SIAM Journal on Financial Mathematics Short Title: SIAM J. Financ. Math. Publisher: Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA ISSN: 1945-497X/e Online: http://epubs.siam.org/loi/sjfmbj Comments: Indexed cover-to-cover; Published electronic only as of Vol. 1 (2010). Documents Indexed: 491 Publications (since 2010) References Indexed: 332 Publications with 11,126 References. all top 5 Latest Issues 13, No. 4 (2022) 13, No. 3 (2022) 13, No. 2 (2022) 13, No. 1 (2022) 12, No. 4 (2021) 12, No. 3 (2021) 12, No. 2 (2021) 12, No. 1 (2021) 11, No. 4 (2020) 11, No. 3 (2020) 11, No. 2 (2020) 11, No. 1 (2020) 10, No. 4 (2019) 10, No. 3 (2019) 10, No. 2 (2019) 10, No. 1 (2019) 9, No. 4 (2018) 9, No. 3 (2018) 9, No. 2 (2018) 9, No. 1 (2018) 8 (2017) 7 (2016) 6 (2015) 5 (2014) 4 (2013) 3 (2012) 2 (2011) 1 (2010) all top 5 Authors 15 Jacquier, Antoine 11 Jaimungal, Sebastian 10 Bayraktar, Erhan 9 Cartea, Álvaro 9 Fouque, Jean-Pierre 8 Lorig, Matthew J. 8 Reisinger, Christoph 7 Tankov, Peter 7 Zariphopoulou, Thaleia 6 Feinstein, Zachary 6 Forde, Martin 6 Ludkovski, Michael 6 Obloj, Jan K. 6 Sircar, Ronnie 6 Wong, Hoi Ying 5 Bayer, Christian 5 Bensoussan, Alain 5 Benth, Fred Espen 5 Biagini, Francesca 5 Carr, Peter Paul 5 Chen, Xinfu 5 Cont, Rama 5 Oosterlee, Cornelis Willebrordus 5 Rosenbaum, Mathieu 5 Young, Virginia R. 5 Zhou, Zhou 4 Bank, Peter 4 Crepey, Stephane 4 De Marco, Stefano 4 Dolinsky, Yan 4 Filipović, Damir 4 Forsyth, Peter A. 4 Horst, Ulrich 4 Jarrow, Robert Alan 4 Meyer-Brandis, Thilo 4 Muhle-Karbe, Johannes 4 Nadtochiy, Sergey 4 Schied, Alexander 4 Schoenmakers, John G. M. 4 Xu, Zuoquan 3 Abergel, Frédéric 3 Alfonsi, Aurélien 3 Alòs, Elisa 3 Belomestny, Denis 3 Bichuch, Maxim 3 Bouchard, Bruno 3 Capponi, Agostino 3 Carassus, Laurence 3 Chassagneux, Jean-François 3 Cheridito, Patrick 3 Dai, Min 3 El Karoui, Nicole 3 Frittelli, Marco 3 Fukasawa, Masaaki 3 Garnier, Josselin 3 Glau, Kathrin 3 Gnoatto, Alessandro 3 Gobet, Emmanuel 3 Guasoni, Paolo 3 Guéant, Olivier 3 Gulisashvili, Archil 3 Hambly, Ben M. 3 Howison, Samuel Dexter 3 Kardaras, Constantinos 3 Lamberton, Damien 3 Larsson, Martin 3 Lehalle, Charles-Albert 3 Martini, Claude 3 Pham, Huyên 3 Roome, Patrick 3 Saporito, Yuri F. 3 Shreve, Steven E. 3 Sturm, Stephan 3 Sulem, Agnès 3 Teichmann, Josef 3 Wang, Ruodu 3 Xing, Hao 3 Zhang, Hongzhong 3 Zheng, Harry H. 2 Amini, Hamed 2 Angoshtari, Bahman 2 Anthropelos, Michail 2 Arai, Takuji 2 Armenti, Yannick 2 Armstrong, John 2 Avellaneda, Marco 2 Bäuerle, Nicole 2 Bellini, Fabio 2 Biagini, Sara 2 Bian, Baojun 2 Bielecki, Tomasz R. 2 Bressan, Alberto 2 Burzoni, Matteo 2 Campi, Luciano 2 Cesaroni, Annalisa 2 Chen, Kexin 2 Chevalier, Etienne 2 Chiu, Mei Choi 2 Colaneri, Katia 2 Cozma, Andrei ...and 673 more Authors all top 5 Fields 479 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 274 Probability theory and stochastic processes (60-XX) 90 Systems theory; control (93-XX) 69 Numerical analysis (65-XX) 64 Calculus of variations and optimal control; optimization (49-XX) 54 Statistics (62-XX) 43 Partial differential equations (35-XX) 37 Operations research, mathematical programming (90-XX) 11 Functional analysis (46-XX) 8 Approximations and expansions (41-XX) 7 Ordinary differential equations (34-XX) 6 Integral equations (45-XX) 6 Computer science (68-XX) 4 Combinatorics (05-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Real functions (26-XX) 3 Operator theory (47-XX) 2 Measure and integration (28-XX) 2 Special functions (33-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Functions of a complex variable (30-XX) 1 Integral transforms, operational calculus (44-XX) 1 Convex and discrete geometry (52-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 384 Publications have been cited 3,624 times in 2,466 Documents Cited by ▼ Year ▼ Affine point processes and portfolio credit risk. Zbl 1200.91296Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. 