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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: 487 Publications (since 2010)
References Indexed: 328 Publications with 10,956 References.
all top 5

Authors

15 Jacquier, Antoine
11 Jaimungal, Sebastian
9 Bayraktar, Erhan
9 Fouque, Jean-Pierre
8 Cartea, Álvaro
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.
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
4 Zhou, Zhou
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 669 more Authors

Publications by Year

Citations contained in zbMATH Open

373 Publications have been cited 3,512 times in 2,417 Documents Cited by Year
Affine point processes and portfolio credit risk. Zbl 1200.91296
Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R.
92
2010
On the Heston model with stochastic interest rates. Zbl 1229.91338
Grzelak, Lech A.; Oosterlee, Cornelis W.
81
2011
Duality for set-valued measures of risk. Zbl 1197.91112
Hamel, Andreas H.; Heyde, Frank
77
2010
Time-consistent portfolio management. Zbl 1257.91040
Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A.
70
2012
Price dynamics in a Markovian limit order market. Zbl 1288.91092
Cont, Rama; de Larrard, Adrien
66
2013
A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163
Fang, Fang; Oosterlee, Cornelis W.
50
2011
A Fourier transform method for spread option pricing. Zbl 1188.91218
Hurd, T. R.; Zhou, Zhuowei
45
2010
Optimal execution in a general one-sided limit-order book. Zbl 1222.91062
Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven
45
2011
Time dependent Heston model. Zbl 1198.91203
Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed
43
2010
Measures of systemic risk. Zbl 1407.91284
Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan
42
2017
Trend following trading under a regime switching model. Zbl 1198.91246
Dai, M.; Zhang, Qing; Zhu, Q. J.
40
2010
Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005
Crisan, D.; Manolarakis, K.
39
2012
Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199
Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason
38
2014
The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461
Forde, Martin; Jacquier, Antoine; Lee, Roger
38
2012
Asymptotics for rough stochastic volatility models. Zbl 1422.91693
Forde, Martin; Zhang, Hongzhong
37
2017
Large deviations for a mean field model of systemic risk. Zbl 1283.60044
Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei
36
2013
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.
36
2014
Optimal portfolio liquidation with limit orders. Zbl 1262.91160
Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin
36
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.
35
2013
Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031
Almgren, Robert
34
2012
Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171
Musiela, M.; Zariphopoulou, T.
33
2010
An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052
Takahashi, Akihiko; Yamada, Toshihiro
33
2012
Robust hedging of double touch barrier options. Zbl 1228.91067
Cox, A. M. G.; Obłój, Jan
32
2011
Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412
Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla
32
2012
Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155
Kirkby, J. Lars
31
2015
Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059
Pennanen, Teemu; Penner, Irina
30
2010
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
29
2018
Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068
Filipović, Damir; Tappe, Stefan; Teichmann, Josef
28
2010
Algorithmic trading with model uncertainty. Zbl 1407.91287
Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian
28
2017
Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321
Feng, Jin; Forde, Martin; Fouque, Jean-Pierre
27
2010
Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025
Alfonsi, Aurélien; Schied, Alexander
27
2010
Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133
Muhle-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 1284.91545
Gulisashvili, Archil
26
2010
Stability in a model of interbank lending. Zbl 1295.91099
Fouque, Jean-Pierre; Ichiba, Tomoyuki
26
2013
Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151
Bielecki, Tomasz R.; Rutkowski, Marek
24
2015
Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117
Abergel, Frédéric; Jedidi, Aymen
23
2015
Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030
Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert
23
2011
Multifactor approximation of rough volatility models. Zbl 1422.91765
Jaber, Eduardo Abi; El Euch, Omar
23
2019
Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243
Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic
23
2017
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
23
2018
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
22
2018
Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740
Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C.
