×

zbMATH — the first resource for mathematics

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: 413 Publications (since 2010)
References Indexed: 254 Publications with 8,472 References.
all top 5

Authors

14 Jacquier, Antoine
9 Jaimungal, Sebastian
8 Lorig, Matthew J.
8 Reisinger, Christoph
7 Bayraktar, Erhan
7 Cartea, Álvaro
7 Fouque, Jean-Pierre
7 Tankov, Peter
6 Forde, Martin
6 Zariphopoulou, Thaleia
5 Carr, Peter P.
5 Chen, Xinfu
5 Cont, Rama
5 Ludkovski, Michael
5 Oosterlee, Cornelis Willebrordus
5 Rosenbaum, Mathieu
4 Bensoussan, Alain
4 Benth, Fred Espen
4 Biagini, Francesca
4 De Marco, Stefano
4 Feinstein, Zachary
4 Filipović, Damir
4 Forsyth, Peter A.
4 Horst, Ulrich
4 Jarrow, Robert Alan
4 Muhle-Karbe, Johannes
4 Nadtochiy, Sergey
4 Obloj, Jan K.
4 Schied, Alexander
4 Sircar, Ronnie
4 Wong, Hoi Ying
4 Young, Virginia R.
4 Zhou, Zhou
3 Abergel, Frédéric
3 Alfonsi, Aurélien
3 Bank, Peter
3 Bichuch, Maxim
3 Bouchard, Bruno
3 Capponi, Agostino
3 Chassagneux, Jean-François
3 Cheridito, Patrick
3 Crepey, Stephane
3 Dai, Min
3 El Karoui, Nicole
3 Garnier, Josselin
3 Glau, Kathrin
3 Gobet, Emmanuel
3 Guasoni, Paolo
3 Gulisashvili, Archil
3 Hambly, Ben M.
3 Howison, Sam D.
3 Kardaras, Constantinos
3 Lamberton, Damien
3 Larsson, Martin
3 Lehalle, Charles-Albert
3 Meyer-Brandis, Thilo
3 Pham, Huyên
3 Roome, Patrick
3 Schoenmakers, John G. M.
3 Sturm, Stephan
3 Sulem, Agnès
3 Teichmann, Josef
3 Wang, Ruodu
3 Xing, Hao
3 Xu, Zuoquan
3 Zhang, Hongzhong
3 Zheng, Harry H.
2 Alòs, Elisa
2 Amini, Hamed
2 Arai, Takuji
2 Armenti, Yannick
2 Armstrong, John
2 Bäuerle, Nicole
2 Belomestny, Denis
2 Bian, Baojun
2 Bielecki, Tomasz R.
2 Bressan, Alberto
2 Campi, Luciano
2 Cesaroni, Annalisa
2 Chen, Kexin
2 Chiu, Mei Choi
2 Colaneri, Katia
2 Cozma, Andrei
2 Dang, Duy Minh
2 Dolinsky, Yan
2 El Euch, Omar
2 Feng, Liming
2 Figueroa-López, José E.
2 Friz, Peter Karl
2 Fukasawa, Masaaki
2 Gaß, Maximilian
2 Grbac, Zorana
2 Guéant, Olivier
2 Guo, Gaoyue
2 Haugh, Martin B.
2 Henry-Labordère, Pierre
2 Hoe, SingRu
2 Horenko, Illia
2 Horvath, Blanka
2 Huang, Yao Tung
...and 567 more Authors

Publications by Year

Citations contained in zbMATH Open

312 Publications have been cited 2,748 times in 1,918 Documents Cited by Year
Affine point processes and portfolio credit risk. Zbl 1200.91296
Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R.
75
2010
Duality for set-valued measures of risk. Zbl 1197.91112
Hamel, Andreas H.; Heyde, Frank
71
2010
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
62
2011
Time-consistent portfolio management. Zbl 1257.91040
Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A.
