[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1991 | 0 | 0.1 | 0.12 | 0 | 17 | 17 | 530 | 1 | 2 | 0 | 0 | 1 | 100 | 1 | 0.06 | 0.05 | ||
1992 | 0 | 0.11 | 0.03 | 0 | 16 | 33 | 617 | 1 | 3 | 17 | 17 | 0 | 1 | 0.06 | 0.05 | |||
1993 | 0.09 | 0.13 | 0.15 | 0.09 | 21 | 54 | 436 | 8 | 11 | 33 | 3 | 33 | 3 | 4 | 50 | 3 | 0.14 | 0.06 |
1994 | 0.08 | 0.14 | 0.12 | 0.06 | 20 | 74 | 733 | 9 | 20 | 37 | 3 | 54 | 3 | 2 | 22.2 | 2 | 0.1 | 0.07 |
1995 | 0.29 | 0.22 | 0.38 | 0.31 | 19 | 93 | 820 | 35 | 55 | 41 | 12 | 74 | 23 | 0 | 8 | 0.42 | 0.1 | |
1996 | 0.67 | 0.25 | 0.55 | 0.44 | 19 | 112 | 1285 | 60 | 117 | 39 | 26 | 93 | 41 | 0 | 4 | 0.21 | 0.12 | |
1997 | 0.68 | 0.24 | 0.65 | 0.54 | 18 | 130 | 1562 | 83 | 201 | 38 | 26 | 95 | 51 | 3 | 3.6 | 9 | 0.5 | 0.11 |
1998 | 0.76 | 0.28 | 0.69 | 0.58 | 20 | 150 | 834 | 103 | 304 | 37 | 28 | 97 | 56 | 5 | 4.9 | 5 | 0.25 | 0.13 |
1999 | 0.76 | 0.31 | 0.82 | 0.68 | 16 | 166 | 3026 | 134 | 440 | 38 | 29 | 96 | 65 | 6 | 4.5 | 8 | 0.5 | 0.15 |
2000 | 1.03 | 0.36 | 1.36 | 1.27 | 28 | 194 | 961 | 259 | 704 | 36 | 37 | 92 | 117 | 1 | 0.4 | 5 | 0.18 | 0.16 |
2001 | 0.77 | 0.38 | 1.25 | 1.07 | 20 | 214 | 612 | 264 | 971 | 44 | 34 | 101 | 108 | 3 | 1.1 | 4 | 0.2 | 0.17 |
2002 | 0.56 | 0.41 | 1.1 | 1.11 | 25 | 239 | 877 | 260 | 1234 | 48 | 27 | 102 | 113 | 0 | 5 | 0.2 | 0.21 | |
2003 | 0.64 | 0.44 | 1.28 | 1 | 26 | 265 | 462 | 335 | 1573 | 45 | 29 | 109 | 109 | 10 | 3 | 6 | 0.23 | 0.22 |
2004 | 0.94 | 0.49 | 1.57 | 1.36 | 30 | 295 | 791 | 458 | 2036 | 51 | 48 | 115 | 156 | 13 | 2.8 | 6 | 0.2 | 0.22 |
2005 | 0.73 | 0.51 | 1.49 | 0.88 | 29 | 324 | 809 | 481 | 2520 | 56 | 41 | 129 | 113 | 8 | 1.7 | 17 | 0.59 | 0.23 |
2006 | 1.02 | 0.5 | 1.5 | 0.98 | 33 | 357 | 1013 | 534 | 3056 | 59 | 60 | 130 | 127 | 12 | 2.2 | 10 | 0.3 | 0.22 |
2007 | 0.87 | 0.46 | 1.6 | 0.9 | 27 | 384 | 661 | 610 | 3672 | 62 | 54 | 143 | 129 | 9 | 1.5 | 8 | 0.3 | 0.2 |
2008 | 1.12 | 0.49 | 1.61 | 1.03 | 30 | 414 | 793 | 663 | 4340 | 60 | 67 | 145 | 150 | 28 | 4.2 | 15 | 0.5 | 0.23 |
2009 | 0.72 | 0.48 | 1.62 | 0.97 | 22 | 436 | 529 | 707 | 5047 | 57 | 41 | 149 | 145 | 41 | 5.8 | 10 | 0.45 | 0.24 |
2014 | 0 | 0.55 | 2.16 | 2.5 | 16 | 452 | 364 | 976 | 9269 | 0 | 22 | 55 | 20 | 2 | 7 | 0.44 | 0.23 | |
2015 | 1.19 | 0.55 | 2.03 | 1.19 | 28 | 480 | 329 | 972 | 10242 | 16 | 19 | 16 | 19 | 0 | 6 | 0.21 | 0.23 | |
2016 | 1.14 | 0.53 | 2.37 | 1.14 | 33 | 513 | 487 | 1209 | 11457 | 44 | 50 | 44 | 50 | 8 | 0.7 | 22 | 0.67 | 0.21 |
2017 | 1.26 | 0.55 | 1.98 | 1.34 | 35 | 548 | 313 | 1079 | 12540 | 61 | 77 | 77 | 103 | 2 | 0.2 | 13 | 0.37 | 0.21 |
2018 | 1.53 | 0.56 | 1.98 | 1.5 | 37 | 585 | 204 | 1156 | 13696 | 68 | 104 | 112 | 168 | 17 | 1.5 | 15 | 0.41 | 0.24 |
2019 | 1.01 | 0.58 | 1.9 | 1.45 | 35 | 620 | 357 | 1176 | 14872 | 72 | 73 | 149 | 216 | 10 | 0.9 | 29 | 0.83 | 0.23 |
2020 | 1.18 | 0.7 | 2.07 | 1.35 | 47 | 667 | 257 | 1379 | 16251 | 72 | 85 | 168 | 226 | 52 | 3.8 | 24 | 0.51 | 0.33 |
2021 | 1.8 | 0.84 | 2.02 | 1.49 | 42 | 709 | 95 | 1434 | 17685 | 82 | 148 | 187 | 279 | 103 | 7.2 | 11 | 0.26 | 0.31 |
2022 | 1.2 | 0.93 | 1.78 | 1.23 | 30 | 739 | 25 | 1315 | 19000 | 89 | 107 | 196 | 242 | 56 | 4.3 | 9 | 0.3 | 0.28 |
2023 | 0.93 | 1.04 | 1.62 | 1.15 | 26 | 765 | 16 | 1240 | 20240 | 72 | 67 | 191 | 219 | 28 | 2.3 | 12 | 0.46 | 0.28 |
IF: | Two years Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for all series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Five years Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 1999 | Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers || Download paper | 2505 |
2 | 1996 | A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers || Download paper | 742 |
3 | 1997 | Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers || Download paper | 482 |
4 | 1995 | THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers || Download paper | 418 |
5 | 2000 | Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers || Download paper | 271 |
