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: 540 Publications (since 2010) References Indexed: 381 Publications with 12,988 References. all top 5 Latest Issues 15, No. 1 (2024) 14, No. 4 (2023) 14, No. 3 (2023) 14, No. 2 (2023) 14, No. 1 (2023) 13, No. 4 (2022) 13, No. 3 (2022) 13, No. 2 (2022) 13, No. 1 (2022) 12, No. 4 (2021) 12, No. 3 (2021) 12, No. 2 (2021) 12, No. 1 (2021) 11, No. 4 (2020) 11, No. 3 (2020) 11, No. 2 (2020) 11, No. 1 (2020) 10, No. 4 (2019) 10, No. 3 (2019) 10, No. 2 (2019) 10, No. 1 (2019) 9, No. 4 (2018) 9, No. 3 (2018) 9, No. 2 (2018) 9, No. 1 (2018) 8 (2017) 7 (2016) 6 (2015) 5 (2014) 4 (2013) 3 (2012) 2 (2011) 1 (2010) all top 5 Authors 16 Jacquier, Antoine 14 Jaimungal, Sebastian 13 Bayraktar, Erhan 10 Cartea, Álvaro 9 Fouque, Jean-Pierre 9 Lorig, Matthew J. 9 Reisinger, Christoph 8 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 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 Xing, Hao 3 Zhang, Hongzhong 3 Zheng, Harry H. 2 Amini, Hamed 2 Anthropelos, Michail 2 Arai, Takuji 2 Armenti, Yannick 2 Armstrong, John 2 Avellaneda, Marco 2 Azcue, Pablo 2 Bäuerle, Nicole 2 Bellini, Fabio ...and 740 more Authors all top 5 Fields 528 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 298 Probability theory and stochastic processes (60-XX) 100 Systems theory; control (93-XX) 76 Numerical analysis (65-XX) 71 Calculus of variations and optimal control; optimization (49-XX) 61 Statistics (62-XX) 48 Partial differential equations (35-XX) 39 Operations research, mathematical programming (90-XX) 11 Functional analysis (46-XX) 11 Computer science (68-XX) 8 Approximations and expansions (41-XX) 7 Ordinary differential equations (34-XX) 7 Integral equations (45-XX) 4 Combinatorics (05-XX) 4 Real functions (26-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Measure and integration (28-XX) 3 Dynamical systems and ergodic theory (37-XX) 3 Operator theory (47-XX) 2 Special functions (33-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Functions of a complex variable (30-XX) 1 Integral transforms, operational calculus (44-XX) 1 Convex and discrete geometry (52-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 442 Publications have been cited 4,480 times in 2,977 Documents Cited by ▼ Year ▼ Affine point processes and portfolio credit risk. Zbl 1200.91296 Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. 105 2010 On the Heston model with stochastic interest rates. Zbl 1229.91338 Grzelak, Lech A.; Oosterlee, Cornelis W. 92 2011 Duality for set-valued measures of risk. Zbl 1197.91112 Hamel, Andreas H.; Heyde, Frank 83 2010 Time-consistent portfolio management. Zbl 1257.91040 Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. 82 2012 Price dynamics in a Markovian limit order market. Zbl 1288.91092 Cont, Rama; de Larrard, Adrien 81 2013 A Fourier-based valuation method for Bermudan and barrier options under Heston’s model. Zbl 1236.65163 Fang, Fang; Oosterlee, Cornelis W. 56 2011 Measures of systemic risk. Zbl 1407.91284 Feinstein, Zachary; Rudloff, Birgit; Weber, Stefan 56 2017 Optimal execution in a general one-sided limit-order book. Zbl 1222.91062 Predoiu, Silviu; Shaikhet, Gennady; Shreve, Steven 52 2011 A Fourier transform method for spread option pricing. Zbl 1188.91218 Hurd, T. R.; Zhou, Zhuowei 51 2010 Asymptotics for rough stochastic volatility models. Zbl 1422.91693 Forde, Martin; Zhang, Hongzhong 50 2017 Time dependent Heston model. Zbl 1198.91203 Benhamou, Eric; Gobet, Emmanuel; Miri, Mohammed 49 2010 Buy low, sell high: a high frequency trading perspective. Zbl 1308.91199 Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason 48 2014 Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing. Zbl 1259.65005 Crisan, D.; Manolarakis, K. 47 2012 Trend following trading under a regime switching model. Zbl 1198.91246 Dai, M.; Zhang, Qing; Zhu, Q. J. 46 2010 Optimal portfolio liquidation with limit orders. Zbl 1262.91160 Guéant, Olivier; Lehalle, Charles-Albert; Fernandez-Tapia, Joaquin 45 2012 The small-time smile and term structure of implied volatility under the Heston model. Zbl 1273.91461 Forde, Martin; Jacquier, Antoine; Lee, Roger 43 2012 Large deviations for a mean field model of systemic risk. Zbl 1283.60044 Garnier, Josselin; Papanicolaou, George; Yang, Tzu-Wei 43 2013 Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions. Zbl 1282.65023 Zhang, B.; Oosterlee, C. W. 43 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. 