×

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: Journal; Indexed cover-to-cover; Published electronic only as of Vol. 1 (2010).
Documents Indexed: 553 Publications (since 2010)
References Indexed: 394 Publications with 13,395 References.
all top 5

Authors

16 Jacquier, Antoine
15 Jaimungal, Sebastian
14 Bayraktar, Erhan
10 Cartea, Álvaro
9 Fouque, Jean-Pierre
9 Lorig, Matthew J.
9 Reisinger, Christoph
9 Young, Virginia R.
7 Feinstein, Zachary
7 Tankov, Peter
7 Zariphopoulou, Thaleia
6 Bayer, Christian
6 Biagini, Francesca
6 Forde, Martin
6 Ludkovski, Michael
6 Obloj, Jan K.
6 Rosenbaum, Mathieu
6 Sircar, Ronnie
6 Wong, Hoi Ying
6 Xu, Zuoquan
5 Bensoussan, Alain
5 Benth, Fred Espen
5 Carr, Peter Paul
5 Chen, Xinfu
5 Cont, Rama
5 Dolinsky, Yan
5 Forsyth, Peter A.
5 Meyer-Brandis, Thilo
5 Nadtochiy, Sergey
5 Oosterlee, Cornelis Willebrordus
5 Zhou, Zhou
4 Bank, Peter
4 Crepey, Stephane
4 De Marco, Stefano
4 Filipović, Damir
4 Frittelli, Marco
4 Gnoatto, Alessandro
4 Horst, Ulrich
4 Jarrow, Robert Alan
4 Muhle-Karbe, Johannes
4 Schied, Alexander
4 Schoenmakers, John G. M.
4 Wang, Ruodu
3 Abergel, Frédéric
3 Alfonsi, Aurélien
3 Alòs, Elisa
3 Angoshtari, Bahman
3 Baldacci, Bastien
3 Belomestny, Denis
3 Bergault, Philippe
3 Bichuch, Maxim
3 Bouchard, Bruno
3 Capponi, Agostino
3 Carassus, Laurence
3 Chassagneux, Jean-François
3 Cheridito, Patrick
3 Cohen, Asaf
3 Dai, Min
3 El Karoui, Nicole
3 Fukasawa, Masaaki
3 Garnier, Josselin
3 Glau, Kathrin
3 Gobet, Emmanuel
3 Guasoni, Paolo
3 Guéant, Olivier
3 Gulisashvili, Archil
3 Hambly, Ben M.
3 Henry-Labordère, Pierre
3 Howison, Samuel Dexter
3 Hu, Ruimeng
3 Kardaras, Constantinos
3 Lamberton, Damien
3 Larsson, Martin
3 Lehalle, Charles-Albert
3 Li, Bin
3 Maggis, Marco
3 Martini, Claude
3 Mazzon, Andrea
3 Pham, Huyên
3 Protter, Philip Elliott
3 Pun, Chi Seng
3 Roome, Patrick
3 Saporito, Yuri F.
3 Shreve, Steven E.
3 Sturm, Stephan
3 Sulem, Agnès
3 Teichmann, Josef
3 Van Staden, Pieter M.
3 Wiesel, Johannes C. W.
3 Xia, Jianming
3 Xing, Hao
3 Zhang, Hongzhong
3 Zheng, Harry H.
3 Zou, Bin
2 Amini, Hamed
2 Anthropelos, Michail
2 Arai, Takuji
2 Armenti, Yannick
2 Armstrong, John
2 Avellaneda, Marco
...and 753 more Authors

Publications by Year

Citations contained in zbMATH Open

450 Publications have been cited 4,691 times in 3,101 Documents Cited by Year
Affine point processes and portfolio credit risk. Zbl 1200.91296
Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R.
107
2010
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
94
2011
Duality for set-valued measures of risk. Zbl 1197.91112
Hamel, Andreas H.; Heyde, Frank
85
2010
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
83
2013
Time-consistent portfolio management. Zbl 1257.91040
Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A.
