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. all top 5 Latest Issues 25, No. 7-8 (2022) 25, No. 6 (2022) 25, No. 4-5 (2022) 25, No. 3 (2022) 25, No. 2 (2022) 25, No. 1 (2022) 24, No. 8 (2021) 24, No. 6-7 (2021) 24, No. 5 (2021) 24, No. 4 (2021) 24, No. 3 (2021) 24, No. 2 (2021) 24, No. 1 (2021) 23, No. 8 (2020) 23, No. 7 (2020) 23, No. 6 (2020) 23, No. 5 (2020) 23, No. 4 (2020) 23, No. 3 (2020) 23, No. 2 (2020) 23, No. 1 (2020) 22, No. 8 (2019) 22, No. 7 (2019) 22, No. 6 (2019) 22, No. 5 (2019) 22, No. 4 (2019) 22, No. 3 (2019) 22, No. 2 (2019) 22, No. 1 (2019) 21, No. 8 (2018) 21, No. 7 (2018) 21, No. 6 (2018) 21, No. 5 (2018) 21, No. 4 (2018) 21, No. 3 (2018) 21, No. 2 (2018) 21, No. 1 (2018) 20, No. 8 (2017) 20, No. 7 (2017) 20, No. 6 (2017) 20, No. 5 (2017) 20, No. 4 (2017) 20, No. 3 (2017) 20, No. 2 (2017) 20, No. 1 (2017) 19, No. 8 (2016) 19, No. 7 (2016) 19, No. 6 (2016) 19, No. 5 (2016) 19, No. 4 (2016) 19, No. 3 (2016) 19, No. 2 (2016) 19, No. 1 (2016) 18, No. 8 (2015) 18, No. 7 (2015) 18, No. 6 (2015) 18, No. 5 (2015) 18, No. 4 (2015) 18, No. 3 (2015) 18, No. 2 (2015) 18, No. 1 (2015) 17, No. 8 (2014) 17, No. 7 (2014) 17, No. 6 (2014) 17, No. 5 (2014) 17, No. 4 (2014) 17, No. 3 (2014) 17, No. 2 (2014) 17, No. 1 (2014) 16, No. 8 (2013) 16, No. 7 (2013) 16, No. 6 (2013) 16, No. 5 (2013) 16, No. 4 (2013) 16, No. 3 (2013) 16, No. 2 (2013) 16, No. 1 (2013) 15, No. 8 (2012) 15, No. 7 (2012) 15, No. 6 (2012) 15, No. 5 (2012) 15, No. 4 (2012) 15, No. 3 (2012) 15, No. 2 (2012) 15, No. 1 (2012) 14, No. 8 (2011) 14, No. 7 (2011) 14, No. 6 (2011) 14, No. 5 (2011) 14, No. 4 (2011) 14, No. 3 (2011) 14, No. 2 (2011) 14, No. 1 (2011) 13, No. 8 (2010) 13, No. 7 (2010) 13, No. 6 (2010) 13, No. 5 (2010) 13, No. 4 (2010) 13, No. 3 (2010) 13, No. 2 (2010) ...and 81 more Volumes all top 5 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 all top 5 Fields 1,225 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 368 Probability theory and stochastic processes (60-XX) 132 Statistics (62-XX) 74 Numerical analysis (65-XX) 67 Systems theory; control (93-XX) 33 Operations research, mathematical programming (90-XX) 28 Partial differential equations (35-XX) 12 Calculus of variations and optimal control; optimization (49-XX) 10 General and overarching topics; collections (00-XX) 7 Approximations and expansions (41-XX) 6 Integral transforms, operational calculus (44-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Integral equations (45-XX) 5 Computer science (68-XX) 4 Ordinary differential equations (34-XX) 4 Dynamical systems and ergodic theory (37-XX) 4 Quantum theory (81-XX) 3 Combinatorics (05-XX) 3 Information and communication theory, circuits (94-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Real functions (26-XX) 2 Measure and integration (28-XX) 2 Functional analysis (46-XX) 2 Biology and other natural sciences (92-XX) 1 Functions of a complex variable (30-XX) 1 Special functions (33-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) Publications by Year all cited Publications top 5 cited Publications 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 1107.91325Buffington, John; Elliott, Robert J. 231 2002 Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072Lux, Thomas; Marchesi, Michele 99 2000 Option pricing for truncated Lévy processes. Zbl 0973.91037Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. 71 2000 Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147Cheridito, Patrick; Kupper, Michael 66 2011 The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283Broadie, Mark; Jain, Ashish 65 2008 The spectral decomposition of the option value. Zbl 1107.91051Linetsky, Vadim 62 2004 Insider trading in a continuous time market model. Zbl 0909.90023Grorud, Axel; Pontier, Monique 57 1998 Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148Madan, Dilip B.; Cherny, Alexander 55 2010 Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility. Zbl 0908.90009Derman, Emanuel; Kani, Iraj 51 1998 A multivariate variance gamma model for financial applications. Zbl 1152.91548Semeraro, Patrizia 51 2008 Random matrix theory and financial correlations. Zbl 0970.91059Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe 50 2000 Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403Gatheral, Jim; Schied, Alexander 49 2011 Pricing of the American put under