42 2014 Multifactor approximation of rough volatility models. Zbl 1422.91765 Jaber, Eduardo Abi; El Euch, Omar 41 2019 Portfolio choice under space-time monotone performance criteria. Zbl 1230.91171 Musiela, M.; Zariphopoulou, T. 40 2010 Optimal trading with stochastic liquidity and volatility. Zbl 1256.49031 Almgren, Robert 40 2012 Efficient option pricing by frame duality with the fast Fourier transform. Zbl 1320.91155 Kirkby, J. Lars 39 2015 An asymptotic expansion with push-down of Malliavin weights. Zbl 1257.91052 Takahashi, Akihiko; Yamada, Toshihiro 39 2012 Algorithmic trading with model uncertainty. Zbl 1407.91287 Cartea, Álvaro; Donnelly, Ryan; Jaimungal, Sebastian 38 2017 A general valuation framework for SABR and stochastic local volatility models. Zbl 1410.91441 Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy 36 2018 Robust hedging of double touch barrier options. Zbl 1228.91067 Cox, A. M. G.; Obłój, Jan 34 2011 Order book resilience, price manipulation, and the positive portfolio problem. Zbl 1255.91412 Alfonsi, Aurélien; Schied, Alexander; Slynko, Alla 34 2012 Asymptotic behavior of the fractional Heston model. Zbl 1416.91375 Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei 34 2018 Short-maturity asymptotics for a fast mean-reverting Heston stochastic volatility model. Zbl 1203.91321 Feng, Jin; Forde, Martin; Fouque, Jean-Pierre 33 2010 Hedging of claims with physical delivery under convex transaction costs. Zbl 1230.91059 Pennanen, Teemu; Penner, Irina 31 2010 Continuous-time Markowitz’s model with transaction costs. Zbl 1187.93139 Dai, Min; Xu, Zuo Quan; Zhou, Xun Yu 31 2010 Duality formulas for robust pricing and hedging in discrete time. Zbl 1407.91243 Cheridito, Patrick; Kupper, Michael; Tangpi, Ludovic 31 2017 Multivariate shortfall risk allocation and systemic risk. Zbl 1408.91236 Armenti, Yannick; Crépey, Stéphane; Drapeau, Samuel; Papapantoleon, Antonis 31 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 31 2016 Term structure models driven by Wiener processes and Poisson measures: existence and positivity. Zbl 1207.91068 Filipović, Damir; Tappe, Stefan; Teichmann, Josef 31 2010 Asymptotic formulas with error estimates for call pricing functions and the implied volatility at extreme strikes. Zbl 1284.91545 Gulisashvili, Archil 29 2010 Option pricing in multivariate stochastic volatility models of OU type. Zbl 1255.91133 Muhle-Karbe, Johannes; Pfaffel, Oliver; Stelzer, Robert 29 2012 Stability in a model of interbank lending. Zbl 1295.91099 Fouque, Jean-Pierre; Ichiba, Tomoyuki 29 2013 Valuation and hedging of contracts with funding costs and collateralization. Zbl 1320.91151 Bielecki, Tomasz R.; Rutkowski, Marek 28 2015 Optimal control of trading algorithms: a general impulse control approach. Zbl 1220.91030 Bouchard, Bruno; Dang, Ngoc-Minh; Lehalle, Charles-Albert 27 2011 Optimal trade execution and absence of price manipulations in limit order book models. Zbl 1196.91025 Alfonsi, Aurélien; Schied, Alexander 27 2010 Stochastic evolution equations in portfolio credit modelling. Zbl 1254.91740 Bush, N.; Hambly, B. M.; Haworth, H.; Jin, L.; Reisinger, C. 26 2011 An efficient transform method for Asian option pricing. Zbl 1357.91053 Kirkby, J. Lars 26 2016 The small-maturity smile for exponential Lévy models. Zbl 1257.91046 Figueroa-López, José E.; Forde, Martin 26 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 24 2011 Long-time behavior of a Hawkes process-based limit order book. Zbl 1335.91117 Abergel, Frédéric; Jedidi, Aymen 