Finance and Stochastics

Short Title:	Finance Stoch.
Publisher:	Springer, Berlin/Heidelberg
ISSN:	0949-2984; 1432-1122/e
Online:	https://link.springer.com/journal/780/volumes-and-issues
Comments:	Journal; Indexed cover-to-cover

Documents Indexed:	754 Publications (since 1997)
References Indexed:	519 Publications with 16,626 References.

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Latest Issues

28, No. 3 (2024)
28, No. 2 (2024)
28, No. 1 (2024)
27, No. 4 (2023)
27, No. 3 (2023)
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5, No. 4 (2001)
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5, No. 1 (2001)
4, No. 4 (2000)
4, No. 3 (2000)
4, No. 2 (2000)
...and 11 more Volumes

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Authors

23	Kabanov, Yuriĭ Mikhaĭlovich
13	Guasoni, Paolo
12	Schachermayer, Walter
11	Hobson, David Graham
11	Jeanblanc, Monique
11	Muhle-Karbe, Johannes
10	Filipović, Damir
9	Bouchard, Bruno
9	Kardaras, Constantinos
9	Pham, Huyên
8	Benth, Fred Espen
8	Carr, Peter Paul
8	Delbaen, Freddy
7	Fukasawa, Masaaki
7	Karatzas, Ioannis
7	Schweizer, Martin
7	Soner, Halil Mete
7	Stricker, Christophe
7	Touzi, Nizar
7	Wang, Ruodu
6	Belomestny, Denis
6	Björk, Tomas
6	Campi, Luciano
6	Çetin, Umut
6	Föllmer, Hans
6	Frittelli, Marco
6	Glasserman, Paul
6	Herdegen, Martin
6	Kupper, Michael
6	Linetsky, Vadim
6	Obloj, Jan K.
6	Protter, Philip Elliott
6	Rásonyi, Miklós
6	Rogers, L. C. G.
6	Schied, Alexander
6	Zariphopoulou, Thaleia
6	Žitković, Gordan
5	Bayraktar, Erhan
5	Beiglböck, Mathias
5	Choulli, Tahir
5	Cvitanić, Jakša
5	Dolinsky, Yan
5	Fontana, Claudio
5	Jarrow, Robert Alan
5	Jiao, Ying
5	Kallsen, Jan
5	Keller-Ressel, Martin
5	Lépinette, Emmanuel
5	Madan, Dilip B.
5	Mijatović, Aleksandar
5	Nutz, Marcel
5	Pergamenshchikov, Sergeĭ Markovich
5	Rüschendorf, Ludger
5	Yor, Marc
4	Alòs, Elisa
4	Bank, Peter
4	Bartl, Daniel
4	Becherer, Dirk
4	Carmona, René A.
4	Cheridito, Patrick
4	Cox, Alexander Matthew Gordon
4	Cuchiero, Christa
4	Eberlein, Ernst W.
4	Feinstein, Zachary
4	Fouque, Jean-Pierre
4	Frey, Rüdiger
4	Gerhold, Stefan
4	Gobet, Emmanuel
4	Huang, Yu-Jui
4	Jacod, Jean
4	Jacquier, Antoine
4	Jouini, Elyès
4	Kratschmer, Volker
4	Mostovyi, Oleksii
4	Munari, Cosimo
4	Robertson, Scott
4	Runggaldier, Wolfgang J.
4	Rutkowski, Marek
4	Schoenmakers, John G. M.
4	Seifried, Frank Thomas
4	Shreve, Steven E.
4	Sircar, Ronnie
4	Song, Shiqi
4	Tehranchi, Michael R.
4	Villeneuve, Stéphane
3	Acciaio, Beatrice
3	Bender, Christian
3	Biagini, Francesca
3	Brigo, Damiano
3	Capponi, Agostino
3	Cherny, Alexander S.
3	Coculescu, Delia
3	Dassios, Angelos
3	De Angelis, Tiziano
3	Deng, Jun
3	Denis, Emmanuel
3	El Karoui, Nicole
3	Elie, Romuald
3	Elliott, Robert James
3	Embrechts, Paul
...and 782 more Authors

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Fields

713	Game theory, economics, finance, and other social and behavioral sciences (91-XX)
551	Probability theory and stochastic processes (60-XX)
124	Systems theory; control (93-XX)
84	Statistics (62-XX)
65	Calculus of variations and optimal control; optimization (49-XX)
41	Numerical analysis (65-XX)
32	Partial differential equations (35-XX)
31	Operations research, mathematical programming (90-XX)
22	Functional analysis (46-XX)
11	Integral equations (45-XX)
8	Real functions (26-XX)
8	Measure and integration (28-XX)
7	Operator theory (47-XX)
5	General and overarching topics; collections (00-XX)
5	History and biography (01-XX)
5	Convex and discrete geometry (52-XX)
5	Computer science (68-XX)
5	Information and communication theory, circuits (94-XX)
4	Approximations and expansions (41-XX)
