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Mathematics and Financial Economics

Short Title: Math. Financ. Econ.
Publisher: Springer, Berlin/Heidelberg
ISSN: 1862-9679; 1862-9660/e
Online: http://link.springer.com/journal/volumesAndIssues/11579
Comments: Indexed cover-to-cover
Documents Indexed: 318 Publications (since 2007)
References Indexed: 311 Publications with 9,513 References.
all top 5

Authors

7 Jarrow, Robert Alan
6 Schenk-Hoppé, Klaus Reiner
5 Flåm, Sjur Didrik
5 Madan, Dilip B.
4 Assa, Hirbod
4 Biagini, Francesca
4 Cvitanić, Jakša
4 Evstigneev, Igor V.
4 Horst, Ulrich
4 Lehalle, Charles-Albert
4 Malamud, Semyon
4 Meyer-Brandis, Thilo
4 Moreno-Bromberg, Santiago
4 Muhle-Karbe, Johannes
4 Munari, Cosimo
4 Rogers, L. C. G.
4 Rosazza Gianin, Emanuela
4 Rudloff, Birgit
3 Aïd, René
3 Callegaro, Giorgia
3 Campi, Luciano
3 Ekeland, Ivar
3 Ghossoub, Mario
3 Hens, Thorsten
3 Jouini, Elyès
3 Koch Medina, Pablo
3 Maggis, Marco
3 Øksendal, Bernt Karsten
3 Pirvu, Traian A.
3 Protter, Philip Elliott
3 Schachermayer, Walter
3 Schoutens, Wim
3 Scotti, Simone
3 Sgarra, Carlo
3 Svindland, Gregor
2 Balbás, Alejandro
2 Bayraktar, Erhan
2 Benth, Fred Espen
2 Bernis, Guillaume
2 Brignone, Riccardo
2 Capponi, Agostino
2 Carlier, Guillaume
2 Carmona, René A.
2 Cartea, Álvaro
2 Cheridito, Patrick
2 Choi, Jin Hyuk
2 Davis, Mark Herbert Ainsworth
2 dos Reis, Gonçalo
2 Fontana, Claudio
2 Frittelli, Marco
2 Gaigi, M’hamed
2 Grbac, Zorana
2 Guasoni, Paolo
2 Guéant, Olivier
2 Guo, Xin
2 Hamel, Andreas H.
2 Henderson, Vicky
2 Jaimungal, Sebastian
2 Jeon, Junkee
2 Kuhn, Christoph
2 Kupper, Michael
2 Lachapelle, Aime
2 Lazrak, Ali
2 Lépinette, Emmanuel
2 Liang, Gechun
2 Ludkovski, Michael
2 Lütkebohmert, Eva
2 Melnikov, Aleksander Viktorovich
2 Nutz, Marcel
2 Owari, Keita
2 Pakkanen, Mikko S.
2 Park, Hyungbin
2 Park, Kyunghyun
2 Pedersen, Jesper Lund
2 Pennanen, Teemu
2 Peskir, Goran
2 Pichler, Alois
2 Pistorius, Martijn R.
2 Platen, Eckhard
2 Rásonyi, Miklós
2 Riedel, Frank
2 Roch, Alexandre F.
2 Scheinkman, José Alexandre
2 Seifried, Frank Thomas
2 Seppi, Duane J.
2 Sircar, Ronnie
2 Sung, Jaeyoung
2 Talponen, Jarno
2 Tankov, Peter
2 Tian, Dejian
2 Tian, Weidong
2 Trubowitz, Eugene
2 Villeneuve, Bertrand
2 Voß, Moritz
2 Wang, Yongjin
2 Weston, Kim
2 Xu, Guangli
2 Xu, Le
2 Yoshikawa, Daisuke
2 Zagst, Rudi
...and 427 more Authors

Publications by Year

Citations contained in zbMATH Open

222 Publications have been cited 1,722 times in 1,362 Documents Cited by Year
Investment and consumption without commitment. Zbl 1177.91123
Ekeland, Ivar; Pirvu, Traian A.
