×

Annals of Finance

Short Title: Ann. Finance
Publisher: Springer, Berlin/Heidelberg
ISSN: 1614-2446; 1614-2454/e
Online: http://link.springer.com/journal/volumesAndIssues/10436
Documents Indexed: 325 Publications (since 2005)
References Indexed: 321 Publications with 9,497 References.
all top 5

Authors

11 Madan, Dilip B.
7 Elliott, Robert James
7 Viens, Frederi G.
4 D’Amico, Guglielmo
4 Evstigneev, Igor V.
4 Fernholz, Erhard Robert
4 Karatzas, Ioannis
4 Leung, Tim
4 Siu, Tak Kuen
3 Chan, Leunglung
3 Escobar Anel, Marcos
3 Haley, M. Ryan
3 Rásonyi, Miklós
3 Rubtsov, Alexey N.
3 Sarantsev, Andrey
3 Schoutens, Wim
3 Vanden, Joel M.
2 Amir, Rabah
2 Angoshtari, Bahman
2 Barnett, William Arnold
2 Barucci, Emilio
2 Bayraktar, Erhan
2 Bernhardt, Dan
2 Brogi, Marina
2 Carassus, Laurence
2 Christodoulakis, George A.
2 Coleman, Thomas F.
2 Cvitanić, Jakša
2 De Blasis, Riccardo
2 de Castro, Luciano I.
2 Fabozzi, Frank J.
2 Fajardo, José
2 Fard, Farzad Alavi
2 Flor, Christian Riis
2 Fouque, Jean-Pierre
2 Gersbach, Hans
2 Hainaut, Donatien
2 Heunis, Andrew J.
2 Ibragimov, Rustam
2 Ichiba, Tomoyuki
2 Instefjord, Norvald
2 Jalles, João Tovar
2 Jarrow, Robert Alan
2 Jensen, Bjarne Astrup
2 Kojima, Naoki
2 Kwon, Oh Kang
2 Lagasio, Valentina
2 LaPlante, Alex
2 Levendorskiĭ, Sergeĭ Zakharovich
2 Lucchetta, Marcella
2 Mandelbrot, Benoit B.
2 Martin, Antoine
2 Martins-da-Rocha, V. Filipe
2 Nielsen, Jørgen Aase
2 Olmo, Jose
2 Pinheiro, Marcelo
2 Protter, Philip Elliott
2 Rossetto, Silvia
2 Sadefo Kamdem, Jules
2 Sasaki, Kouji
2 Sayit, Hasanjan
2 Schenk-Hoppé, Klaus Reiner
2 Shen, Jia
2 Shorish, Jamsheed
2 Shubik, Martin
2 Sussman, Oren
2 Takayama, Shino
2 Taub, Bart
2 Thijssen, Jacco J. J.
2 Tian, Weidong
2 Tsomocos, Dimitrios P.
2 Villani, Giovanni
2 Waldén, Johan
2 Yannelis, Nicholas Constantine
2 Yor, Marc
2 Young, Virginia R.
2 Ziemba, William T.
2 Žitković, Gordan
1 Acciaio, Beatrice
1 Agosto, Arianna
1 Al-Zoubi, Haitham A.
1 Alekseev, Aleksandr G.
1 Alghalith, Moawia
1 Alvarez, Luis H. R.
1 Alwathnani, Abdulaziz M.
1 Andruszkiewicz, Grzegorz
1 Anthropelos, Michail
1 Arya, Anil
1 Asiedu, Elizabeth
1 Athanasoulis, Stefano G.
1 Atlan, Marc
1 Audrino, Francesco
1 Azeredo, Francisco
1 Bae, Jinho
1 Banner, Adrian D.
1 Barbu, Vlad Stefan
1 Barelli, Paulo
1 Barrett, Charles Richard
1 Bastidon, Cécile
1 Bekiros, Stelios D.
...and 389 more Authors

Publications by Year

Citations contained in zbMATH Open

210 Publications have been cited 1,248 times in 996 Documents Cited by Year
Option pricing and Esscher transform under regime switching. Zbl 1233.91270
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
181
2005
Affine fractional stochastic volatility models. Zbl 1298.60067
Comte, F.; Coutin, L.; Renault, E.