Lévy processes. Zbl 1107.91050Levendorskiĭ, S. Z. 47 2004 A nonlinear filtering approach to volatility estimation with a view towards high frequency data. Zbl 1154.91610Frey, Rüdiger; Runggaldier, Wolfgang J. 47 2001 Small-time asymptotics for implied volatility under the Heston model. Zbl 1203.91290Forde, Martin; Jacquier, Antoine 46 2009 Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206Brigo, Damiano; Chourdakis, Kyriakos 46 2009 Drawdown measure in portfolio optimization. Zbl 1100.91040Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael 42 2005 Crashes as critical points. Zbl 1153.91790Johansen, Anders; Ledoit, Olivier; Sornette, Didier 42 2000 Mean-reverting stochastic volatility. Zbl 1153.91497Fouque, 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 1107.91345Sepp, Artur 37 2004 New numerical scheme for pricing American option with regime-switching. Zbl 1204.91127Khaliq, A. Q. M.; Liu, R. H. 33 2009 Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130Frey, Rüdiger; Backhaus, Jochen 32 2008 High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024Düring, 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 1178.91193Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, Andrew 30 2009 Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451Ikonen, Samuli; Toivanen, Jari 30 2007 A fast, stable and accurate numerical method for the Black-Scholes equation of American options. Zbl 1185.91175Ehrhardt, Matthias; Mickens, Ronald E. 30 2008 Equilibrium prices for monetary utility functions. Zbl 1151.91608Filipović, Damir; Kupper, Michael 29 2008 A mathematical approach to order book modeling. Zbl 1292.91197Abergel, Frédéric; Jedidi, Aymen 29 2013 Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324Brigo, Damiano; Mercurio, Fabio 28 2002 The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194van 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 1206.91086Mercurio, Fabio 27 2010 Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024Avellaneda, Marco 27 1998 Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020Cont, Rama 27 2005 Financial signal processing: a self calibrating model. Zbl 1153.91491Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M. 27 2001 Information-based asset pricing. Zbl 1152.91487Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea 27 2008 Regime-switching recombining tree for option pricing. Zbl 1233.91284Liu, R. H. 26 2010 Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465Matacz, Andrew 25 2000 Self exciting threshold interest rates models. Zbl 1140.91384Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 25 2006 A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415Zhu, Song-Ping 25 2006 Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B. 25 2012 Utility maximization in affine stochastic volatility models. Zbl 1198.91192Kallsen, Jan; Muhle-Karbe, Johannes 24 2010 Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101Andersen, Leif; Lipton, Alexander 23 2013 Optimal portfolios under the threat of a crash. Zbl 1111.91318Korn, Ralf; Wilmott, Paul 21 2002 Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203Bordag, L. A.; Chmakova, A. Y. 21 2007 Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191Meyer-Brandis, Thilo; Tankov, Peter 21 2008 Counterparty risk and funding: the four wings of the TVA. Zbl 1266.91115Crépey, Stéphane; Gerboud, Rémi; Grbac, Zorana; Ngor, Nathalie 21 2013 Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050Lo, C. F.; Yuen, P. H.; Hui, C. H. 20 2000 Asymmetrical information and incomplete markets. Zbl 1154.91542Grorud, Axel; Pontier, Monique 20 2001 Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira 20 2008 Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156Leung, Tim; Li, Xin 20 2015 An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177Löhne, Andreas; Rudloff, Birgit 20 2014 Portfolio optimization under partial information with expert opinions. Zbl 1236.91126Frey, 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 1411.91535Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin 20 2019 The normal inverse Gaussian distribution and spot price modelling in energy markets. Zbl 1107.91309Benth, Fred Espen; Šaltytė-Benth, Jūratė 19 2004 Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159Fujii, Masaaki; Takahashi, Akihiko 19 2012 On the