6 | 1998 | Long memory in continuousââ¬Âtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers || Download paper | 250 |
7 | 1997 | The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers || Download paper | 237 |
8 | 2006 | A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers || Download paper | 225 |
9 | 1994 | MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204. Full description at Econpapers || Download paper | 181 |
10 | 2002 | Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286. Full description at Econpapers || Download paper | 177 |
11 | 1994 | MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT. (1994). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:155-167. Full description at Econpapers || Download paper | 153 |
12 | 2006 | MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547. Full description at Econpapers || Download paper | 148 |
13 | 1993 | BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES. (1993). Geman, Helyette ; Yor, Marc. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:4:p:349-375. Full description at Econpapers || Download paper | 147 |
14 | 1997 | Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers || Download paper | 146 |
15 | 1992 | ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS. (1992). Jarrow, Robert ; Carr, Peter ; Myneni, Ravi. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:87-106. Full description at Econpapers || Download paper | 146 |
16 | 1991 | Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers || Download paper | 146 |
17 | 2000 | The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets. (2000). Frittelli, Marco. In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:1:p:39-52. Full description at Econpapers || Download paper | 139 |
18 | 2007 | AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers || Download paper | 136 |
19 | 1999 | Interest Rate Dynamics and Consistent Forward Rate Curves. (1999). Christensen, Bent Jesper ; Bjork, Tomas . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348. Full description at Econpapers || Download paper | 132 |
20 | 2003 | Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers || Download paper | 128 |
21 | 1992 | DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pag̮̬s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers || Download paper | 127 |
22 | 2000 | Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers || Download paper | 124 |
23 | 2008 | BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers || Download paper | 123 |
24 | 1996 | HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2. (1996). Karatzas, Ioannis ; Jaksa Cvitanić, . In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:2:p:133-165. Full description at Econpapers || Download paper | 122 |
25 | 2004 | The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time. (2004). Schachermayer, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:19-48. Full description at Econpapers || Download paper | 122 |
26 | 1993 | OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS. (1993). Grossman, Sanford ; Zhou, Zhongquan. In: Mathematical Finance. RePEc:bla:mathfi:v:3:y:1993:i:3:p:241-276. Full description at Econpapers || Download paper | 121 |
27 | 2002 | Exponential Hedging and Entropic Penalties. (2002). Stricker, Christophe ; Rheinlander, Thorsten ; Grandits, Peter ; Schweizer, Martin ; Delbaen, Freddy ; Samperi, Dominick. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:2:p:99-123. Full description at Econpapers || Download paper | 120 |
28 | 1997 | Pricing Stock Options in a Jumpââ¬ÂDiffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods. (1997). Scott, Louis O.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:413-426. Full description at Econpapers || Download paper | 116 |
29 | 2002 | A DIFFUSION MODEL FOR ELECTRICITY PRICES. (2002). Barlow, M. T.. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:287-298. Full description at Econpapers || Download paper | 115 |