51
2012
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
45
2010
Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244
Fernholz, Robert; Karatzas, Ioannis
39
2005
Estimation and pricing under long-memory stochastic volatility. Zbl 1298.91160
Chronopoulou, Alexandra; Viens, Frederi G.
39
2012
Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris
33
2014
Robust consumption and portfolio choice for time varying investment opportunities. Zbl 1233.91248
Liu, Hening
31
2010
Risk measure pricing and hedging in incomplete markets. Zbl 1233.91291
Xu, Mingxin
25
2006
Maximum likelihood estimation of the double exponential jump-diffusion process. Zbl 1233.91330
Ramezani, Cyrus A.; Zeng, Yong
21
2007
Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey
20
2014
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
19
2015
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model. Zbl 1233.91117
Dempster, M. A. H.; Evstigneev, I. V.; Taksar, M. I.
18
2006
Optimal portfolio allocation with higher moments. Zbl 1233.91238
Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando
18
2008
An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai
17
2013
American options: the EPV pricing model. Zbl 1233.91258
Boyarchenko, Svetlana; Levendorskii, Sergei
16
2005
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
15
2008
Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198
Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner
15
2013
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil
15
2017
Short-term relative arbitrage in volatility-stabilized markets. Zbl 1233.91234
Banner, Adrian D.; Fernholz, Daniel
14
2008
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
Madan, Dilip B.
14
2012
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis
13
2013
Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien
13
2015
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
12
2008
Prospect and Markowitz stochastic dominance. Zbl 1233.91098
Wong, W.-K.; Chan, R. H.
12
2008
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
12
2014
Stochastic volatility and stochastic leverage. Zbl 1298.60070
Veraart, Almut E. D.; Veraart, Luitgard A. M.
11
2012
Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147
Rásonyi, Miklós; Rodrigues, Andrea M.
11
2013
Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard
10
2015
Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342
Osterrieder, Jörg R.; Rheinländer, Thorsten
9
2006
Capital market equilibrium without riskless assets: heterogeneous expectations. Zbl 1233.91123
Won, D.; Hahn, G.; Yannelis, N. C.
9
2008
Irreversible investment and discounting: an arbitrage pricing approach. Zbl 1233.91312
Thijssen, Jacco J. J.
9
2010
Statistical estimation of Lévy-type stochastic volatility models. Zbl 1298.62146
Figueroa-López, José E.
9
2012
On user costs of risky monetary assets. Zbl 1233.91114
Barnett, William A.; Wu, Shu
8
2005
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
8
2012
Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei
8
2015
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki
8
2017
Determinants of stock market volatility and risk premia. Zbl 1233.91326
Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio
7
2005
Robust portfolio optimization with a generalized expected utility model under ambiguity. Zbl 1233.91249
Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin
7
2008
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin
7
2019
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
7
2019
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy
7
2020
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
7
2016
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław
6
2015
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S.
6
2008
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang
6
2008
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
6
2010
Strategic asset allocation with switching dependence. Zbl 1298.91138
Hainaut, Donatien; MacGilchrist, Renaud
6
2012
Dynamic capital structure and the contingent capital option. Zbl 1298.91181
Barucci, Emilio; Del Viva, Luca
6
2013
Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J.
6
2015
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C.
6
2020
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis
5
2015
Heterogeneous beliefs, the term structure and time-varying risk premia. Zbl 1233.91144
Fan, Min
5
2006
Switching to a poor business activity: optimal capital structure, agency costs and covenant rules. Zbl 1233.91304
Décamps, Jean-Paul; Djembissi, Bertrand
5
2007
Balance, growth and diversity of financial markets. Zbl 1233.91339
Kardaras, Constantinos
5
2008
Short note on inf-convolution preserving the Fatou property. Zbl 1233.91138
Acciaio, Beatrice
5
2009
A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. Zbl 1233.91191
Buera, Francisco J.
