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: 1,258 Publications (since 1998) References Indexed: 1,234 Publications with 29,044 References. all top 5 Latest Issues 26, No. 6-7 (2023) 26, No. 4-5 (2023) 26, No. 2-3 (2023) 26, No. 1 (2023) 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) ...and 85 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 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 L. 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 1,639 more Authors all top 5 Fields 1,251 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 379 Probability theory and stochastic processes (60-XX) 134 Statistics (62-XX) 75 Numerical analysis (65-XX) 68 Systems theory; control (93-XX) 34 Operations research, mathematical programming (90-XX) 30 Partial differential equations (35-XX) 13 Calculus of variations and optimal control; optimization (49-XX) 10 General and overarching topics; collections (00-XX) 8 Approximations and expansions (41-XX) 6 Integral transforms, operational calculus (44-XX) 6 Computer science (68-XX) 6 Statistical mechanics, structure of matter (82-XX) 5 Integral equations (45-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 Real functions (26-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 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 868 Publications have been cited 6,184 times in 4,434 Documents Cited by ▼ Year ▼ American options with regime switching. Zbl 1107.91325 Buffington, John; Elliott, Robert J. 247 2002 Volatility clustering in financial markets: A microsimulation of interacting agents. Zbl 0967.91072 Lux, Thomas; Marchesi, Michele 103 2000 Option pricing for truncated Lévy processes. Zbl 0973.91037 Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. 86 2000 Composition of time-consistent dynamic monetary risk measures in discrete time. Zbl 1211.91147 Cheridito, Patrick; Kupper, Michael 68 2011 The effect of jumps and discrete sampling on volatility and variance swaps. Zbl 1180.91283 Broadie, Mark; Jain, Ashish 67 2008 Random matrix theory and financial correlations. Zbl 0970.91059 Laloux, Laurent; Cizeau, Pierre; Potters, Marc; Bouchaud, Jean-Philippe 66 2000 The spectral decomposition of the option value. Zbl 1107.91051 Linetsky, Vadim 66 2004 Pricing of the American put under Lévy processes. Zbl 1107.91050 Levendorskiĭ, S. Z. 62 2004 Markets as a counterparty: an introduction to conic finance. Zbl 1208.91148 Madan, Dilip B.; Cherny, Alexander 61 2010 Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. Zbl 1231.91403 Gatheral, Jim; Schied, Alexander 60 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 54 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 50 2009 Mean-reverting stochastic volatility. Zbl 1153.91497 Fouque, Jean-Pierre; Papanicolaou, George; Sircar, Ronnie 49 2000 Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Zbl 1187.91206 Brigo, Damiano; Chourdakis, Kyriakos 48 2009 Drawdown measure in portfolio optimization. Zbl 1100.91040 Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael 48 2005 Crashes as critical points. Zbl 1153.91790 Johansen, Anders; Ledoit, Olivier; Sornette, Didier 47 2000 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. 39 2009 Analytical pricing of double-barrier options under a double-exponential jump diffusion process: applications of Laplace transform. Zbl 1107.91345 Sepp, Artur 37 2004 High-order compact finite difference schemes for a nonlinear Black-Scholes equation. Zbl 1070.91024 Düring, Bertram; Fournié, Michel; Jüngel, Ansgar 35 2003 Componentwise splitting methods for pricing American options under stochastic volatility. Zbl 1137.91451 Ikonen, Samuli; Toivanen, Jari 33 2007 Pricing and hedging of portfolio credit derivatives with interacting default intensities. Zbl 1210.91130 Frey, Rüdiger; Backhaus, Jochen 33 2008 Modeling term structure dynamics: an infinite dimensional approach. Zbl 1113.91020 Cont, Rama 32 2005 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 32 2009 Lognormal-mixture dynamics and calibration to market volatility smiles. Zbl 1107.91324 Brigo, Damiano; Mercurio, Fabio 31 2002 Equilibrium prices for monetary utility functions. Zbl 1151.91608 Filipović, Damir; Kupper, Michael 31 2008 Information-based asset pricing. Zbl 1152.91487 Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea 31 2008 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 Self exciting threshold interest rates models. Zbl 1140.91384 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 30 2006 A new analytical approximation formula for