24 2015 An exact connection between two solvable SDEs and a nonlinear utility stochastic PDE. Zbl 1302.91175 El Karoui, Nicole; Mrad, Mohamed 24 2013 When to cross the spread? Trading in two-sided limit order books. Zbl 1308.93224 Horst, Ulrich; Naujokat, Felix 23 2014 Asymptotic analysis for optimal investment in finite time with transaction costs. Zbl 1255.91390 Bichuch, Maxim 23 2012 Short-term at-the-money asymptotics under stochastic volatility models. Zbl 1417.91495 El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu 23 2019 Correction to Black-Scholes formula due to fractional stochastic volatility. Zbl 1407.91290 Garnier, Josselin; Sølna, Knut 22 2017 Dual representation of quasi-convex conditional maps. Zbl 1232.46067 Frittelli, Marco; Maggis, Marco 22 2011 Stochastic gradient descent in continuous time. Zbl 1407.91258 Sirignano, Justin; Spiliopoulos, Konstantinos 21 2017 Optimal execution with multiplicative price impact. Zbl 1310.93083 Guo, Xin; Zervos, Mihail 21 2015 Path-dependence of leveraged ETF returns. Zbl 1193.91167 Avellaneda, Marco; Zhang, Stanley 21 2010 Convergence by viscosity methods in multiscale financial models with stochastic volatility. Zbl 1189.35020 Bardi, Martino; Cesaroni, Annalisa; Manca, Luigi 20 2010 Smooth value functions for a class of nonsmooth utility maximization problems. Zbl 1242.90285 Bian, Baojun; Miao, Sheng; Zheng, Harry 20 2011 Affine LIBOR models with multiple curves: theory, examples and calibration. Zbl 1338.91143 Grbac, Zorana; Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David 19 2015 Approaches to conditional risk. Zbl 1255.91178 Filipović, Damir; Kupper, Michael; Vogelpoth, Nicolas 19 2012 Inverting analytic characteristic functions and financial applications. Zbl 1282.60021 Feng, Liming; Lin, Xiong 19 2013 Jump-diffusion risk-sensitive asset management I: Diffusion factor model. Zbl 1217.91168 Davis, Mark; Lleo, Sébastien 18 2011 A fast mean-reverting correction to Heston’s stochastic volatility model. Zbl 1217.91189 Fouque, Jean-Pierre; Lorig, Matthew J. 18 2011 Weighted elastic net penalized mean-variance portfolio design and computation. Zbl 1330.91173 Ho, Michael; Sun, Zheng; Xin, Jack 18 2015 Transaction costs, shadow prices, and duality in discrete time. Zbl 1318.91179 Czichowsky, Christoph; Muhle-Karbe, Johannes; Schachermayer, Walter 18 2014 Representation of homothetic forward performance processes in stochastic factor models via ergodic and infinite horizon BSDE. Zbl 1391.91148 Liang, Gechun; Zariphopoulou, Thaleia 18 2017 Optimal liquidation of an asset under drift uncertainty. Zbl 1345.60040 Ekström, Erik; Vaicenavicius, Juozas 18 2016 Adjoint expansions in local Lévy models. Zbl 1285.60084 Pagliarani, Stefano; Pascucci, Andrea; Riga, Candia 18 2013 Pricing discretely monitored Asian options by maturity randomization. Zbl 1215.91079 Fusai, Gianluca; Marazzina, Daniele; Marena, Marina 17 2011 Systemic risk in interbanking networks. Zbl 1315.91065 Bo, Lijun; Capponi, Agostino 17 2015 Managing default contagion in inhomogeneous financial networks. Zbl 1503.91153 Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 17 2019 Processes of class Sigma, last passage times, and drawdowns. Zbl 1284.91542 Cheridito, Patrick; Nikeghbali, Ashkan; Platen, Eckhard 17 2012 Utility maximization trading two futures with transaction costs. Zbl 1282.91296 Bichuch, Maxim; Shreve, Steven 17 2013 Pricing Bermudan options in Lévy process models. Zbl 1287.91141 Feng, Liming; Lin, Xiong 17 2013 Equilibrium strategies for the mean-variance investment problem over a random horizon. Zbl 1416.91354 Landriault, David; Li, Bin; Li, Danping; Young, Virginia R. 17 2018 A closed-form execution strategy to target volume weighted average price. Zbl 1408.91192 Cartea, Álvaro; Jaimungal, Sebastian 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 Optimal portfolio under fast mean-reverting fractional stochastic environment. Zbl 1410.91414 Fouque, Jean-Pierre; Hu, Ruimeng 