82
2012
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
60
2011
Measures of systemic risk. Zbl 1407.91284
Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan
57
2017
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
56
2011
Asymptotics for rough stochastic volatility models. Zbl 1422.91693
Forde, Martin; Zhang, Hongzhong
52
2017
A Fourier transform method for spread option pricing. Zbl 1188.91218
Hurd, T. R.; Zhou, Zhuowei
51
2010
Time dependent Heston model. Zbl 1198.91203
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
51
2010
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
49
2010
Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason
49
2014
Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005
Crisan, D.; Manolarakis, K.
47
2012
Optimal portfolio liquidation with limit orders. Zbl 1262.91160
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
47
2012
Large deviations for a mean field model of systemic risk. Zbl 1283.60044
Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei
46
2013
The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461
Forde, Martin; Jacquier, Antoine; Lee, Roger
45
2012
Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023
Zhang, B.; Oosterlee, C. W.
45
2013
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
43
2019
Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031
Almgren, Robert
42
2012
Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171
Musiela, M.; Zariphopoulou, T.
42
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.
42
2014
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
40
2012
Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155
Kirkby, J. Lars
40
2015
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
40
2018
Algorithmic trading with model uncertainty. Zbl 1407.91287
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
40
2017
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
36
2012
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
34
2010
Robust hedging of double touch barrier options. Zbl 1228.91067
Cox, A. M. G.; Obłój, Jan
34
2011
Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139
Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu
34
2010
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
33
2018
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
33
2016
Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic
33
2017
Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059
Pennanen, Teemu; Penner, Irina
32
2010
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
32
2018
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
31
2010
Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151
Bielecki, Tomasz R.; Rutkowski, Marek
31
2015
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
31
2013
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
30
2010
Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133
Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert
29
2012
Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545
Gulisashvili, Archil
29
2010
An efficient transform method for Asian option pricing. Zbl 1357.91053
Kirkby, J. Lars
28
2016
Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030
Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert
27
2011
Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740
Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C.
27
2011
The small-maturity smile for exponential Lévy models. Zbl 1257.91046
Figueroa-López, José E.; Forde, Martin
26
2012
Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390
Bichuch, Maxim
25
2012
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200
Giles, Michael B.; Reisinger, Christoph
25
2012
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
25
2011
Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117
Abergel, Frédéric; Jedidi, Aymen
25
2015
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
25
2013
Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290
Garnier, Josselin; Sølna, Knut
25
2017
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
24
2019
Optimal execution with multiplicative price impact. Zbl 1310.93083
Guo, Xin; Zervos, Mihail
23
2015
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
23
2014
Path-dependence of leveraged ETF returns. Zbl 1193.91167
Avellaneda, Marco; Zhang, Stanley
22
2010
Dual representation of quasi-convex conditional maps. Zbl 1232.46067
Frittelli, Marco; Maggis, Marco
22
2011
Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285
Bian, Baojun; Miao, Sheng; Zheng, Harry
22
2011
Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020
Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi
21
2010
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
21
2015
Stochastic gradient descent in continuous time. Zbl 1407.91258
Sirignano, Justin; Spiliopoulos, Konstantinos
21
2017
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
20
2011
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
20
2015
Optimal liquidation of an asset under drift uncertainty. Zbl 1345.60040
Ekström, Erik; Vaicenavicius, Juozas
20
2016
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
19
2012
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
19
2011
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148
Liang, Gechun; Zariphopoulou, Thaleia
19
2017
Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173
Ho, Michael; Sun, Zheng; Xin, Jack
19
2015
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
19
2013
A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192
Cartea, Álvaro; Jaimungal, Sebastian
18
2016
Equilibrium strategies for the mean-variance investment problem over a random horizon. Zbl 1416.91354
Landriault, David; Li, Bin; Li, Danping; Young, Virginia R.
18
2018
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
18
2013
Inverting analytic characteristic functions and financial applications. Zbl 1282.60021
Feng, Liming; Lin, Xiong
18
2013
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
18
2014
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
18
2018
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
17
2012
Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079
Fusai, Gianluca; Marazzina, Daniele; Marena, Marina
17
2011
Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376
Gulisashvili, Archil
17
2018
Pricing Bermudan options in Lévy process models. Zbl 1287.91141
Feng, Liming; Lin, Xiong
17
2013
Managing default contagion in inhomogeneous financial networks. Zbl 1503.91153
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
17
2019
On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051
Reisinger, C.; Witte, J. H.
