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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: Indexed cover-to-cover
Documents Indexed: 1,232 Publications (since 1998)
References Indexed: 1,208 Publications with 28,224 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 Joshi, Mark S.
7 Konno, Hiroshi
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 Jarrow, Robert Alan
6 Macrina, Andrea
6 Meyer-Brandis, Thilo
6 Pallavicini, Andrea
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 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 L.
4 Brody, Dorje C.
4 Capriotti, Luca
4 Carr, Peter Paul
4 Cialenco, Igor
4 Forsyth, Peter A.
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 Schmidt, Thorsten
4 Seifried, Frank Thomas
4 Semeraro, Patrizia
4 Serva, Maurizio
4 Stanley, H. Eugene
4 Wagalath, Lakshithe
4 Zagst, Rudi
3 Alfonsi, Aurélien
3 Antonelli, Fabio
3 Belomestny, Denis
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
3 Forde, Martin
3 Fouque, Jean-Pierre
3 Frittelli, Marco
3 Fukasawa, Masaaki
...and 1,601 more Authors

Publications by Year

Citations contained in zbMATH Open

829 Publications have been cited 5,526 times in 3,987 Documents Cited by Year
American options with regime switching. Zbl 1107.91325
Buffington, John; Elliott, Robert J.
231
2002
Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072
Lux, Thomas; Marchesi, Michele
99
2000
Option pricing for truncated Lévy processes. Zbl 0973.91037
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z.
71
2000
Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147
Cheridito, Patrick; Kupper, Michael
66
2011
The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283
Broadie, Mark; Jain, Ashish
65
2008
The spectral decomposition of the option value. Zbl 1107.91051
Linetsky, Vadim
62
2004
Insider trading in a continuous time market model. Zbl 0909.90023
Grorud, Axel; Pontier, Monique
57
1998
Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148
Madan, Dilip B.; Cherny, Alexander
55
2010
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009
Derman, Emanuel; Kani, Iraj
51
1998
A multivariate variance gamma model for financial applications. Zbl 1152.91548
Semeraro, Patrizia
51
2008
Random matrix theory and financial correlations. Zbl 0970.91059
Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe
50
2000
Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403
Gatheral, Jim; Schied, Alexander
49
2011
Pricing of the American put under Lévy processes. Zbl 1107.91050
Levendorskiĭ, S. Z.
47
2004
A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610
Frey, Rüdiger; Runggaldier, Wolfgang J.
47
2001
Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290
Forde, Martin; Jacquier, Antoine
46
2009
Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206
Brigo, Damiano; Chourdakis, Kyriakos
46
2009
Drawdown measure in portfolio optimization. Zbl 1100.91040
Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael
42
2005
Crashes as critical points. Zbl 1153.91790
Johansen, Anders; Ledoit, Olivier; Sornette, Didier
42
2000
Mean-reverting stochastic volatility. Zbl 1153.91497
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie
41
2000
Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345
Sepp, Artur
37
2004
New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127
Khaliq, A. Q. M.; Liu, R. H.
33
2009
Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130
Frey, Rüdiger; Backhaus, Jochen
32
2008
High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024
Düring, Bertram; Fournié, Michel; Jüngel, Ansgar
30
2003
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
30
2009
Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451
Ikonen, Samuli; Toivanen, Jari
30
2007
A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175
Ehrhardt, Matthias; Mickens, Ronald E.
30
2008
Equilibrium prices for monetary utility functions. Zbl 1151.91608
Filipović, Damir; Kupper, Michael
29
2008
A mathematical approach to order book modeling. Zbl 1292.91197
Abergel, Frédéric; Jedidi, Aymen
29
2013
Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324
Brigo, Damiano; Mercurio, Fabio
28
2002
The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194
van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W.
28
2014
Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086
Mercurio, Fabio
27
2010
Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024
Avellaneda, Marco
27
1998
Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020
Cont, Rama
27
2005
Financial signal processing: a self calibrating model. Zbl 1153.91491
Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M.