relationship between the call price surface and the implied volatility surface close to expiry. Zbl 1291.91210Roper, Michael; Rutkowski, Marek 19 2009 A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif 19 2008 Expansion formulas for European options in a local volatility model. Zbl 1205.91153Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 19 2010 Maximum drawdown insurance. Zbl 1233.91115Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia 19 2011 Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308van Haastrecht, Alexander; Pelsser, Antoon 18 2010 Pathwise identification of the memory function of multifractional Brownian motion with application to finance. Zbl 1100.91037Bianchi, Sergio 18 2005 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266Kromer, Eduard; Overbeck, Ludger 17 2017 Pricing Parisian-style options with a lattice method. Zbl 1153.91459Avellaneda, Marco; Wu, Lixin 17 1999 Mean-variance hedging for partially observed drift processes. Zbl 1153.91554Pham, Huyên 17 2001 Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071Ramponi, Alessandro 17 2012 Stochastic model predictive control and portfolio optimization. Zbl 1137.91449Herzog, Florian; Dondi, Gabriel; Geering, Hans P. 17 2007 Vector-valued coherent risk measure processes. Zbl 1292.91090Ben Tahar, Imen; Lépinette, Emmanuel 17 2014 Conditional certainty equivalent. Zbl 1213.91170Frittelli, Marco; Maggis, Marco 17 2011 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313Platen, Eckhard 16 2004 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029Mania, M.; Tevzadze, R. 16 2003 The Feynman–Kac formula and pricing occupation time derivatives. Zbl 1153.91513Hugonnier, Julien-N. 16 1999 The entropy theory of stock option pricing. Zbl 1153.91503Gulko, Les 16 1999 Implied and local volatilities under stochastic volatility. Zbl 1153.91536Lee, Roger W. 16 2001 Weighted Monte Carlo: a new technique for calibrating asset-pricing models. Zbl 1153.91458Avellaneda, Marco; Buff, Robert; Friedman, Craig; Grandechamp, Nicolas; Kruk, Lukasz; Newman, Joshua 16 2001 Stochastic portfolio optimization with log utility. Zbl 1138.91468Pang, Tao 16 2006 A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi 16 2012 Stress testing the resilience of financial networks. Zbl 1236.91137Amini, Hamed; Cont, Rama; Minca, Andreea 16 2012 Option pricing with VG-like models. Zbl 1175.91178Finlay, Richard; Seneta, Eugene 16 2008 Set-valued shortfall and divergence risk measures. Zbl 1396.91807Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 15 2017 A risk-neutral stochastic volatility model. Zbl 0909.90036Zhu, Yingzi; Avellaneda, Marco 15 1998 A structural risk-neutral model of electricity prices. Zbl 1188.91069Aïd, 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 1183.91177Boyarchenko, Mitya; Levendorskiĭ, Sergei 15 2009 Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188Hurd, T. R. 15 2009 Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791Johansen, Anders; Sornette, Didier 15 2001 A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans 15 2012 Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036Korn, Ralf; Kraft, Holger 15 2003 Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations. Zbl 1282.91353Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, Vasileios 14 2011 Approximating Lévy processes with a view to option pricing. Zbl 1206.91079Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar 14 2010 The entropy theory of bond option pricing. Zbl 1107.91337Gulko, Les 14 2002 Portfolio optimization, hidden Markov models, and technical analysis of P&F-charts. Zbl 1107.91331Elliott, Robert; Hinz, Juri 14 2002 A path integral approach to derivative security pricing. I. Formalism and analytical results. Zbl 1153.91464Bennati, Eleonora; Rosa-Clot, Marco; Taddei, Stefano 14 1999 On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036Djehiche, Boualem; Hamadène, Said 14 2009 Pricing and hedging in a dynamic credit model. Zbl 1291.91223Elouerkhaoui, Youssef 14 2007 A closer look at the Epps effect. Zbl 1079.91537Renò, Roberto 14 2003 Hedging (co)variance risk with variance swaps. Zbl 1282.91299Da Fonseca, José; Grasselli, Martino; Ielpo, Florian 13 2011 European option pricing with liquidity shocks. Zbl 1302.91182Ludkovski, Michael; Shen, Qunying 13 2013 Pricing multi-asset options with