112
2008
Control of McKean-Vlasov dynamics versus mean field games. Zbl 1269.91012
Carmona, René; Delarue, François; Lachapelle, Aimé
84
2013
Set-valued risk measures for conical market models. Zbl 1275.91077
Hamel, Andreas H.; Heyde, Frank; Rudloff, Birgit
55
2011
The golden rule when preferences are time inconsistent. Zbl 1255.91249
Ekeland, Ivar; Lazrak, Ali
49
2010
Valuing the option to invest in an incomplete market. Zbl 1268.91167
Henderson, Vicky
44
2007
Representation results for law invariant time consistent functions. Zbl 1255.91181
Kupper, Michael; Schachermayer, Walter
40
2009
Static portfolio choice under cumulative prospect theory. Zbl 1255.91389
Bernard, Carole; Ghossoub, Mario
39
2010
Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert
35
2018
Set-valued average value at risk and its computation. Zbl 1269.91071
Hamel, Andreas H.; Rudloff, Birgit; Yankova, Mihaela
32
2013
Incorporating order-flow into optimal execution. Zbl 1404.91241
Cartea, Álvaro; Jaimungal, Sebastian
32
2016
Dealing with the inventory risk: a solution to the market making problem. Zbl 1273.91462
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
32
2013
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
31
2017
Dual characterization of properties of risk measures on Orlicz hearts. Zbl 1181.91092
Cheridito, Patrick; Li, Tianhui
30
2008
The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240
Biagini, Sara; Pınar, Mustafa Ç.
29
2017
A financial market with interacting investors: does an equilibrium exist? Zbl 1255.91447
Frei, Christoph; dos Reis, Gonçalo
28
2011
Utility maximization with a given pricing measure when the utility is not necessarily concave. Zbl 1277.91055
Reichlin, Christian
26
2013
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
26
2017
Measuring risk with multiple eligible assets. Zbl 1310.91077
Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo
25
2015
A multiple-curve HJM model of interbank risk. Zbl 1264.91131
Crépey, Stéphane; Grbac, Zorana; Nguyen, Hai-Nam
24
2012
Optimal risk sharing under distorted probabilities. Zbl 1255.91182
Ludkovski, Michael; Young, Virginia R.
23
2009
Optimal stopping under ambiguity in continuous time. Zbl 1272.60020
Cheng, Xue; Riedel, Frank
21
2013
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245
Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis
21
2016
Recursiveness of indifference prices and translation-invariant preferences. Zbl 1255.91397
Cheridito, Patrick; Kupper, Michael
20
2009
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
20
2016
Convex compactness and its applications. Zbl 1255.46038
Žitković, Gordan
19
2010
Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\). Zbl 1255.91186
Svindland, Gregor
19
2010
Lebesgue property for convex risk measures on Orlicz spaces. Zbl 1258.91108
Orihuela, J.; Ruiz Galán, M.
18
2012
Dual representation of superhedging costs in illiquid markets. Zbl 1275.91063
Pennanen, Teemu
17
2011
The geometry of relative arbitrage. Zbl 1404.91249
Pal, Soumik; Wong, Ting-Kam Leonard
17
2016
Asymptotic arbitrage and large deviations. Zbl 1153.91015
Föllmer, H.; Schachermayer, W.
16
2008
Oligopoly games under asymmetric costs and an application to energy production. Zbl 1260.91107
Ledvina, Andrew; Sircar, Ronnie
15
2012
The opportunity process for optimal consumption and investment with power utility. Zbl 1255.91452
Nutz, Marcel
14
2010
Bid and ask prices as non-linear continuous time G-expectations based on distortions. Zbl 1307.91086
Eberlein, Ernst; Madan, Dilip B.; Pistorius, Martijn; Yor, Marc
14
2014
Multi-stock portfolio optimization under prospect theory. Zbl 1260.91231
Pirvu, Traian A.; Schulze, Klaas
13
2012
Optimal investment with inside information and parameter uncertainty. Zbl 1255.91446
Danilova, Albina; Monoyios, Michael; Ng, Andrew
13
2010
Structured products equilibria in conic two price markets. Zbl 1264.91148
Madan, Dilip B.; Schoutens, Wim
12
2012
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures. Zbl 1320.91087
Mastrogiacomo, Elisa; Gianin, Emanuela Rosazza
12
2015
Optimal derivatives design for mean-variance agents under adverse selection. Zbl 1173.91379
Carlier, Guillaume; Ekeland, Ivar; Touzi, Nizar
11
2007
Acceptability indexes via \(g\)-expectations: an application to liquidity risk. Zbl 1273.91464
Rosazza Gianin, Emanuela; Sgarra, Carlo
11
2013
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
11
2018
Optimal posting price of limit orders: learning by trading. Zbl 1306.91148
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
10
2013
Optimal portfolios of a small investor in a limit order market: a shadow price approach. Zbl 1255.91449
Kühn, Christoph; Stroh, Maximilian
10
2010
Conic coconuts: the pricing of contingent capital notes using conic finance. Zbl 1255.91450
Madan, Dilip B.; Schoutens, Wim
10
2011
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W.