5
2009
On the neutrality of debt in investment intensity. Zbl 1233.91313
Wong, Kit Pong
5
2010
Negative call prices. Zbl 1298.91168
Ruf, Johannes
5
2013
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen
5
2013
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia
5
2015
Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico
5
2015
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael
5
2016
Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161
Strong, Winslow; Fouque, Jean-Pierre
5
2011
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia
4
2015
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
4
2007
Who controls Allianz? Measuring the separation of dividend and control rights under cross-ownership among firms. Zbl 1233.91068
Dorofeenko, Victor; Lang, Larry H. P.; Ritzberger, Klaus; Shorish, Jamsheed
4
2008
Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. Zbl 1233.91116
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A.
4
2008
Valuation before and after tax in the discrete time, finite state no arbitrage model. Zbl 1233.91193
Jensen, Bjarne Astrup
4
2009
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa
4
2014
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo
4
2013
On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey
4
2014
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Zbl 1298.91206
Peng, Yue; Ng, Wing Lon
4
2012
Implied and realized volatility: empirical model selection. Zbl 1298.91197
Zhang, Lan
4
2012
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. Zbl 1298.91141
Kim, Ha-Young; Viens, Frederi G.
4
2012
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Zbl 1298.91089
Faria, Gonçalo; Correia-da-Silva, João
4
2012
On the necessity of five risk measures. Zbl 1298.91193
Guégan, Dominique; Tarrant, Wayne
4
2012
Technological advances and the decision to invest. Zbl 1298.91183
Flor, Christian Riis; Hansen, Simon Lysbjerg
4
2013
Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume
4
2015
The inescapable need for fractal tools in finance. Zbl 1233.91345
Mandelbrot, Benoit B.
3
2005
Corporate portfolio management. Zbl 1233.91310
Rochet, Jean-Charles; Villeneuve, Stéphane
3
2005
The non-neutrality of debt in investment timing: a new NPV rule. Zbl 1233.91301
Sabarwal, Tarun
3
2005
A time series analysis of financial fragility in the UK banking system. Zbl 1233.91220
Goodhart, Charles A. E.; Sunirand, Pojanart; Tsomocos, Dimitrios P.
3
2006
Kyle v. Kyle (’85 v. ’89). Zbl 1233.91218
Bernhardt, Dan; Taub, Bart
3
2006
Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps. Zbl 1233.91295
Levendorskiĭ, Sergei
3
2006
Hedging decisions with price and output uncertainty. Zbl 1233.91302
Alghalith, Moawia
3
2006
Common shocks and relative compensation. Zbl 1233.91171
Magill, Michael; Quinzii, Martine
3
2006
A forecasting model for stock market diversity. Zbl 1233.91321
Audrino, Francesco; Fernholz, Robert; Ferretti, Roberto G.
3
2007
Technology driven organizational structure of the firm. Zbl 1233.91167
van den Brink, René; Ruys, Pieter H. M.
3
2008
Entrepreneurship and firm heterogeneity with limited enforcement. Zbl 1233.91172
Monge-Naranjo, Alexander
3
2009
Portfolio management without probabilities or statistics. Zbl 1233.91305
Flåm, Sjur Didrik
3
2010
Optimal investment, consumption-leisure, insurance and retirement choice. Zbl 1298.91145
Perera, Ryle S.
3
2013
Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139
Haley, M. Ryan
3
2014
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
3
2019
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
3
2017
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim
3
2017
Option pricing under a stressed-beta model. Zbl 1298.91164
Fouque, Jean-Pierre; Tashman, Adam P.