27
2001
Information-based asset pricing. Zbl 1152.91487
Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
27
2008
Regime-switching recombining tree for option pricing. Zbl 1233.91284
Liu, R. H.
26
2010
Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465
Matacz, Andrew
25
2000
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
25
2006
A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415
Zhu, Song-Ping
25
2006
Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100
Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B.
25
2012
Utility maximization in affine stochastic volatility models. Zbl 1198.91192
Kallsen, Jan; Muhle-Karbe, Johannes
24
2010
Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101
Andersen, Leif; Lipton, Alexander
23
2013
Optimal portfolios under the threat of a crash. Zbl 1111.91318
Korn, Ralf; Wilmott, Paul
21
2002
Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203
Bordag, L. A.; Chmakova, A. Y.
21
2007
Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191
Meyer-Brandis, Thilo; Tankov, Peter
21
2008
Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115
Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie
21
2013
Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050
Lo, C. F.; Yuen, P. H.; Hui, C. H.
20
2000
Asymmetrical information and incomplete markets. Zbl 1154.91542
Grorud, Axel; Pontier, Monique
20
2001
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
20
2008
Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156
Leung, Tim; Li, Xin
20
2015
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177
Löhne, Andreas; Rudloff, Birgit
20
2014
Portfolio optimization under partial information with expert opinions. Zbl 1236.91126
Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf
20
2012
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
20
2019
The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309
Benth, Fred Espen; Šaltytė-Benth, Jūratė
19
2004
Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159
Fujii, Masaaki; Takahashi, Akihiko
19
2012
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
A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif
19
2008
Expansion formulas for European options in a local volatility model. Zbl 1205.91153
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
19
2010
Maximum drawdown insurance. Zbl 1233.91115
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia
19
2011
Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308
van Haastrecht, Alexander; Pelsser, Antoon
18
2010
Pathwise identification of the memory function of multifractional Brownian motion with application to finance. Zbl 1100.91037
Bianchi, Sergio
18
2005
Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266
Kromer, Eduard; Overbeck, Ludger
17
2017
Pricing Parisian-style options with a lattice method. Zbl 1153.91459
Avellaneda, Marco; Wu, Lixin
17
1999
Mean-variance hedging for partially observed drift processes. Zbl 1153.91554
Pham, Huyên
17
2001
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071
Ramponi, Alessandro
17
2012
Stochastic model predictive control and portfolio optimization. Zbl 1137.91449
Herzog, Florian; Dondi, Gabriel; Geering, Hans P.
17
2007
Vector-valued coherent risk measure processes. Zbl 1292.91090
Ben Tahar, Imen; Lépinette, Emmanuel
17
2014
Conditional certainty equivalent. Zbl 1213.91170
Frittelli, Marco; Maggis, Marco
17
2011
Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313
Platen, Eckhard
16
2004
Backward stochastic PDE and imperfect hedging. Zbl 1094.91029
Mania, M.; Tevzadze, R.
16
2003
The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513
Hugonnier, Julien-N.
16
1999
The entropy theory of stock option pricing. Zbl 1153.91503
Gulko, Les
16
1999
Implied and local volatilities under stochastic volatility. Zbl 1153.91536
Lee, Roger W.
16
2001
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
16
2001
Stochastic portfolio optimization with log utility. Zbl 1138.91468
Pang, Tao
16
2006
A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072
Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi
16
2012
Stress testing the resilience of financial networks. Zbl 1236.91137
Amini, Hamed; Cont, Rama; Minca, Andreea
16
2012
Option pricing with VG-like models. Zbl 1175.91178
Finlay, Richard; Seneta, Eugene
16
2008
Set-valued shortfall and divergence risk measures. Zbl 1396.91807
Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit
15
2017
A risk-neutral stochastic volatility model. Zbl 0909.90036
Zhu, Yingzi; Avellaneda, Marco
15
1998
A structural risk-neutral model of electricity prices. Zbl 1188.91069
Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar
15
2009
Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177
Boyarchenko, Mitya; Levendorskiĭ, Sergei
15
2009
Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188
Hurd, T. R.