93 2010 On the Heston model with stochastic interest rates. Zbl 1229.91338Grzelak, Lech A.; Oosterlee, Cornelis W. 83 2011 Duality for set-valued measures of risk. Zbl 1197.91112Hamel, Andreas H.; Heyde, Frank 79 2010 Time-consistent portfolio management. Zbl 1257.91040Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 70 2012 Price dynamics in a Markovian limit order market. Zbl 1288.91092Cont, Rama; de Larrard, Adrien 70 2013 A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163Fang, Fang; Oosterlee, Cornelis W. 50 2011 A Fourier transform method for spread option pricing. Zbl 1188.91218Hurd, T. R.; Zhou, Zhuowei 47 2010 Optimal execution in a general one-sided limit-order book. Zbl 1222.91062Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven 47 2011 Time dependent Heston model. Zbl 1198.91203Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 45 2010 Measures of systemic risk. Zbl 1407.91284Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan 45 2017 Trend following trading under a regime switching model. Zbl 1198.91246Dai, M.; Zhang, Qing; Zhu, Q. J. 40 2010 The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461Forde, Martin; Jacquier, Antoine; Lee, Roger 40 2012 Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005Crisan, D.; Manolarakis, K. 39 2012 Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason 38 2014 Optimal portfolio liquidation with limit orders. Zbl 1262.91160Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 38 2012 Large deviations for a mean field model of systemic risk. Zbl 1283.60044Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei 38 2013 Asymptotics for rough stochastic volatility models. Zbl 1422.91693Forde, Martin; Zhang, Hongzhong 37 2017 Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 37 2014 Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023Zhang, B.; Oosterlee, C. W. 36 2013 Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171Musiela, M.; Zariphopoulou, T. 35 2010 Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031Almgren, Robert 35 2012 An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052Takahashi, Akihiko; Yamada, Toshihiro 34 2012 Robust hedging of double touch barrier options. Zbl 1228.91067Cox, A. M. G.; Obłój, Jan 32 2011 Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla 32 2012 Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155Kirkby, J. Lars 31 2015 Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059Pennanen, Teemu; Penner, Irina 30 2010 Algorithmic trading with model uncertainty. Zbl 1407.91287Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 30 2017 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 30 2018 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 29 2010 Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068Filipović, Damir; Tappe, Stefan; Teichmann, Josef 28 2010 Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025Alfonsi, Aurélien; Schied, Alexander 27 2010 Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert 27 2012 Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545Gulisashvili, Archil 26 2010 Stability in a model of interbank lending. Zbl 1295.91099Fouque, Jean-Pierre; Ichiba, Tomoyuki 26 2013 Multifactor approximation of rough volatility models. Zbl 1422.91765Jaber, Eduardo Abi; El Euch, Omar 25 2019 Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151Bielecki, Tomasz R.; Rutkowski, Marek 25 2015 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 25 2018 Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert 24 2011 Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic 23 2017 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 23 2018 Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117Abergel, Frédéric; Jedidi, Aymen 23 2015 The small-maturity smile for exponential Lévy models. Zbl 1257.91046Figueroa-López, José E.; Forde, Martin 23 2012 An efficient transform method for Asian option pricing. Zbl 1357.91053Kirkby, J. Lars 22 2016 Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu 22 2010 Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C. 22 2011 Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390Bichuch, Maxim 22 2012 An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients. Zbl 1355.60072Chassagneux, Jean-François; Jacquier, Antoine; Mihaylov, Ivo 21 2016 Dual representation of quasi-convex conditional maps. Zbl 1232.46067Frittelli, Marco; Maggis, Marco 21 2011 Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200Giles, Michael B.; Reisinger, Christoph 21 2012 How to detect an asset bubble. Zbl 1239.91184Jarrow, Robert; Kchia, Younes; Protter, Philip 20 2011 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224Horst, Ulrich; Naujokat, Felix 20 2014 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175El Karoui, Nicole; Mrad, Mohamed 20 2013 Path-dependence of leveraged ETF returns. Zbl 1193.91167Avellaneda, Marco; Zhang, Stanley 18 2010 Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285Bian, Baojun; Miao, Sheng; Zheng, Harry 18 2011 Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290Garnier, Josselin; Sølna, Knut 18 2017 Optimal execution with multiplicative price impact. Zbl 1310.93083Guo, Xin; Zervos, Mihail 18 2015 Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David 18 2015 Adjoint expansions in local Lévy models. Zbl 1285.60084Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia 18 2013 Stochastic gradient descent in continuous time. Zbl 1407.91258Sirignano, Justin; Spiliopoulos, Konstantinos 17 2017 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 17 2014 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 17 2012 Approaches to conditional risk. Zbl 1255.91178Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas 17 2012 Inverting analytic characteristic functions and financial applications. Zbl 1282.60021Feng, Liming; Lin, Xiong 17 2013 Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173Ho, Michael; Sun, Zheng; Xin, Jack 16 2015 Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi 16 2010 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189Fouque, Jean-Pierre; Lorig, Matthew J. 16 2011 Pricing Bermudan options in Lévy process models. Zbl 1287.91141Feng, Liming; Lin, Xiong 16 2013 Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles 15 2011 Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054Zheng, Ban; Roueff, François; Abergel, Frédéric 15 2014 Systemic risk in interbanking networks. Zbl 1315.91065Bo, Lijun; Capponi, Agostino 15 2015 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148Liang, Gechun; Zariphopoulou, Thaleia 14 2017 Optimal liquidation of an asset under drift uncertainty. Zbl 1345.60040Ekström, Erik; Vaicenavicius, Juozas 14 2016 A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên 14 2014 An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162Gnoatto, Alessandro; Grasselli, Martino 14 2014 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414Fouque, Jean-Pierre; Hu, Ruimeng 14 2018 Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079Fusai, Gianluca; Marazzina, Daniele; Marena, Marina 14 2011 Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu 14 2019 