3
2012
On Ponzi schemes in infinite horizon collateralized economies with default penalties. Zbl 1298.91177
Martins-da-Rocha, V. Filipe; Vailakis, Yiannis
3
2012
Are performance measures equally stable? Zbl 1298.91143
Menardi, Giovanna; Lisi, Francesco
3
2012
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks. Zbl 1219.91127
Ibragimov, Rustam; Walden, Johan
3
2011
Real options with unknown-date events. Zbl 1225.91066
Gutiérrez, Oscar; Ruiz-Aliseda, Francisco
3
2011
On the money creation approach to banking. Zbl 1476.91097
Faure, Salomon; Gersbach, Hans
1
2021
Valuation of R&D compound option using Markov chain approach. Zbl 1473.91028
D’Amico, Guglielmo; Villani, Giovanni
1
2021
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy
7
2020
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C.
6
2020
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441
Roberts, Michael; SenGupta, Indranil
3
2020
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail
2
2020
Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170
Brignone, Riccardo; Sgarra, Carlo
2
2020
Development banking under weak institutions and imperfect credit markets. Zbl 1461.91306
Senra Hodelin, Reynaldo
1
2020
The price leadership share: a new measure of price discovery in financial markets. Zbl 1461.91295
De Blasis, Riccardo
1
2020
Proper measures of connectedness. Zbl 1461.91341
Maggi, Mario; Torrente, Maria-Laura; Uberti, Pierpaolo
1
2020
Leakage of rank-dependent functionally generated trading strategies. Zbl 1461.91285
Xie, Kangjianan
1
2020
Optimal trading of a basket of futures contracts. Zbl 1443.91282
Angoshtari, Bahman; Leung, Tim
1
2020
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. Zbl 1437.91435
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; Fabozzi, Frank J.
1
2020
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin
7
2019
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
7
2019
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
3
2019
Momentum and reversal in financial markets with persistent heterogeneity. Zbl 1431.91375
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele
3
2019
Optimal dynamic basis trading. Zbl 1426.91260
Angoshtari, Bahman; Leung, Tim
3
2019
Implied liquidity risk premia in option markets. Zbl 07075028
Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim
2
2019
Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey
2
2019
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Zbl 1410.91499
Leung, Tim; Wang, Zheng
1
2019
Endogenous heterogeneity in duopoly with deterministic one-way spillovers. Zbl 1410.91317
Gama, Adriana; Maret, Isabelle; Masson, Virginie
1
2019
Relative performance concerns among investment managers. Zbl 1417.91485
Whitmeyer, Mark
1
2019
Change point dynamics for financial data: an indexed Markov chain approach. Zbl 1417.91564
D’Amico, Guglielmo; Lika, Ada; Petroni, Filippo
1
2019
Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy. Zbl 1426.91302
Buckley, Winston; Perera, Sandun
1
2019
The pricing kernel puzzle: survey and outlook. Zbl 1398.91576
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
3
2018
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. Zbl 1397.91572
Krasin, Vladislav; Smirnov, Ivan; Melnikov, Alexander
2
2018
Asset market equilibrium with liquidity risk. Zbl 1397.91557
Jarrow, Robert
2
2018
Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514
Garnier, Josselin; Sølna, Knut
2
2018
On relative performance, remuneration and risk taking of asset managers. Zbl 1418.91450
Barucci, Emilio; La Bua, Gaetano; Marazzina, Daniele
2
2018
Financial equilibrium with non-linear valuations. Zbl 1397.91228
Madan, Dilip B.
1
2018
Systemic risk in Europe: deciphering leading measures, common patterns and real effects. Zbl 1462.62643
Stolbov, Mikhail; Shchepeleva, Maria
1
2018
What determines the share of non-resident public debt ownership? Evidence from Euro area countries. Zbl 1398.91442
Jalles, João Tovar
1
2018
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil
15
2017
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki
8
2017
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
3
2017
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim
3
2017
Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. Zbl 1411.91647
Pederzoli, Chiara; Torricelli, Costanza
2
2017
Counterparty risk, central counterparty clearing and aggregate risk. Zbl 1411.91551
Deng, Binbin
2
2017
Financial market globalization, nonconvergence and credit cycles. Zbl 1388.91131
Ho, Wai-Hong
1
2017
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation. Zbl 1411.91607
Gan, Liu; Yang, Zhaojun
1
2017
Quadratic minimization with portfolio and intertemporal wealth constraints. Zbl 1411.91533
Zhu, Dian; Heunis, Andrew J.