30 | 1997 | Bond Market Structure in the Presence of Marked Point Processes. (1997). Úðñðýþò, îÃâ¬Ã¸Ã¹ ; Runggaldier, Wolfgang ; Bjork, Tomas ; Kabanov, Yuri . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:211-239. Full description at Econpapers || Download paper | 115 |
31 | 2004 | THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES. (2004). Lee, Roger W.. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:3:p:469-480. Full description at Econpapers || Download paper | 115 |
32 | 2005 | AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers || Download paper | 113 |
33 | 1991 | Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers || Download paper | 112 |
34 | 2007 | THE RANGE OF TRADED OPTION PRICES. (2007). Hobson, David G. ; Mark H. A. Davis, . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:1:p:1-14. Full description at Econpapers || Download paper | 105 |
35 | 1995 | VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE. (1995). Sankarasubramanian, L. ; Ritchken, Peter . In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:55-72. Full description at Econpapers || Download paper | 104 |
36 | 2008 | OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Ely̮̬s ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers || Download paper | 103 |
37 | 2019 | 103 | |
38 | 2001 | The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims. (2001). Takahashi, Akihiko ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:11:y:2001:i:1:p:117-151. Full description at Econpapers || Download paper | 102 |
39 | 1998 | Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach. (1998). Koo, Hyeng Keun. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:49-65. Full description at Econpapers || Download paper | 99 |
40 | 2009 | RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers || Download paper | 99 |
41 | 2005 | DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS. (2005). Lando, David ; Jarrow, Robert ; Yu, Fan. In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:1-26. Full description at Econpapers || Download paper | 98 |
42 | 1999 | Term Structure Models Driven by General Lévy Processes. (1999). Raible, Sebastian ; Eberlein, Ernst. In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:1:p:31-53. Full description at Econpapers || Download paper | 98 |
43 | 2016 | COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers || Download paper | 93 |
44 | 1998 | Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers || Download paper | 92 |
45 | 1997 | An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs. (1997). Wilmott, P. ; Whalley, A. E.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:307-324. Full description at Econpapers || Download paper | 92 |
46 | 1997 | A Continuity Correction for Discrete Barrier Options. (1997). Glasserman, Paul ; Broadie, Mark ; Kou, Steven. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:4:p:325-349. Full description at Econpapers || Download paper | 92 |
47 | 1996 | OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL. (1996). Renault, Eric ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:3:p:279-302. Full description at Econpapers || Download paper | 91 |
48 | 2002 | VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION. (2002). Henderson, Vicky. In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:4:p:351-373. Full description at Econpapers || Download paper | 87 |
49 | 2004 | Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall. (2004). Scaillet, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:14:y:2004:i:1:p:115-129. Full description at Econpapers || Download paper | 86 |
50 | 2014 | MEANââ¬âVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers || Download paper | 85 |
# | Year | Title | Cited |
---|---|---|---|