16
2012
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
16
2016
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
16
2014
An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162
Gnoatto, Alessandro; Grasselli, Martino
16
2014
Maturity-independent risk measures. Zbl 1230.91084
Zariphopoulou, Thaleia; Žitković, Gordan
15
2010
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
15
2011
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
15
2015
Short maturity Asian options in local volatility models. Zbl 1406.91450
Pirjol, Dan; Zhu, Lingjiong
15
2016
On the realized risk of high-dimensional Markowitz portfolios. Zbl 1358.91092
El Karoui, Noureddine
15
2013
Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054
Zheng, Ban; Roueff, François; Abergel, Frédéric
15
2014
Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644
Kusnetsov, Michael; Veraart, Luitgard Anna Maria
15
2019
Shapes of implied volatility with positive mass at zero. Zbl 1407.91246
De Marco, S.; Hillairet, C.; Jacquier, A.
15
2017
Worst-case range value-at-risk with partial information. Zbl 1408.91240
Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping
15
2018
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
14
2012
How superadditive can a risk measure be? Zbl 1338.91080
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas
14
2015
Model-free portfolio theory and its functional master formula. Zbl 1416.91363
Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna
14
2018
Rank-dependent utility and risk taking in complete markets. Zbl 1364.91142
He, Xue Dong; Kouwenberg, Roy; Zhou, Xun Yu
14
2017
Linking vanillas and VIX options: a constrained martingale optimal transport problem. Zbl 1386.91138
De Marco, Stefano; Henry-Labordère, Pierre
14
2015
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
14
2015
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346
Schoenmakers, John; Zhang, Jianing; Huang, Junbo
14
2013
Game options in an imperfect market with default. Zbl 1381.93103
Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès
14
2017
Deep xVA solver: a neural network-based counterparty credit risk management framework. Zbl 1516.91065
Gnoatto, Alessandro; Picarelli, Athena; Reisinger, Christoph
5
2023
Deep curve-dependent PDEs for affine rough volatility. Zbl 1516.91062
Jacquier, Antoine; Oumgari, Mugad
3
2023
Beating a benchmark: dynamic programming may not be the right numerical approach. Zbl 1516.91055
Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying
3
2023
Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. Zbl 1520.91364
Bartl, Daniel; Wiesel, Johannes
2
2023
Normal tempered stable processes and the pricing of energy derivatives. Zbl 1511.91154
Sabino, Piergiacomo
2
2023
A random-supply mean field game price model. Zbl 1511.35350
Gomes, Diogo; Gutierrez, Julian; Ribeiro, Ricardo
2
2023
On the discrete-time simulation of the rough Heston model. Zbl 1515.65333
Richard, Alexandre; Tan, Xiaolu; Yang, Fan
2
2023
Analysis of bank leverage via dynamical systems and deep neural networks. Zbl 1520.91428
Lillo, Fabrizio; Livieri, Giulia; Marmi, Stefano; Solomko, Anton; Vaienti, Sandro
1
2023
One axiom to rule them all: a minimalist axiomatization of quantiles. Zbl 1520.91435
Fadina, Tolulope; Liu, Peng; Wang, Ruodu
1
2023
Short communication: caplet pricing in affine models for alternative risk-free rates. Zbl 1511.91149
Fontana, Claudio
1
2023
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: asymptotic analysis. Zbl 1511.91112
Azcue, Pablo; Liang, Xiaoqing; Muler, Nora; Young, Virginia R.