On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051Reisinger, C.; Witte, J. H. 14 2012 Utility maximization trading two futures with transaction costs. Zbl 1282.91296Bichuch, Maxim; Shreve, Steven 14 2013 Short maturity Asian options in local volatility models. Zbl 1406.91450Pirjol, Dan; Zhu, Lingjiong 13 2016 Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168Davis, Mark; Lleo, Sébastien 13 2011 Maturity-independent risk measures. Zbl 1230.91084Zariphopoulou, Thaleia; Žitković, Gordan 13 2010 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 13 2016 Shapes of implied volatility with positive mass at zero. Zbl 1407.91246De Marco, S.; Hillairet, C.; Jacquier, A. 13 2017 Approximation for option prices under uncertain volatility. Zbl 1341.60070Fouque, Jean-Pierre; Ren, Bin 13 2014 Reduced basis methods for pricing options with the Black-Scholes and Heston models. Zbl 1335.91099Burkovska, O.; Haasdonk, B.; Salomon, J.; Wohlmuth, B. 13 2015 How superadditive can a risk measure be? Zbl 1338.91080Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 13 2015 Modeling the forward surface of mortality. Zbl 1255.91443Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 13 2012 Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346Schoenmakers, John; Zhang, Jianing; Huang, Junbo 13 2013 On the realized risk of high-dimensional Markowitz portfolios. Zbl 1358.91092El Karoui, Noureddine 13 2013 Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph 13 2018 A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192Cartea, Álvaro; Jaimungal, Sebastian 12 2016 Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090Bender, Christian 12 2011 Approximating Lévy semistationary processes via Fourier methods in the context of power markets. Zbl 1329.60120Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E. D. 12 2014 Asymptotics of forward implied volatility. Zbl 1339.60021Jacquier, Antoine; Roome, Patrick 12 2015 On hedging American options under model uncertainty. Zbl 1315.91060Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou 12 2015 High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172Fodra, Pietro; Pham, Huyên 12 2015 Sequential design for optimal stopping problems. Zbl 1320.91154Gramacy, Robert B.; Ludkovski, Michael 12 2015 Threshold-type policies for real options using regime-switching models. Zbl 1255.91444Bensoussan, Alain; Yan, ZhongFeng; Yin, G. 12 2012 Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423Lorig, Matthew; Sircar, Ronnie 11 2016 On smile properties of volatility derivatives: understanding the VIX skew. Zbl 1483.91227Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza 2 2022 Suffocating fire sales. Zbl 1483.91250Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 2 2022 Short communication: An axiomatization of \(\Lambda\)-quantiles. Zbl 1486.91096Bellini, Fabio; Peri, Ilaria 1 2022 Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 1 2022 The dispersion bias. Zbl 1493.62582Goldberg, Lisa R.; Papanicolaou, Alex; Shkolnik, Alex 1 2022 Optimal signal-adaptive trading with temporary and transient price impact. Zbl 1489.91238Neuman, Eyal; Voß, Moritz 1 2022 Joint modeling and calibration of SPX and VIX by optimal transport. Zbl 1482.91203Guo, Ivan; Loeper, Grégoire; Obłój, Jan; Wang, Shiyi 1 2022 Pricing options under rough volatility with backward SPDEs. Zbl 1484.91469Bayer, Christian; Qiu, Jinniao; Yao, Yao 1 2022 Realization utility with path-dependent reference points. Zbl 1498.91421Kong, Linghui; Qin, Cong; Yue, Xingye 1 2022 Model uncertainty: a reverse approach. Zbl 1498.91510Liebrich, Felix-Benedikt; Maggis, Marco; Svindland, Gregor 1 2022 On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. 