portfolio optimization. Zbl 1100.91040
Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael
49
2005
Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206
Brigo, Damiano; Chourdakis, Kyriakos
48
2009
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
47
2001
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
40
2009
Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345
Sepp, Artur
38
2004
High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar
36
2003
Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130
Frey, Rüdiger; Backhaus, Jochen
35
2008
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
34
2006
The evaluation of American option prices under stochastic volatility and jump-diffusion dynamics using the method of lines. Zbl 1178.91193
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, Andrew
34
2009
Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024
Avellaneda, Marco
33
1998
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
33
2006
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
33
2005
Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451
Ikonen, Samuli; Toivanen, Jari
33
2007
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
32
2014
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
32
2010
Information-based asset pricing. Zbl 1152.91487
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
32
2008
Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324
Brigo, Damiano; Mercurio, Fabio
31
2002
A mathematical approach to order book modeling. Zbl 1292.91197
Abergel, Frédéric; Jedidi, Aymen
31
2013
Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156
Leung, Tim; Li, Xin
31
2015
Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465
Matacz, Andrew
31
2000
A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175
Ehrhardt, Matthias; Mickens, Ronald E.
31
2008
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
31
2008
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101
Andersen, Leif; Lipton, Alexander
30
2013
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
28
2019
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
27
2010
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
27
2012
Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086
Mercurio, Fabio
27
2010
Financial signal processing: a self calibrating model. Zbl 1153.91491
Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M.
27
2001
Portfolio optimization under partial information with expert opinions. Zbl 1236.91126
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf
26
2012
Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203
Bordag, L. A.; Chmakova, A. Y.
25
2007
Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191
Meyer-Brandis, Thilo; Tankov, Peter
24
2008
Stochastic model predictive control and portfolio optimization. Zbl 1137.91449
Herzog, Florian; Dondi, Gabriel; Geering, Hans P.
23
2007
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177
Löhne, Andreas; Rudloff, Birgit
23
2014
Measuring and monitoring the efficiency of markets. Zbl 1395.91459
Madan, Dilip B.; Schoutens, Wim; Wang, King
23
2017
Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308
van Haastrecht, Alexander; Pelsser, Antoon
23
2010
Optimal portfolios under the threat of a crash. Zbl 1111.91318
Korn, Ralf; Wilmott, Paul
22
2002
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
22
2000
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
22
2008
Weighted Monte Carlo: a new technique for calibrating asset-pricing models. Zbl 1153.91458
Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua
22
2001
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
22
2011
A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif
21
2008
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
21
2012
Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie
21
2013
Pathwise identification of the memory function of multifractional Brownian motion with application to finance. Zbl 1100.91037
Bianchi, Sergio
20
2005
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
20
2004
Asymmetrical information and incomplete markets. Zbl 1154.91542
Grorud, Axel; Pontier, Monique
20
2001
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
20
2012
Expansion formulas for European options in a local volatility model. Zbl 1205.91153
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
20
2010
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071
Ramponi, Alessandro
20
2012
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
Mania, M.; Tevzadze, R.
19
2003
Pricing and hedging in a dynamic credit model. Zbl 1291.91223
Elouerkhaoui, Youssef
19
2007
On the relationship between the call price surface and the implied volatility surface close to expiry. Zbl 1291.91210
Roper, Michael; Rutkowski, Marek
19
2009
Implied and local volatilities under stochastic volatility. Zbl 1153.91536
Lee, Roger W.