1
2023
Weak error rates of numerical schemes for rough volatility. Zbl 1517.91280
Gassiat, Paul
1
2023
Joint modeling and calibration of SPX and VIX by optimal transport. Zbl 1482.91203
Guo, Ivan; Loeper, Grégoire; Obłój, Jan; Wang, Shiyi
6
2022
Optimal signal-adaptive trading with temporary and transient price impact. Zbl 1489.91238
Neuman, Eyal; Voß, Moritz
6
2022
On smile properties of volatility derivatives: understanding the VIX skew. Zbl 1483.91227
Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza
5
2022
Competition in fund management and forward relative performance criteria. Zbl 1511.91123
Anthropelos, Michail; Geng, Tianran; Zariphopoulou, Thaleia
5
2022
Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
5
2022
The VIX future in Bergomi models: fast approximation formulas and joint calibration with S&P 500 skew. Zbl 1503.91120
Guyon, Julien
5
2022
Forward utility and market adjustments in relative investment-consumption games of many players. Zbl 1498.91385
dos Reis, Gonçalo; Platonov, Vadim
5
2022
Short communication: A Gaussian Kusuoka approximation without solving random ODEs. Zbl 1491.60116
Yamada, Toshihiro
4
2022
Pricing options under rough volatility with backward SPDEs. Zbl 1484.91469
Bayer, Christian; Qiu, Jinniao; Yao, Yao
4
2022
No arbitrage SVI. Zbl 1483.91238
Martini, Claude; Mingone, Arianna
4
2022
Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity. Zbl 1503.91104
Park, Kyunghyun; Wong, Hoi Ying
4
2022
Short communication: on the weak convergence rate in the discretization of rough volatility models. Zbl 1497.91338
Bayer, Christian; Fukasawa, Masaaki; Nakahara, Shonosuke
4
2022
Suffocating fire sales. Zbl 1483.91250
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
3
2022
Tail optimality and preferences consistency for intertemporal optimization problems. Zbl 1486.49040
Vigna, Elena
3
2022
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. Zbl 1486.49026
Bergault, Philippe; Drissi, Fayçal; Guéant, Olivier
3
2022
Mean-variance portfolio selection in contagious markets. Zbl 1489.91239
Shen, Yang; Zou, Bin
3
2022
Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients. Zbl 1498.91467
Zhang, Gongqiu; Li, Lingfei
3
2022
Robust risk-aware reinforcement learning. Zbl 1484.91426
Jaimungal, Sebastian; Pesenti, Silvana M.; Wang, Ye Sheng; Tatsat, Hariom
3
2022
Robust portfolio choice with sticky wages. Zbl 1498.91377
Biagini, Sara; Gozzi, Fausto; Zanella, Margherita
3
2022
Optimal ratcheting of dividends in a Brownian risk model. Zbl 1497.91331
Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora
3
2022
Reward design in risk-taking contests. Zbl 1483.91051
Nutz, Marcel; Zhang, Yuchong
2
2022
Short communication: An axiomatization of \(\Lambda\)-quantiles. Zbl 1486.91096
Bellini, Fabio; Peri, Ilaria
2
2022
A high-order numerical method for BSPDEs with applications to mathematical finance. Zbl 1484.65016
Li, Yunzhang
2
2022
Erratum to: “The robust superreplication problem: a dynamic approach”. Zbl 1497.91305
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes
2
2022
Merton’s optimal investment problem with jump signals. Zbl 1511.91124
Bank, Peter; Körber, Laura
1
2022
Endogenous noise trackers in a Radner equilibrium. Zbl 1504.91301
Choi, Jin Hyuk; Weston, Kim
1
2022
American options in the Volterra Heston model. Zbl 1491.91140
Chevalier, Etienne; Pulido, Sergio; Zúñiga, Elizabeth
1
2022
Strong convergence to the mean field limit of a finite agent equilibrium. Zbl 1489.91282
Fujii, Masaaki; Takahashi, Akihiko
1
2022
The dispersion bias. Zbl 1493.62582
Goldberg, Lisa R.; Papanicolaou, Alex; Shkolnik, Alex
1
2022
Functional portfolio optimization in stochastic portfolio theory. Zbl 1491.91114
Campbell, Steven; Leonard Wong, Ting-Kam
1
2022
Realization utility with path-dependent reference points. Zbl 1498.91421
Kong, Linghui; Qin, Cong; Yue, Xingye
1
2022
Model uncertainty: a reverse approach. Zbl 1498.91510
Liebrich, Felix-Benedikt; Maggis, Marco; Svindland, Gregor
1
2022
Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models. Zbl 1508.91511
Shen, Yang; Zou, Bin
1
2022
Short communication: stability of time-inconsistent stopping for one-dimensional diffusions. Zbl 1504.60061
Bayraktar, Erhan; Wang, Zhenhua; Zhou, Zhou
1
2022
Double-execution strategies using path signatures. Zbl 1505.91360
Cartea, Álvaro; Arribas, Imanol Pérez; Sánchez-Betancourt, Leandro
1
2022
Insiders and their free lunches: the role of short positions. Zbl 1505.91362
Coculescu, Delia; Dandapani, Aditi
1
2022
Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility. Zbl 07574021
Meng, Hui; Wei, Pengyu; Zhang, Wanlu; Zhuang, Sheng Chao
1
2022
Optimal trading with signals and stochastic price impact. Zbl 1498.91415
Fouque, Jean-Pierre; Jaimungal, Sebastian; Saporito, Yuri F.