3	Ordinary differential equations (34-XX)
3	Integral transforms, operational calculus (44-XX)
2	Special functions (33-XX)
2	Harmonic analysis on Euclidean spaces (42-XX)
2	General topology (54-XX)
1	Mathematical logic and foundations (03-XX)
1	Order, lattices, ordered algebraic structures (06-XX)
1	Nonassociative rings and algebras (17-XX)
1	Difference and functional equations (39-XX)
1	Differential geometry (53-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

695 Publications have been cited 16,860 times in 9,235 Documents	Cited by ▼	Year ▼
Convex measures of risk and trading constraints. Zbl 1041.91039 Föllmer, Hans; Schied, Alexander	522	2002
Processes of normal inverse Gaussian type. Zbl 0894.90011 Barndorff-Nielsen, Ole E.	408	1998
A theory of Markovian time-inconsistent stochastic control in discrete time. Zbl 1297.49038 Björk, Tomas; Murgoci, Agatha	197	2014
Generalized deviations in risk analysis. Zbl 1150.90006 Rockafellar, R. Tyrrell; Uryasev, Stan; Zabarankin, Michael	189	2006
On time-inconsistent stochastic control in continuous time. Zbl 1360.49013 Björk, Tomas; Khapko, Mariana; Murgoci, Agatha	179	2017
Applications of Malliavin calculus to Monte Carlo methods in finance. Zbl 0947.60066 Fournié, Eric; Lasry, Jean-Michel; Lebuchous, Jérôme; Lions, Pierre-Louis	171	1999
Model-independent bounds for option prices – a mass transport approach. Zbl 1277.91162 Beiglböck, Mathias; Henry-Labordère, Pierre; Penkner, Friedrich	165	2013
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019 Karatzas, Ioannis; Kardaras, Constantinos	161	2007
Conditional and dynamic convex risk measures. Zbl 1092.91017 Detlefsen, Kai; Scandolo, Giacomo	140	2005
Quantile hedging. Zbl 0977.91019 Föllmer, Hans; Leukert, Peter	136	1999
Moment explosions in stochastic volatility models. Zbl 1142.65004 Andersen, Leif B. G.; Piterbarg, Vladimir V.	136	2007
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026 Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael	132	2000
Robust hedging of the lookback option. Zbl 0907.90023 Hobson, David G.	131	1998
Inf-convolution of risk measures and optimal risk transfer. Zbl 1088.60037 Barrieu, Pauline; El Karoui, Nicole	129	2005
A solution approach to valuation with unhedgeable risks. Zbl 0977.93081 Zariphopoulou, Thaleia	129	2001
Option pricing with transaction costs and a nonlinear Black-Scholes equation. Zbl 0915.35051 Barles, Guy; Soner, Halil Mete	127	1998
Liquidity risk and arbitrage pricing theory. Zbl 1064.60083 Çetin, Umut; Jarrow, Robert A.; Protter, Philip	121	2004
LIBOR and swap market models and measures. Zbl 0888.60038 Jamshidian, Farshid	120	1997
Arbitrage in fractional Brownian motion models. Zbl 1035.60036 Cheridito, Patrick	117	2003
Efficient hedging: cost versus shortfall risk. Zbl 0956.60074 Föllmer, Hans; Leukert, Peter	116	2000
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. Zbl 1145.91020 Alòs, Elisa; León, Jorge A.; Vives, Josep	115	2007
An analysis of a least squares regression method for American option pricing. Zbl 1039.91020 Clément, Emmanuelle; Lamberton, Damien; Protter, Philip	111	2002
Hedging and liquidation under transaction costs in currency markets. Zbl 0926.60036 Kabanov, Yu. M.	109	1999
An example of indifference prices under exponential preferences. Zbl 1062.93048 Musiela, Marek; Zariphopoulou, Thaleia	102	2004
Optimal stopping and perpetual options for Lévy processes. Zbl 1035.60038 Mordecki, Ernesto	100	2002
Local martingales, bubbles and option prices. Zbl 1092.91023 Cox, Alexander M. G.; Hobson, David G.	100	2005
Game options. Zbl 1066.91042 Kifer, Yuri	93	2000