1
2017
\(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? Zbl 1411.91505
Haley, M. Ryan
1
2017
The dampening effect of iceberg orders on small traders’ welfare, a real options perspective. Zbl 1411.91604
Delaney, Laura; Kovaleva, Polina
1
2017
Threat of termination and firm innovation. Zbl 1398.91372
Sheikh, Shahbaz
1
2017
Portfolio selections under mean-variance preference with multiple priors for means and variances. Zbl 1398.91546
Shigeta, Yuki
1
2017
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
7
2016
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael
5
2016
Saddlepoint approximations to option price in a regime-switching model. Zbl 1398.91622
Zhang, Mengzhe; Chan, Leunglung
2
2016
Risk premia in option markets. Zbl 1398.91607
Madan, Dilip B.
2
2016
The skewness risk premium in equilibrium and stock return predictability. Zbl 1398.91692
Sasaki, Hiroshi
2
2016
How suboptimal are linear sharing rules? Zbl 1398.91528
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase
2
2016
Adapted hedging. Zbl 1398.91608
Madan, Dilip B.
2
2016
On the impact of macroeconomic news surprises on treasury-bond returns. Zbl 1398.91581
El Ouadghiri, Imane; Mignon, Valérie; Boitout, Nicolas
1
2016
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
Monetary policy games, financial instability and incomplete information. Zbl 1398.91435
Barrett, Charles Richard; Kokores, Ioanna; Sen, Somnath
1
2016
Optimal capital structures for private firms. Zbl 1398.91660
Vanden, Joel M.
1
2016
Impact of risk aversion and countervailing tax in oligopoly. Zbl 1398.91403
Jin, Jim Y.; Kobayashi, Shinji
1
2016
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
19
2015
Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien
13
2015
Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard
10
2015
Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei
8
2015
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław
6
2015
Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J.
6
2015
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis
5
2015
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia
5
2015
Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico
5
2015
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia
4
2015
Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume
4
2015
Robustness of equilibrium in the Kyle model of informed speculation. Zbl 1369.91064
Boulatov, Alex; Bernhardt, Dan
2
2015
Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi
1
2015
Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris
33
2014
Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey
20
2014
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
12
2014
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa
4
2014
On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey
4
2014
Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139
Haley, M. Ryan
3
2014
Generalized volatility-stabilized processes. Zbl 1298.91146
Picková, Radka
2
2014
International monetary transmission with bank heterogeneity and default risk. Zbl 1298.91114
Tsenova, Tsvetomira
2
2014
Stability of marketable payoffs with long-term assets. Zbl 1318.91140
Bonnisseau, Jean-Marc; Chery, Achis
1
2014
Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? Zbl 1319.91143
Grabchak, Michael
1
2014
Multi-firm voluntary disclosures for correlated operations. Zbl 1298.91184
Gietzmann, Miles B.; Ostaszewski, Adam J.
1
2014
Optimal loan-to-value ratio and the efficiency gains of default. Zbl 1298.91201
Lin, Li
1
2014
Pricing and hedging basis risk under no good deal assumption. Zbl 1298.91159
Carassus, L.; Temam, E.
1
2014
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. Zbl 1298.91096
Fard, Farzad Alavi; Rong, Ning
1
2014
An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai
17
2013
Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198
Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner
15
2013
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis
13
2013
Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147
Rásonyi, Miklós; Rodrigues, Andrea M.
11
2013
Dynamic capital structure and the contingent capital option. Zbl 1298.91181
Barucci, Emilio; Del Viva, Luca
6
2013
Negative call prices. Zbl 1298.91168
Ruf, Johannes
5
2013
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen
5
2013
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo
4
2013
Technological advances and the decision to invest. Zbl 1298.91183
Flor, Christian Riis; Hansen, Simon Lysbjerg
4
2013
Optimal investment, consumption-leisure, insurance and retirement choice. Zbl 1298.91145
Perera, Ryle S.