58
2012
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
53
2013
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
43
2011
A Fourier transform method for spread option pricing. Zbl 1188.91218
Hurd, T. R.; Zhou, Zhuowei
42
2010
Time dependent Heston model. Zbl 1198.91203
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
37
2010
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
36
2011
The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461
Forde, Martin; Jacquier, Antoine; Lee, Roger
35
2012
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
34
2010
Robust hedging of double touch barrier options. Zbl 1228.91067
Cox, A. M. G.; Obłój, Jan
32
2011
Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005
Crisan, D.; Manolarakis, K.
32
2012
Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason
32
2014
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
31
2012
Optimal portfolio liquidation with limit orders. Zbl 1262.91160
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
31
2012
Measures of systemic risk. Zbl 1407.91284
Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan
30
2017
Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059
Pennanen, Teemu; Penner, Irina
28
2010
Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171
Musiela, M.; Zariphopoulou, T.
28
2010
Large deviations for a mean field model of systemic risk. Zbl 1283.60044
Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei
28
2013
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
28
2010
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
27
2010
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
27
2012
Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155
Kirkby, J. Lars
26
2015
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023
Zhang, B.; Oosterlee, C. W.
25
2013
Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545
Gulisashvili, Archil
25
2010
Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
25
2014
Asymptotics for rough stochastic volatility models. Zbl 1422.91693
Forde, Martin; Zhang, Hongzhong
25
2017
Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031
Almgren, Robert
24
2012
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
23
2010
Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133
Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert
23
2012
Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030
Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert
22
2011
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
21
2013
An efficient transform method for Asian option pricing. Zbl 1357.91053
Kirkby, J. Lars
20
2016
The small-maturity smile for exponential Lévy models. Zbl 1257.91046
Figueroa-López, José E.; Forde, Martin
20
2012
Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151
Bielecki, Tomasz R.; Rutkowski, Marek
20
2015
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
19
2018
Dual representation of quasi-convex conditional maps. Zbl 1232.46067
Frittelli, Marco; Maggis, Marco
19
2011
Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390
Bichuch, Maxim
19
2012
Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740
Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C.
19
2011
Algorithmic trading with model uncertainty. Zbl 1407.91287
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
18
2017
Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117
Abergel, Frédéric; Jedidi, Aymen
17
2015
Path-dependence of leveraged ETF returns. Zbl 1193.91167
Avellaneda, Marco; Zhang, Stanley
17
2010
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200
Giles, Michael B.; Reisinger, Christoph
17
2012
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
17
2014
Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139
Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu
16
2010
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
16
2018
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
16
2013
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
16
2013
Optimal execution with multiplicative price impact. Zbl 1310.93083
Guo, Xin; Zervos, Mihail
16
2015
Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic
16
2017
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
15
2011
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
15
2015
An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients. Zbl 1355.60072
Chassagneux, Jean-François; Jacquier, Antoine; Mihaylov, Ivo
14
2016
Inverting analytic characteristic functions and financial applications. Zbl 1282.60021
Feng, Liming; Lin, Xiong
14
2013
Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079
Fusai, Gianluca; Marazzina, Daniele; Marena, Marina
14
2011
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
14
2012
Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285
Bian, Baojun; Miao, Sheng; Zheng, Harry
14
2011
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
14
2014
Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020
Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi
13
2010
Maturity-independent risk measures. Zbl 1230.91084
Zariphopoulou, Thaleia; Žitković, Gordan
13
2010
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
13
2011
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
13
2012
How superadditive can a risk measure be? Zbl 1338.91080
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas
13
2015
Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290
Garnier, Josselin; Sølna, Knut
13
2017
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
12
2013
Pricing Bermudan options in Lévy process models. Zbl 1287.91141
Feng, Liming; Lin, Xiong
12
2013
Threshold-type policies for real options using regime-switching models. Zbl 1255.91444
Bensoussan, Alain; Yan, ZhongFeng; Yin, G.