5 2021 A unified approach to xVA with CSA discounting and initial margin. Zbl 1476.91140Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata 4 2021 Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126El Karoui, Nicole; Mrad, Mohamed 4 2021 The shadow price of latency: improving intraday fill ratios in foreign exchange markets. Zbl 1461.91292Cartea, Álvaro; Sánchez-Betancourt, Leandro 3 2021 Law-invariant functionals on general spaces of random variables. Zbl 1465.62156Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor 3 2021 Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên 3 2021 A numerical scheme for the quantile hedging problem. Zbl 1459.91217Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph 2 2021 Conditional systemic risk measures. Zbl 1479.91429Doldi, Alessandro; Frittelli, Marco 2 2021 Optimal market making with persistent order flow. Zbl 1476.91171Jusselin, Paul 2 2021 Log-modulated rough stochastic volatility models. Zbl 1476.91196Bayer, Christian; Harang, Fabian A.; Pigato, Paolo 2 2021 Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan 2 2021 Low-dimensional approximations of high-dimensional asset price models. Zbl 1466.91352Redmann, Martin; Bayer, Christian; Goyal, Pawan 2 2021 Utility maximization when shorting American options. Zbl 1459.91209Zhou, Zhou 1 2021 Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios. Zbl 1476.91138Bayraktar, Erhan; Czichowsky, Christoph; Dolinskyi, Leonid; Dolinsky, Yan 1 2021 Correlators of polynomial processes. Zbl 1479.91391Benth, Fred Espen; Lavagnini, Silvia 1 2021 Optimal trade execution in an order book model with stochastic liquidity parameters. Zbl 1471.91522Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail 1 2021 A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. Zbl 1471.91504Li, Juan; Li, Wenqiang; Liang, Gechun 1 2021 Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints. Zbl 1476.91178Chataigner, Marc; Cousin, Areski; Crépey, Stéphane; Dixon, Matthew; Gueye, Djibril 1 2021 Expected utility maximization with stochastic dominance constraints in complete markets. Zbl 1476.91175Wang, Xiangyu; Xia, Jianming 1 2021 Randomized optimal stopping algorithms and their convergence analysis. Zbl 1476.91218Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John 1 2021 A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143Chen, Tao; Ludkovski, Michael 1 2021 Short communication: Dynamic default contagion in heterogeneous interbank systems. Zbl 1476.91210Feinstein, Zachary; Søjmark, Andreas 1 2021 Short communication: A quantum algorithm for linear PDEs arising in finance. Zbl 1476.91183Fontanela, Filipe; Jacquier, Antoine; Oumgari, Mugad 1 2021 Model-free price bounds under dynamic option trading. Zbl 1476.91188Neufeld, Ariel; Sester, Julian 1 2021 Time-inconsistency with rough volatility. Zbl 1480.91266Han, Bingyan; Wong, Hoi Ying 1 2021 Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model. Zbl 1480.91269Lin, Minglian; SenGupta, Indranil 1 2021 Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model. Zbl 1461.91270Cipriano, Fernanda; Martins, Nuno F. M.; Pereira, Diogo 1 2021 Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu 1 2021 Short communication: American student loans: repayment and valuation. Zbl 1465.91122Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed 1 2021 Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020Bank, Peter; Dolinsky, Yan 1 2021 Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341Forsyth, Peter A. 8 2020 Risk aversion in regulatory capital principles. Zbl 1443.91254Mao, Tiantian; Wang, Ruodu 7 2020 Volatility options in rough volatility models. Zbl 1443.91293Horvath, Blanka; Jacquier, Antoine; Tankov, Peter 6 2020 Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403Bäuerle, Nicole; Desmettre, Sascha 5 2020 Robust framework for quantifying the value of information in pricing and hedging. Zbl 1437.91424Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan 4 2020 When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. Zbl 1443.91286Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi 4 2020 Optimal execution with rough path signatures. Zbl 1443.91263Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez 3 2020 Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. Zbl 1452.91325Glau, Kathrin; Kressner, Daniel; Statti, Francesco 3 2020 Short communication: Inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280Acciaio, Beatrice; Guyon, Julien 3 2020 Black’s inverse investment problem and forward criteria with consumption. Zbl 1444.91199Källblad, Sigrid 2 2020 Characteristics and constructions of default times. Zbl 1448.91312Jeanblanc, Monique; Li, Libo 2 2020 Optimal investment with high-watermark fee in a multidimensional jump diffusion model. Zbl 1448.91272Janeček, Karel; Li, Zheng; Sîrbu, Mihai 2 2020 The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291Ruf, Johannes; Xie, Kangjianan 2 2020 Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. Zbl 1455.91260Dastgerdi, Maryam Vahid; Bastani, Ali Foroush 2 2020 Systemic risk in networks with a central node. Zbl 1443.91315Amini, Hamed; Filipović, Damir; Minca, Andreea 2 2020 Risk-dependent centrality in economic and financial networks. Zbl 1444.91218Bartesaghi, Paolo; Benzi, Michele; Clemente, Gian Paolo; Grassi, Rosanna; Estrada, Ernesto 2 2020 Deep-learning solution to portfolio selection with serially dependent returns. Zbl 1444.91202Tsang, Ka Ho; Wong, Hoi Ying 2 2020 The multivariate Kyle model: more is different. Zbl 1443.91162Garcia del Molino, Luis Carlos; Mastromatteo, Iacopo; Benzaquen, Michael; Bouchaud, Jean-Philippe 1 2020 A risk-sharing framework of bilateral contracts. Zbl 1447.91176Lee, Junbeom; Sturm, Stephan; Zhou, Chao 1 2020 Trading foreign exchange triplets. Zbl 1448.91179Cartea, Álvaro; Jaimungal, Sebastian; Jia, Tianyi 1 2020 Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena 1 2020 Short communication: Pricing path-dependent derivatives under multiscale stochastic volatility models: a Malliavin representation. Zbl 1452.91313Saporito, Yuri F. 1 2020 Risk measures and progressive enlargement of filtration: a BSDE approach. Zbl 1452.91331Calvia, Alessandro; Gianin, Emanuela Rosazza 1 2020 European options in a nonlinear incomplete market model with default. Zbl 1452.91308Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès 1 2020 A multifactor polynomial framework for long-term electricity forwards with delivery period. Zbl 1452.91310Kleisinger-Yu, Xi; Komaric, Vlatka; Larsson, Martin; Regez, Markus 1 2020 Informational efficiency with trading constraints: a characterization. Zbl 1461.91301Jarrow, Robert; Larsson, Martin 1 2020 Rational models for inflation-linked derivatives. Zbl 1455.91254Dam, Henrik T.; Macrina, Andrea; Skovmand, David; Sloth, David 1 2020 Executive stock option exercise with full and partial information on a drift change point. Zbl 1455.91257Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph 1 2020 Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. Zbl 1455.91258Jacquier, Antoine; Torricelli, Lorenzo 1 2020 On CIR equations with general factors. Zbl 1443.91283Barski, Michał; Zabczyk, Jerzy 1 2020 Theory of cryptocurrency interest rates. Zbl 1443.91306Brody, Dorje; Hughston, Lane; Meister, Bernhard 1 2020 An analytical valuation framework for financial assets with trading suspensions. Zbl 1444.91209Fries, Christian; Torricelli, Lorenzo 1 2020 Multifactor approximation of rough volatility models. 