19
2001
Pricing Parisian-style options with a lattice method. Zbl 1153.91459
Avellaneda, Marco; Wu, Lixin
19
1999
Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177
Boyarchenko, Mitya; Levendorskiĭ, Sergei
18
2009
An improved Markov chain approximation methodology: derivatives pricing and model calibration. Zbl 1304.91221
Lo, Chia Chun; Skindilias, Konstantinos
18
2014
Vector-valued coherent risk measure processes. Zbl 1292.91090
Ben Tahar, Imen; Lépinette, Emmanuel
18
2014
Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors. Zbl 1138.91453
Sadefo Kamdem, Jules
18
2005
A closer look at the Epps effect. Zbl 1079.91537
Renò, Roberto
18
2003
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
18
2017
Option pricing with VG-like models. Zbl 1175.91178
Finlay, Richard; Seneta, Eugene
18
2008
The entropy theory of stock option pricing. Zbl 1153.91503
Gulko, Les
18
1999
Stochastic portfolio optimization with log utility. Zbl 1138.91468
Pang, Tao
18
2006
Efficient pricing and reliable calibration in the Heston model. Zbl 1282.91338
Levendorskiĭ, Sergei
18
2012
Conditional certainty equivalent. Zbl 1213.91170
Frittelli, Marco; Maggis, Marco
17
2011
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
17
2009
Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188
Hurd, T. R.
17
2009
The CARMA interest rate model. Zbl 1290.91170
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy
17
2014
Weak and strong no-arbitrage conditions for continuous financial markets. Zbl 1337.91160
Fontana, Claudio
17
2015
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
17
2001
A path integral approach to derivative security pricing. I. Formalism and analytical results. Zbl 1153.91464
Bennati, Eleonora; Rosa-Clot, Marco; Taddei, Stefano
17
1999
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios
16
2011
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
16
2004
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
16
2004
Credit risk premia and quadratic BSDEs with a single jump. Zbl 1204.91133
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne
16
2010
Set-valued shortfall and divergence risk measures. Zbl 1396.91807
Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit
16
2017
Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036
Korn, Ralf; Kraft, Holger
16
2003
Approximating Lévy processes with a view to option pricing. Zbl 1206.91079
Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar
16
2010
Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791
Johansen, Anders; Sornette, Didier
16
2001
The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513
Hugonnier, Julien-N.
16
1999
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
16
2012
Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331
Elliott, Robert; Hinz, Juri
15
2002
A risk-neutral stochastic volatility model. Zbl 0909.90036
Zhu, Yingzi; Avellaneda, Marco
15
1998
Resilient price impact of trading and the cost of illiquidity. Zbl 1295.91047
Roch, Alexandre; Soner, H. Mete
15
2013
Dollar cost averaging returns estimation. Zbl 1512.91117
Brown, Hayden
1
2023
Dynamic utility and related nonlinear SPDEs driven by Lévy noise. Zbl 1484.91459
Matoussi, Anis; Mrad, Mohamed
3
2022
Weak error rates for option pricing under linear rough volatility. Zbl 1508.91549
Bayer, Christian; Hall, Eric Joseph; Tempone, Raúl
3
2022
Dividends and compound Poisson processes: a new stochastic stock price model. Zbl 1496.91099
Gankhuu, Battulga; Kleinow, Jacob; Lkhamsuren, Altangerel; Horsch, Andreas
2
2022
Short selling with margin risk and recall risk. Zbl 1484.91420
Glover, Kristoffer; Hulley, Hardy
2
2022
An empirical analysis of option pricing with short sell bans. Zbl 1503.91116
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping
1
2022
Martingale representations in progressive enlargement by multivariate point processes. Zbl 1502.60071
Calzolari, Antonella; Torti, Barbara
1
2022
Optimal portfolio choice with crash risk and model ambiguity. Zbl 1483.91217
Korn, Ralf; Müller, Lukas
1
2022
Accounting noise and the pricing of CoCos. Zbl 1508.91556
Derksen, Mike; Spreij, Peter; Van Wijnbergen, Sweder
1
2022
CVA and vulnerable options in stochastic volatility models. Zbl 1467.62163
Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S.