12
2012
Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090
Bender, Christian
12
2011
Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054
Zheng, Ban; Roueff, François; Abergel, Frédéric
12
2014
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Asymptotics of forward implied volatility. Zbl 1339.60021
Jacquier, Antoine; Roome, Patrick
11
2015
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
11
2015
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
11
2011
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
11
2014
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148
Liang, Gechun; Zariphopoulou, Thaleia
11
2017
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
11
2016
Shapes of implied volatility with positive mass at zero. Zbl 1407.91246
De Marco, S.; Hillairet, C.; Jacquier, A.
11
2017
Multivariate extension of put-call symmetry. Zbl 1200.91292
Molchanov, Ilya; Schmutz, Michael
10
2010
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
10
2018
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
10
2019
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346
Schoenmakers, John; Zhang, Jianing; Huang, Junbo
10
2013
An optimal dividend and investment control problem under debt constraints. Zbl 1290.91175
Chevalier, Etienne; Vath, Vathana Ly; Scotti, Simone
10
2013
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
10
2011
A reduced basis for option pricing. Zbl 1227.91033
Cont, Rama; Lantos, Nicolas; Pironneau, Olivier
10
2011
On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051
Reisinger, C.; Witte, J. H.
10
2012
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
10
2012
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
10
2015
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423
Lorig, Matthew; Sircar, Ronnie
10
2016
Local volatility enhanced by a jump to default. Zbl 1197.91183
Carr, Peter; Madan, Dilip B.
9
2010
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
9
2018
General smile asymptotics with bounded maturity. Zbl 1350.91015
Caravenna, Francesco; Corbetta, Jacopo
9
2016
A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192
Cartea, Álvaro; Jaimungal, Sebastian
9
2016
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
9
2018
Why are quadratic normal volatility models analytically tractable? Zbl 1312.91086
Carr, Peter; Fisher, Travis; Ruf, Johannes
9
2013
The effect of nonsmooth payoffs on the penalty approximation of American options. Zbl 1282.91330
Howison, S. D.; Reisinger, C.; Witte, J. H.
9
2013
The small-maturity Heston forward smile. Zbl 1283.91177
Jacquier, Antoine; Roome, Patrick
9
2013
Default clustering in large pools: large deviations. Zbl 1397.60063
Spiliopoulos, Konstantinos; Sowers, Richard B.
9
2015
The existence of optimal bang-bang controls for GMxB contracts. Zbl 1422.91678
Azimzadeh, P.; Forsyth, P. A.
9
2015
Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing. Zbl 1242.35131
Cheng, Wen; Costanzino, Nick; Liechty, John; Mazzucato, Anna; Nistor, Victor
9
2011
Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212
Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan
1
2021
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
1
2021
Law-invariant functionals on general spaces of random variables. Zbl 1465.62156
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
1
2021
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
3
2020
Volatility options in rough volatility models. Zbl 1443.91293
Horvath, Blanka; Jacquier, Antoine; Tankov, Peter
3
2020
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
2
2020
Optimal investment with high-watermark fee in a multidimensional jump diffusion model. Zbl 1448.91272
Janeček, Karel; Li, Zheng; Sîrbu, Mihai
1
2020
Informational efficiency with trading constraints: a characterization. Zbl 1461.91301
Jarrow, Robert; Larsson, Martin
1
2020
Solving parametric fractional differential equations arising from the rough Heston model using quasi-linearization and spectral collocation. Zbl 1455.91260
Dastgerdi, Maryam Vahid; Bastani, Ali Foroush
1
2020
Short communication: inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280
Acciaio, Beatrice; Guyon, Julien
1
2020
Systemic risk in networks with a central node. Zbl 1443.91315
Amini, Hamed; Filipović, Damir; Minca, Andreea
1
2020
When capital is a funding source: the anticipated backward stochastic differential equations of X-value adjustments. Zbl 1443.91286