the optimal exercise boundary of American put options. Zbl 1140.91415 Zhu, Song-Ping 30 2006 Minimum-relative-entropy calibration of asset-pricing models. Zbl 0979.91024 Avellaneda, Marco 30 1998 The Heston stochastic-local volatility model: efficient Monte Carlo simulation. Zbl 1303.91194 van der Stoep, Anthonie W.; Grzelak, Lech A.; Oosterlee, Cornelis W. 30 2014 A mathematical approach to order book modeling. Zbl 1292.91197 Abergel, Frédéric; Jedidi, Aymen 30 2013 Utility maximization in affine stochastic volatility models. Zbl 1198.91192 Kallsen, Jan; Muhle-Karbe, Johannes 29 2010 Asymptotics for exponential Lévy processes and their volatility smile: survey and new results. Zbl 1275.91101 Andersen, Leif; Lipton, Alexander 29 2013 Modern LIBOR market models: using different curves for projecting rates and for discounting. Zbl 1206.91086 Mercurio, Fabio 27 2010 Financial modeling and option theory with the truncated Lévy process. Zbl 1154.91465 Matacz, Andrew 27 2000 Financial signal processing: a self calibrating model. Zbl 1153.91491 Elliot, Robert J.; Hunter, William C.; Jamieson, Barbara M. 27 2001 Regime-switching recombining tree for option pricing. Zbl 1233.91284 Liu, R. H. 27 2010 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 27 2019 Valuation and hedging of CDS counterparty exposure in a Markov copula model. Zbl 1243.91100 Bielecki, T. R.; Crépey, S.; Jeanblanc, M.; Zargari, B. 26 2012 Optimal mean reversion trading with transaction costs and stop-loss exit. Zbl 1337.91156 Leung, Tim; Li, Xin 26 2015 Portfolio optimization under partial information with expert opinions. Zbl 1236.91126 Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf 25 2012 Explicit solutions for a nonlinear model of financial derivatives. Zbl 1291.91203 Bordag, L. A.; Chmakova, A. Y. 24 2007 Multi-factor jump-diffusion models of electricity prices. Zbl 1185.91191 Meyer-Brandis, Thilo; Tankov, Peter 24 2008 An algorithm for calculating the set of superhedging portfolios in markets with transaction costs. Zbl 1293.91177 Löhne, Andreas; Rudloff, Birgit 23 2014 Efficient, almost exact simulation of the Heston stochastic volatility model. Zbl 1203.91308 van Haastrecht, Alexander; Pelsser, Antoon 22 2010 Optimal portfolios under the threat of a crash. Zbl 1111.91318 Korn, Ralf; Wilmott, Paul 22 2002 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 21 2011 Constant elasticity of variance option pricing model with time-dependent parameters. Zbl 1006.91050 Lo, C. F.; Yuen, P. H.; Hui, C. H. 21 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 21 2008 A new framework for dynamic credit portfolio loss modelling. Zbl 1211.91246 Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif 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 Stochastic model predictive control and portfolio optimization. Zbl 1137.91449 Herzog, Florian; Dondi, Gabriel; Geering, Hans P. 20 2007 Analytical approximation for non-linear FBSDEs with perturbation scheme. Zbl 1262.91159 Fujii, Masaaki; Takahashi, Akihiko 20 2012 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 Measuring and monitoring the efficiency of markets. Zbl 1395.91459 Madan, Dilip B.; Schoutens, Wim; Wang, King 20 2017 Asymmetrical information and incomplete markets. Zbl 1154.91542 Grorud, Axel; Pontier, Monique 20 2001 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 Pricing Parisian-style options with a lattice method. Zbl 1153.91459 Avellaneda, Marco; Wu, Lixin 19 1999 Implied and local volatilities under stochastic volatility. Zbl 1153.91536 Lee, Roger W. 19 2001 Expansion formulas for European options in a local volatility model. Zbl 1205.91153 Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 19 2010 Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options. Zbl 1262.91071 Ramponi, Alessandro 18 2012 A closer look at the Epps effect. Zbl 1079.91537 Renò, Roberto 18 2003 A low-bias simulation scheme for the SABR stochastic volatility model. Zbl 1282.91374 Chen, Bin; Oosterlee, Cornelis W.; van der Weide, Hans 18 2012 Backward stochastic PDE and imperfect hedging. Zbl 1094.91029 Mania, M.; Tevzadze, R. 18 2003 Stochastic portfolio optimization with log utility. Zbl 1138.91468 Pang, Tao 18 2006 Option pricing with VG-like models. Zbl 1175.91178 Finlay, Richard; Seneta, Eugene 18 2008 Pricing and hedging in a dynamic credit model. Zbl 1291.91223 Elouerkhaoui, Youssef 18 2007 Differentiability of BSVIEs and dynamic capital allocations. Zbl 1415.91266 Kromer, Eduard; Overbeck, Ludger 18 2017 Vector-valued coherent risk measure