1
2022
Short communication: projection of functionals and fast pricing of exotic options. Zbl 1497.91341
Tissot-Daguette, Valentin
1
2022
Principal eigenportfolios for U.S. equities. Zbl 1497.91269
Avellaneda, Marco; Healy, Brian; Papanicolaou, Andrew; Papanicolaou, George
1
2022
On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies. Zbl 1465.91102
van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A.
9
2021
Conditional systemic risk measures. Zbl 1479.91429
Doldi, Alessandro; Frittelli, Marco
7
2021
A unified approach to xVA with CSA discounting and initial margin. Zbl 1476.91140
Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata
7
2021
Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên
7
2021
Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105
Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu
6
2021
The shadow price of latency: improving intraday fill ratios in foreign exchange markets. Zbl 1461.91292
Cartea, Álvaro; Sánchez-Betancourt, Leandro
6
2021
Log-modulated rough stochastic volatility models. Zbl 1476.91196
Bayer, Christian; Harang, Fabian A.; Pigato, Paolo
5
2021
Short communication: Dynamic default contagion in heterogeneous interbank systems. Zbl 1476.91210
Feinstein, Zachary; Søjmark, Andreas
5
2021
Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212
Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan
5
2021
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
5
2021
Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020
Bank, Peter; Dolinsky, Yan
4
2021
A numerical scheme for the quantile hedging problem. Zbl 1459.91217
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph
4
2021
Optimal dividend problem: asymptotic analysis. Zbl 1464.91068
Cohen, Asaf; Young, Virginia R.
4
2021
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model. Zbl 1480.91269
Lin, Minglian; SenGupta, Indranil
4
2021
Optimal trade execution in an order book model with stochastic liquidity parameters. Zbl 1471.91522
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
3
2021
Cross currency valuation and hedging in the multiple curve framework. Zbl 1473.91022
Gnoatto, Alessandro; Seiffert, Nicole
3
2021
Expected utility maximization with stochastic dominance constraints in complete markets. Zbl 1476.91175
Wang, Xiangyu; Xia, Jianming
3
2021
Optimal market making with persistent order flow. Zbl 1476.91171
Jusselin, Paul
3
2021
A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143
Chen, Tao; Ludkovski, Michael
3
2021
Law-invariant functionals on general spaces of random variables. Zbl 1465.62156
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor
3
2021
Correlators of polynomial processes. Zbl 1479.91391
Benth, Fred Espen; Lavagnini, Silvia
2
2021
A stochastic partial differential equation model for limit order book dynamics. Zbl 1471.91530
Cont, Rama; Müller, Marvin S.