an external barrier. Zbl 0987.91030Kwok, Yue-Kuen; Wu, Lixin; Yu, Hong 13 1998 Optimal index tracking under transaction costs and impulse control. Zbl 0909.90020Buckley, I. R. C.; Korn, R. 13 1998 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 13 2004 Optimal timing of the annuity purchase: combined stochastic control and optimal stopping problem. Zbl 1137.91474Stabile, Gabriele 13 2006 Dynamic utility and related nonlinear SPDEs driven by Lévy noise. Zbl 1484.91459Matoussi, Anis; Mrad, Mohamed 2 2022 Optimal portfolio choice with crash risk and model ambiguity. Zbl 1483.91217Korn, Ralf; Müller, Lukas 1 2022 Short selling with margin risk and recall risk. Zbl 1484.91420Glover, Kristoffer; Hulley, Hardy 1 2022 An empirical analysis of option pricing with short sell bans. Zbl 1503.91116Alfeus, Mesias; He, Xin-Jiang; Zhu, Song-Ping 1 2022 Option implied VIX, skew and kurtosis term structures. Zbl 1471.91581Madan, Dilip B.; Wang, King 2 2021 Portfolio insurance under rough volatility and Volterra processes. Zbl 1484.91418Dupret, Jean-Loup; Hainaut, Donatien 1 2021 Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders. Zbl 1471.91537Fukasawa, Masaaki; Ohnishi, Masamitsu; Shimoshimizu, Makoto 1 2021 The classification of term structure shapes in the two-factor Vasicek model – a total positivity approach. Zbl 1471.91590Keller-Ressel, Martin 1 2021 Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301Zhitlukhin, Mikhail 1 2021 Mixture of consistent stochastic utilities and a priori randomness. Zbl 1467.91165Mrad, Mohamed 1 2021 Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk. Zbl 1466.91268Serrano, Rafael 1 2021 Two stage decumulation strategies for dc plan investors. Zbl 1466.91256Forsyth, Peter A. 1 2021 Insider trading with temporary price impact. Zbl 1466.91304Barger, Weston; Donnelly, Ryan 1 2021 CVA and vulnerable options in stochastic volatility models. Zbl 1467.62163Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S. 1 2021 Robust utility maximization in a multivariate financial market with stochastic drift. Zbl 1470.91263Sass, Jörn; Westphal, Dorothee 1 2021 On time consistency for mean-variance portfolio selection. Zbl 1457.91352Vigna, Elena 6 2020 Multivariate distributions for financial returns. Zbl 1457.91384Madan, Dilip B. 3 2020 Robust bounds for derivative prices in Markovian models. Zbl 1447.91183Sester, Julian 3 2020 Some pricing tools for the variance gamma model. Zbl 1448.91289Aguilar, Jean-Philippe 3 2020 Set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1447.91158Chen, Yanhong; Hu, Yijun 2 2020 A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. Zbl 1441.91075Grishenko, Olesya; Han, Xiao; Nistor, Victor 2 2020 A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks. Zbl 1447.91185Criens, David 2 2020 Branching particle pricers with Heston examples. Zbl 1443.91296Kouritzin, Michael A.; Mackay, Anne 2 2020 Information flow dependence in financial markets. Zbl 1457.91362Michaelsen, Markus 1 2020 Conic CVA and DVA for option portfolios. Zbl 1457.91393Van Bakel, Sjoerd; Borovkova, Svetlana; Michielon, Matteo 1 2020 VIX versus VXX: a joint analytical framework. Zbl 1457.91375Grasselli, Martino; Wagalath, Lakshithe 1 2020 Option pricing in markets with informed traders. Zbl 1457.91378Hu, 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 1457.91403Njike Leunga, Charles Guy; Hainaut, Donatien 1 2020 Credit default swaps in two-dimensional models with various informations flows. Zbl 1444.91217Gapeev, Pavel V.; Jeanblanc, Monique 1 2020 Multiplier optimization for constant proportion portfolio insurance (CPPI) strategy. Zbl 1444.91195Biedova, Olga; Steblovskaya, Victoria 1 2020 Measuring model risk in financial risk management and pricing. Zbl 1443.91342Jokhadze, Valeriane; Schmidt, Wolfgang M. 1 2020 Effective asymptotics analysis for finance. Zbl 1443.91290Grunspan, Cyril; Van Der Hoeven, Joris 1 2020 Market making with alpha signals. Zbl 1447.91167Cartea, Álvaro; Wang, Yixuan 1 2020 Smile modeling in commodity markets. Zbl 1447.91180Nastasi, Emanuele; Pallavicini, Andrea; Sartorelli, Giulio 1 2020 Systemic risk: the effect of market confidence. Zbl 1459.91215Bichuch, Maxim; Chen, Ke 1 2020 Inefficient bubbles and efficient drawdowns in financial markets. Zbl 1459.91191Schatz, Michael; Sornette, Didier 1 2020 Bounds on multi-asset