processes. Zbl 1292.91090 Ben Tahar, Imen; Lépinette, Emmanuel 18 2014 Conditional certainty equivalent. Zbl 1213.91170 Frittelli, Marco; Maggis, Marco 17 2011 Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors. Zbl 1138.91453 Sadefo Kamdem, Jules 17 2005 A structural risk-neutral model of electricity prices. Zbl 1188.91069 Aïd, René; Campi, Luciano; Huu, Adrien Nguyen; Touzi, Nizar 17 2009 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 Optimal portfolios with defaultable securities – a firm value approach. Zbl 1079.91036 Korn, Ralf; Kraft, Holger 16 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 16 2011 Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models. Zbl 1183.91177 Boyarchenko, Mitya; Levendorskiĭ, Sergei 16 2009 Credit risk modeling using time-changed Brownian motion. Zbl 1182.91188 Hurd, T. R. 16 2009 Modeling the volatility and expected value of a diversified world index. Zbl 1107.91313 Platen, Eckhard 16 2004 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 A path integral approach to derivative security pricing. I. Formalism and analytical results. Zbl 1153.91464 Bennati, Eleonora; Rosa-Clot, Marco; Taddei, Stefano 16 1999 Bubbles and anti-bubbles in Latin-America, Asian and Western stock markets: an empirical study. Zbl 1153.91791 Johansen, Anders; Sornette, Didier 16 2001 Set-valued shortfall and divergence risk measures. Zbl 1396.91807 Ararat, Çağin; Hamel, Andreas H.; Rudloff, Birgit 16 2017 A general computation scheme for a high-order asymptotic expansion method. Zbl 1262.91072 Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi 16 2012 The CARMA interest rate model. Zbl 1290.91170 Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy 16 2014 Credit risk premia and quadratic BSDEs with a single jump. Zbl 1204.91133 Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne 16 2010 Approximating Lévy processes with a view to option pricing. Zbl 1206.91079 Crosby, John; Le Saux, Nolwenn; Mijatović, Aleksandar 15 2010 A risk-neutral stochastic volatility model. Zbl 0909.90036 Zhu, Yingzi; Avellaneda, Marco 15 1998 Double barrier options in regime-switching hyper-exponential jump-diffusion models. Zbl 1233.91257 Boyarchenko, Mitya; Boyarchenko, Svetlana 15 2011 Stress testing the resilience of financial networks. Zbl 1236.91137 Amini, Hamed; Cont, Rama; Minca, Andreea 15 2012 On a finite horizon starting and stopping problem with risk of abandonment. Zbl 1180.60036 Djehiche, Boualem; Hamadène, Said 15 2009 Estimating the fractal dimension of the S&P 500 index using wavelet analysis. Zbl 1088.91051 Bayraktar, Erhan; Poor, H. Vincent; Sircar, K. Ronnie 15 2004 Utility maximization with random horizon: a BSDE approach. Zbl 1337.91155 Jeanblanc, Monique; Mastrolia, Thibaut; Possamaï, Dylan; Réveillac, Anthony 15 2015 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 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 Accounting noise and the pricing of CoCos. Zbl 1508.91556 Derksen, Mike; Spreij, Peter; Van Wijnbergen, Sweder 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 Martingale representations in progressive enlargement by multivariate point processes. Zbl 1502.60071 Calzolari, Antonella; Torti, Barbara 1 2022 CVA and vulnerable options in stochastic volatility models. Zbl 1467.62163 Alòs, E.; Antonelli, F.; Ramponi, A.; Scarlatti, S. 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 Portfolio insurance under rough volatility and Volterra processes. Zbl 1484.91418 Dupret, Jean-Loup; Hainaut, Donatien 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 Insider trading with temporary price impact. Zbl 1466.91304 Barger, Weston; Donnelly, Ryan 2 2021 Robust utility maximization in a multivariate financial market with stochastic drift. Zbl 1470.91263 Sass, Jörn; Westphal, Dorothee 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 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 Coherent risk measures and normal mixture distributions with applications in portfolio optimization. Zbl 1470.91334 Shi, Xiang; Kim, Young Shin 1 2021 Optimal dynamic futures portfolio under a multifactor Gaussian framework. Zbl 1471.91574 Leung, Tim; Yan, Raphael; Zhou, Yang 1 2021 On time consistency for mean-variance portfolio selection. Zbl 1457.91352 Vigna, Elena 7 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 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 Financial contagion in a stochastic block model. Zbl 1459.91216 Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 4 2020 Information flow dependence in