2
2021
Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations. Zbl 1471.91621
Saporito, Yuri F.; Zhang, Zhaoyu
2
2021
A free boundary problem for corporate bond pricing and credit rating under different upgrade and downgrade thresholds. Zbl 1471.91612
Chen, Xinfu; Liang, Jin
2
2021
Short communication: Beyond surrogate modeling: learning the local volatility via shape constraints. Zbl 1476.91178
Chataigner, Marc; Cousin, Areski; Crépey, Stéphane; Dixon, Matthew; Gueye, Djibril
2
2021
Effects of positive jumps of assets on endogenous bankruptcy and optimal capital structure: continuous- and periodic-observation models. Zbl 1473.91025
López, Dante Mata; Pérez, José Luis; Yamazaki, Kazutoshi
2
2021
Short communication: A quantum algorithm for linear PDEs arising in finance. Zbl 1476.91183
Fontanela, Filipe; Jacquier, Antoine; Oumgari, Mugad
2
2021
Model-free price bounds under dynamic option trading. Zbl 1476.91188
Neufeld, Ariel; Sester, Julian
2
2021
Well-posedness and stability analysis of two classes of generalized stochastic volatility models. Zbl 1459.91199
Ning, Ning; Wu, Jing
2
2021
Low-dimensional approximations of high-dimensional asset price models. Zbl 1466.91352
Redmann, Martin; Bayer, Christian; Goyal, Pawan
2
2021
Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios. Zbl 1476.91138
Bayraktar, Erhan; Czichowsky, Christoph; Dolinskyi, Leonid; Dolinsky, Yan
1
2021
Optimal hedging of a perpetual American put with a single trade. Zbl 1471.91562
Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan
1
2021
A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. Zbl 1471.91504
Li, Juan; Li, Wenqiang; Liang, Gechun
1
2021
Randomized optimal stopping algorithms and their convergence analysis. Zbl 1476.91218
Bayer, Christian; Belomestny, Denis; Hager, Paul; Pigato, Paolo; Schoenmakers, John
1
2021
A sparse learning approach to relative-volatility-managed portfolio selection. Zbl 1465.91101
Pun, Chi Seng
1
2021
Series expansions and direct inversion for the Heston model. Zbl 1465.91118
Malham, Simon J. A.; Shen, Jiaqi; Wiese, Anke
1
2021
Short communication: American student loans: repayment and valuation. Zbl 1465.91122
Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed
1
2021
Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model. Zbl 1461.91270
Cipriano, Fernanda; Martins, Nuno F. M.; Pereira, Diogo
1
2021
Kelly criterion: from a simple random walk to Lévy processes. Zbl 1469.60139
Lototsky, Sergey; Pollok, Austin
1
2021
Utility maximization when shorting American options. Zbl 1459.91209
Zhou, Zhou
1
2021
Time-inconsistency with rough volatility. Zbl 1480.91266
Han, Bingyan; Wong, Hoi Ying
1
2021
Risk aversion in regulatory capital principles. Zbl 1443.91254
Mao, Tiantian; Wang, Ruodu
14
2020
Volatility options in rough volatility models. Zbl 1443.91293
Horvath, Blanka; Jacquier, Antoine; Tankov, Peter
13
2020
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
10
2020
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
10
2020
Optimal execution with rough path signatures. Zbl 1443.91263
Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez
10
2020
Robust framework for quantifying the value of information in pricing and hedging. Zbl 1437.91424
Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan
8
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
6
2020
...and 350 more Documents
all top 5

Cited by 3,424 Authors