16 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 16 2016 On the use of policy iteration as an easy way of pricing American options. Zbl 1257.91051 Reisinger, C.; Witte, J. H. 16 2012 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 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 Short maturity Asian options in local volatility models. Zbl 1406.91450 Pirjol, Dan; Zhu, Lingjiong 15 2016 Modelling bid and ask prices using constrained Hawkes processes: ergodicity and scaling limit. Zbl 1323.37054 Zheng, Ban; Roueff, François; Abergel, Frédéric 15 2014 An affine multicurrency model with stochastic volatility and stochastic interest rates. Zbl 1308.91162 Gnoatto, Alessandro; Grasselli, Martino 15 2014 Interbank clearing in financial networks with multiple maturities. Zbl 1411.91644 Kusnetsov, Michael; Veraart, Luitgard Anna Maria 15 2019 On the realized risk of high-dimensional Markowitz portfolios. Zbl 1358.91092 El Karoui, Noureddine 15 2013 Large deviation principle for Volterra type fractional stochastic volatility models. Zbl 1416.91376 Gulisashvili, Archil 15 2018 Game options in an imperfect market with default. Zbl 1381.93103 Dumitrescu, Roxana; Quenez, Marie-Claire; Sulem, Agnès 14 2017 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 14 2018 How superadditive can a risk measure be? Zbl 1338.91080 Wang, Ruodu; Bignozzi, Valeria; Tsanakas, Andreas 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 Modeling the forward surface of mortality. Zbl 1255.91443 Bauer, Daniel; Benth, Fred Espen; Kiesel, Rüdiger 14 2012 Optimal dual martingales, their analysis, and application to new algorithms for Bermudan products. Zbl 1282.91346 Schoenmakers, John; Zhang, Jianing; Huang, Junbo 14 2013 Model-free portfolio theory and its functional master formula. Zbl 1416.91363 Schied, Alexander; Speiser, Leo; Voloshchenko, Iryna 14 2018 Approximation for option prices under uncertain volatility. Zbl 1341.60070 Fouque, Jean-Pierre; Ren, Bin 13 2014 Reduced basis methods for pricing options with the Black-Scholes and Heston models. Zbl 1335.91099 Burkovska, O.; Haasdonk, B.; Salomon, J.; Wohlmuth, B. 13 2015 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 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 Beating a benchmark: dynamic programming may not be the right numerical approach. Zbl 1516.91055 Van Staden, Pieter M.; Forsyth, Peter A.; Li, Yuying 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 Sensitivity of multiperiod optimization problems with respect to the adapted Wasserstein distance. Zbl 1520.91364 Bartl, Daniel; Wiesel, Johannes 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 investment and consumption under a habit-formation constraint. Zbl 1489.91230 Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. 5 2022 Optimal signal-adaptive trading with temporary and transient price impact. Zbl 1489.91238 Neuman, Eyal; Voß, Moritz 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 On smile properties of volatility derivatives: understanding the VIX skew. Zbl 1483.91227 Alòs, Elisa; García-Lorite, David; Gonzalez, Aitor Muguruza 5 2022 Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity. Zbl 1503.91104 Park, Kyunghyun; Wong, Hoi Ying 4 2022 Forward utility and market adjustments in relative investment-consumption games of many players. Zbl 1498.91385 dos Reis, Gonçalo; Platonov, Vadim 4 2022 Competition in fund management and forward relative performance criteria. Zbl 1511.91123 Anthropelos, Michail; Geng, Tianran; Zariphopoulou, Thaleia 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 Robust portfolio choice with sticky wages. Zbl 1498.91377 Biagini, Sara; Gozzi, Fausto; Zanella, Margherita 3 2022 Analysis of Markov chain approximation for diffusion models with nonsmooth coefficients. Zbl 1498.91467 Zhang, Gongqiu; Li, Lingfei 3 2022 Short communication: A Gaussian Kusuoka approximation without solving random ODEs. Zbl 1491.60116 Yamada, Toshihiro 3 2022 Suffocating fire