Crépey, Stéphane; Sabbagh, Wissal; Song, Shiqi
1
2020
Risk aversion in regulatory capital principles. Zbl 1443.91254
Mao, Tiantian; Wang, Ruodu
1
2020
A risk-sharing framework of bilateral contracts. Zbl 1447.91176
Lee, Junbeom; Sturm, Stephan; Zhou, Chao
1
2020
Optimal execution with rough path signatures. Zbl 1443.91263
Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez
1
2020
Black’s inverse investment problem and forward criteria with consumption. Zbl 1444.91199
Källblad, Sigrid
1
2020
The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291
Ruf, Johannes; Xie, Kangjianan
1
2020
An analytical valuation framework for financial assets with trading suspensions. Zbl 1444.91209
Fries, Christian; Torricelli, Lorenzo
1
2020
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
10
2019
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
5
2019
Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644
Kusnetsov, Michael; Veraart, Luitgard Anna Maria
5
2019
Managing default contagion in inhomogeneous financial networks. Zbl 07135131
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
4
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
4
2019
The randomized Heston model. Zbl 1411.91562
Jacquier, Antoine; Shi, Fangwei
4
2019
Optimal investment with transient price impact. Zbl 1429.91302
Bank, Peter; Voß, Moritz
3
2019
Mean-quadratic variation portfolio optimization: a desirable alternative to time-consistent mean-variance optimization? Zbl 1427.91262
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
3
2019
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
2
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
2
2019
Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying
2
2019
Hedge and speculate: replicating option payoffs with limit and market orders. Zbl 1427.91268
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
2
2019
Optimization of fire sales and borrowing in systemic risk. Zbl 1411.91639
Bichuch, Maxim; Feinstein, Zachary
2
2019
The robust superreplication problem: a dynamic approach. Zbl 1435.91182
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes
2
2019
Portfolio optimization for a large investor controlling market sentiment under partial information. Zbl 1417.91431
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
1
2019
Equilibrium strategies for alpha-maxmin expected utility maximization. Zbl 1422.91806
Li, Bin; Luo, Peng; Xiong, Dewen
1
2019
Financial asset bubbles in banking networks. Zbl 1422.91798
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo
1
2019
A nonuniformly integrable martingale bubble with a crash. Zbl 1429.91340
Schatz, Michael; Sornette, Didier
1
2019
Trading fractional Brownian motion. Zbl 1429.91290
Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS
1
2019
Erratum to: “Stochastic evolution equations for large portfolios of stochastic volatility models”. Zbl 07135140
Hambly, Ben; Kolliopoulos, Nikolaos
1
2019
A mean-variance approach to capital investment optimization. Zbl 1411.91481
Bensoussan, Alain; Hoe, SingRu (Celine); Yan, Zhongfeng
1
2019
Obligations with physical delivery in a multilayered financial network. Zbl 07167418
Feinstein, Zachary
1
2019
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. Zbl 1433.91152
Chen, Kexin; Chiu, Mei Choi; Shin, Yong Hyun; Wong, Hoi Ying
1
2019
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
19
2018
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
16
2018
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
10
2018
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
9
2018
Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. Zbl 1408.91209
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
9
2018
Worst-case range value-at-risk with partial information. Zbl 1408.91240
Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping
7
2018
Model-free portfolio theory and its functional master formula. Zbl 1416.91363
Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna
6
2018
Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376
Gulisashvili, Archil
5
2018
Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty. Zbl 1408.91227
Chen, Shumin; Li, Zhongfei; Zeng, Yan
5
2018
Equilibrium strategies for the mean-variance investment problem over a random horizon. Zbl 1416.91354
Landriault, David; Li, Bin; Li, Danping; Young, Virginia R.