22
2011
An efficient transform method for Asian option pricing. Zbl 1357.91053
Kirkby, J. Lars
22
2016
The small-maturity smile for exponential Lévy models. Zbl 1257.91046
Figueroa-López, José E.; Forde, Martin
22
2012
Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139
Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu
21
2010
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
21
2016
An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175
El Karoui, Nicole; Mrad, Mohamed
20
2013
When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224
Horst, Ulrich; Naujokat, Felix
20
2014
Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390
Bichuch, Maxim
20
2012
Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Zbl 1257.35200
Giles, Michael B.; Reisinger, Christoph
20
2012
Dual representation of quasi-convex conditional maps. Zbl 1232.46067
Frittelli, Marco; Maggis, Marco
20
2011
Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285
Bian, Baojun; Miao, Sheng; Zheng, Harry
18
2011
How to detect an asset bubble. Zbl 1239.91184
Jarrow, Robert; Kchia, Younes; Protter, Philip
18
2011
Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143
Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David
18
2015
Adjoint expansions in local Lévy models. Zbl 1285.60084
Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia
18
2013
Path-dependence of leveraged ETF returns. Zbl 1193.91167
Avellaneda, Marco; Zhang, Stanley
18
2010
Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290
Garnier, Josselin; Sølna, Knut
18
2017
Inverting analytic characteristic functions and financial applications. Zbl 1282.60021
Feng, Liming; Lin, Xiong
17
2013
Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179
Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter
17
2014
Optimal execution with multiplicative price impact. Zbl 1310.93083
Guo, Xin; Zervos, Mihail
17
2015
Approaches to conditional risk. Zbl 1255.91178
Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas
17
2012
Pricing Bermudan options in Lévy process models. Zbl 1287.91141
Feng, Liming; Lin, Xiong
16
2013
Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020
Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi
16
2010
Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542
Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard
16
2012
A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189
Fouque, Jean-Pierre; Lorig, Matthew J.
16
2011
Stochastic gradient descent in continuous time. Zbl 1407.91258
Sirignano, Justin; Spiliopoulos, Konstantinos
16
2017
Systemic risk in interbanking networks. Zbl 1315.91065
Bo, Lijun; Capponi, Agostino
15
2015
Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054
Zheng, Ban; Roueff, François; Abergel, Frédéric
15
2014
Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173
Ho, Michael; Sun, Zheng; Xin, Jack
14
2015
Optimal split of orders across liquidity pools: a stochastic algorithm approach. Zbl 1270.62115
Laruelle, Sophie; Lehalle, Charles-Albert; Pagès, Gilles
14
2011
Optimal liquidation of an asset under drift uncertainty. Zbl 1345.60040
Ekström, Erik; Vaicenavicius, Juozas
14
2016
Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148
Liang, Gechun; Zariphopoulou, Thaleia
14
2017
A probabilistic numerical method for optimal multiple switching problems in high dimension. Zbl 1308.93217
Aïd, René; Campi, Luciano; Langrené, Nicolas; Pham, Huyên
14
2014
An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162
Gnoatto, Alessandro; Grasselli, Martino
14
2014
On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051
Reisinger, C.; Witte, J. H.
14
2012
Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079
Fusai, Gianluca; Marazzina, Daniele; Marena, Marina
14
2011
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
14
2019
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
13
2018
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
13
2016
How superadditive can a risk measure be? Zbl 1338.91080
Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas
13
2015
Utility maximization trading two futures with transaction costs. Zbl 1282.91296
Bichuch, Maxim; Shreve, Steven
13
2013
Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346
Schoenmakers, John; Zhang, Jianing; Huang, Junbo
13
2013
On the realized risk of high-dimensional Markowitz portfolios. Zbl 1358.91092
El Karoui, Noureddine
13
2013
Approximation for option prices under uncertain volatility. Zbl 1341.60070
Fouque, Jean-Pierre; Ren, Bin
13
2014
Maturity-independent risk measures. Zbl 1230.91084
Zariphopoulou, Thaleia; Žitković, Gordan
13
2010
Modeling the forward surface of mortality. Zbl 1255.91443
Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger
13
2012
Shapes of implied volatility with positive mass at zero. Zbl 1407.91246
De Marco, S.; Hillairet, C.; Jacquier, A.