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Zbl 1416.91375Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 30 2018 ...and 284 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,866 Authors 25 Jaimungal, Sebastian 24 Oosterlee, Cornelis Willebrordus 24 Wong, Hoi Ying 24 Yamada, Toshihiro 22 Cartea, Álvaro 20 Cui, Zhenyu 20 Feinstein, Zachary 19 Forsyth, Peter A. 19 Jacquier, Antoine 19 Rudloff, Birgit 19 Spiliopoulos, Konstantinos V. 18 Lorig, Matthew J. 17 Horst, Ulrich 16 Biagini, Francesca 16 Fouque, Jean-Pierre 16 Muhle-Karbe, Johannes 16 Obloj, Jan K. 16 Sircar, Ronnie 15 Gulisashvili, Archil 15 Kupper, Michael 15 Reisinger, Christoph 15 Schied, Alexander 14 Hu, Yijun 14 Leung, Tim 14 Wei, Jiaqin 14 Zheng, Harry H. 13 Jentzen, Arnulf 13 Tankov, Peter 13 Zariphopoulou, Thaleia 13 Zhu, Lingjiong 12 Bayraktar, Erhan 12 Benth, Fred Espen 12 Dang, Duy Minh 12 Gobet, Emmanuel 12 Rásonyi, Miklós 12 Rutkowski, Marek 12 Soner, Halil Mete 12 Wang, Ruodu 11 Bo, Lijun 11 Chen, Yanhong 11 Crepey, Stephane 11 Fukasawa, Masaaki 11 Guéant, Olivier 11 Li, Lingfei 11 Ludkovski, Michael 11 Meyer-Brandis, Thilo 11 Pagliarani, Stefano 11 Pascucci, Andrea 11 Pham, Huyên 11 Rosenbaum, Mathieu 11 Xu, Zuoquan 11 Zeng, Yan 11 Zhang, Qing 11 Zhou, Zhou 10 Cox, Alexander Matthew Gordon 10 Ekström, Erik 10 Figueroa-López, José E. 10 Gnoatto, Alessandro 10 Guasoni, Paolo 10 Hamel, Andreas H. 10 Pennanen, Teemu 10 Yam, Sheung Chi Phillip 9 Belomestny, Denis 9 Bensoussan, Alain 9 Dolinsky, Yan 9 Frittelli, Marco 9 Glau, Kathrin 9 Grzelak, Lech A. 9 Keller-Ressel, Martin 9 Kruse, Thomas 9 Kwok, Yue-Kuen 9 Ma, Jingtang 9 Mehrdoust, Farshid 9 Molchanov, Ilya S. 9 Pun, Chi Seng 9 Shen, Yang 9 Sirignano, Justin A. 9 Takahashi, Akihiko 9 Young, Virginia R. 8 Bayer, Christian 8 Beiglböck, Mathias 8 Bichuch, Maxim 8 Capponi, Agostino 8 Cheridito, Patrick 8 Friz, Peter Karl 8 Gao, Xuefeng 8 Gatheral, Jim 8 Grasselli, Martino 8 Hainaut, Donatien 8 Hambly, Ben M. 8 Huang, Yu-Jui 8 Jaber, Eduardo Abi 8 Jin, Zhuo 8 Lehalle, Charles-Albert 8 Lépinette, Emmanuel 8 Marazzina, Daniele 8 Nadtochiy, Sergey 8 Papapantoleon, Antonis 8 Scotti, Simone 8 Seol, Youngsoo ...and 2,766 more Authors all top 5 Cited in 273 Journals 189 SIAM Journal on Financial Mathematics 180 Quantitative Finance 129 Finance and Stochastics 129 International Journal of Theoretical and Applied Finance 94 Insurance Mathematics & Economics 85 Stochastic Processes and their Applications 71 Mathematics and Financial Economics 60 European Journal of Operational Research 60 Applied Mathematical Finance 60 Mathematical Finance 55 The Annals of Applied Probability 44 SIAM Journal on Control and Optimization 41 Journal of Computational and Applied Mathematics 37 Applied Mathematics and Optimization 31 Stochastics 30 Mathematics of Operations Research 29 Journal of Economic Dynamics & Control 28 Applied Mathematics and Computation 25 Journal of Optimization Theory and Applications 24 Mathematical Methods of Operations Research 23 Journal of Mathematical Analysis and Applications 22 International Journal of Computer Mathematics 19 Operations Research 19 Methodology and Computing in Applied Probability 18 Advances in Applied Probability 18 Journal of Applied Probability 18 Statistics & Probability Letters 18 Stochastic Analysis and Applications 18 Journal of Industrial and Management Optimization 17 Decisions in Economics and Finance 16 Bernoulli 15 Operations Research Letters 15 Annals of Operations Research 15 Probability, Uncertainty and Quantitative Risk 14 SIAM Journal on Numerical Analysis 14 Communications in Statistics. 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