4
2018
Contagion in financial systems: a Bayesian network approach. Zbl 1408.91245
Chong, Carsten; Klüppelberg, Claudia
4
2018
Implied volatility in strict local martingale models. Zbl 1408.91239
Jacquier, Antoine; Keller-Ressel, Martin
4
2018
Dual pricing of American options by Wiener chaos expansion. Zbl 1397.62283
Lelong, Jérôme
3
2018
Regression-based complexity reduction of the nested Monte Carlo methods. Zbl 1415.91314
Belomestny, Denis; Häfner, Stefan; Urusov, Mikhail
3
2018
Pricing arithmetic Asian options under Lévy models by backward induction in the dual space. Zbl 1408.91219
Levendorskiĭ, Sergei
3
2018
Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution. Zbl 1408.91198
Kwak, Minsuk; Pirvu, Traian A.
3
2018
Recombining tree approximations for optimal stopping for diffusions. Zbl 1394.60039
Bayraktar, Erhan; Dolinsky, Yan; Guo, Jia
2
2018
Option pricing in a one-dimensional affine term structure model via spectral representations. Zbl 1411.91616
Chazal, M.; Loeffen, R.; Patie, P.
2
2018
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka; Ruszczyński, Andrzej
2
2018
Exact smooth term-structure estimation. Zbl 1416.91374
Filipović, Damir; Willems, Sander
2
2018
Efficient computation of various valuation adjustments under local Lévy models. Zbl 1408.91230
Borovykh, Anastasia; Pascucci, Andrea; Oosterlee, Cornelis W.
2
2018
Uncertain volatility models with stochastic bounds. Zbl 1419.91615
Fouque, Jean-Pierre; Ning, Ning
2
2018
Wavelet-based methods for high-frequency lead-lag analysis. Zbl 1419.91649
Hayashi, Takaki; Koike, Yuta
2
2018
Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. Zbl 1419.91667
Feinstein, Zachary; Pang, Weijie; Rudloff, Birgit; Schaanning, Eric; Sturm, Stephan; Wildman, Mackenzie
2
2018
Principal-agent problem with common agency without communication. Zbl 1396.91377
Mastrolia, Thibaut; Ren, Zhenjie
1
2018
Liquidity induced asset bubbles via flows of ELMMs. Zbl 1410.91437
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo
1
2018
Optimal liquidation in a level-I limit order book for large-tick stocks. Zbl 1416.91351
Jacquier, Antoine; Liu, Hao
1
2018
American options with discontinuous two-level caps. Zbl 1408.91211
Detemple, Jerome; Kitapbayev, Yerkin
1
2018
Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility. Zbl 1408.91213
Figueroa-López, José E.; Gong, Ruoting; Lorig, Matthew
1
2018
Duality and general equilibrium theory under Knightian uncertainty. Zbl 1408.91133
Beissner, Patrick; Denis, Laurent
1
2018
Measures of systemic risk. Zbl 1407.91284
Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan
30
2017
Asymptotics for rough stochastic volatility models. Zbl 1422.91693
Forde, Martin; Zhang, Hongzhong
25
2017
Algorithmic trading with model uncertainty. Zbl 1407.91287
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
18
2017
Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic
16
2017
Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290
Garnier, Josselin; Sølna, Knut
13
2017
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148
Liang, Gechun; Zariphopoulou, Thaleia
11
2017
Shapes of implied volatility with positive mass at zero. Zbl 1407.91246
De Marco, S.; Hillairet, C.; Jacquier, A.