Vector-valued coherent risk measures. Zbl 1063.91048 Jouini, Elyès; Meddeb, Moncef; Touzi, Nizar	90	2004
The cumulant process and Esscher’s change of measure. Zbl 1035.60042 Kallsen, Jan; Shiryaev, Albert N.	89	2002
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025 Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela	85	2010
Stock market prices and long-range dependence. Zbl 0924.90029 Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim	85	1999
Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain. Zbl 1063.91040 Sass, Jörn; Haussmann, Ulrich G.	84	2004
A note on Wick products and the fractional Black-Scholes model. Zbl 1092.91021 Björk, Tomas; Hult, Henrik	82	2005
Fourier series method for measurement of multivariate volatilities. Zbl 1008.62091 Malliavin, Paul; Mancino, Maria Elvira	82	2002
Applications of Malliavin calculus to Monte-Carlo methods in finance. II. Zbl 0973.60061 Fournié, Eric; Lasry, Jean-Michel; Lebuchoux, Jérôme; Lions, Pierre-Louis	81	2001
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038 Dassios, Angelos; Jang, Ji-Wook	80	2003
Utility maximization in incomplete markets with random endowment. Zbl 0993.91018 Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui	80	2001
Optimal dynamic reinsurance policies for large insurance portfolios. Zbl 1066.91052 Taksar, Michael I.; Markussen, Charlotte	79	2003
Towards a general theory of bond markets. Zbl 0889.90019 Björk, Tomas; Di Masi, Giovanni; Kabanov, Yuri; Runggaldier, Wolfgang	79	1997
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. Zbl 1199.91190 Schied, Alexander; Schöneborn, Torsten	76	2009
Integro-differential equations for option prices in exponential Lévy models. Zbl 1096.91023 Cont, Rama; Voltchkova, Ekaterina	75	2005
From the bird’s eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets. Zbl 0889.90021 Guillaume, Dominique M.; Dacorogna, Michel M.; Davé, Rakhal R.; Müller, Ulrich A.; Olsen, Richard B.; Pictet, Olivier V.	73	1997
Dynamic risk measures: Time consistency and risk measures from BMO martingales. Zbl 1150.91024 Bion-Nadal, Jocelyne	72	2008
A jump to default extended CEV model: an application of Bessel processes. Zbl 1101.60057 Carr, Peter; Linetsky, Vadim	71	2006
Comparative and qualitative robustness for law-invariant risk measures. Zbl 1298.91195 Krätschmer, Volker; Schied, Alexander; Zähle, Henryk	70	2014
Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark. Zbl 1047.91025 Browne, Sid	70	1999
Time-consistent mean-variance portfolio selection in discrete and continuous time. Zbl 1263.91046 Czichowsky, Christoph	70	2013
Connecting discrete and continuous path-dependent options. Zbl 0924.90007 Broadie, Mark; Glasserman, Paul; Kou, S. G.	70	1999
Coherent risk measures and good-deal bounds. Zbl 0993.91023 Jaschke, Stefan; Küchler, Uwe	69	2001
Fractional Brownian motion, random walks and binary market models. Zbl 0978.91037 Sottinen, Tommi	69	2001
Using copulae to bound the value-at-risk for functions of dependent risks. Zbl 1039.91023 Embrechts, Paul; Höing, Andrea; Juri, Alessandro	68	2003
The minimal entropy martingale measures for geometric Lévy processes. Zbl 1035.60040 Fujiwara, Tsukasa; Miyahara, Yoshio	68	2003
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N.	66	1998
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem. Zbl 1199.91188 Morlais, Marie-Amélie	66	2009
In the insurance business risky investments are dangerous. Zbl 1002.91037 Frolova, Anna; Kabanov, Yuri; Pergamenshchikov, Serguei	65	2002
Asymptotic analysis for stochastic volatility: martingale expansion. Zbl 1303.91177 Fukasawa, Masaaki	64	2011