10
2016
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit
9
2020
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun
9
2018
Optimal investment in a defaultable bond. Zbl 1142.91537
Lakner, Peter; Liang, Weijian
9
2008
Robust consumption-investment problems with random market coefficients. Zbl 1279.91149
Rieder, Ulrich; Wopperer, Christoph
9
2012
On securitization, market completion and equilibrium risk transfer. Zbl 1255.91401
Horst, Ulrich; Pirvu, Traian A.; dos Reis, Gonçalo
9
2010
Liquidity-adjusted risk measures. Zbl 1275.91145
Weber, S.; Anderson, W.; Hamm, A.-M.; Knispel, T.; Liese, M.; Salfeld, T.
8
2013
Exchanges and measures of risks. Zbl 1275.91059
Flåm, Sjur Didrik
8
2011
Convex risk measures on Orlicz spaces: inf-convolution and shortfall. Zbl 1255.91173
Arai, Takuji
8
2010
Taylor series approximations to expected utility and optimal portfolio choice. Zbl 1282.91301
Garlappi, Lorenzo; Skoulakis, Georgios
8
2011
Optimal compensation with adverse selection and dynamic actions. Zbl 1173.91383
Cvitanić, Jakša; Zhang, Jianfeng
8
2007
The consumption-based determinants of the term structure of discount rates. Zbl 1138.91545
Gollier, Christian
8
2007
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting
7
2021
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William
7
2019
Evolutionary finance and dynamic games. Zbl 1275.91027
Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; Xu, Le
7
2011
Electricity price modeling and asset valuation: a multi-fuel structural approach. Zbl 1269.91037
Carmona, René; Coulon, Michael; Schwarz, Daniel
7
2013
Pricing in an equilibrium based model for a large investor. Zbl 1255.91128
German, David
7
2011
Curve following in illiquid markets. Zbl 1255.91451
Naujokat, Felix; Westray, Nicholas
7
2011
Funding liquidity, debt tenor structure, and creditor’s belief: an exogenous dynamic debt run model. Zbl 1335.91096
Liang, Gechun; Lütkebohmert, Eva; Wei, Wei
7
2015
The super-replication theorem under proportional transaction costs revisited. Zbl 1309.91136
Schachermayer, Walter
7
2014
Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234
Guo, Xin; de Larrard, Adrien; Ruan, Zhao
7
2017
Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo
7
2017
Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset. Zbl 1275.91058
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner
6
2011
Simplified mean-variance portfolio optimisation. Zbl 1264.91115
Fontana, Claudio; Schweizer, Martin
6
2012
An analysis of the Keen model for credit expansion, asset price bubbles and financial fragility. Zbl 1264.91133
Grasselli, M. R.; Costa Lima, B.
6
2012
Insider trading equilibrium in a market with memory. Zbl 1262.91156
Biagini, Francesca; Hu, Yaozhong; Meyer-Brandis, Thilo; Øksendal, Bernt
6
2012
Optimal incentive contracts under relative income concerns. Zbl 1255.91205
Goukasian, Levon; Wan, Xuhu
6
2010
Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene
6
2016
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
6
2016
An explicit analytic formula for pricing barrier options with regime switching. Zbl 1308.91158
Chan, Leunglung; Zhu, Song-Ping
6
2015
An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632
Ahmadi-Javid, Amir; Pichler, Alois
6
2017
Dilatation monotonicity and convex order. Zbl 1318.46054
Svindland, Gregor
6
2014
Quasiconvex risk statistics with scenario analysis. Zbl 1312.91060
Tian, Dejian; Jiang, Long
6
2015
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe
6
2020
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang
6
2019
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
5
2020
Strongly consistent multivariate conditional risk measures. Zbl 1397.91600
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor
5
2018
Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie
5
2019
Accounting for risk aversion in derivatives purchase timing. Zbl 1260.91240
Leung, Tim; Ludkovski, Mike
5
2012
Indifference pricing for CRRA utilities. Zbl 1275.91055
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V.
5
2013
Optimal consumption and investment strategies with partial and private information in a multi-asset setting. Zbl 1281.91143
Hansen, Simon Lysbjerg
5
2013
A forward-backward SDE approach to affine models. Zbl 1255.91437
Hyndman, Cody Blaine
5
2009
Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents. Zbl 1255.91107
Kraft, Holger; Seifried, Frank Thomas
5
2010
Risk minimization and optimal derivative design in a principal agent game. Zbl 1177.91082
Horst, Ulrich; Moreno-Bromberg, Santiago
5
2008
Optimal portfolio liquidation with additional information. Zbl 1404.91238
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne
5
2016
Non-concave utility maximisation on the positive real axis in discrete time. Zbl 1327.93407
Carassus, Laurence; Rásonyi, Miklós; Rodrigues, Andrea M.