5
2021
Portfolio insurance under rough volatility and Volterra processes. Zbl 1484.91418
Dupret, Jean-Loup; Hainaut, Donatien
5
2021
Decomposition formula for rough Volterra stochastic volatility models. Zbl 1466.91350
Merino, Raúl; Pospíšil, Jan; Sobotka, Tomáš; Sottinen, Tommi; Vives, Josep
4
2021
The classification of term structure shapes in the two-factor Vasicek model – a total positivity approach. Zbl 1471.91590
Keller-Ressel, Martin
3
2021
Option implied VIX, skew and kurtosis term structures. Zbl 1471.91581
Madan, Dilip B.; Wang, King
3
2021
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection. Zbl 1466.91279
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor
2
2021
Robust utility maximization in a multivariate financial market with stochastic drift. Zbl 1470.91263
Sass, Jörn; Westphal, Dorothee
2
2021
Insider trading with temporary price impact. Zbl 1466.91304
Barger, Weston; Donnelly, Ryan
2
2021
Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. Zbl 1471.91537
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto
2
2021
Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301
Zhitlukhin, Mikhail
1
2021
Mixture of consistent stochastic utilities and a priori randomness. Zbl 1467.91165
Mrad, Mohamed
1
2021
Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk. Zbl 1466.91268
Serrano, Rafael
1
2021
Two stage decumulation strategies for dc plan investors. Zbl 1466.91256
Forsyth, Peter A.
1
2021
Consistent upper price bounds for exotic options. Zbl 1466.91324
Bäuerle, Nicole; Schmithals, Daniel
1
2021
Efficient risk measures calculations for generalized CreditRisk\(^+\) models. Zbl 1466.91365
Huang, Zhenzhen; Kwok, Yue Kuen
1
2021
Coherent risk measures and normal mixture distributions with applications in portfolio optimization. Zbl 1470.91334
Shi, Xiang; Kim, Young Shin
1
2021
An ergodic BSDE risk representation in a jump-diffusion framework. Zbl 1470.91330
Guambe, Calisto; Mabitsela, Lesedi; Kufakunesu, Rodwell
1
2021
Coherent risk measure on \(L^0\): NA condition, pricing and dual representation. Zbl 1484.91457
Lepinette, Emmanuel; Vu, Duc Thinh
1
2021
The VIX and future information. Zbl 1491.91146
Hess, Markus
1
2021
Sinh-acceleration for b-spline projection with option pricing applications. Zbl 1484.91515
Boyarchenko, Svetlana; Levendorskiĭ, Sergei; Kyrkby, J. Lars; Cui, Zhenyu
1
2021
Optimal dynamic futures portfolio under a multifactor Gaussian framework. Zbl 1471.91574
Leung, Tim; Yan, Raphael; Zhou, Yang
1
2021
Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization. Zbl 1471.91516
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
1
2021
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
8
2020
Multivariate distributions for financial returns. Zbl 1457.91384
Madan, Dilip B.
5
2020
Some pricing tools for the variance gamma model. Zbl 1448.91289
Aguilar, Jean-Philippe
5
2020
Financial contagion in a stochastic block model. Zbl 1459.91216
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
4
2020
Robust bounds for derivative prices in Markovian models. Zbl 1447.91183
Sester, Julian
4
2020
Smile modeling in commodity markets. Zbl 1447.91180
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio
4
2020
Modulated information flows in financial markets. Zbl 1447.91169
Hoyle, Edward; Macrina, Andrea; Mengütürk, Levent Ali
3
2020
A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. Zbl 1441.91075
Grishenko, Olesya; Han, Xiao; Nistor, Victor
3
2020
Branching particle pricers with Heston examples. Zbl 1443.91296
Kouritzin, Michael A.; Mackay, Anne
3
2020
Information flow dependence in financial markets. Zbl 1457.91362
Michaelsen, Markus
3
2020
Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371
de Gennaro Aquino, Luca; Bernard, Carole
2
2020
A principal-agent approach to capacity remuneration mechanisms. Zbl 1457.91227
Alasseur, Clémence; Farhat, Heythem; Saguan, Marcelo
2
2020
A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. Zbl 1457.91361
Lipton, Alexander; López de Prado, Marcos
2
2020