Optimization of consumption with labor income. Zbl 0930.60050 El Karoui, Nicole; Jeanblanc-Picqué, Monique	63	1998
Aggregation-robustness and model uncertainty of regulatory risk measures. Zbl 1327.62326 Embrechts, Paul; Wang, Bin; Wang, Ruodu	62	2015
Robust pricing and hedging of double no-touch options. Zbl 1303.91171 Cox, Alexander M. G.; Obłój, Jan	62	2011
Portfolio optimisation with strictly positive transaction costs and impulse control. Zbl 0894.90021 Korn, Ralf	62	1998
Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities. Zbl 1266.91038 Wang, Ruodu; Peng, Liang; Yang, Jingping	61	2013
Bounds for functions of dependent risks. Zbl 1101.60010 Embrechts, Paul; Puccetti, Giovanni	60	2006
Hybrid scheme for Brownian semistationary processes. Zbl 1385.65010 Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S.	60	2017
The microstructural foundations of leverage effect and rough volatility. Zbl 1410.91491 El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu	60	2018
Optimal capital structure and endogenous default. Zbl 1002.91019 Hilberink, Bianca; Rogers, L. C. G.	58	2002
Option pricing for pure jump processes with Markov switching compensators. Zbl 1101.91034 Elliott, Robert J.; Osakwe, Carlton-James U.	57	2006
Polynomial processes and their applications to mathematical finance. Zbl 1270.60079 Cuchiero, Christa; Keller-Ressel, Martin; Teichmann, Josef	57	2012
Optimal dividend payouts for diffusions with solvency constraints. Zbl 1038.60081 Paulsen, Jostein	56	2003
Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Zbl 0997.91022 Goll, Thomas; Rüschendorf, Ludger	56	2001
Asymptotic analysis of optimal investment and consumption with transaction costs. Zbl 1098.91051 Janeček, Karel; Shreve, Steven	55	2004
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Zbl 0963.60065 Aase, Knut; Øksendal, Bernt; Privault, Nicolas; Ubøe, Jan	55	2000
Optimal investment for investors with state dependent income, and for insurers. Zbl 1069.91051 Hipp, Christian; Plum, Michael	53	2003
On dynamic measure of risk. Zbl 0982.91030 Cvitanić, Jakša; Karatzas, Ioannis	53	1999
Risk-minimizing hedging strategies for insurance payment processes. Zbl 0983.62076 Møller, Thomas	53	2001
Perfect option hedging for a large trader. Zbl 0894.90017 Frey, Rüdiger	52	1998
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model. Zbl 1065.60085 Brigo, Damiano; Alfonsi, Aurélien	51	2005
Spectral calibration of exponential Lévy models. Zbl 1126.91022 Belomestny, Denis; Reiß, Markus	51	2006
The numeraire portfolio for unbounded semimartingale. Zbl 0978.91038 Becherer, Dirk	51	2001
Polynomial diffusions and applications in finance. Zbl 1386.60237 Filipović, Damir; Larsson, Martin	51	2016
An optimal consumption model with stochastic volatility. Zbl 1035.60028 Fleming, Wendell H.; Hernández-Hernández, Daniel	50	2003
On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean	50	1997
An application of hidden Markov models to asset allocation problems. Zbl 0907.90022 Elliott, Robert J.; van der Hoek, John	50	1997
Dynamic programming and mean-variance hedging. Zbl 0924.90021 Laurent, Jean Paul; Pham, Huyên	50	1999
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach. Zbl 0978.91039 Benth, Fred Espen; Karlsen, Kenneth Hvistendahl; Reikvam, Kristin	50	2001
Optimal investments for risk- and ambiguity-averse preferences: a duality approach. Zbl 1143.91021 Schied, Alexander	50	2007
Optimal lifetime consumption and investment under a drawdown constraint. Zbl 1164.91011 Elie, Romuald; Touzi, Nizar	49	2008
On perpetual American put valuation and first-passage in a regime-switching model with jumps. Zbl 1164.60066 Jiang, Zhengjun; Pistorius, Martijn R.	49	2008