5
2015
The structure of optimal consumption streams in general incomplete markets. Zbl 1204.91064
Malamud, Semyon; Trubowitz, Eugene
5
2007
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643
Jarrow, Robert
5
2017
Shock elasticities and impulse responses. Zbl 1307.91124
Borovička, Jaroslav; Hansen, Lars Peter; Scheinkman, José A.
5
2014
Remarks on existence and uniqueness of Cournot-Nash equilibria in the non-potential case. Zbl 1318.91024
Blanchet, A.; Carlier, G.
5
2014
Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim
5
2018
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
5
2018
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao
5
2019
Fractional risk process in insurance. Zbl 1435.91156
Kumar, Arun; Leonenko, Nikolai; Pichler, Alois
4
2020
Black-Scholes in a CEV random environment. Zbl 1397.91571
Jacquier, Antoine; Roome, Patrick
4
2018
A note on utility based pricing and asymptotic risk diversification. Zbl 1257.91025
Bouchard, Bruno; Elie, Romuald; Moreau, Ludovic
4
2012
Hedging for the long run. Zbl 1264.91147
Hulley, Hardy; Platen, Eckhard
4
2012
Price formation and optimal trading in intraday electricity markets. Zbl 1484.91315
Féron, Olivier; Tankov, Peter; Tinsi, Laura
2
2022
Robust utility maximization under model uncertainty via a penalization approach. Zbl 1484.91421
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei
1
2022
Optimal portfolios in the presence of stress scenarios a worst-case approach. Zbl 1484.91428
Korn, Ralf; Müller, Lukas
1
2022
Price impact equilibrium with transaction costs and TWAP trading. Zbl 1484.91461
Noh, Eunjung; Weston, Kim
1
2022
Term structure modeling under volatility uncertainty. Zbl 1484.91496
Hölzermann, Julian
1
2022
Law-invariant functionals that collapse to the mean: beyond convexity. Zbl 07557555
Liebrich, Felix-Benedikt; Munari, Cosimo
1
2022
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean. Zbl 1460.91269
He, Xin-Jiang; Chen, Wenting
7
2021
Dual representations for systemic risk measures based on acceptance sets. Zbl 1461.91336
Arduca, Maria; Koch-Medina, Pablo; Munari, Cosimo
3
2021
Equilibrium effects of intraday order-splitting benchmarks. Zbl 1461.91294
Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.
2
2021
Multiple yield curve modelling with CBI processes. Zbl 1471.91588
Fontana, Claudio; Gnoatto, Alessandro; Szulda, Guillaume
2
2021
Systemic credit freezes in financial lending networks. Zbl 1461.91334
Acemoglu, Daron; Ozdaglar, Asuman; Siderius, James; Tahbaz-Salehi, Alireza
1
2021
Systemic optimal risk transfer equilibrium. Zbl 1461.91337
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo
1
2021
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure. Zbl 1461.91109
Zimper, Alexander; Assa, Hirbod
1
2021
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization. Zbl 1461.91128
Rudloff, Birgit; Ulus, Firdevs
1
2021
Asymptotics for volatility derivatives in multi-factor rough volatility models. Zbl 1471.91573
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry
1
2021
Safety-first portfolio selection. Zbl 1468.91135
Chiu, Wan-Yi
1
2021
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. Zbl 1471.91560
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; Sgarra, Carlo
1
2021
Supermartingale deflators in the absence of a numéraire. Zbl 1471.91541
Harms, Philipp; Liu, Chong; Neufeld, Ariel
1
2021
Dual representations for systemic risk measures. Zbl 1433.91187
Ararat, Çağın; Rudloff, Birgit
9
2020
Many-player games of optimal consumption and investment under relative performance criteria. Zbl 1437.91057
Lacker, Daniel; Soret, Agathe
6
2020
Continuity of utility maximization under weak convergence. Zbl 1461.91288
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
5
2020
Fractional risk process in insurance. Zbl 1435.91156
Kumar, Arun; Leonenko, Nikolai; Pichler, Alois
4
2020
No arbitrage in continuous financial markets. Zbl 1443.91272
Criens, David
3
2020
Properly discounted asset prices are semimartingales. Zbl 1461.91323
Bálint, Dániel Ágoston; Schweizer, Martin
2
2020
Optimal retirement and portfolio selection with consumption ratcheting. Zbl 1443.91261
Jeon, Junkee; Park, Kyunghyun
2
2020
No-arbitrage commodity option pricing with market manipulation. Zbl 1443.91281
Aïd, René; Callegaro, Giorgia; Campi, Luciano
2
2020
A regime switching model for temperature modeling and applications to weather derivatives pricing. Zbl 1436.91111
Türkvatan, Aysun; Hayfavi, Azize; Omay, Tolga
1
2020