13
2017
A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192
Cartea, Álvaro; Jaimungal, Sebastian
12
2016
Primal and dual pricing of multiple exercise options in continuous time. Zbl 1270.91090
Bender, Christian
12
2011
Short maturity Asian options in local volatility models. Zbl 1406.91450
Pirjol, Dan; Zhu, Lingjiong
12
2016
On hedging American options under model uncertainty. Zbl 1315.91060
Bayraktar, Erhan; Huang, Yu-Jui; Zhou, Zhou
12
2015
Asymptotics of forward implied volatility. Zbl 1339.60021
Jacquier, Antoine; Roome, Patrick
12
2015
Threshold-type policies for real options using regime-switching models. Zbl 1255.91444
Bensoussan, Alain; Yan, ZhongFeng; Yin, G.
12
2012
Portfolio optimization under local-stochastic volatility: coefficient Taylor series approximations and implied Sharpe ratio. Zbl 1410.91423
Lorig, Matthew; Sircar, Ronnie
11
2016
High frequency trading and asymptotics for small risk aversion in a Markov renewal model. Zbl 1336.60172
Fodra, Pietro; Pham, Huyên
11
2015
Sequential design for optimal stopping problems. Zbl 1320.91154
Gramacy, Robert B.; Ludkovski, Michael
11
2015
An optimal dividend and investment control problem under debt constraints. Zbl 1290.91175
Chevalier, Etienne; Vath, Vathana Ly; Scotti, Simone
11
2013
The effect of nonsmooth payoffs on the penalty approximation of American options. Zbl 1282.91330
Howison, S. D.; Reisinger, C.; Witte, J. H.
11
2013
Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168
Davis, Mark; Lleo, Sébastien
11
2011
Valuation equations for stochastic volatility models. Zbl 1255.91125
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao
11
2012
Suffocating fire sales. Zbl 1483.91250
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
2
2022
Joint modeling and calibration of SPX and VIX by optimal transport. Zbl 1482.91203
Guo, Ivan; Loeper, Grégoire; Obłój, Jan; Wang, Shiyi
1
2022
On smile properties of volatility derivatives: understanding the VIX skew. Zbl 1483.91227
Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza
1
2022
Pricing options under rough volatility with backward SPDEs. Zbl 1484.91469
Bayer, Christian; Qiu, Jinniao; Yao, Yao
1
2022
Short communication: An axiomatization of \(\Lambda\)-quantiles. Zbl 1486.91096
Bellini, Fabio; Peri, Ilaria
1
2022
Optimal investment and consumption under a habit-formation constraint. Zbl 1489.91230
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
1
2022
The dispersion bias. Zbl 1493.62582
Goldberg, Lisa R.; Papanicolaou, Alex; Shkolnik, Alex
1
2022
Optimal signal-adaptive trading with temporary and transient price impact. Zbl 1489.91238
Neuman, Eyal; Voß, Moritz
1
2022
Recover dynamic utility from observable process: application to the economic equilibrium. Zbl 1461.91126
El Karoui, Nicole; Mrad, Mohamed
4
2021
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.
4
2021
The shadow price of latency: improving intraday fill ratios in foreign exchange markets. Zbl 1461.91292
Cartea, Álvaro; Sánchez-Betancourt, Leandro
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
Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243
Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên
3
2021
Robust pricing and hedging of options on multiple assets and its numerics. Zbl 1467.91212
Eckstein, Stephan; Guo, Gaoyue; Lim, Tongseok; Obłój, Jan
2
2021
Optimal market making with persistent order flow. Zbl 1476.91171
Jusselin, Paul
2
2021
Log-modulated rough stochastic volatility models. Zbl 1476.91196
Bayer, Christian; Harang, Fabian A.; Pigato, Paolo
2
2021
A numerical scheme for the quantile hedging problem. Zbl 1459.91217
Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph
2
2021
Conditional systemic risk measures. Zbl 1479.91429
Doldi, Alessandro; Frittelli, Marco
2
2021
Optimal portfolio for the \(\alpha\)-hypergeometric stochastic volatility model. Zbl 1461.91270
Cipriano, Fernanda; Martins, Nuno F. M.; Pereira, Diogo
1
2021
Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105
Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu
1
2021
Short communication: American student loans: repayment and valuation. Zbl 1465.91122
Guasoni, Paolo; Huang, Yu-Jui; Khalili, Saeed
1
2021
Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020
Bank, Peter; Dolinsky, Yan
1
2021
Time-inconsistency with rough volatility. Zbl 1480.91266
Han, Bingyan; Wong, Hoi Ying
1
2021
Optimal trade execution in an order book model with stochastic liquidity parameters. Zbl 1471.91522
Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
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
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
1
2021
A unified approach to xVA with CSA discounting and initial margin. Zbl 1476.91140
Biagini, Francesca; Gnoatto, Alessandro; Oliva, Immacolata
1
2021
Expected utility maximization with stochastic dominance constraints in complete markets. Zbl 1476.91175
Wang, Xiangyu; Xia, Jianming
1
2021
A machine learning approach to adaptive robust utility maximization and hedging. Zbl 1476.91143
Chen, Tao; Ludkovski, Michael
1
2021
Short communication: Dynamic default contagion in heterogeneous interbank systems. Zbl 1476.91210
Feinstein, Zachary; Søjmark, Andreas
1
2021
Model-free price bounds under dynamic option trading. Zbl 1476.91188
Neufeld, Ariel; Sester, Julian
1
2021
Utility maximization when shorting American options. Zbl 1459.91209
Zhou, Zhou
1
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
Correlators of polynomial processes. Zbl 1479.91391
Benth, Fred Espen; Lavagnini, Silvia
1
2021
Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent? Zbl 1443.91341
Forsyth, Peter A.
8
2020
Risk aversion in regulatory capital principles. Zbl 1443.91254
Mao, Tiantian; Wang, Ruodu
7
2020
Volatility options in rough volatility models. Zbl 1443.91293
Horvath, Blanka; Jacquier, Antoine; Tankov, Peter
6
2020
Portfolio optimization in fractional and rough Heston models. Zbl 1437.91403
Bäuerle, Nicole; Desmettre, Sascha
5
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
4
2020
Short communication: Inversion of convex ordering: local volatility does not maximize the price of VIX futures. Zbl 1443.91280
Acciaio, Beatrice; Guyon, Julien
3
2020
Robust framework for quantifying the value of information in pricing and hedging. Zbl 1437.91424
Aksamit, Anna; Hou, Zhaoxu; Obłój, Jan
3
2020
Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing. Zbl 1452.91325
Glau, Kathrin; Kressner, Daniel; Statti, Francesco
3
2020
The impact of proportional transaction costs on systematically generated portfolios. Zbl 1452.91291
Ruf, Johannes; Xie, Kangjianan
2
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
2
2020
Characteristics and constructions of default times. Zbl 1448.91312
Jeanblanc, Monique; Li, Libo
2
2020
Optimal investment with high-watermark fee in a multidimensional jump diffusion model. Zbl 1448.91272
Janeček, Karel; Li, Zheng; Sîrbu, Mihai
2
2020
Optimal execution with rough path signatures. Zbl 1443.91263
Kalsi, Jasdeep; Lyons, Terry; Arribas, Imanol Perez
2
2020
Black’s inverse investment problem and forward criteria with consumption. Zbl 1444.91199
Källblad, Sigrid
2
2020
Risk-dependent centrality in economic and financial networks. Zbl 1444.91218
Bartesaghi, Paolo; Benzi, Michele; Clemente, Gian Paolo; Grassi, Rosanna; Estrada, Ernesto
2
2020
Deep-learning solution to portfolio selection with serially dependent returns. Zbl 1444.91202
Tsang, Ka Ho; Wong, Hoi Ying
2
2020
Systemic risk in networks with a central node. Zbl 1443.91315
Amini, Hamed; Filipović, Damir; Minca, Andreea
1
2020
On CIR equations with general factors. Zbl 1443.91283
Barski, Michał; Zabczyk, Jerzy
1
2020
Theory of cryptocurrency interest rates. Zbl 1443.91306
Brody, Dorje; Hughston, Lane; Meister, Bernhard
1
2020
Short communication: Pricing path-dependent derivatives under multiscale stochastic volatility models: a Malliavin representation. Zbl 1452.91313
Saporito, Yuri F.