15
2009
Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791
Johansen, Anders; Sornette, Didier
15
2001
A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374
Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans
15
2012
Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036
Korn, Ralf; Kraft, Holger
15
2003
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
14
2011
Approximating Lévy processes with a view to option pricing. Zbl 1206.91079
Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar
14
2010
The entropy theory of bond option pricing. Zbl 1107.91337
Gulko, Les
14
2002
Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331
Elliott, Robert; Hinz, Juri
14
2002
A path integral approach to derivative security pricing. I. Formalism and analytical results. Zbl 1153.91464
Bennati, Eleonora; Rosa-Clot, Marco; Taddei, Stefano
14
1999
On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036
Djehiche, Boualem; Hamadène, Said
14
2009
Pricing and hedging in a dynamic credit model. Zbl 1291.91223
Elouerkhaoui, Youssef
14
2007
A closer look at the Epps effect. Zbl 1079.91537
Renò, Roberto
14
2003
Hedging (co)variance risk with variance swaps. Zbl 1282.91299
Da Fonseca, José; Grasselli, Martino; Ielpo, Florian
13
2011
European option pricing with liquidity shocks. Zbl 1302.91182
Ludkovski, Michael; Shen, Qunying
13
2013
Pricing multi-asset options with an external barrier. Zbl 0987.91030
Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong
13
1998
Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020
Buckley, I. R. C.; Korn, R.
13
1998
Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051
Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie
13
2004
Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem. Zbl 1137.91474
Stabile, Gabriele
13
2006
Dynamic utility and related nonlinear SPDEs driven by Lévy noise. Zbl 1484.91459
Matoussi, Anis; Mrad, Mohamed
2
2022
Optimal portfolio choice with crash risk and model ambiguity. Zbl 1483.91217
Korn, Ralf; Müller, Lukas
1
2022
Short selling with margin risk and recall risk. Zbl 1484.91420
Glover, Kristoffer; Hulley, Hardy
1
2022
An empirical analysis of option pricing with short sell bans. Zbl 1503.91116
Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping
1
2022
Option implied VIX, skew and kurtosis term structures. Zbl 1471.91581
Madan, Dilip B.; Wang, King
2
2021
Portfolio insurance under rough volatility and Volterra processes. Zbl 1484.91418
Dupret, Jean-Loup; Hainaut, Donatien
1
2021
Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. Zbl 1471.91537
Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto
1
2021
The classification of term structure shapes in the two-factor Vasicek model – a total positivity approach. Zbl 1471.91590
Keller-Ressel, Martin
1
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
Insider trading with temporary price impact. Zbl 1466.91304
Barger, Weston; Donnelly, Ryan
1
2021
CVA and vulnerable options in stochastic volatility models. Zbl 1467.62163
Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S.
1
2021
Robust utility maximization in a multivariate financial market with stochastic drift. Zbl 1470.91263
Sass, Jörn; Westphal, Dorothee
1
2021
On time consistency for mean-variance portfolio selection. Zbl 1457.91352
Vigna, Elena
6
2020
Multivariate distributions for financial returns. Zbl 1457.91384
Madan, Dilip B.