Optimal portfolio choice: a minimum expected loss approach. Zbl 1466.91299
Ramírez-Hassan, Andrés; Guerra-Urzola, Rosember
1
2020
The learning premium. Zbl 1469.91048
Bichuch, Maxim; Guasoni, Paolo
1
2020
Arbitrage-free modeling under Knightian uncertainty. Zbl 1461.91291
Burzoni, Matteo; Maggis, Marco
1
2020
Mean-variance efficiency of optimal power and logarithmic utility portfolios. Zbl 1461.91269
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; Schmid, Wolfgang
1
2020
Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility. Zbl 1461.91286
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying
1
2020
Capital allocation rules and acceptance sets. Zbl 1461.91364
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, Emanuela
1
2020
Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415
Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail
1
2020
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration. Zbl 1443.91337
Backhoff-Veraguas, Julio; Tangpi, Ludovic
1
2020
Consumption and portfolio decisions with uncertain lifetimes. Zbl 1437.91405
Chen, Shou; Fu, Richard; Wedge, Lei; Zou, Ziran
1
2020
A generalized stochastic differential utility driven by \(G\)-Brownian motion. Zbl 1443.91155
Lin, Qian; Tian, Dejian; Tian, Weidong
1
2020
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option. Zbl 1410.91465
SenGupta, Indranil; Wilson, William; Nganje, William
7
2019
Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty. Zbl 1422.91643
Bismuth, Alexis; Guéant, Olivier; Pu, Jiang
6
2019
Foreign exchange markets with last look. Zbl 1411.91488
Cartea, Álvaro; Jaimungal, Sebastian; Walton, Jamie
5
2019
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. Zbl 1417.91488
Yang, Zhou; Liang, Gechun; Zhou, Chao
5
2019
Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework. Zbl 1422.91736
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano
4
2019
Golden options in financial mathematics. Zbl 1422.91679
Balbás, Alejandro; Balbás, Beatriz; Balbás, Raquel
4
2019
A switching microstructure model for stock prices. Zbl 1417.91565
Hainaut, Donatien; Goutte, Stephane
3
2019
Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles. Zbl 1411.91512
Jarrow, Robert
2
2019
Borrowing constraints, effective flexibility in labor supply, and portfolio selection. Zbl 1410.91318
Lee, Ho-Seok; Shim, Gyoocheol; Shin, Yong Hyun
2
2019
Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Zbl 1410.91409
Bayraktar, Erhan; Yu, Xiang
2
2019
Impact of contingent payments on systemic risk in financial networks. Zbl 1422.91740
Banerjee, Tathagata; Feinstein, Zachary
2
2019
Optimal credit investment and risk control for an insurer with regime-switching. Zbl 1411.91267
Bo, Lijun; Liao, Huafu; Wang, Yongjin
1
2019
Turnpike property and convergence rate for an investment and consumption model. Zbl 1410.91410
Bian, Baojun; Zheng, Harry
1
2019
Increasing risk aversion and life-cycle investing. Zbl 1410.91408
Back, Kerry; Liu, Ruomeng; Teguia, Alberto
1
2019
How local in time is the no-arbitrage property under capital gains taxes? Zbl 1417.91571
Kühn, Christoph
1
2019
Bubbles in assets with finite life. Zbl 1417.91222
Berestycki, Henri; Bruggeman, Cameron; Monneau, Regis; Scheinkman, José A.
1
2019
Irreversible investment with fixed adjustment costs: a stochastic impulse control approach. Zbl 1422.91649
Federico, Salvatore; Rosestolato, Mauro; Tacconi, Elisa
1
2019
Mean field game of controls and an application to trade crowding. Zbl 1397.91084
Cardaliaguet, Pierre; Lehalle, Charles-Albert
35
2018
Robust return risk measures. Zbl 1404.91134
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, Emanuela
11
2018
Time consistency for set-valued dynamic risk measures for bounded discrete-time processes. Zbl 1397.91595
Chen, Yanhong; Hu, Yijun
9
2018
Strongly consistent multivariate conditional risk measures. Zbl 1397.91600
Hoffmann, Hannes; Meyer-Brandis, Thilo; Svindland, Gregor
5
2018
Existence of a Radner equilibrium in a model with transaction costs. Zbl 1396.91706
Weston, Kim
5
2018
Arbitrage and utility maximization in market models with an insider. Zbl 1396.91232
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter
5
2018
Black-Scholes in a CEV random environment. Zbl 1397.91571
Jacquier, Antoine; Roome, Patrick
4
2018
Multidimensional investment problem. Zbl 1404.91255
Christensen, Sören; Salminen, Paavo
4
2018
Sensitivity analysis for expected utility maximization in incomplete Brownian market models. Zbl 1397.91545
Backhoff Veraguas, Julio; Silva, Francisco J.