Pricing options on realized variance. Zbl 1096.91022 Carr, Peter; Geman, Hélyette; Madan, Dilip B.; Yor, Marc	49	2005
Optimal dividend distribution under Markov regime switching. Zbl 1252.93135 Jiang, Zhengjun; Pistorius, Martijn	49	2012
A stochastic control problem with delay arising in a pension fund model. Zbl 1302.93238 Federico, Salvatore	48	2011
Optimal capital and risk allocations for law- and cash-invariant convex functions. Zbl 1164.91012 Filipović, Damir; Svindland, Gregor	48	2008
The relaxed investor and parameter uncertainty. Zbl 0993.91017 Rogers, L. C. G.	48	2001
Introduction to a theory of value coherent with the no-arbitrage principle. Zbl 0965.60046 Frittelli, Marco	48	2000
A general characterization of one factor affine term structure models. Zbl 0978.91033 Filipović, Damir	48	2001
Pricing double barrier options using Laplace transforms. Zbl 0940.91026 Pelsser, Antoon	47	2000
A super-replication theorem in Kabanov’s model of transaction costs. Zbl 1126.91024 Campi, Luciano; Schachermayer, Walter	47	2006
Asymptotic arbitrage in large financial markets. Zbl 0894.90020 Kabanov, Yu. M.; Kramkov, D. O.	47	1998
Optional decomposition and Lagrange multipliers. Zbl 0894.90016 Föllmer, H.; Kabanov, Yu. M.	47	1998
Robust pricing-hedging dualities in continuous time. Zbl 1402.91789 Hou, Zhaoxu; Obłój, Jan	46	2018
The rate of convergence of the binomial tree scheme. Zbl 1062.91027 Walsh, John B.	45	2003
Optimal investment in a large population of competitive and heterogeneous agents. Zbl 1533.91435 Tangpi, Ludovic; Zhou, Xuchen	1	2024
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies. Zbl 07874609 Horst, Ulrich; Kivman, Evgueni	1	2024
Deep neural network expressivity for optimal stopping problems. Zbl 07874611 Gonon, Lukas	1	2024
A framework for measures of risk under uncertainty. Zbl 1533.91503 Fadina, Tolulope; Liu, Yang; Wang, Ruodu	1	2024
Optimal consumption and investment with welfare constraints. Zbl 1533.91430 Jeon, Junkee; Kwak, Minsuk	1	2024
Optimal dividends under a drawdown constraint and a curious square-root rule. Zbl 1511.91161 Albrecher, Hansjörg; Azcue, Pablo; Muler, Nora	3	2023
Optimal insurance under maxmin expected utility. Zbl 1517.91187 Birghila, Corina; Boonen, Tim J.; Ghossoub, Mario	3	2023
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations. Zbl 1502.91054 Herdegen, Martin; Hobson, David; Jerome, Joseph	3	2023
Mean field portfolio games. Zbl 1505.91059 Fu, Guanxing; Zhou, Chao	3	2023
Entropy martingale optimal transport and nonlinear pricing-hedging duality. Zbl 1512.91141 Doldi, Alessandro; Frittelli, Marco	2	2023
Optimal execution with stochastic delay. Zbl 1505.91361 Cartea, Álvaro; Sánchez-Betancourt, Leandro	2	2023
Martingale Schrödinger bridges and optimal semistatic portfolios. Zbl 1503.91131 Nutz, Marcel; Wiesel, Johannes; Zhao, Long	2	2023
Continuous-time incentives in hierarchies. Zbl 1518.91117 Hubert, Emma	2	2023
A general approach for Parisian stopping times under Markov processes. Zbl 1520.91408 Zhang, Gongqiu; Li, Lingfei	2	2023
Fundamental theorem of asset pricing with acceptable risk in markets with frictions. Zbl 1520.91409 Arduca, Maria; Munari, Cosimo	2	2023
Price impact in Nash equilibria. Zbl 1512.91131 Chen, Xiao; Choi, Jin Hyuk; Larsen, Kasper; Seppi, Duane J.	1	2023
Optional projection under equivalent local martingale measures. Zbl 1511.91140 Biagini, Francesca; Mazzon, Andrea; Perkkiö, Ari-Pekka	1	2023
A continuous-time model of self-protection. Zbl 1517.91186 Bensalem, Sarah; Hernández-Santibáñez, Nicolás; Kazi-Tani, Nabil	1	2023