31 Jaimungal, Sebastian
30 Yamada, Toshihiro
27 Cartea, Álvaro
27 Feinstein, Zachary
27 Wong, Hoi Ying
24 Forsyth, Peter A.
24 Oosterlee, Cornelis Willebrordus
23 Jacquier, Antoine
22 Bayraktar, Erhan
22 Biagini, Francesca
22 Cui, Zhenyu
22 Muhle-Karbe, Johannes
20 Lorig, Matthew J.
20 Spiliopoulos, Konstantinos V.
19 Fouque, Jean-Pierre
19 Horst, Ulrich
19 Rudloff, Birgit
18 Obloj, Jan K.
17 Gulisashvili, Archil
17 Hu, Yijun
17 Reisinger, Christoph
17 Sircar, Ronnie
17 Wang, Ruodu
16 Gobet, Emmanuel
16 Jentzen, Arnulf
16 Kupper, Michael
16 Li, Lingfei
16 Xu, Zuoquan
16 Young, Virginia R.
15 Benth, Fred Espen
15 Fukasawa, Masaaki
15 Leung, Tim
15 Rásonyi, Miklós
15 Rosenbaum, Mathieu
15 Schied, Alexander
15 Zariphopoulou, Thaleia
15 Zhang, Zhimin
15 Zhou, Zhou
15 Zhu, Lingjiong
14 Guasoni, Paolo
14 Guéant, Olivier
14 Ma, Jingtang
14 Rutkowski, Marek
14 Wei, Jiaqin
14 Zheng, Harry H.
13 Crepey, Stephane
13 Dang, Duy Minh
13 Dolinsky, Yan
13 Gnoatto, Alessandro
13 Meyer-Brandis, Thilo
13 Pagliarani, Stefano
13 Pascucci, Andrea
13 Pham, Huyên
13 Pun, Chi Seng
13 Soner, Halil Mete
13 Tankov, Peter
12 Bayer, Christian
12 Bo, Lijun
12 Chen, Yanhong
12 Frittelli, Marco
12 Hainaut, Donatien
12 Kwok, Yue-Kuen
12 Ludkovski, Michael
12 Nadtochiy, Sergey
12 Zhang, Gongqiu
11 Bichuch, Maxim
11 Ekström, Erik
11 Mehrdoust, Farshid
11 Pirjol, Dan
11 Sirignano, Justin A.
11 Takahashi, Akihiko
11 Zeng, Yan
11 Zhang, Qing
10 Belomestny, Denis
10 Capponi, Agostino
10 Cox, Alexander Matthew Gordon
10 Figueroa-López, José E.
10 Fontana, Claudio
10 Friz, Peter
10 Grzelak, Lech A.
10 Hamel, Andreas H.
10 Jarrow, Robert Alan
10 Kruse, Thomas
10 Lépinette, Emmanuel
10 Munari, Cosimo
10 Pennanen, Teemu
10 Scotti, Simone
10 Tempone, Raúl F.
10 Yam, Sheung Chi Phillip
10 Yoshioka, Hidekazu
10 Zhou, Xunyu
9 Alòs, Elisa
9 Amini, Hamed
9 Beiglböck, Mathias
9 Bensoussan, Alain
9 Cont, Rama
9 Drapeau, Samuel
9 Gao, Xuefeng
9 Gatheral, Jim
9 Gerhold, Stefan
...and 3,324 more Authors
all top 5

Cited in 306 Journals

239 SIAM Journal on Financial Mathematics
222 Quantitative Finance
164 Mathematical Finance
153 Finance and Stochastics
144 International Journal of Theoretical and Applied Finance
108 Insurance Mathematics & Economics
98 Stochastic Processes and their Applications
78 Mathematics and Financial Economics
72 Applied Mathematical Finance
70 European Journal of Operational Research
66 The Annals of Applied Probability
54 SIAM Journal on Control and Optimization
50 Journal of Computational and Applied Mathematics
47 Applied Mathematics and Optimization
37 Stochastics
34 Journal of Economic Dynamics & Control
31 Applied Mathematics and Computation
30 Mathematics of Operations Research
29 Journal of Mathematical Analysis and Applications
29 Journal of Optimization Theory and Applications
25 Advances in Applied Probability
25 Journal of Industrial and Management Optimization
24 Mathematical Methods of Operations Research
23 International Journal of Computer Mathematics
23 Decisions in Economics and Finance
22 Journal of Applied Probability
22 Communications in Statistics. Theory and Methods
22 Methodology and Computing in Applied Probability
21 Stochastic Analysis and Applications
20 Operations Research
20 Statistics & Probability Letters
20 Scandinavian Actuarial Journal
18 Operations Research Letters
18 Bernoulli
18 Probability, Uncertainty and Quantitative Risk
17 Mathematics and Computers in Simulation
17 ASTIN Bulletin
16 SIAM Journal on Numerical Analysis
16 Annals of Operations Research
16 Electronic Journal of Probability
16 Annals of Finance
16 Mathematical Control and Related Fields
15 Computers & Mathematics with Applications
15 Journal of Scientific Computing
15 Discrete and Continuous Dynamical Systems. Series B
13 Applied Numerical Mathematics
13 Mathematical Problems in Engineering
13 Asia-Pacific Financial Markets
13 Frontiers of Mathematical Finance