3
2018
Optimal rebalancing frequencies for multidimensional portfolios. Zbl 1404.91244
Ekren, Ibrahim; Liu, Ren; Muhle-Karbe, Johannes
3
2018
Sensitivity analysis for marked Hawkes processes: application to CLO pricing. Zbl 1396.91785
Bernis, Guillaume; Salhi, Kaouther; Scotti, Simone
3
2018
Symmetry axioms and perceived ambiguity. Zbl 1404.91072
Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon
2
2018
Martingale problem under nonlinear expectations. Zbl 1391.60094
Guo, Xin; Pan, Chen; Peng, Shige
2
2018
Asymptotic asset pricing and bubbles. Zbl 1404.91115
Roch, Alexandre
2
2018
A scaled version of the double-mean-reverting model for VIX derivatives. Zbl 1396.91738
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon
2
2018
Asset prices in an ambiguous economy. Zbl 1404.91114
Pennesi, Daniele
1
2018
Backward nonlinear expectation equations. Zbl 1404.91091
Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas
1
2018
Chisini means and rational decision making: equivalence of investment criteria. Zbl 1404.91265
Magni, Carlo Alberto; Veronese, Piero; Graziani, Rebecca
1
2018
Optimal mean-variance portfolio selection. Zbl 1390.91285
Pedersen, Jesper Lund; Peskir, Goran
31
2017
The robust Merton problem of an ambiguity averse investor. Zbl 1404.91240
Biagini, Sara; Pınar, Mustafa Ç.
29
2017
Hedging with temporary price impact. Zbl 1409.91226
Bank, Peter; Soner, H. Mete; Voß, Moritz
26
2017
Optimal placement in a limit order book: an analytical approach. Zbl 1409.91234
Guo, Xin; de Larrard, Adrien; Ruan, Zhao
7
2017
Optimal investment in markets with over and under-reaction to information. Zbl 1415.91256
Callegaro, Giorgia; Gaïgi, M’hamed; Scotti, Simone; Sgarra, Carlo
7
2017
An analytical study of norms and Banach spaces induced by the entropic value-at-risk. Zbl 1411.91632
Ahmadi-Javid, Amir; Pichler, Alois
6
2017
On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets. Zbl 1411.91643
Jarrow, Robert
5
2017
Diversification, protection of liability holders and regulatory arbitrage. Zbl 1404.91140
Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario
4
2017
Drawdown: from practice to theory and back again. Zbl 1415.91260
Goldberg, Lisa R.; Mahmoud, Ola
4
2017
Liquidity risk and optimal dividend/investment strategies. Zbl 1404.91243
Chevalier, Etienne; Gaïgi, M’hamed; Ly Vath, Vathana
3
2017
A simple trinomial lattice approach for the skew-extended CIR models. Zbl 1411.91586
Zhuo, Xiaoyang; Xu, Guangli; Zhang, Haoyan
3
2017
On uniqueness of equilibrium in the Kyle model. Zbl 1367.91205
McLennan, A.; Monteiro, P. K.; Tourky, R.
3
2017
The lifetime of a financial bubble. Zbl 1404.91271
Obayashi, Yoshiki; Protter, Philip; Yang, Shihao
2
2017
Existence of solutions in non-convex dynamic programming and optimal investment. Zbl 1401.90255
Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós
2
2017
The effect of market power on risk-sharing. Zbl 1415.91148
Anthropelos, Michail
2
2017
Option spanning beyond \(L_p\)-models. Zbl 1415.91281
Gao, N.; Xanthos, Foivos
2
2017
On optimal partitions, individual values and cooperative games: does a wiser agent always produce a higher value? Zbl 1401.91026
Wolansky, Gershon
1
2017
Optimal investment with transaction costs under cumulative prospect theory in discrete time. Zbl 1411.91534
Zou, Bin; Zagst, Rudi
1
2017
Additive portfolio improvement and utility-efficient payoffs. Zbl 1369.91163
Kassberger, Stefan; Liebmann, Thomas
1
2017
Incorporating order-flow into optimal execution. Zbl 1404.91241
Cartea, Álvaro; Jaimungal, Sebastian
32
2016
Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. Zbl 1404.91245
Lachapelle, Aimé; Lasry, Jean-Michel; Lehalle, Charles-Albert; Lions, Pierre-Louis
21
2016
Optimal mean-variance selling strategies. Zbl 1334.60066
Pedersen, J. L.; Peskir, G.