derivatives via neural networks. Zbl 1457.91371de Gennaro Aquino, Luca; Bernard, Carole 1 2020 An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models. Zbl 1459.91204Shiraya, Kenichirpo 1 2020 Financial contagion in a stochastic block model. Zbl 1459.91216Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 1 2020 A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. Zbl 1457.91361Lipton, 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 1411.91535Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin 20 2019 Rational approximation of the rough Heston solution. Zbl 1458.91211Gatheral, Jim; Radoičić, Radoš 10 2019 Hurst exponents and delampertized fractional Brownian motions. Zbl 1488.60095Garcin, Matthieu 5 2019 Optimal liquidation under stochastic price impact. Zbl 1411.91477Barger, Weston; Lorig, Matthew 5 2019 Equilibrium price of variance swaps under stochastic volatility with Lévy jumps and stochastic interest rate. Zbl 1411.91583Yang, 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 1411.91645Lejay, Antoine; Pigato, Paolo 5 2019 American options and incomplete information. Zbl 1426.91265Ekström, Erik; Vannestål, Martin 3 2019 Bayesian learning for the Markowitz portfolio selection problem. Zbl 1430.91084De Franco, Carmine; Nicolle, Johann; Pham, Huyên 3 2019 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404Siu, Tak Kuen; Elliott, Robert J. 3 2019 Statistics of VIX futures and applications to trading volatility exchange-traded products. Zbl 1419.91604Avellaneda, M.; Papanicolaou, A. 3 2019 Equilibrium asset returns in financial markets. Zbl 1411.91520Madan, Dilip B.; Schoutens, Wim 3 2019 On spread option pricing using two-dimensional Fourier transform. Zbl 1422.91761Alfeus, Mesias; Schlögl, Erik 2 2019 Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes. Zbl 1426.91303Rakhmonov, Firuz; Rakhmonov, Parviz 2 2019 Numerical stability of a hybrid method for pricing options. Zbl 1430.91129Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; Zanette, Antonino 2 2019 Swing option pricing by dynamic programming with b-spline density projection. Zbl 1430.91113Lars Kirkby, J.; Deng, Shi-Jie 2 2019 Determination of the Lévy exponent in asset pricing models. Zbl 1419.91605Bouzianis, George; Hughston, Lane P. 2 2019 Approximation methods for inhomogeneous geometric Brownian motion. Zbl 1411.91549Capriotti, Luca; Jiang, Yupeng; Shaimerdenova, Gaukhar 2 2019 Multivariate marked Poisson processes and market related multidimensional information flows. Zbl 1411.91249Jevtić, Petar; Marena, Marina; Semeraro, Patrizia 2 2019 Set-valued law invariant coherent and convex risk measures. Zbl 1411.91634Chen, Yanhong; Hu, Yijun 2 2019 Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615Boyarchenko, Svetlana; Levendorskiĭ, Sergei 2 2019 Defaultable claims in switching models with partial information. Zbl 1411.91599Gapeev, Pavel V.; Jeanblanc, Monique 2 2019 Multi-currency credit default swaps. 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Zbl 1396.91765Teng, Long; Ehrhardt, Matthias; Günther, Michael 1 2018 ...and 729 more Documents all cited Publications top 5 cited Publications all top 5 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 ...and 4,516 more Authors all top 5 Cited in 372 Journals 471 International Journal of Theoretical and Applied Finance 346 Quantitative Finance 133 Finance and Stochastics 110 Insurance Mathematics & Economics 108 Physica A 103 SIAM Journal on Financial Mathematics 101 Mathematical Finance 98 Stochastic Processes and their Applications 96 European Journal of Operational Research 96 Applied Mathematical Finance 90 Journal of Computational and Applied Mathematics 85 Journal of Economic Dynamics & Control 74 Mathematics and Financial Economics 51 Annals of Operations Research 50 Asia-Pacific Financial Markets 47 Stochastics 46 Applied Mathematics and Computation 46 Stochastic Analysis and Applications 44 International Journal of Computer Mathematics 40 The Annals of Applied Probability 40 Annals of Finance 39 Statistics & Probability Letters 38 Decisions in Economics and Finance 36 Journal of Applied Probability 36 Review of Derivatives Research 35 Mathematical Methods of Operations Research 32 Computers & Mathematics with Applications 30 Communications in Statistics. 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