3
2013
A decision-theoretic model of asset-price underreaction and overreaction to dividend news. Zbl 1298.91091
Ludwig, Alexander; Zimper, Alexander
2
2013
Risk classes for structured products: mathematical aspects and their implications on behavioral investors. Zbl 1298.91158
Cao, Ji; Rieger, Marc Oliver
2
2013
Utilities bounded below. Zbl 1298.91202
Muraviev, Roman; Rogers, L. C. G.
2
2013
Private payment systems, collateral, and interest rates. Zbl 1269.91094
Kahn, Charles M.
2
2013
Absence of arbitrage in a general framework. Zbl 1298.91088
Sayit, Hasanjan
1
2013
...and 110 more Documents
all top 5

Cited by 1,316 Authors

53 Siu, Tak Kuen
30 Elliott, Robert James
23 Madan, Dilip B.
14 Evstigneev, Igor V.
13 Wang, Guojing
12 Karatzas, Ioannis
12 Yang, Hailiang
11 Lépinette, Emmanuel
11 Rásonyi, Miklós
11 Sarantsev, Andrey
11 Viens, Frederi G.
10 Hainaut, Donatien
10 Schoutens, Wim
10 Wong, Wing-Keung
9 Chan, Leunglung
9 Dong, Yinghui
9 Wong, Ting-Kam Leonard
8 Schenk-Hoppé, Klaus Reiner
7 Leung, Tim
7 Li, Zhongfei
7 Shen, Yang
7 Thijssen, Jacco J. J.
7 Yannelis, Nicholas Constantine
7 Zagst, Rudi
7 Zeng, Yan
7 Zhitlukhin, Mikhail V.
6 Ching, Wai-Ki
6 D’Amico, Guglielmo
6 Fernholz, Erhard Robert
6 Figueroa-López, José E.
6 Pal, Soumik
6 Ruf, Johannes
6 Sayit, Hasanjan
6 Schachermayer, Walter
6 Wang, Wei
6 Zhu, Songping
5 Babaei, Esmaeil
5 Barnett, William Arnold
5 Bayraktar, Erhan
5 Es-Sebaiy, Khalifa
5 Escobar Anel, Marcos
5 Funahashi, Hideharu
5 Godin, Frédéric
5 Hieber, Peter
5 Khaliq, Abdul Q. M.
5 Kudryavtsev, Oleg
5 Larsson, Martin
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Li, Danping
5 Li, Kai
5 Mehrdoust, Farshid
5 Pennanen, Teemu
5 Qian, Linyi
5 Tsomocos, Dimitrios P.
5 Wang, Rongming
4 Arai, Takuji
4 Bo, Lijun
4 Bouchard, Bruno
4 Deelstra, Griselda
4 Delaney, Laura
4 Escobar, Marcos
4 Fard, Farzad Alavi
4 Forsyth, Peter A.
4 Garnier, Josselin
4 Gu, Ailing
4 Guasoni, Paolo
4 He, Xuezhong
4 Hens, Thorsten
4 Ichiba, Tomoyuki
4 Jacquier, Antoine
4 Jarrow, Robert Alan
4 Kijima, Masaaki
4 Li, Xun
4 Liang, Xue
4 Momeya, Romuald Hervé
4 Mykland, Per Aslak
4 Perez-Ostafe, Lavinia
4 Pistorius, Martijn R.
4 Scherer, Matthias
4 Sølna, Knut
4 Sun, Zhongyang
4 Wang, Yongjin
4 Yannacopoulos, Athanasios N.
4 Yi, Bo
4 Young, Virginia R.
4 Yuen, Fei Lung
4 Zhou, Jieming
3 Ai, Meiqiao
3 Alvarez, Luis H. R.
3 Baltas, Ioannis D.
3 Barucci, Emilio
3 Belkov, Sergei
3 Brignone, Riccardo
3 Buckley, Winston S.
3 Carassus, Laurence
3 Chau, Huy N.
3 Chronopoulou, Alexandra
3 Cordero, Fernando
3 Cuchiero, Christa
3 De Blasis, Riccardo
...and 1,216 more Authors
all top 5

Cited in 170 Journals

125 Annals of Finance
53 Insurance Mathematics & Economics
53 Quantitative Finance
41 International Journal of Theoretical and Applied Finance
39 Journal of Economic Dynamics & Control
31 Mathematics and Financial Economics
30 European Journal of Operational Research
27 Finance and Stochastics
25 SIAM Journal on Financial Mathematics
21 The Annals of Applied Probability
20 Economic Theory
17 Journal of Mathematical Economics
17 Stochastic Processes and their Applications