The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. II: Existence, uniqueness and verification for \(\vartheta \in (0,1)\). Zbl 1502.91055 Herdegen, Martin; Hobson, David; Jerome, Joseph	1	2023
Present-biased lobbyists in linear-quadratic stochastic differential games. Zbl 1527.91015 Lazrak, Ali; Wang, Hanxiao; Yong, Jiongmin	1	2023
Reinforcement learning and stochastic optimisation. Zbl 1482.91225 Jaimungal, Sebastian	7	2022
Optimal consumption with reference to past spending maximum. Zbl 1484.91449 Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang	6	2022
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria. Zbl 1484.91088 Huang, Yu-Jui; Zhou, Zhou	6	2022
Dynamic mean-variance problem with frictions. Zbl 1484.91414 Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip	4	2022
A scaling limit for utility indifference prices in the discretised Bachelier model. Zbl 1484.91472 Cohen, Asaf; Dolinsky, Yan	3	2022
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. Zbl 1494.91151 Asmussen, Søren	3	2022
Log-optimal and numéraire portfolios for market models stopped at a random time. Zbl 1494.91133 Choulli, Tahir; Yansori, Sina	3	2022
Scaled insurance cash flows: representation and computation via change of measure techniques. Zbl 1484.91384 Furrer, Christian	2	2022
Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Zbl 1498.91494 González Cázares, Jorge; Mijatović, Aleksandar	2	2022
The characteristic function of Gaussian stochastic volatility models: an analytic expression. Zbl 1498.91443 Jaber, Eduardo Abi	2	2022
A least-squares Monte Carlo approach to the estimation of enterprise risk. Zbl 1494.91176 Ha, Hongjun; Bauer, Daniel	2	2022
A continuous-time asset market game with short-lived assets. Zbl 1494.91138 Zhitlukhin, Mikhail	2	2022
A class of short-term models for the oil industry that accounts for speculative oil storage. Zbl 1494.91139 Achdou, Yves; Bertucci, Charles; Lasry, Jean-Michel; Lions, Pierre-Louis; Rostand, Antoine; Scheinkman, José A.	2	2022
From Bachelier to Dupire via optimal transport. Zbl 1482.91226 Beiglböck, Mathias; Pammer, Gudmund; Schachermayer, Walter	2	2022
Jacobi stochastic volatility factor for the LIBOR market model. Zbl 1498.91427 Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, Bernard; Mehalla, Sophian	1	2022
A concept of copula robustness and its applications in quantitative risk management. Zbl 1498.91509 Zähle, Henryk	1	2022
On ruin probabilities with investments in a risky asset with a regime-switching price. Zbl 1498.91361 Kabanov, Yuri; Pergamenshchikov, Sergey	1	2022
Machine learning with kernels for portfolio valuation and risk management. Zbl 1484.91417 Boudabsa, Lotfi; Filipović, Damir	1	2022
An analytical study of participating policies with minimum rate guarantee and surrender option. Zbl 1484.91379 Chiarolla, Maria B.; De Angelis, Tiziano; Stabile, Gabriele	1	2022
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108 Delbaen, Freddy	13	2021
Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes. Zbl 1461.91307 Strub, Moris S.; Zhou, Xun Yu	12	2021
Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. Zbl 1475.91356 Gonon, Lukas; Schwab, Christoph	12	2021
Scenario-based risk evaluation. Zbl 1476.91222 Wang, Ruodu; Ziegel, Johanna F.	10	2021
A unified framework for robust modelling of financial markets in discrete time. Zbl 1469.91051 Obłój, Jan; Wiesel, Johannes	7	2021
Duality theory for robust utility maximisation. Zbl 1475.91094 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel	7	2021
Markov decision processes with quasi-hyperbolic discounting. Zbl 1471.91310 Jaśkiewicz, Anna; Nowak, Andrzej S.	6	2021