Set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1447.91158
Chen, Yanhong; Hu, Yijun
2
2020
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks. Zbl 1447.91185
Criens, David
2
2020
Systemic risk: the effect of market confidence. Zbl 1459.91215
Bichuch, Maxim; Chen, Ke
2
2020
Inefficient bubbles and efficient drawdowns in financial markets. Zbl 1459.91191
Schatz, Michael; Sornette, Didier
2
2020
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
1
2020
Optimal liquidation trajectories for the Almgren-Chriss model. Zbl 1459.91177
Løkka, Arne; Xu, Junwei
1
2020
An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. Zbl 1459.91204
Shiraya, Kenichirpo
1
2020
Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling. Zbl 1447.91175
Kremer, Marcel; Benth, Fred Espen; Felten, Björn; Kiesel, Rüdiger
1
2020
Market making with alpha signals. Zbl 1447.91167
Cartea, Álvaro; Wang, Yixuan
1
2020
Principal-component-based Gaussian affine term structure models: constraints and their financial implications. Zbl 1443.91311
Rebonato, Riccardo; Saroka, Ivan; Putiatyn, Vlad
1
2020
Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217
Gapeev, Pavel V.; Jeanblanc, Monique
1
2020
Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. Zbl 1444.91195
Biedova, Olga; Steblovskaya, Victoria
1
2020
Measuring model risk in financial risk management and pricing. Zbl 1443.91342
Jokhadze, Valeriane; Schmidt, Wolfgang M.
1
2020
Effective asymptotics analysis for finance. Zbl 1443.91290
Grunspan, Cyril; Van Der Hoeven, Joris
1
2020
Strict local martingales via filtration enlargement. Zbl 1462.60053
Dandapani, Aditi; Protter, Philip
1
2020
Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions. Zbl 1437.91426
Catalão, André; Rosenfeld, Rogério
1
2020
Markowitz portfolio and the blur of history. Zbl 1457.91350
Ng, Chi Tim; Shi, Yue; Chan, Ngai Hang
1
2020
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model. Zbl 1460.91272
Mishura, Yuliya; Yurchenko-Tytarenko, Anton
1
2020
Conic CVA and DVA for option portfolios. Zbl 1457.91393
Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo
1
2020
VIX versus VXX: a joint analytical framework. Zbl 1457.91375
Grasselli, Martino; Wagalath, Lakshithe
1
2020
Reflected BDSDEs with stochastic monotone generator and application to valuing American options. Zbl 1457.91386
Marzougue, Mohamed
1
2020
Option pricing in markets with informed traders. Zbl 1457.91378
Hu, Yuan; Shirvani, Abootaleb; Stoyanov, Stoyan; Kim, Young Shin; Fabozzi, Frank J.; Rachev, Svetlozar T.
1
2020
Approximating the growth optimal portfolio and stock price bubbles. Zbl 1459.91179
Platen, Eckhard; Rendek, Renata
1
2020
Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds. Zbl 1411.91535
Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin
28
2019
Rational approximation of the rough Heston solution. Zbl 1458.91211
Gatheral, Jim; Radoičić, Radoš
14
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
11
2019
Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate. Zbl 1411.91583
Yang, Ben-Zhang; Yue, Jia; Huang, Nan-Jing
8
2019
Optimal liquidation under stochastic price impact. Zbl 1411.91477
Barger, Weston; Lorig, Matthew
7
2019
Hurst exponents and delampertized fractional Brownian motions. Zbl 1488.60095
Garcin, Matthieu
7
2019
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
6
2019
American options and incomplete information. Zbl 1426.91265
Ekström, Erik; Vannestål, Martin
6
2019
Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113
Lars Kirkby, J.; Deng, Shi-Jie
5
2019
Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604
Avellaneda, M.; Papanicolaou, A.
5
2019
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
4
2019
On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761
Alfeus, Mesias; Schlögl, Erik
4
2019
Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar
3
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
Madan, Dilip B.; Schoutens, Wim
3
2019
Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404
Siu, Tak Kuen; Elliott, Robert J.