16 Journal of Computational and Applied Mathematics
16 Mathematical Finance
15 Communications in Statistics. Theory and Methods
14 Stochastic Analysis and Applications
13 Journal of Econometrics
13 Annals of Operations Research
13 Applied Mathematical Finance
12 Stochastics
11 Journal of Mathematical Analysis and Applications
11 Methodology and Computing in Applied Probability
11 Decisions in Economics and Finance
11 Review of Derivatives Research
11 Journal of Industrial and Management Optimization
10 North American Actuarial Journal
9 Journal of Applied Probability
9 Asia-Pacific Financial Markets
8 Physica A
8 Journal of Economic Theory
7 Scandinavian Actuarial Journal
6 Economics Letters
5 Computers & Mathematics with Applications
5 Applied Mathematics and Computation
5 Automatica
5 Optimization
5 Journal of Theoretical Probability
5 International Journal of Computer Mathematics
5 Discrete Dynamics in Nature and Society
5 Modern Stochastics. Theory and Applications
5 Probability, Uncertainty and Quantitative Risk
4 Lithuanian Mathematical Journal
4 Theory of Probability and its Applications
4 Journal of Optimization Theory and Applications
4 Mathematics and Computers in Simulation
4 Statistics & Probability Letters
4 Acta Mathematicae Applicatae Sinica. English Series
4 Mathematical Methods of Operations Research
4 ASTIN Bulletin
4 Mathematical Control and Related Fields
3 The Annals of Probability
3 Applied Mathematics and Optimization
3 International Economic Review
3 Journal of Economics
3 Chaos
3 The ANZIAM Journal
3 Discrete and Continuous Dynamical Systems. Series B
3 Computational Management Science
3 Journal of the Korean Statistical Society
3 Electronic Journal of Statistics
3 Journal of Dynamics and Games
2 Advances in Applied Probability
2 Chaos, Solitons and Fractals
2 The Annals of Statistics
2 Journal of Statistical Planning and Inference
2 Mathematics of Operations Research
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 SIAM Journal on Control and Optimization
2 Theory and Decision
2 Systems & Control Letters
2 Mathematical Social Sciences
2 Operations Research Letters
2 Physica D
2 Probability Theory and Related Fields
2 Econometric Reviews
2 Journal of Applied Mathematics and Stochastic Analysis
2 Journal of Global Optimization
2 Games and Economic Behavior
2 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
2 Computational Statistics and Data Analysis
2 Mathematical Programming. Series A. Series B
2 Statistical Papers
2 Bernoulli
2 Mathematical Problems in Engineering
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Abstract and Applied Analysis
2 Positivity
2 Journal of Applied Mathematics and Decision Sciences
2 Statistical Inference for Stochastic Processes
2 Communications in Nonlinear Science and Numerical Simulation
2 Journal of Applied Mathematics
2 Stochastic Models
2 Stochastics and Dynamics
2 Statistical Methods and Applications
2 Science China. Mathematics
2 International Journal of Stochastic Analysis
2 Information Geometry
1 Discrete Applied Mathematics
1 Journal of the Franklin Institute
...and 70 more Journals

Citations by Year