Robust state-dependent mean-variance portfolio selection: a closed-loop approach. Zbl 1471.49028 Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying	6	2021
Equilibrium asset pricing with transaction costs. Zbl 1461.91327 Herdegen, Martin; Muhle-Karbe, Johannes; Possamaï, Dylan	5	2021
High-frequency trading with fractional Brownian motion. Zbl 1461.91300 Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós	5	2021
Infinite-dimensional polynomial processes. Zbl 1461.91310 Cuchiero, Christa; Svaluto-Ferro, Sara	5	2021
Additive logistic processes in option pricing. Zbl 1475.91352 Carr, Peter; Torricelli, Lorenzo	5	2021
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Zbl 1476.91166 Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail	5	2021
Nonlinear expectations of random sets. Zbl 1461.91283 Molchanov, Ilya; Mühlemann, Anja	3	2021
Risk arbitrage and hedging to acceptability under transaction costs. Zbl 1461.91317 Lépinette, Emmanuel; Molchanov, Ilya	3	2021
Elicitability and identifiability of set-valued measures of systemic risk. Zbl 1464.91077 Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit	3	2021
Set-valued risk measures as backward stochastic difference inclusions and equations. Zbl 1461.91363 Ararat, Çağın; Feinstein, Zachary	2	2021
Concavity, stochastic utility, and risk aversion. Zbl 1461.91274 Jarrow, Robert; Li, Siguang	2	2021
Change of drift in one-dimensional diffusions. Zbl 1461.91365 Desmettre, Sascha; Leobacher, Gunther; Rogers, L. C. G.	2	2021
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space. Zbl 1470.91272 Bouchard, Bruno; Tan, Xiaolu	2	2021
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs. Zbl 1471.91569 Grépat, Julien; Kabanov, Yuri	1	2021
Time-dynamic evaluations under non-monotone information generated by marked point processes. Zbl 1470.91302 Christiansen, Marcus C.	1	2021
Adapted Wasserstein distances and stability in mathematical finance. Zbl 1440.91036 Backhoff-Veraguas, Julio; Bartl, Daniel; Beiglböck, Mathias; Eder, Manu	30	2020
Optimal insurance with background risk: an analysis of general dependence structures. Zbl 1448.91259 Chi, Yichun; Wei, Wei	17	2020
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. Zbl 1430.91127 De Angelis, Tiziano	15	2020
Pathwise superhedging on prediction sets. Zbl 1458.91210 Bartl, Daniel; Kupper, Michael; Neufeld, Ariel	14	2020
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388 Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie	12	2020
Term structure modelling for multiple curves with stochastic discontinuities. Zbl 1435.91195 Fontana, Claudio; Grbac, Zorana; Gümbel, Sandrine; Schmidt, Thorsten	10	2020
On fairness of systemic risk measures. Zbl 1433.91188 Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; Meyer-Brandis, Thilo	10	2020
Linear credit risk models. Zbl 1445.91066 Ackerer, Damien; Filipović, Damir	10	2020
Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process. Zbl 1430.91031 Kabanov, Yuri; Pergamenshchikov, Serguei	8	2020
Optimal reduction of public debt under partial observation of the economic growth. Zbl 1453.91070 Callegaro, Giorgia; Ceci, Claudia; Ferrari, Giorgio	8	2020
An incomplete equilibrium with a stochastic annuity. Zbl 1435.91180 Weston, Kim; Žitković, Gordan	7	2020
The value of a liability cash flow in discrete time subject to capital requirements. Zbl 1429.91277 Engsner, Hampus; Lindensjö, Kristoffer; Lindskog, Filip	7	2020
The Leland-Toft optimal capital structure model under Poisson observations. Zbl 1453.91103 Palmowski, Zbigniew; Pérez, José Luis; Surya, Budhi Arta; Yamazaki, Kazutoshi	7	2020