20
2016
The geometry of relative arbitrage. Zbl 1404.91249
Pal, Soumik; Wong, Ting-Kam Leonard
17
2016
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W.
10
2016
Risk-minimization for life insurance liabilities with basis risk. Zbl 1404.91136
Biagini, Francesca; Rheinländer, Thorsten; Schreiber, Irene
6
2016
An optimal trading problem in intraday electricity markets. Zbl 1332.35363
Aïd, René; Gruet, Pierre; Pham, Huyên
6
2016
Optimal portfolio liquidation with additional information. Zbl 1404.91238
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Eyraud-Loisel, Anne
5
2016
Radner equilibrium in incomplete Lévy models. Zbl 1390.91232
Larsen, Kasper; Sae-Sue, Tanawit
4
2016
...and 122 more Documents
all top 5

Cited by 1,657 Authors

21 Rudloff, Birgit
20 Madan, Dilip B.
19 Jaimungal, Sebastian
17 Cartea, Álvaro
16 Rásonyi, Miklós
16 Wei, Jiaqin
13 Feinstein, Zachary
12 Munari, Cosimo
11 Boonen, Tim J.
11 Chen, Yanhong
11 Hu, Yijun
11 Jarrow, Robert Alan
11 Muhle-Karbe, Johannes
11 Rosazza Gianin, Emanuela
10 Laurière, Mathieu
10 Pham, Huyên
10 Schoutens, Wim
9 Bayraktar, Erhan
9 Bielecki, Tomasz R.
9 Carmona, René A.
9 Cialenco, Igor
9 Flåm, Sjur Didrik
9 Hamel, Andreas H.
9 Henderson, Vicky
9 Horst, Ulrich
9 Lacker, Daniel
9 Pichler, Alois
9 Stadje, Mitja
9 Svindland, Gregor
9 Wong, Ting-Kam Leonard
8 Delbaen, Freddy
8 Feng, Runhuan
8 Guéant, Olivier
8 He, Xuedong
8 Neufeld, Ariel David
8 Possamaï, Dylan
8 Wang, Tianxiao
8 Zhao, Qian
7 Bank, Peter
7 Bellini, Fabio
7 Drapeau, Samuel
7 Evstigneev, Igor V.
7 Gao, Niushan
7 Kupper, Michael
7 Lehalle, Charles-Albert
7 Lépinette, Emmanuel
7 Leung, Tim
7 Löhne, Andreas
7 Pennanen, Teemu
7 Pistorius, Martijn R.
7 Schachermayer, Walter
7 Schenk-Hoppé, Klaus Reiner
7 Shen, Yang
7 Siu, Tak Kuen
7 Tangpi, Ludovic
7 Yam, Sheung Chi Phillip
7 Yong, Jiongmin
7 Zeng, Yan
7 Zheng, Harry H.
6 Agram, Nacira
6 Asimit, Alexandru V.
6 Bensoussan, Alain
6 Campi, Luciano
6 Carassus, Laurence
6 Eberlein, Ernst W.
6 Geras’kin, M. I.
6 Grbac, Zorana
6 Koch Medina, Pablo
6 Kramkov, Dmitriĭ Olegovich
6 Kuhn, Christoph
6 Liang, Gechun
6 Lindensjö, Kristoffer
6 Lütkebohmert, Eva
6 Marín-Solano, Jesús
6 Molchanov, Ilya S.
6 Nutz, Marcel
6 Orihuela, José
6 Scotti, Simone
6 Sircar, Ronnie
6 Wang, Ruodu
6 Wong, Hoi Ying
6 Wu, Zhen
5 Achdou, Yves
5 Ararat, Çağın
5 Assa, Hirbod
5 Balbás, Alejandro
5 Balbás, Beatriz
5 Balbás, Raquel
5 Biagini, Francesca
5 Bo, Lijun
5 Ceci, Claudia
5 Chau, Huy N.
5 Chevalier, Etienne
5 Crepey, Stephane
5 Cui, Zhenyu
5 Dolinsky, Yan
5 Frittelli, Marco
5 Herdegen, Martin
5 Hobson, David Graham
5 Hu, Ying
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Cited in 194 Journals

102 Mathematics and Financial Economics
74 Insurance Mathematics & Economics
68 International Journal of Theoretical and Applied Finance
67 Finance and Stochastics
63 SIAM Journal on Financial Mathematics
54 Quantitative Finance
45 SIAM Journal on Control and Optimization
39 European Journal of Operational Research
39 Mathematical Finance
34 Applied Mathematics and Optimization
32 Journal of Economic Dynamics & Control
31 Stochastic Processes and their Applications
29 The Annals of Applied Probability
26 Mathematics of Operations Research
22 Journal of Optimization Theory and Applications
21 Annals of Finance
20 Applied Mathematical Finance
19 Journal of Mathematical Analysis and Applications
18 Annals of Operations Research
18 Mathematical Methods of Operations Research
14 Journal of Mathematical Economics
13 Communications in Statistics. Theory and Methods
13 Probability, Uncertainty and Quantitative Risk
12 Operations Research
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
11 Positivity
11 Journal of Industrial and Management Optimization
10 Electronic Journal of Probability
10 Discrete Dynamics in Nature and Society
10 Decisions in Economics and Finance
10 Mathematical Control and Related Fields
9 Scandinavian Actuarial Journal
9 ASTIN Bulletin
8 Physica A
8 Journal of Computational and Applied Mathematics