11
2017
Stochastic gradient descent in continuous time. Zbl 1407.91258
Sirignano, Justin; Spiliopoulos, Konstantinos
8
2017
Rank-dependent utility and risk taking in complete markets. Zbl 1364.91142
He, Xue Dong; Kouwenberg, Roy; Zhou, Xun Yu
7
2017
Stochastic evolution equations for large portfolios of stochastic volatility models. Zbl 1407.91221
Hambly, Ben; Kolliopoulos, Nikolaos
7
2017
Central clearing valuation adjustment. Zbl 1367.91185
Armenti, Yannick; Crépey, Stéphane
6
2017
Game options in an imperfect market with default. Zbl 1381.93103
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès
6
2017
Ergodicity and diffusivity of Markovian order book models: a general framework. Zbl 1407.91126
Huang, Weibing; Rosenbaum, Mathieu
6
2017
Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion. Zbl 1356.91086
Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, Hongzhong
4
2017
A semi-Markovian modeling of limit order markets. Zbl 1370.60155
Swishchuk, Anatoliy; Vadori, Nelson
4
2017
A weak law of large numbers for a limit order book model with fully state dependent order dynamics. Zbl 1367.60018
Horst, Ulrich; Kreher, Dörte
4
2017
Equilibrium pricing under relative performance concerns. Zbl 1367.91200
Bielagk, Jana; Lionnet, Arnaud; dos Reis, Gonçalo
3
2017
Discrete time term structure theory and consistent recalibration models. Zbl 1407.91256
Richter, Anja; Teichmann, Josef
3
2017
Magic points in finance: empirical integration for parametric option pricing. Zbl 1429.91320
Gaß, Maximilian; Glau, Kathrin; Mair, Maximilian
3
2017
Optimal initiation of guaranteed lifelong withdrawal benefit with dynamic withdrawals. Zbl 1407.91138
Huang, Yao Tung; Zeng, Pingping; Kwok, Yue Kuen
3
2017
A stochastic model of optimal debt management and bankruptcy. Zbl 1386.49052
Bressan, Alberto; Marigonda, Antonio; Nguyen, Khai T.; Palladino, Michele
3
2017
The impact of jump distributions on the implied volatility of variance. Zbl 1356.91089
Nicolato, E.; Pisani, C.; Sloth, D.
2
2017
On the curvature of the smile in stochastic volatility models. Zbl 1371.91137
Alòs, Elisa; León, Jorge A.
2
2017
Long-term optimal investment in matrix valued factor models. Zbl 1367.91169
Robertson, Scott; Xing, Hao
2
2017
Construction of a third-order K-scheme and its application to financial models. Zbl 1407.91274
Shinozaki, Yuji
2
2017
Simulation of implied volatility surfaces via tangent Lévy models. Zbl 1410.91478
Carmona, Rene; Ma, Yi; Nadtochiy, Sergey
1
2017
On regularity of primal and dual dynamic value functions related to investment problems and their representations as backward stochastic PDE solutions. Zbl 1422.91662
Mania, Michael; Tevzadze, Revaz
1
2017
High-frequency limit of Nash equilibria in a market impact game with transient price impact. Zbl 1407.91234
Schied, Alexander; Strehle, Elias; Zhang, Tao
1
2017
An efficient transform method for Asian option pricing. Zbl 1357.91053
Kirkby, J. Lars
20
2016
...and 212 more Documents
all top 5

Cited by 2,244 Authors