Extended weak convergence and utility maximisation with proportional transaction costs. Zbl 1448.91271 Bayraktar, Erhan; Dolinskyi, Leonid; Dolinsky, Yan	6	2020
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164 Karatzas, Ioannis; Kim, Donghan	5	2020
The value of informational arbitrage. Zbl 1433.91151 Chau, Huy N.; Cosso, Andrea; Fontana, Claudio	4	2020
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models. Zbl 1447.91161 Hambly, Ben; Kolliopoulos, Nikolaos	4	2020
Filtration shrinkage, the structure of deflators, and failure of market completeness. Zbl 1456.60099 Kardaras, Constantinos; Ruf, Johannes	4	2020
Regime switching affine processes with applications to finance. Zbl 1435.91192 van Beek, Misha; Mandjes, Michel; Spreij, Peter; Winands, Erik	3	2020
A Black-Scholes inequality: applications and generalisations. Zbl 1432.91126 Tehranchi, Michael R.	3	2020
On the quasi-sure superhedging duality with frictions. Zbl 1433.91168 Bayraktar, Erhan; Burzoni, Matteo	3	2020
Time reversal and last passage time of diffusions with applications to credit risk management. Zbl 1447.91186 Egami, Masahiko; Kevkhishvili, Rusudan	3	2020
Consumption in incomplete markets. Zbl 1435.91179 Guasoni, Paolo; Wang, Gu	2	2020
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. Zbl 1447.91173 Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier	2	2020
A splitting strategy for the calibration of jump-diffusion models. Zbl 1447.91190 Albani, Vinicius V. L.; Zubelli, Jorge P.	2	2020
The Riesz representation theorem and weak\(^\ast\) compactness of semimartingales. Zbl 1453.60098 Kiiski, Matti	2	2020
Partial liquidation under reference-dependent preferences. Zbl 1433.91155 Henderson, Vicky; Muscat, Jonathan	1	2020
Conditional Davis pricing. Zbl 1461.91316 Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan	1	2020
Asset prices in segmented and integrated markets. Zbl 1452.91317 Guasoni, Paolo; Wong, Kwok Chuen	1	2020
Affine forward variance models. Zbl 1430.91110 Gatheral, Jim; Keller-Ressel, Martin	32	2019
An application of fractional differential equations to risk theory. Zbl 1432.91097 Constantinescu, Corina D.; Ramirez, Jorge M.; Zhu, Wei R.	28	2019
Incorporating signals into optimal trading. Zbl 1411.91517 Lehalle, Charles-Albert; Neuman, Eyal	21	2019
An SPDE model for systemic risk with endogenous contagion. Zbl 1469.91060 Hambly, Ben; Søjmark, Andreas	19	2019
Duality for pathwise superhedging in continuous time. Zbl 1429.91314 Bartl, Daniel; Kupper, Michael; Prömel, David J.; Tangpi, Ludovic	15	2019
The self-financing equation in limit order book markets. Zbl 1460.91246 Carmona, René; Webster, Kevin	14	2019
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Zbl 1435.91200 Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia	14	2019
Utility maximisation in a factor model with constant and proportional transaction costs. Zbl 1426.91239 Belak, Christoph; Christensen, Sören	13	2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240 Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip	13	2019
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Zbl 1425.91401 Hefter, Mario; Jentzen, Arnulf	12	2019
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276	SIAM Journal on Financial Mathematics
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152	Journal of Computational and Applied Mathematics
133	Statistics & Probability Letters
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128	Journal of Economic Dynamics & Control
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33	Mathematical Programming. Series A. Series B
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