1
2020
Risk measures and progressive enlargement of filtration: a BSDE approach. Zbl 1452.91331
Calvia, Alessandro; Gianin, Emanuela Rosazza
1
2020
European options in a nonlinear incomplete market model with default. Zbl 1452.91308
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès
1
2020
A multifactor polynomial framework for long-term electricity forwards with delivery period. Zbl 1452.91310
Kleisinger-Yu, Xi; Komaric, Vlatka; Larsson, Martin; Regez, Markus
1
2020
Informational efficiency with trading constraints: a characterization. Zbl 1461.91301
Jarrow, Robert; Larsson, Martin
1
2020
Rational models for inflation-linked derivatives. Zbl 1455.91254
Dam, 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 1455.91257
Henderson, Vicky; Kladívko, Kamil; Monoyios, Michael; Reisinger, Christoph
1
2020
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure. Zbl 1455.91258
Jacquier, Antoine; Torricelli, Lorenzo
1
2020
Value adjustments and dynamic hedging of reinsurance counterparty risk. Zbl 1448.91258
Ceci, Claudia; Colaneri, Katia; Frey, Rüdiger; Köck, Verena
1
2020
The multivariate Kyle model: more is different. Zbl 1443.91162
Garcia del Molino, Luis Carlos; Mastromatteo, Iacopo; Benzaquen, Michael; Bouchaud, Jean-Philippe
1
2020
A risk-sharing framework of bilateral contracts. Zbl 1447.91176
Lee, Junbeom; Sturm, Stephan; Zhou, Chao
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
23
2019
Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu
14
2019
Managing default contagion in inhomogeneous financial networks. Zbl 07135131
Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel
7
2019
Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644
Kusnetsov, Michael; Veraart, Luitgard Anna Maria
7
2019
Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. Zbl 1427.91290
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R.
6
2019
Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying
6
2019
Time consistent stopping for the mean-standard deviation problem – the discrete time case. Zbl 1427.91251
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou
6
2019
Optimal investment with transient price impact. Zbl 1429.91302
Bank, Peter; Voß, Moritz
5
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.
5
2019
Optimization of fire sales and borrowing in systemic risk. Zbl 1411.91639
Bichuch, Maxim; Feinstein, Zachary
5
2019
The randomized Heston model. Zbl 1411.91562
Jacquier, Antoine; Shi, Fangwei
5
2019
The robust superreplication problem: a dynamic approach. Zbl 1435.91182
Carassus, Laurence; Obłój, Jan; Wiesel, Johannes
5
2019
Equilibrium strategies for alpha-maxmin expected utility maximization. Zbl 1422.91806
Li, Bin; Luo, Peng; Xiong, Dewen
5
2019
Trading fractional Brownian motion. Zbl 1429.91290
Guasoni, Paolo; Nika, Zsolt; Rásonyi, MiklóS
4
2019
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method. Zbl 1411.91618
Cozma, Andrei; Mariapragassam, Matthieu; Reisinger, Christoph
4
2019
Obligations with physical delivery in a multilayered financial network. Zbl 1471.91606
Feinstein, Zachary
4
2019
Hedge and speculate: replicating option payoffs with limit and market orders. Zbl 1427.91268
Cartea, Álvaro; Gan, Luhui; Jaimungal, Sebastian
3
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
3
2019
A mean-variance approach to capital investment optimization. Zbl 1411.91481
Bensoussan, Alain; Hoe, SingRu (Celine); Yan, Zhongfeng
2
2019
A scaling limit for limit order books driven by Hawkes processes. Zbl 1422.91803
Horst, Ulrich; Xu, Wei
2
2019
Financial asset bubbles in banking networks. Zbl 1422.91798
Biagini, Francesca; Mazzon, Andrea; Meyer-Brandis, Thilo
2
2019
A nonuniformly integrable martingale bubble with a crash. Zbl 1429.91340
Schatz, Michael; Sornette, Didier
1
2019
Erratum to: “Stochastic evolution equations for large portfolios of stochastic volatility models”. Zbl 1471.91497
Hambly, Ben; Kolliopoulos, Nikolaos
1
2019
Multilevel Monte Carlo method for path-dependent barrier interest rate derivatives. Zbl 1411.91629
Zeng, Ailing; Xue, Jungong
1
2019
Utility maximization under trading constraints with discontinuous utility. Zbl 1411.91482
Bian, Baojun; Chen, Xinfu; Xu, Zuo Quan
1
2019
Portfolio optimization for a large investor controlling market sentiment under partial information. Zbl 1417.91431
Altay, Sühan; Colaneri, Katia; Eksi, Zehra
1
2019
Asymptotic behavior of the fractional Heston model. Zbl 1416.91375
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei
29
2018
Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236
Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis
23
2018
A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy
22
2018
Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414
Fouque, Jean-Pierre; Hu, Ruimeng
13
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
11
2018
Worst-case range value-at-risk with partial information. Zbl 1408.91240
Li, Lujun; Shao, Hui; Wang, Ruodu; Yang, Jingping
10
2018
Model-free portfolio theory and its functional master formula. Zbl 1416.91363
Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna
9
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.