21 Jaimungal, Sebastian
20 Oosterlee, Cornelis Willebrordus
19 Cartea, Álvaro
19 Yamada, Toshihiro
17 Jacquier, Antoine
17 Lorig, Matthew J.
16 Cui, Zhenyu
16 Rudloff, Birgit
15 Horst, Ulrich
15 Muhle-Karbe, Johannes
15 Sircar, Ronnie
15 Spiliopoulos, Konstantinos V.
14 Forsyth, Peter A.
14 Fouque, Jean-Pierre
14 Gulisashvili, Archil
14 Kupper, Michael
14 Leung, Tim
14 Obloj, Jan K.
14 Schied, Alexander
14 Wong, Hoi Ying
13 Biagini, Francesca
12 Feinstein, Zachary
12 Gobet, Emmanuel
12 Reisinger, Christoph
12 Soner, Halil Mete
12 Zariphopoulou, Thaleia
11 Dang, Duy Minh
11 Hu, Yijun
11 Pascucci, Andrea
11 Rutkowski, Marek
11 Tankov, Peter
11 Wei, Jiaqin
11 Zhu, Lingjiong
10 Figueroa-López, José E.
10 Hamel, Andreas H.
10 Jentzen, Arnulf
10 Meyer-Brandis, Thilo
10 Pagliarani, Stefano
10 Rosenbaum, Mathieu
10 Wang, Ruodu
10 Zeng, Yan
9 Bayraktar, Erhan
9 Benth, Fred Espen
9 Cox, Alexander Matthew Gordon
9 Crepey, Stephane
9 Guasoni, Paolo
9 Keller-Ressel, Martin
9 Molchanov, Ilya S.
9 Pennanen, Teemu
9 Pham, Huyên
9 Rásonyi, Miklós
9 Zhang, Qing
9 Zheng, Harry H.
8 Belomestny, Denis
8 Chen, Yanhong
8 Guéant, Olivier
8 Hambly, Ben M.
8 Kwok, Yue-Kuen
8 Ludkovski, Michael
8 Nadtochiy, Sergey
8 Seol, Youngsoo
8 Takahashi, Akihiko
8 Yam, Sheung Chi Phillip
8 Zhou, Zhou
7 Bensoussan, Alain
7 Bo, Lijun
7 Bonotto, Everaldo M.
7 Capponi, Agostino
7 Cheridito, Patrick
7 Crisan, Dan O.
7 Dolinsky, Yan
7 Ekström, Erik
7 Frittelli, Marco
7 Fukasawa, Masaaki
7 Gao, Xuefeng
7 Gatheral, Jim
7 Glau, Kathrin
7 Grzelak, Lech A.
7 Jeanblanc, Monique
7 Lehalle, Charles-Albert
7 Li, Lingfei
7 Liang, Gechun
7 Maggis, Marco
7 Marazzina, Daniele
7 Papapantoleon, Antonis
7 Pun, Chi Seng
7 Rosazza Gianin, Emanuela
7 Schoenmakers, John G. M.
7 Scotti, Simone
7 Sirignano, Justin A.
7 Teichmann, Josef
7 Tempone, Raúl F.
7 Xu, Zuoquan
7 Yin, George Gang
7 Ziveyi, Jonathan
6 Bayer, Christian
6 Beiglböck, Mathias
6 Bernard, Carole
6 Bichuch, Maxim
6 Bielecki, Tomasz R.
...and 2,144 more Authors
all top 5

Cited in 230 Journals

143 Quantitative Finance
142 SIAM Journal on Financial Mathematics
118 International Journal of Theoretical and Applied Finance
114 Finance and Stochastics
75 Insurance Mathematics & Economics
70 Stochastic Processes and their Applications
65 Mathematics and Financial Economics
60 Mathematical Finance
52 Applied Mathematical Finance
46 The Annals of Applied Probability
44 European Journal of Operational Research
35 SIAM Journal on Control and Optimization
34 Applied Mathematics and Optimization
33 Journal of Computational and Applied Mathematics
23 Mathematics of Operations Research
23 Mathematical Methods of Operations Research
22 Journal of Optimization Theory and Applications
21 Journal of Economic Dynamics & Control
20 Journal of Mathematical Analysis and Applications
17 Journal of Applied Probability
16 Stochastic Analysis and Applications
16 Bernoulli
15 Statistics & Probability Letters
14 Methodology and Computing in Applied Probability
13 Advances in Applied Probability
13 Stochastics
12 Applied Mathematics and Computation
12 SIAM Journal on Numerical Analysis
12 Operations Research Letters
12 ASTIN Bulletin
12 Annals of Finance
12 Mathematical Control and Related Fields
12 Probability, Uncertainty and Quantitative Risk
11 International Journal of Computer Mathematics
11 Discrete and Continuous Dynamical Systems. Series B
10 Computers & Mathematics with Applications
10 Operations Research
10 SIAM Journal on Scientific Computing
10 Mathematical Problems in Engineering
10 Asia-Pacific Financial Markets
10 Journal of Industrial and Management Optimization
9 Journal of Econometrics
9 Journal of Scientific Computing
9 Annals of Operations Research
8 Theory of Probability and its Applications
8 Applied Numerical Mathematics