1 | 1999 | Coherent Measures of Risk. (1999). Artzner, Philippe ; Delbaen, Freddy ; Heath, David ; Eber, Jean-Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:9:y:1999:i:3:p:203-228. Full description at Econpapers || Download paper | 335 |
2 | 1997 | Backward Stochastic Differential Equations in Finance. (1997). ElKaroui, N. ; Quenez, M. C. ; Peng, S. ; El Karoui, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:1-71. Full description at Econpapers || Download paper | 57 |
3 | 2019 | 56 | |
4 | 1995 | THE GARCH OPTION PRICING MODEL. (1995). Duan, Jin-Chuan. In: Mathematical Finance. RePEc:bla:mathfi:v:5:y:1995:i:1:p:13-32. Full description at Econpapers || Download paper | 37 |
5 | 1998 | Long memory in continuousââ¬Âtime stochastic volatility models. (1998). Renault, Eric ; Comte, Fabienne. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:4:p:291-323. Full description at Econpapers || Download paper | 37 |
6 | 2000 | Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. (2000). Li, Duan ; Ng, Wan-Lung . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:3:p:387-406. Full description at Econpapers || Download paper | 35 |
7 | 2016 | COHERENCE AND ELICITABILITY. (2016). Ziegel, Johanna F. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:4:p:901-918. Full description at Econpapers || Download paper | 33 |
8 | 2019 | Mean field and nââ¬Âagent games for optimal investment under relative performance criteria. (2019). Zariphopoulou, Thaleia ; Lacker, Daniel. In: Mathematical Finance. RePEc:bla:mathfi:v:29:y:2019:i:4:p:1003-1038. Full description at Econpapers || Download paper | 31 |
9 | 1996 | A YIELD-FACTOR MODEL OF INTEREST RATES. (1996). Duffie, Darrell ; Kan, Rui. In: Mathematical Finance. RePEc:bla:mathfi:v:6:y:1996:i:4:p:379-406. Full description at Econpapers || Download paper | 30 |
10 | 1991 | Universal Portfolios. (1991). Cover, Thomas M.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:1:p:1-29. Full description at Econpapers || Download paper | 27 |
11 | 2007 | AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT. (2007). Ben-Tal, Aharon ; Teboulle, Marc . In: Mathematical Finance. RePEc:bla:mathfi:v:17:y:2007:i:3:p:449-476. Full description at Econpapers || Download paper | 26 |
12 | 2016 | RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS. (2016). Amini, Hamed ; Minca, Andreea ; Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:329-365. Full description at Econpapers || Download paper | 25 |
13 | 1997 | The Market Model of Interest Rate Dynamics. (1997). Brace, Alan ; Musiela, Marek ; Dariusz G¸atarek, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:2:p:127-155. Full description at Econpapers || Download paper | 24 |
14 | 2008 | BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME. (2008). Jin, Hanqing ; Zhou, Xun Yu ; Xun Yu Zhou, . In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:385-426. Full description at Econpapers || Download paper | 23 |
15 | 2020 | Network valuation in financial systems. (2020). D'Errico, Marco ; Caccioli, Fabio ; Bardoscia, Marco ; Barucca, Paolo ; Battiston, Stefano ; Caldarelli, Guido ; Visentin, Gabriele. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1181-1204. Full description at Econpapers || Download paper | 21 |
16 | 2005 | ON THE AMERICAN OPTION PROBLEM. (2005). Peskir, Goran . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:169-181. Full description at Econpapers || Download paper | 20 |
17 | 2015 | OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS. (2015). Espinosa, Gilles-Edouard ; Touzi, Nizar. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:2:p:221-257. Full description at Econpapers || Download paper | 20 |
18 | 2006 | DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY. (2006). Weber, Stefan. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:419-441. Full description at Econpapers || Download paper | 19 |
19 | 2014 | MEANââ¬âVARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION. (2014). Bjork, Tomas ; Yu, Xun ; Murgoci, Agatha . In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24. Full description at Econpapers || Download paper | 19 |