sales. Zbl 1483.91250 Detering, Nils; Meyer-Brandis, Thilo; Panagiotou, Konstantinos; Ritter, Daniel 3 2022 Pricing options under rough volatility with backward SPDEs. Zbl 1484.91469 Bayer, Christian; Qiu, Jinniao; Yao, Yao 3 2022 No arbitrage SVI. Zbl 1483.91238 Martini, Claude; Mingone, Arianna 3 2022 Optimal ratcheting of dividends in a Brownian risk model. Zbl 1497.91331 Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora 3 2022 Short communication: An axiomatization of \(\Lambda\)-quantiles. Zbl 1486.91096 Bellini, Fabio; Peri, Ilaria 2 2022 Tail optimality and preferences consistency for intertemporal optimization problems. Zbl 1486.49040 Vigna, Elena 2 2022 Reward design in risk-taking contests. Zbl 1483.91051 Nutz, Marcel; Zhang, Yuchong 2 2022 A high-order numerical method for BSPDEs with applications to mathematical finance. Zbl 1484.65016 Li, Yunzhang 2 2022 Robust risk-aware reinforcement learning. Zbl 1484.91426 Jaimungal, Sebastian; Pesenti, Silvana M.; Wang, Ye Sheng; Tatsat, Hariom 2 2022 Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics. Zbl 1486.49026 Bergault, Philippe; Drissi, Fayçal; Guéant, Olivier 1 2022 Mean-variance portfolio selection in contagious markets. Zbl 1489.91239 Shen, Yang; Zou, Bin 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 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 trading with signals and stochastic price impact. Zbl 1498.91415 Fouque, Jean-Pierre; Jaimungal, Sebastian; Saporito, Yuri F. 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: 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. 8 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 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 Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Zbl 1460.91243 Abi Jaber, Eduardo; Miller, Enzo; Pham, Huyên 6 2021 Optimal make-take fees in a multi market-maker environment. Zbl 1465.91105 Baldacci, Bastien; Possamaï, Dylan; Rosenbaum, Mathieu 6 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 Log-modulated rough stochastic volatility models. Zbl 1476.91196 Bayer, Christian; Harang, Fabian A.; Pigato, Paolo 4 2021 Short communication: A note on utility indifference pricing with delayed information. Zbl 1462.91020 Bank, Peter; Dolinsky, Yan 4 2021 Optimal dividend problem: asymptotic analysis. Zbl 1464.91068 Cohen, Asaf; Young, Virginia R. 4 2021 A numerical scheme for the quantile hedging problem. Zbl 1459.91217 Bénézet, Cyril; Chassagneux, Jean-François; Reisinger, Christoph 4 2021 Cross currency valuation and hedging in the multiple curve framework. Zbl 1473.91022 Gnoatto, Alessandro; Seiffert, Nicole 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 Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model. Zbl 1480.91269 Lin, Minglian; SenGupta, Indranil 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 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 Expected utility maximization with stochastic dominance constraints in complete markets. Zbl 1476.91175 Wang, Xiangyu; Xia, Jianming 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 Model-free price bounds under dynamic option trading. Zbl 1476.91188 Neufeld, Ariel; Sester, Julian 2 2021 Correlators of polynomial processes. Zbl 1479.91391 Benth, Fred Espen; Lavagnini, Silvia 2 2021 Low-dimensional approximations of high-dimensional asset price models. Zbl 1466.91352 Redmann, Martin; Bayer, Christian; Goyal, Pawan 2 2021 A stochastic partial differential equation model for limit order book dynamics. 