3
2020
Robust bounds for derivative prices in Markovian models. Zbl 1447.91183
Sester, Julian
3
2020
Some pricing tools for the variance gamma model. Zbl 1448.91289
Aguilar, Jean-Philippe
3
2020
Set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1447.91158
Chen, Yanhong; Hu, Yijun
2
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
2
2020
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks. Zbl 1447.91185
Criens, David
2
2020
Branching particle pricers with Heston examples. Zbl 1443.91296
Kouritzin, Michael A.; Mackay, Anne
2
2020
Information flow dependence in financial markets. Zbl 1457.91362
Michaelsen, Markus
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
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
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
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
Market making with alpha signals. Zbl 1447.91167
Cartea, Álvaro; Wang, Yixuan
1
2020
Smile modeling in commodity markets. Zbl 1447.91180
Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio
1
2020
Systemic risk: the effect of market confidence. Zbl 1459.91215
Bichuch, Maxim; Chen, Ke
1
2020
Inefficient bubbles and efficient drawdowns in financial markets. Zbl 1459.91191
Schatz, Michael; Sornette, Didier
1
2020
Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371
de Gennaro Aquino, Luca; Bernard, Carole
1
2020
An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. Zbl 1459.91204
Shiraya, Kenichirpo
1
2020
Financial contagion in a stochastic block model. Zbl 1459.91216
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
1
2020
A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. Zbl 1457.91361
Lipton, Alexander; López de Prado, Marcos
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
20
2019
Rational approximation of the rough Heston solution. Zbl 1458.91211
Gatheral, Jim; Radoičić, Radoš
10
2019
Hurst exponents and delampertized fractional Brownian motions. Zbl 1488.60095
Garcin, Matthieu
5
2019
Optimal liquidation under stochastic price impact. Zbl 1411.91477
Barger, Weston; Lorig, Matthew
5
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
5
2019
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. Zbl 1411.91645
Lejay, Antoine; Pigato, Paolo
5
2019
American options and incomplete information. Zbl 1426.91265
Ekström, Erik; Vannestål, Martin
3
2019
Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084
De Franco, Carmine; Nicolle, Johann; Pham, Huyên
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
Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604
Avellaneda, M.; Papanicolaou, A.
3
2019
Equilibrium asset returns in financial markets. Zbl 1411.91520
Madan, Dilip B.; Schoutens, Wim
3
2019
On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761
Alfeus, Mesias; Schlögl, Erik
2
2019
Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes. Zbl 1426.91303
Rakhmonov, Firuz; Rakhmonov, Parviz
2
2019
Numerical stability of a hybrid method for pricing options. Zbl 1430.91129
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino
2
2019
Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113
Lars Kirkby, J.; Deng, Shi-Jie
2
2019
Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605
Bouzianis, George; Hughston, Lane P.
2
2019
Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549
Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar
2
2019
Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249
Jevtić, Petar; Marena, Marina; Semeraro, Patrizia
2
2019
Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634
Chen, Yanhong; Hu, Yijun
2
2019
Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615
Boyarchenko, Svetlana; Levendorskiĭ, Sergei
2
2019
Defaultable claims in switching models with partial information. Zbl 1411.91599
Gapeev, Pavel V.; Jeanblanc, Monique
2
2019
Multi-currency credit default swaps. Zbl 1411.91546
Brigo, Damiano; Pede, Nicola; Petrelli, Andrea
2
2019
Multi-asset worst-case optimal portfolios. Zbl 1411.91515
Korn, Ralf; Leoff, Elisabeth
2
2019
Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756
Shibata, Takashi; Nishihara, Michi
1
2019
Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. Zbl 1426.91269
Kravchenko, Igor V.; Kravchenko, Vladislav V.; Torba, Sergii M.; Dias, José Carlos
1
2019
Pricing derivatives in Hermite markets. Zbl 1426.91279
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank J.
1
2019
Portfolio rho-presentativity. Zbl 1430.91085
Froidure, Tristan; Jalalzai, Khalid; Choueifaty, Yves
1
2019
Pricing and hedging of VIX options for Barndorff-Nielsen and Shephard models. Zbl 1430.91103
Arai, Takuji
1
2019
Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model. Zbl 1411.91563
Jafari, Hossein; Rahimi, Ghazaleh
1
2019
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557
He, Xin-Jiang; Zhu, Song-Ping
1
2019
Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622
Neufeld, Ariel
6
2018
Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models. Zbl 1395.91501
Patel, Kuldip Singh; Mehra, Mani
6
2018
Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. Zbl 1395.91531
Criens, David
5
2018
Explicit Heston solutions and stochastic approximation for path-dependent option pricing. Zbl 1395.91454
Kouritzin, Michael A.