20 | 2006 | MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS. (2006). Cont, Rama. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:3:p:519-547. Full description at Econpapers || Download paper | 19 |
21 | 1997 | Arbitrage with Fractional Brownian Motion. (1997). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:1:p:95-105. Full description at Econpapers || Download paper | 18 |
22 | 2000 | Pricing Via Utility Maximization and Entropy. (2000). el Karoui, Nicole ; Rouge, Richard . In: Mathematical Finance. RePEc:bla:mathfi:v:10:y:2000:i:2:p:259-276. Full description at Econpapers || Download paper | 18 |
23 | 2016 | A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM. (2016). Beiglbock, M ; Schachermayer, W ; Penkner, F ; Acciaio, B. In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:2:p:233-251. Full description at Econpapers || Download paper | 18 |
24 | 2002 | Monte Carlo valuation of American options. (2002). Rogers, Leonard ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:12:y:2002:i:3:p:271-286. Full description at Econpapers || Download paper | 18 |
25 | 1994 | MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. (1994). Taylor, Stephen J.. In: Mathematical Finance. RePEc:bla:mathfi:v:4:y:1994:i:2:p:183-204. Full description at Econpapers || Download paper | 17 |
26 | 2003 | Stochastic Volatility for Lévy Processes. (2003). Madan, Dilip B. ; Carr, Peter ; Yor, Marc ; Geman, Helyette. In: Mathematical Finance. RePEc:bla:mathfi:v:13:y:2003:i:3:p:345-382. Full description at Econpapers || Download paper | 17 |
27 | 2008 | OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS. (2008). Jouini, Ely̮̬s ; SCHACHERMAYER, W. ; Touzi, N.. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:2:p:269-292. Full description at Econpapers || Download paper | 17 |
28 | 2008 | OPTIMAL PORTFOLIO, CONSUMPTION-LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY. (2008). Shim, Gyoocheol ; Shin, Yong Hyun ; Choi, Kyoung Jin. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:445-472. Full description at Econpapers || Download paper | 16 |
29 | 1992 | Pricing Options With Curved Boundaries. (1992). Ikeda, Masayuki ; Kunitomo, Naoto. In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:4:p:275-298. Full description at Econpapers || Download paper | 16 |
30 | 2020 | Meanââ¬Âfield games with differing beliefs for algorithmic trading. (2020). Jaimungal, Sebastian ; Casgrain, Philippe. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:995-1034. Full description at Econpapers || Download paper | 16 |
31 | 2017 | THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL. (2017). Grasselli, Martino. In: Mathematical Finance. RePEc:bla:mathfi:v:27:y:2017:i:4:p:1013-1034. Full description at Econpapers || Download paper | 15 |
32 | 2006 | DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION. (2006). Shim, Gyoocheol ; Choi, Kyoung Jin. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:2:p:443-467. Full description at Econpapers || Download paper | 15 |
33 | 2009 | RISK MEASURES ON ORLICZ HEARTS. (2009). Cheridito, Patrick ; Li, Tianhui . In: Mathematical Finance. RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214. Full description at Econpapers || Download paper | 14 |
34 | 2014 | LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY. (2014). Bayraktar, Erhan ; Ludkovski, Michael. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:4:p:627-650. Full description at Econpapers || Download paper | 14 |
35 | 1991 | Optimal Stopping and the American Put. (1991). Jacka, S. D.. In: Mathematical Finance. RePEc:bla:mathfi:v:1:y:1991:i:2:p:1-14. Full description at Econpapers || Download paper | 14 |
36 | 2005 | A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS. (2005). Pages, Gilles ; Bally, Vlad ; Printems, Jacques . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:1:p:119-168. Full description at Econpapers || Download paper | 13 |