3
2019
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
3
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
3
2019
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping
3
2019
Multi-currency credit default swaps. Zbl 1411.91546
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea
3
2019
Multi-asset worst-case optimal portfolios. Zbl 1411.91515
Korn, Ralf; Leoff, Elisabeth
3
2019
Pricing derivatives in Hermite markets. Zbl 1426.91279
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank J.
3
2019
Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia
2
2019
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. Zbl 1430.91103
Arai, Takuji
2
2019
Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605
Bouzianis, George; Hughston, Lane P.
2
2019
Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634
Chen, Yanhong; Hu, Yijun
2
2019
Portfolio optimization with performance ratios. Zbl 1422.91657
Lin, Hongcan; Saunders, David; Weng, Chengguo
2
2019
Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes. Zbl 1426.91303
Rakhmonov, Firuz; Rakhmonov, Parviz
2
2019
Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563
Jafari, Hossein; Rahimi, Ghazaleh
1
2019
An arithmetic pure-jump multi-curve interest rate model. Zbl 1431.91408
Hess, Markus
1
2019
Change-point analysis of asset price bubbles with power-law hazard function. Zbl 1454.91256
Lynch, Christopher; Mestel, Benjamin
1
2019
Portfolio rho-presentativity. Zbl 1430.91085
Froidure, Tristan; Jalalzai, Khalid; Choueifaty, Yves
1
2019
Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756
Shibata, Takashi; Nishihara, Michi
1
2019
Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching. Zbl 1426.91208
Chen, Zhiping; Wang, Liyuan; Chen, Ping; Yao, Haixiang
1
2019
...and 780 more Documents
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Cited by 5,255 Authors