financial markets. Zbl 1457.91362 Michaelsen, Markus 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 Modulated information flows in financial markets. Zbl 1447.91169 Hoyle, Edward; Macrina, Andrea; Mengütürk, Levent Ali 3 2020 Branching particle pricers with Heston examples. Zbl 1443.91296 Kouritzin, Michael A.; Mackay, Anne 3 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 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 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 Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403 Njike Leunga, Charles Guy; Hainaut, Donatien 1 2020 Market making with alpha signals. Zbl 1447.91167 Cartea, Álvaro; Wang, Yixuan 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 Approximating the growth optimal portfolio and stock price bubbles. Zbl 1459.91179 Platen, Eckhard; Rendek, Renata 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 A closed-form solution for optimal Ornstein-Uhlenbeck driven trading strategies. Zbl 1457.91361 Lipton, Alexander; López de Prado, Marcos 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 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 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 27 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 9 2019 Optimal liquidation under stochastic price impact. Zbl 1411.91477 Barger, Weston; Lorig, Matthew 7 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 7 2019 Hurst exponents and delampertized fractional Brownian motions. Zbl 1488.60095 Garcin, Matthieu 7 2019 American options and incomplete information. Zbl 1426.91265 Ekström, Erik; Vannestål, Martin 5 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 Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations. Zbl 1411.91615 Boyarchenko, Svetlana; Levendorskiĭ, Sergei 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 Pricing derivatives in Hermite markets. Zbl 1426.91279 Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Mittnik, Stefan; Fabozzi, Frank 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 Hedging options in a doubly Markov-modulated financial market via stochastic flows. Zbl 1431.91404 Siu, Tak Kuen; Elliott, Robert J. 3 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 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 Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes. Zbl 1426.91303 Rakhmonov, Firuz; Rakhmonov, Parviz 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 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 Defaultable claims in switching models with partial information. Zbl 1411.91599 Gapeev, Pavel V.; Jeanblanc, Monique 2 2019 Variance and volatility swaps under a two-factor stochastic volatility model with regime switching. Zbl 1411.91557 He, Xin-Jiang; Zhu, Song-Ping 2 2019 Portfolio optimization with performance ratios. Zbl 1422.91657 Lin, Hongcan; Saunders, David; Weng, Chengguo 2 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 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 An arithmetic pure-jump multi-curve interest rate model. Zbl 1431.91408 Hess, Markus 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 Credit spread and liquidation value-based debt financing constraint. Zbl 1422.91756 Shibata, Takashi; Nishihara, Michi 1 2019 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 9 2018 XVA principles, nested Monte Carlo strategies, and GPU optimizations. Zbl 1416.91398 Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar 8 2018 Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims. Zbl 1419.91622 Neufeld, Ariel 7 2018 Deterministic criteria for the absence and existence of arbitrage in multi-dimensional diffusion markets. Zbl 1395.91531 Criens, David 6 2018 Pairs trading under drift uncertainty and risk penalization. Zbl 1417.91430 Altay, Sühan; Colaneri, Katia; Eksi, Zehra 6 2018 ...and 768 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,067 Authors 60 Siu, Tak Kuen 47 Madan, Dilip B. 46 Elliott, Robert James 37 Zhu, Songping 31 Platen, Eckhard 28 Levendorskiĭ, Sergeĭ Zakharovich 26 Crepey, Stephane 26 Jeanblanc, Monique 26 Sornette, Didier 23 Brigo, Damiano 23 Cui, Zhenyu 23 Schoutens, Wim 23 Yang, Hailiang 22 Benth, Fred Espen 22 Oosterlee, Cornelis Willebrordus 21 Kwok, Yue-Kuen 21 Takahashi, Akihiko 20 Biagini, Francesca 20 Bielecki, Tomasz R. 19 Ma, Jingtang 18 Ceci, Claudia 18 Jacquier, Antoine 18 Jaimungal, Sebastian 18 Wang, Yongjin 17 Dong, Yinghui 17 Rutkowski, Marek 17 Wang, Guojing 17 Wang, King-Hang 16 Bo, Lijun 16 Colaneri, Katia 16 Fabozzi, Frank J. 16 Fontana, Claudio 16 