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Zbl 1452.91331 Calvia, Alessandro; Gianin, Emanuela Rosazza 4 2020 ...and 342 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,343 Authors 29 Yamada, Toshihiro 28 Jaimungal, Sebastian 27 Feinstein, Zachary 27 Wong, Hoi Ying 25 Cartea, Álvaro 24 Oosterlee, Cornelis Willebrordus 23 Forsyth, Peter A. 22 Cui, Zhenyu 22 Jacquier, Antoine 21 Biagini, Francesca 20 Bayraktar, Erhan 20 Spiliopoulos, Konstantinos V. 19 Horst, Ulrich 19 Lorig, Matthew J. 19 Muhle-Karbe, Johannes 19 Rudloff, Birgit 18 Fouque, Jean-Pierre 17 Gulisashvili, Archil 17 Hu, Yijun 17 Obloj, Jan K. 17 Reisinger, Christoph 17 Sircar, Ronnie 17 Wang, Ruodu 16 Jentzen, Arnulf 16 Kupper, Michael 16 Li, Lingfei 16 Xu, Zuoquan 15 Benth, Fred Espen 15 Gobet, Emmanuel 15 Rásonyi, Miklós 15 Rosenbaum, Mathieu 15 Schied, Alexander 15 Young, Virginia R. 15 Zhu, Lingjiong 14 Fukasawa, Masaaki 14 Guéant, Olivier 14 Leung, Tim 14 Wei, Jiaqin 14 Zariphopoulou, Thaleia 14 Zhang, Zhimin 14 Zheng, Harry H. 14 Zhou, Zhou 13 Crepey, Stephane 13 Ma, Jingtang 13 Meyer-Brandis, Thilo 13 Pham, Huyên 13 Pun, Chi Seng 13 Rutkowski, Marek 13 Tankov, Peter 12 Chen, Yanhong 12 Dang, Duy Minh 12 Frittelli, Marco 12 Gnoatto, Alessandro 12 Guasoni, Paolo 12 Pagliarani, Stefano 12 Pascucci, Andrea 12 Soner, Halil Mete 12 Zhang, Gongqiu 11 Bayer, Christian 11 Bo, Lijun 11 Dolinsky, Yan 11 Kwok, Yue-Kuen 11 Ludkovski, Michael 11 Mehrdoust, Farshid 11 Pirjol, Dan 11 Takahashi, Akihiko 11 Zeng, Yan 11 Zhang, Qing 10 Belomestny, Denis 10 Bichuch, Maxim 10 Cox, Alexander Matthew Gordon 10 Ekström, Erik 10 Figueroa-López, José E. 10 Friz, Peter 10 Grzelak, Lech A. 10 Hainaut, Donatien 10 Hamel, Andreas H. 10 Kruse, Thomas 10 Lépinette, Emmanuel 10 Nadtochiy, Sergey 10 Pennanen, Teemu 10 Scotti, Simone 10 Sirignano, Justin A. 10 Yam, Sheung Chi Phillip 10 Zhou, Xunyu 9 Alòs, Elisa 9 Beiglböck, Mathias 9 Bensoussan, Alain 9 Cont, Rama 9 Fontana, Claudio 9 Gao, Xuefeng 9 Gatheral, Jim 9 Glau, Kathrin 9 Hambly, Ben M. 9 Jaber, Eduardo Abi 9 Jarrow, Robert Alan 9 Jeanblanc, Monique 9 Jin, Zhuo 9 Keller-Ressel, Martin 9 Lehalle, Charles-Albert ...and 3,243 more Authors all top 5 Cited in 302 Journals 229 SIAM Journal on Financial Mathematics 210 Quantitative Finance 149 Finance and Stochastics 142 International Journal of Theoretical and Applied Finance 120 Mathematical Finance 107 Insurance Mathematics & Economics 96 Stochastic Processes and their Applications 78 Mathematics and Financial Economics 69 European Journal of Operational Research 68 Applied Mathematical Finance 63 The Annals of Applied Probability 53 SIAM Journal on Control and Optimization 49 Journal of Computational and Applied Mathematics 46 Applied Mathematics and Optimization 37 Stochastics 33 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 Methodology and Computing in Applied Probability 21 Communications in Statistics. 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Analysis and Computations 4 Journal of Statistical Physics 4 Mathematical Methods in the Applied Sciences 4 The Annals of Probability 4 Journal of Functional Analysis 4 Queueing Systems 4 European Journal of Applied Mathematics ...and 202 more Journals all top 5 Cited in 48 Fields 2,323 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,539 Probability theory and stochastic processes (60-XX) 453 Systems theory; control (93-XX) 435 Numerical analysis (65-XX) 287 Calculus of variations and optimal control; optimization (49-XX) 286 Statistics (62-XX) 243 Partial differential equations (35-XX) 226 Operations research, mathematical programming (90-XX) 62 Computer science (68-XX) 51 Functional analysis (46-XX) 38 Ordinary differential equations (34-XX) 30 Integral equations (45-XX) 28 Real functions (26-XX) 28 Approximations and expansions (41-XX) 28 Operator theory (47-XX) 24 Dynamical systems and ergodic theory (37-XX) 22 Biology and other natural sciences (92-XX) 21 Measure and integration (28-XX) 17 Integral transforms, operational calculus (44-XX) 16 Harmonic analysis on Euclidean spaces (42-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 Convex and discrete geometry (52-XX) 7 Order, lattices, ordered algebraic structures (06-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 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 Mechanics of particles and systems (70-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 Mathematics education (97-XX) Citations by Year