12 Journal of Differential Equations
12 Journal of Econometrics
12 Optimization
12 Journal of Theoretical Probability
12 SIAM Journal on Scientific Computing
12 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
11 Computational Management Science
11 Statistics & Risk Modeling
10 Theory of Probability and its Applications
10 Automatica
10 Communications in Nonlinear Science and Numerical Simulation
10 Review of Derivatives Research
9 Chaos, Solitons and Fractals
9 BIT
9 Japan Journal of Industrial and Applied Mathematics
9 Computational and Applied Mathematics
9 Monte Carlo Methods and Applications
9 SIAM/ASA Journal on Uncertainty Quantification
8 Physica A
8 Probability in the Engineering and Informational Sciences
8 The ANZIAM Journal
7 Journal of Multivariate Analysis
7 Positivity
7 Stochastics and Dynamics
7 Modern Stochastics. Theory and Applications
7 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
6 International Journal of Control
6 Systems & Control Letters
6 Journal of Global Optimization
6 Mathematical Programming. Series A. Series B
6 Stochastic Models
6 Multiscale Modeling & Simulation
6 North American Actuarial Journal
6 European Actuarial Journal
6 Stochastic Systems
5 Journal of Computational Physics
5 Mathematical Methods in the Applied Sciences
5 Mathematics of Computation
5 Journal of Mathematical Economics
5 Numerische Mathematik
5 Probability Theory and Related Fields
5 SIAM Review
5 Computational Optimization and Applications
5 NoDEA. Nonlinear Differential Equations and Applications
5 Advances in Computational Mathematics
5 Electronic Communications in Probability
5 Discrete Dynamics in Nature and Society
5 Journal of Machine Learning Research (JMLR)
5 Stochastic and Partial Differential Equations. Analysis and Computations
5 Journal of the Operations Research Society of China
4 Journal of Statistical Physics
...and 206 more Journals
all top 5

Cited in 49 Fields

2,426 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,589 Probability theory and stochastic processes (60-XX)
470 Systems theory; control (93-XX)
451 Numerical analysis (65-XX)
297 Calculus of variations and optimal control; optimization (49-XX)
292 Statistics (62-XX)
250 Partial differential equations (35-XX)
238 Operations research, mathematical programming (90-XX)
68 Computer science (68-XX)
51 Functional analysis (46-XX)
40 Ordinary differential equations (34-XX)
34 Integral equations (45-XX)
30 Approximations and expansions (41-XX)
28 Real functions (26-XX)
28 Operator theory (47-XX)
25 Dynamical systems and ergodic theory (37-XX)
22 Biology and other natural sciences (92-XX)
21 Measure and integration (28-XX)
17 Harmonic analysis on Euclidean spaces (42-XX)
17 Integral transforms, operational calculus (44-XX)
11 Statistical mechanics, structure of matter (82-XX)
10 Fluid mechanics (76-XX)
9 Combinatorics (05-XX)
9 Difference and functional equations (39-XX)
8 Order, lattices, ordered algebraic structures (06-XX)
8 Convex and discrete geometry (52-XX)
7 General topology (54-XX)
6 Mathematical logic and foundations (03-XX)
6 Linear and multilinear algebra; matrix theory (15-XX)
6 Global analysis, analysis on manifolds (58-XX)
4 General and overarching topics; collections (00-XX)
4 Mechanics of deformable solids (74-XX)
4 Information and communication theory, circuits (94-XX)
3 Special functions (33-XX)
3 Differential geometry (53-XX)
3 Mechanics of particles and systems (70-XX)
3 Quantum theory (81-XX)
2 History and biography (01-XX)
2 Number theory (11-XX)
2 Functions of a complex variable (30-XX)
2 Potential theory (31-XX)
2 Sequences, series, summability (40-XX)
2 Classical thermodynamics, heat transfer (80-XX)
1 Commutative algebra (13-XX)
1 Topological groups, Lie groups (22-XX)
1 Abstract harmonic analysis (43-XX)
1 Relativity and gravitational theory (83-XX)
1 Geophysics (86-XX)
1 Mathematics education (97-XX)

Citations by Year