8 Scandinavian Actuarial Journal
8 Decisions in Economics and Finance
7 Monte Carlo Methods and Applications
7 Electronic Journal of Probability
7 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
7 Positivity
6 Automatica
6 Journal of Global Optimization
6 Computational and Applied Mathematics
6 Review of Derivatives Research
6 SIAM/ASA Journal on Uncertainty Quantification
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 Journal of Differential Equations
5 Journal of Multivariate Analysis
5 Mathematics and Computers in Simulation
5 Numerische Mathematik
5 Optimization
5 Japan Journal of Industrial and Applied Mathematics
5 Mathematical Programming. Series A. Series B
5 The ANZIAM Journal
5 Multiscale Modeling & Simulation
5 Computational Management Science
5 Statistics & Risk Modeling
4 Chaos, Solitons and Fractals
4 The Annals of Probability
4 Journal of Mathematical Economics
4 Probability Theory and Related Fields
4 Journal of Theoretical Probability
4 Stochastic Models
4 Journal of Machine Learning Research (JMLR)
4 Stochastic Systems
4 Stochastic and Partial Differential Equations. Analysis and Computations
4 Modern Stochastics. Theory and Applications
3 Journal of Computational Physics
3 Mathematics of Computation
3 BIT
3 Journal of Functional Analysis
3 Journal of the Korean Mathematical Society
3 Transactions of the American Mathematical Society
3 Mathematical Social Sciences
3 SIAM Review
3 Computational Statistics and Data Analysis
3 NoDEA. Nonlinear Differential Equations and Applications
3 Abstract and Applied Analysis
3 Discrete Dynamics in Nature and Society
3 Communications in Nonlinear Science and Numerical Simulation
3 Econometric Theory
3 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 Stochastics and Dynamics
3 North American Actuarial Journal
3 Electronic Journal of Statistics
3 Set-Valued and Variational Analysis
3 International Journal of Stochastic Analysis
3 European Actuarial Journal
...and 130 more Journals
all top 5

Cited in 44 Fields

1,544 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,033 Probability theory and stochastic processes (60-XX)
287 Systems theory; control (93-XX)
270 Numerical analysis (65-XX)
187 Calculus of variations and optimal control; optimization (49-XX)
185 Statistics (62-XX)
152 Operations research, mathematical programming (90-XX)
151 Partial differential equations (35-XX)
38 Functional analysis (46-XX)
23 Approximations and expansions (41-XX)
19 Ordinary differential equations (34-XX)
17 Real functions (26-XX)
15 Operator theory (47-XX)
14 Measure and integration (28-XX)
14 Dynamical systems and ergodic theory (37-XX)
14 Integral equations (45-XX)
14 Computer science (68-XX)
13 Biology and other natural sciences (92-XX)
10 Harmonic analysis on Euclidean spaces (42-XX)
8 Convex and discrete geometry (52-XX)
7 Integral transforms, operational calculus (44-XX)
6 Order, lattices, ordered algebraic structures (06-XX)
6 Fluid mechanics (76-XX)
5 Mathematical logic and foundations (03-XX)
5 General topology (54-XX)
5 Statistical mechanics, structure of matter (82-XX)
4 General and overarching topics; collections (00-XX)
4 Combinatorics (05-XX)
4 Difference and functional equations (39-XX)
4 Differential geometry (53-XX)
4 Global analysis, analysis on manifolds (58-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
3 Information and communication theory, circuits (94-XX)
2 Mechanics of deformable solids (74-XX)
2 Classical thermodynamics, heat transfer (80-XX)
2 Quantum theory (81-XX)
1 Number theory (11-XX)
1 Commutative algebra (13-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-XX)
1 Sequences, series, summability (40-XX)
1 Abstract harmonic analysis (43-XX)
1 Mathematics education (97-XX)

Citations by Year