Forsyth, Peter A. 16 He, Xinjiang 16 Leung, Tim 16 Pirjol, Dan 16 Pistorius, Martijn R. 16 Protter, Philip Elliott 15 Cartea, Álvaro 15 Hainaut, Donatien 15 Linetsky, Vadim 15 Macrina, Andrea 15 Rudloff, Birgit 15 Scherer, Matthias 15 Yamazaki, Kazutoshi 14 Capponi, Agostino 14 Company, Rafael 14 Gulisashvili, Archil 14 Horst, Ulrich 14 Leonenko, Nikolai N. 14 Zagst, Rudi 13 Cialenco, Igor 13 Cont, Rama 13 Fouque, Jean-Pierre 13 Gapeev, Pavel V. 13 Jarrow, Robert Alan 13 Jódar Sanchez, Lucas Antonio 13 Kim, Jeong-Hoon 13 Korn, Ralf 13 Kupper, Michael 13 Meyer-Brandis, Thilo 13 Pagliarani, Stefano 13 Sircar, Ronnie 13 Vulkov, Lubin G. 12 Bodnar, Taras 12 Boyarchenko, Svetlana I. 12 Chan, Leunglung 12 Eberlein, Ernst W. 12 Feinstein, Zachary 12 Gnoatto, Alessandro 12 Hughston, Lane P. 12 Lu, Xiaoping 12 Pallavicini, Andrea 12 Pascucci, Andrea 12 Reisinger, Christoph 12 Zeng, Yong 11 Bäuerle, Nicole 11 Bayraktar, Erhan 11 Brody, Dorje C. 11 Dang, Duy Minh 11 Grzelak, Lech A. 11 Khaliq, Abdul Q. M. 11 Mariani, Maria Cristina 11 Overbeck, Ludger 11 Runggaldier, Wolfgang J. 11 Westerhoff, Frank H. 10 Bender, Christian 10 Bormetti, Giacomo 10 Dassios, Angelos 10 Deelstra, Griselda 10 Ehrhardt, Matthias 10 Escobar, Marcos 10 Filipović, Damir 10 Frey, Rüdiger 10 Fujii, Masaaki 10 Jiao, Ying 10 Kouritzin, Michael A. 10 Leitao, Álvaro 10 Li, Lingfei 10 Lipton, Alexander ...and 4,967 more Authors all top 5 Cited in 397 Journals 496 International Journal of Theoretical and Applied Finance 374 Quantitative Finance 143 Finance and Stochastics 133 Mathematical Finance 118 SIAM Journal on Financial Mathematics 117 Insurance Mathematics & Economics 107 Physica A 103 European Journal of Operational Research 103 Applied Mathematical Finance 101 Stochastic Processes and their Applications 93 Journal of Computational and Applied Mathematics 87 Journal of Economic Dynamics & Control 79 Mathematics and Financial Economics 51 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 45 Annals of Finance 43 The Annals of Applied Probability 43 Decisions in Economics and Finance 40 Journal of Applied Probability 40 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 34 Advances in Applied Probability 32 Journal of Mathematical Analysis and Applications 32 Communications in Statistics. 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Real World Applications 7 Advances in Difference Equations 7 International Journal of Stochastic Analysis ...and 297 more Journals all top 5 Cited in 52 Fields 3,651 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,990 Probability theory and stochastic processes (60-XX) 662 Statistics (62-XX) 505 Numerical analysis (65-XX) 383 Systems theory; control (93-XX) 320 Partial differential equations (35-XX) 291 Operations research, mathematical programming (90-XX) 183 Calculus of variations and optimal control; optimization (49-XX) 69 Statistical mechanics, structure of matter (82-XX) 51 Computer science (68-XX) 44 Integral equations (45-XX) 42 Approximations and expansions (41-XX) 42 Integral transforms, operational calculus (44-XX) 41 Ordinary differential equations (34-XX) 40 Dynamical systems and ergodic theory (37-XX) 38 Information and communication theory, circuits (94-XX) 29 Harmonic analysis on Euclidean spaces (42-XX) 28 Real functions (26-XX) 27 Linear and multilinear algebra; matrix theory (15-XX) 25 Measure and integration (28-XX) 25 Operator theory (47-XX) 24 Functional analysis (46-XX) 24 Quantum theory (81-XX) 23 Biology and other natural sciences (92-XX) 17 Combinatorics (05-XX) 13 Special functions (33-XX) 11 Fluid mechanics (76-XX) 7 Global analysis, analysis on manifolds (58-XX) 6 Difference and functional equations (39-XX) 6 Geophysics (86-XX) 5 History and biography (01-XX) 5 Mechanics of particles and systems (70-XX) 4 General and overarching topics; collections (00-XX) 4 Number theory (11-XX) 4 Functions of a complex variable (30-XX) 3 Abstract harmonic analysis (43-XX) 3 General topology (54-XX) 3 Mechanics of deformable solids (74-XX) 3 Relativity and gravitational theory (83-XX) 2 Mathematical logic and foundations (03-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 Potential theory (31-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 1 Order, lattices, ordered algebraic structures (06-XX) 1 Commutative algebra (13-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Manifolds and cell complexes (57-XX) 1 Optics, electromagnetic theory (78-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Mathematics education (97-XX) Citations by Year