5
2018
Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
5
2018
Bayesian inference for the tangent portfolio. Zbl 1419.91576
Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema
5
2018
Pricing temperature derivatives under weather forecasts. Zbl 1396.91734
Hess, Markus
5
2018
XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar
5
2018
Sensitivities of Asian options in the Black-Scholes model. Zbl 1395.91463
Pirjol, Dan; Zhu, Lingjiong
3
2018
Smooth upper bounds for the price function of American style options. Zbl 1395.91431
Bhim, Louis; Kawai, Reiichiro
3
2018
Double spend races. Zbl 1419.91669
Grunspan, Cyril; Pérez-Marco, Ricardo
3
2018
Most-likely-path in Asian option pricing under local volatility models. Zbl 1396.91714
Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho
3
2018
Mean reversion trading with sequential deadlines and transaction costs. Zbl 1395.91411
Kitapbayev, Yerkin; Leung, Tim
2
2018
Multivariate option pricing models with Lévy and Sato VG marginal processes. Zbl 1395.91444
Guillaume, Florence
2
2018
Option pricing in the variance-gamma model under the drift jump. Zbl 1395.91449
Ivanov, Roman V.
2
2018
Local risk-minimization with multiple assets under illiquidity with applications in energy markets. Zbl 1395.91434
Christodoulou, Panagiotis; Detering, Nils; Meyer-Brandis, Thilo
2
2018
On some functionals of the first passage times in models with switching stochastic volatility. Zbl 1395.91442
Gapeev, Pavel V.; Brockhaus, Oliver; Dubois, Mathieu
1
2018
Multivariate factor-based processes with Sato margins. Zbl 1395.91460
Marena, Marina; Romeo, Andrea; Semeraro, Patrizia
1
2018
Dynamic mean-variance optimization problems with deterministic information. Zbl 1395.91420
Schweizer, Martin; Zivoi, Danijel; Šikić, Mario
1
2018
Kyle-Back’s model with a random horizon. Zbl 1395.91435
Corcuera, José Manuel; Di Nunno, Giulia
1
2018
Expansion formulas for European quanto options in a local volatility FX-LIBOR model. Zbl 1395.91448
Hok, Julien; Ngare, Philip; Papapantoleon, Antonis
1
2018
The early exercise premium in American options by using nonparametric regressions. Zbl 1417.91510
Li, Weiping; Chen, Su
1
2018
A dynamic model of central counterparty risk. Zbl 1419.91646
Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi
1
2018
Decomposition formula for jump diffusion models. Zbl 1419.91652
Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J.
1
2018
An empirical approach to financial crisis indicators based on random matrices. Zbl 1398.91682
Douady, Raphael; Kornprobst, Antoine
1
2018
First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment. Zbl 1398.91614
Saporito, Yuri F.
1
2018
Lévy-Vasicek models and the long-bond return process. Zbl 1398.91623
Brody, Dorje C.; Hughston, Lane P.; Meier, David M.
1
2018
Shortfall risk minimization under fixed transaction costs. Zbl 1396.91699
Nayman, Niv
1
2018
Arbitrage pricing theory in ergodic markets. Zbl 1396.91822
Frahm, Gabriel
1
2018
Quanto pricing in stochastic correlation models. Zbl 1396.91765
Teng, Long; Ehrhardt, Matthias; Günther, Michael
1
2018
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Cited by 4,616 Authors