8 Stochastics
8 Dynamic Games and Applications
7 Applied Mathematics and Computation
7 Automatica
7 Operations Research Letters
7 Journal of Global Optimization
7 Automation and Remote Control
7 Mathematical Programming. Series A. Series B
7 Economic Theory
6 The Annals of Probability
6 Journal of Applied Probability
6 Journal of Economic Theory
6 European Actuarial Journal
5 Stochastic Analysis and Applications
5 Optimization
5 Probability Theory and Related Fields
5 Methodology and Computing in Applied Probability
5 Set-Valued and Variational Analysis
4 International Journal of Control
4 Journal of Functional Analysis
4 Journal of Economics
4 Japan Journal of Industrial and Applied Mathematics
4 Discrete and Continuous Dynamical Systems
4 Journal of Systems Science and Complexity
4 North American Actuarial Journal
4 Asia-Pacific Financial Markets
4 Review of Derivatives Research
4 Statistics & Risk Modeling
4 Modern Stochastics. Theory and Applications
4 Frontiers of Mathematical Finance
3 Computers & Mathematics with Applications
3 Lithuanian Mathematical Journal
3 Theory of Probability and its Applications
3 Proceedings of the American Mathematical Society
3 Systems & Control Letters
3 Mathematical Social Sciences
3 Statistics & Probability Letters
3 Economics Letters
3 Communications in Partial Differential Equations
3 SIAM Journal on Mathematical Analysis
3 NoDEA. Nonlinear Differential Equations and Applications
3 Mathematical Problems in Engineering
3 Optimization and Engineering
3 Journal of Applied Mathematics
3 Afrika Matematika
3 Journal of the Operations Research Society of China
3 Journal of Dynamics and Games
3 Dependence Modeling
3 Minimax Theory and its Applications
3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
3 Information Geometry
2 Advances in Applied Probability
2 International Journal of Mathematics and Mathematical Sciences
2 Journal of Differential Equations
2 Journal of Environmental Economics and Management
2 Numerische Mathematik
2 Transactions of the American Mathematical Society
2 Sequential Analysis
2 Journal of Risk and Uncertainty
2 International Journal of Computer Mathematics
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 SIAM Review
2 Computational Economics
2 Journal of Convex Analysis
2 Electronic Communications in Probability
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Cited in 39 Fields

1,155 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
490 Probability theory and stochastic processes (60-XX)
304 Systems theory; control (93-XX)
177 Calculus of variations and optimal control; optimization (49-XX)
152 Operations research, mathematical programming (90-XX)
90 Statistics (62-XX)
79 Partial differential equations (35-XX)
61 Functional analysis (46-XX)
36 Numerical analysis (65-XX)
16 Real functions (26-XX)
14 Measure and integration (28-XX)
13 Integral equations (45-XX)
11 Computer science (68-XX)
10 Statistical mechanics, structure of matter (82-XX)
10 Biology and other natural sciences (92-XX)
7 Ordinary differential equations (34-XX)
7 Dynamical systems and ergodic theory (37-XX)
6 General topology (54-XX)
5 Operator theory (47-XX)
5 Convex and discrete geometry (52-XX)
4 Difference and functional equations (39-XX)
4 Global analysis, analysis on manifolds (58-XX)
3 Mathematical logic and foundations (03-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Differential geometry (53-XX)
3 Information and communication theory, circuits (94-XX)
2 General and overarching topics; collections (00-XX)
2 Approximations and expansions (41-XX)
2 Mechanics of particles and systems (70-XX)
2 Fluid mechanics (76-XX)
1 Combinatorics (05-XX)
1 Linear and multilinear algebra; matrix theory (15-XX)
1 Special functions (33-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral transforms, operational calculus (44-XX)
1 Algebraic topology (55-XX)
1 Quantum theory (81-XX)
1 Mathematics education (97-XX)

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