61 Siu, Tak Kuen
52 Madan, Dilip B.
47 Elliott, Robert James
37 Zhu, Songping
32 Platen, Eckhard
30 Levendorskiĭ, Sergeĭ Zakharovich
26 Crepey, Stephane
26 Jeanblanc, Monique
26 Sornette, Didier
24 Schoutens, Wim
23 Brigo, Damiano
23 Cui, Zhenyu
23 Kwok, Yue-Kuen
23 Yang, Hailiang
22 Benth, Fred Espen
22 Jaimungal, Sebastian
22 Oosterlee, Cornelis Willebrordus
21 Takahashi, Akihiko
20 Biagini, Francesca
20 Bielecki, Tomasz R.
19 Jacquier, Antoine
19 Ma, Jingtang
18 Ceci, Claudia
18 Leung, Tim
18 Pirjol, Dan
18 Rutkowski, Marek
18 Wang, King-Hang
18 Wang, Yongjin
17 Cartea, Álvaro
17 Dong, Yinghui
17 Fabozzi, Frank J.
17 Fontana, Claudio
17 He, Xinjiang
17 Protter, Philip Elliott
17 Wang, Guojing
16 Bo, Lijun
16 Colaneri, Katia
16 Forsyth, Peter A.
16 Pistorius, Martijn R.
16 Zagst, Rudi
15 Company, Rafael
15 Gulisashvili, Archil
15 Hainaut, Donatien
15 Linetsky, Vadim
15 Macrina, Andrea
15 Rudloff, Birgit
15 Scherer, Matthias
15 Yamazaki, Kazutoshi
14 Boyarchenko, Svetlana I.
14 Capponi, Agostino
14 Gnoatto, Alessandro
14 Horst, Ulrich
14 Jarrow, Robert Alan
14 Jódar Sanchez, Lucas Antonio
14 Leonenko, Nikolai N.
14 Lu, Xiaoping
14 Pagliarani, Stefano
13 Bodnar, Taras
13 Brody, Dorje C.
13 Chan, Leunglung
13 Cialenco, Igor
13 Cont, Rama
13 Eberlein, Ernst W.
13 Fouque, Jean-Pierre
13 Gapeev, Pavel V.
13 Kim, Jeong-Hoon
13 Korn, Ralf
13 Kupper, Michael
13 Meyer-Brandis, Thilo
13 Sircar, Ronnie
13 Vulkov, Lubin G.
12 Dang, Duy Minh
12 Feinstein, Zachary
12 Filipović, Damir
12 Hughston, Lane P.
12 Pascucci, Andrea
12 Reisinger, Christoph
12 Zeng, Yong
11 Bäuerle, Nicole
11 Bayraktar, Erhan
11 Bouchaud, Jean-Philippe
11 Dassios, Angelos
11 Escobar, Marcos
11 Grasselli, Martino
11 Grzelak, Lech A.
11 Guhr, Thomas
11 Khaliq, Abdul Q. M.
11 Lorig, Matthew J.
11 Mamon, Rogemar S.
11 Mariani, Maria Cristina
11 Obloj, Jan K.
11 Overbeck, Ludger
11 Pallavicini, Andrea
11 Runggaldier, Wolfgang J.
11 Westerhoff, Frank H.
11 Zhang, Hongzhong
10 Bender, Christian
10 Bormetti, Giacomo
10 Deelstra, Griselda
10 Ehrhardt, Matthias
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Cited in 406 Journals

500 International Journal of Theoretical and Applied Finance
389 Quantitative Finance
168 Mathematical Finance
143 Finance and Stochastics
134 Physica A
122 SIAM Journal on Financial Mathematics
120 Insurance Mathematics & Economics
106 Applied Mathematical Finance
105 European Journal of Operational Research
103 Stochastic Processes and their Applications
93 Journal of Computational and Applied Mathematics
89 Journal of Economic Dynamics & Control
79 Mathematics and Financial Economics
52 Applied Mathematics and Computation
51 Annals of Operations Research
51 Asia-Pacific Financial Markets
49 Stochastics
47 Stochastic Analysis and Applications
46 International Journal of Computer Mathematics
46 Annals of Finance
43 The Annals of Applied Probability
43 Decisions in Economics and Finance
42 Journal of Applied Probability
42 Statistics & Probability Letters
39 Mathematical Methods of Operations Research
36 Methodology and Computing in Applied Probability
36 Review of Derivatives Research
35 Computers & Mathematics with Applications
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34 Advances in Applied Probability
33 Communications in Statistics. Theory and Methods
32 Applied Mathematics and Optimization
27 Chaos, Solitons and Fractals
27 Computational Management Science
26 Journal of Optimization Theory and Applications
25 Communications in Nonlinear Science and Numerical Simulation
25 Journal of Statistical Mechanics: Theory and Experiment
24 SIAM Journal on Control and Optimization
23 Mathematical Problems in Engineering
22 Mathematics of Operations Research
21 Journal of Industrial and Management Optimization
21 Probability, Uncertainty and Quantitative Risk
20 Operations Research Letters
20 Scandinavian Actuarial Journal
19 Discrete Dynamics in Nature and Society
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18 Probability in the Engineering and Informational Sciences
17 Mathematics and Computers in Simulation
17 Statistics & Risk Modeling
16 Bernoulli
15 Automatica
15 The ANZIAM Journal
15 The European Physical Journal B. Condensed Matter and Complex Systems
14 Journal of Econometrics
14 Applied Stochastic Models in Business and Industry
14 Stochastics and Dynamics
13 Mathematical Methods in the Applied Sciences
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13 Operations Research
13 Acta Applicandae Mathematicae
13 North American Actuarial Journal
12 Journal of Multivariate Analysis
12 Applied Mathematics Letters
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11 Japan Journal of Industrial and Applied Mathematics
11 ASTIN Bulletin
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8 Journal of Scientific Computing
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8 SIAM Journal on Scientific Computing
8 Journal of Probability and Statistics
8 Mathematical Control and Related Fields
8 Modern Stochastics. Theory and Applications
7 SIAM Journal on Numerical Analysis
7 Applied Numerical Mathematics
7 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
7 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
7 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
7 Studies in Nonlinear Dynamics and Econometrics
7 International Journal of Modern Physics C
7 Nonlinear Analysis. Real World Applications
7 Advances in Difference Equations
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