59 Siu, Tak Kuen
46 Elliott, Robert James
39 Madan, Dilip B.
36 Zhu, Songping
30 Platen, Eckhard
28 Levendorskiĭ, Sergeĭ Zakharovich
26 Sornette, Didier
25 Crepey, Stephane
25 Jeanblanc, Monique
23 Yang, Hailiang
22 Benth, Fred Espen
22 Brigo, Damiano
22 Cui, Zhenyu
22 Oosterlee, Cornelis Willebrordus
21 Takahashi, Akihiko
20 Schoutens, Wim
19 Bielecki, Tomasz R.
19 Kwok, Yue-Kuen
18 Wang, Yongjin
17 Biagini, Francesca
17 Ceci, Claudia
17 Dong, Yinghui
17 Wang, Guojing
16 Bo, Lijun
16 Jaimungal, Sebastian
16 Ma, Jingtang
16 Pistorius, Martijn R.
16 Rutkowski, Marek
15 Colaneri, Katia
15 Fontana, Claudio
15 Forsyth, Peter A.
15 Jacquier, Antoine
15 Linetsky, Vadim
15 Protter, Philip Elliott
14 Capponi, Agostino
14 Company, Rafael
14 He, Xinjiang
14 Leonenko, Nikolai N.
14 Leung, Tim
14 Macrina, Andrea
14 Rudloff, Birgit
13 Cartea, Álvaro
13 Gapeev, Pavel V.
13 Gulisashvili, Archil
13 Hainaut, Donatien
13 Horst, Ulrich
13 Jarrow, Robert Alan
13 Jódar Sanchez, Lucas Antonio
13 Pagliarani, Stefano
13 Scherer, Matthias
13 Yamazaki, Kazutoshi
13 Yin, Gang George
13 Zagst, Rudi
12 Boyarchenko, Svetlana I.
12 Chan, Leunglung
12 Eberlein, Ernst W.
12 Fabozzi, Frank J.
12 Fouque, Jean-Pierre
12 Korn, Ralf
12 Kupper, Michael
12 Pascucci, Andrea
12 Sircar, Ronnie
12 Vulkov, Lubin G.
12 Zeng, Yong
11 Brody, Dorje C.
11 Cialenco, Igor
11 Dang, Duy Minh
11 Feinstein, Zachary
11 Gnoatto, Alessandro
11 Grzelak, Lech A.
11 Hughston, Lane P.
11 Kim, Jeong-Hoon
11 Lu, Xiaoping
11 Mariani, Maria Cristina
11 Meyer-Brandis, Thilo
11 Pirjol, Dan
11 Runggaldier, Wolfgang J.
11 Westerhoff, Frank H.
10 Bormetti, Giacomo
10 Cont, Rama
10 Dassios, Angelos
10 Escobar, Marcos
10 Frey, Rüdiger
10 Jiao, Ying
10 Kouritzin, Michael A.
10 Mamon, Rogemar S.
10 Obloj, Jan K.
10 Overbeck, Ludger
10 Pallavicini, Andrea
10 Swishchuk, Anatoliy
10 Zhang, Hongzhong
9 Ballestra, Luca Vincenzo
9 Bäuerle, Nicole
9 Bayraktar, Erhan
9 Bender, Christian
9 Bernard, Carole L.
9 Bodnar, Taras
9 Carr, Peter Paul
9 Filipović, Damir
9 Fujii, Masaaki
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108 Physica A
103 SIAM Journal on Financial Mathematics
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26 Chaos, Solitons and Fractals
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19 Discrete Dynamics in Nature and Society
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17 Scandinavian Actuarial Journal
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7 Theory of Probability and its Applications
7 Acta Mathematicae Applicatae Sinica. English Series
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7 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
7 Applied Stochastic Models in Business and Industry
7 International Journal of Modern Physics C
7 Nonlinear Analysis. Real World Applications
7 Advances in Difference Equations
7 International Journal of Stochastic Analysis
7 European Actuarial Journal
7 Mathematical Control and Related Fields
7 Modern Stochastics. Theory and Applications
6 International Journal of Control
6 Lithuanian Mathematical Journal
6 Mathematical Methods in the Applied Sciences
6 The Annals of Probability
6 Journal of Statistical Planning and Inference
6 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
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