8
2018
Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376
Gulisashvili, Archil
8
2018
...and 273 more Documents
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Cited by 2,770 Authors

25 Jaimungal, Sebastian
24 Oosterlee, Cornelis Willebrordus
24 Yamada, Toshihiro
23 Wong, Hoi Ying
21 Cartea, Álvaro
20 Feinstein, Zachary
19 Cui, Zhenyu
19 Forsyth, Peter A.
19 Jacquier, Antoine
19 Rudloff, Birgit
18 Lorig, Matthew J.
17 Horst, Ulrich
17 Spiliopoulos, Konstantinos V.
16 Muhle-Karbe, Johannes
16 Obloj, Jan K.
16 Sircar, Ronnie
15 Biagini, Francesca
15 Fouque, Jean-Pierre
15 Gulisashvili, Archil
15 Kupper, Michael
15 Reisinger, Christoph
15 Schied, Alexander
14 Leung, Tim
14 Wei, Jiaqin
13 Hu, Yijun
13 Jentzen, Arnulf
13 Tankov, Peter
13 Zariphopoulou, Thaleia
13 Zheng, Harry H.
12 Benth, Fred Espen
12 Dang, Duy Minh
12 Gobet, Emmanuel
12 Rásonyi, Miklós
12 Rutkowski, Marek
12 Soner, Halil Mete
12 Wang, Ruodu
12 Zhu, Lingjiong
11 Bayraktar, Erhan
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
10 Cox, Alexander Matthew Gordon
10 Ekström, Erik
10 Figueroa-López, José E.
10 Guasoni, Paolo
10 Hamel, Andreas H.
10 Yam, Sheung Chi Phillip
10 Zhou, Zhou
9 Belomestny, Denis
9 Bensoussan, Alain
9 Dolinsky, Yan
9 Frittelli, Marco
9 Glau, Kathrin
9 Gnoatto, Alessandro
9 Grzelak, Lech A.
9 Keller-Ressel, Martin
9 Kruse, Thomas
9 Kwok, Yue-Kuen
9 Ma, Jingtang
9 Molchanov, Ilya S.
9 Pennanen, Teemu
9 Pun, Chi Seng
9 Shen, Yang
9 Sirignano, Justin A.
9 Takahashi, Akihiko
9 Young, Virginia R.
8 Beiglböck, Mathias
8 Bichuch, Maxim
8 Capponi, Agostino
8 Cheridito, Patrick
8 Friz, Peter Karl
8 Gao, Xuefeng
8 Gatheral, Jim
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 Mehrdoust, Farshid
8 Nadtochiy, Sergey
8 Papapantoleon, Antonis
8 Scotti, Simone
8 Seol, Youngsoo
8 Zhao, Qian
8 Ziveyi, Jonathan
7 Alòs, Elisa
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Cited in 268 Journals

185 SIAM Journal on Financial Mathematics
180 Quantitative Finance
128 Finance and Stochastics
128 International Journal of Theoretical and Applied Finance
90 Insurance Mathematics & Economics
82 Stochastic Processes and their Applications
70 Mathematics and Financial Economics
60 Mathematical Finance
59 European Journal of Operational Research
57 Applied Mathematical Finance
55 The Annals of Applied Probability
44 SIAM Journal on Control and Optimization
40 Journal of Computational and Applied Mathematics
37 Applied Mathematics and Optimization
31 Stochastics
30 Mathematics of Operations Research
29 Journal of Economic Dynamics & Control
26 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 Statistics & Probability Letters
18 Journal of Industrial and Management Optimization
17 Journal of Applied Probability
17 Stochastic Analysis and Applications
17 Decisions in Economics and Finance
16 Bernoulli
15 Annals of Operations Research
15 Probability, Uncertainty and Quantitative Risk
14 SIAM Journal on Numerical Analysis
14 Operations Research Letters
14 ASTIN Bulletin
13 Computers & Mathematics with Applications
13 Communications in Statistics. Theory and Methods
13 Discrete and Continuous Dynamical Systems. Series B
13 Annals of Finance
12 Asia-Pacific Financial Markets
12 Mathematical Control and Related Fields
11 Applied Numerical Mathematics
10 Journal of Scientific Computing
10 SIAM Journal on Scientific Computing
10 Scandinavian Actuarial Journal
10 Review of Derivatives Research
9 Chaos, Solitons and Fractals
9 Journal of Econometrics
9 Journal of Theoretical Probability
9 Electronic Journal of Probability
9 Mathematical Problems in Engineering
8 Theory of Probability and its Applications
8 Automatica
8 Mathematics and Computers in Simulation
8 Optimization
8 Monte Carlo Methods and Applications
8 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
8 SIAM/ASA Journal on Uncertainty Quantification
7 Journal of Differential Equations
7 Japan Journal of Industrial and Applied Mathematics
7 Computational and Applied Mathematics
7 Positivity
7 The ANZIAM Journal
7 Computational Management Science
7 Statistics & Risk Modeling
6 Physica A
6 BIT
6 Journal of Multivariate Analysis
6 Journal of Global Optimization
6 North American Actuarial Journal
6 Stochastic Systems
6 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
5 International Journal of Control
5 Journal of Computational Physics
5 Numerische Mathematik
5 Systems & Control Letters
5 Mathematical Programming. Series A. Series B
5 NoDEA. Nonlinear Differential Equations and Applications
5 Stochastics and Dynamics
5 Multiscale Modeling & Simulation
5 Stochastic and Partial Differential Equations. Analysis and Computations
5 Modern Stochastics. Theory and Applications
5 Frontiers of Mathematical Finance
4 Mathematics of Computation
4 The Annals of Probability
4 Journal of Mathematical Economics
4 Probability Theory and Related Fields
4 Queueing Systems
4 European Journal of Applied Mathematics
4 SIAM Review
4 Computational Statistics and Data Analysis
4 Discrete Dynamics in Nature and Society
4 Statistical Inference for Stochastic Processes
4 Communications in Nonlinear Science and Numerical Simulation
4 Probability in the Engineering and Informational Sciences
4 Stochastic Models
4 Journal of Machine Learning Research (JMLR)
4 European Actuarial Journal
3 Journal of Functional Analysis
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Cited in 44 Fields

1,910 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,269 Probability theory and stochastic processes (60-XX)
371 Systems theory; control (93-XX)
348 Numerical analysis (65-XX)
237 Statistics (62-XX)
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192 Partial differential equations (35-XX)
191 Operations research, mathematical programming (90-XX)
45 Functional analysis (46-XX)
30 Ordinary differential equations (34-XX)
29 Computer science (68-XX)
26 Approximations and expansions (41-XX)
25 Real functions (26-XX)
21 Integral equations (45-XX)
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19 Operator theory (47-XX)
17 Measure and integration (28-XX)
16 Biology and other natural sciences (92-XX)
13 Harmonic analysis on Euclidean spaces (42-XX)
11 Integral transforms, operational calculus (44-XX)
11 Statistical mechanics, structure of matter (82-XX)
10 Fluid mechanics (76-XX)
8 Order, lattices, ordered algebraic structures (06-XX)
8 Convex and discrete geometry (52-XX)
7 Difference and functional equations (39-XX)
6 Mathematical logic and foundations (03-XX)
6 General topology (54-XX)
5 Combinatorics (05-XX)
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4 Global analysis, analysis on manifolds (58-XX)
3 General and overarching topics; collections (00-XX)
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3 Information and communication theory, circuits (94-XX)
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