37 | 2019 | 13 | |
38 | 2005 | AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION. (2005). Kalkbrener, Michael . In: Mathematical Finance. RePEc:bla:mathfi:v:15:y:2005:i:3:p:425-437. Full description at Econpapers || Download paper | 13 |
39 | 2014 | ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS. (2014). Pallavicini, Andrea ; Brigo, Damiano ; Capponi, Agostino. In: Mathematical Finance. RePEc:bla:mathfi:v:24:y:2014:i:1:p:125-146. Full description at Econpapers || Download paper | 12 |
40 | 1998 | Robustness of the Black and Scholes Formula. (1998). el Karoui, Nicole ; Jeanblanc-Picque, Monique ; Shreve, Steven E.. In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:2:p:93-126. Full description at Econpapers || Download paper | 12 |
41 | 1992 | DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS. (1992). Scheinkman, Jose ; Pag̮̬s, Henri ; Bensaid, Bernard ; Lesne, Jean-Philippe ; Pages, Henri . In: Mathematical Finance. RePEc:bla:mathfi:v:2:y:1992:i:2:p:63-86. Full description at Econpapers || Download paper | 12 |
42 | 2006 | A BENCHMARK APPROACH TO FINANCE. (2006). Platen, Eckhard. In: Mathematical Finance. RePEc:bla:mathfi:v:16:y:2006:i:1:p:131-151. Full description at Econpapers || Download paper | 12 |
43 | 1998 | Complete Models with Stochastic Volatility. (1998). Rogers, Leonard ; Hobson, David G. ; L. C. G. Rogers, . In: Mathematical Finance. RePEc:bla:mathfi:v:8:y:1998:i:1:p:27-48. Full description at Econpapers || Download paper | 12 |
44 | 2020 | Computational aspects of robust optimized certainty equivalents and option pricing. (2020). Drapeau, Samuel ; Bartl, Daniel ; Tangpi, Ludovic. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:1:p:287-309. Full description at Econpapers || Download paper | 12 |
45 | 2015 | GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION. (2015). LEHALLE, Charles-Albert ; Gueant, Olivier. In: Mathematical Finance. RePEc:bla:mathfi:v:25:y:2015:i:3:p:457-495. Full description at Econpapers || Download paper | 11 |
46 | 2016 | A NOTE ON THE QUANTILE FORMULATION. (2016). Xu, Zuoquan . In: Mathematical Finance. RePEc:bla:mathfi:v:26:y:2016:i:3:p:589-601. Full description at Econpapers || Download paper | 11 |
47 | 2018 | ROBUST UTILITY MAXIMIZATION WITH LÃÆââ¬Â°VY PROCESSES. (2018). Neufeld, Ariel ; Nutz, Marcel. In: Mathematical Finance. RePEc:bla:mathfi:v:28:y:2018:i:1:p:82-105. Full description at Econpapers || Download paper | 11 |
48 | 2008 | PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÃâ°VY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH. (2008). Mingfeng, LI ; Linetsky, Vadim. In: Mathematical Finance. RePEc:bla:mathfi:v:18:y:2008:i:3:p:337-384. Full description at Econpapers || Download paper | 11 |
49 | 1997 | The Valuation of American Options on Multiple Assets. (1997). Broadie, Mark ; Jerôme Detemple, . In: Mathematical Finance. RePEc:bla:mathfi:v:7:y:1997:i:3:p:241-286. Full description at Econpapers || Download paper | 11 |
50 | 2020 | Continuousââ¬Âtime meanââ¬âvariance portfolio selection: A reinforcement learning framework. (2020). Yu, Xun ; Wang, Haoran. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1273-1308. Full description at Econpapers || Download paper | 11 |
Year | Title | |
---|---|---|
2023 | Optimal control of martingales in a radially symmetric environment. (2023). Robinson, Benjamin A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:159:y:2023:i:c:p:149-198. Full description at Econpapers || Download paper | |
2023 | Mitigating Decentralized Finance Liquidations with Reversible Call Options. (2023). Zhou, Liyi ; Gervais, Arthur ; Jovanovic, Philipp ; Ernstberger, Jens ; Qin, Kaihua. In: Papers. RePEc:arx:papers:2303.15162. Full description at Econpapers || Download paper | |
2023 | The four types of stablecoins: A comparative analysis. (2023). Beccuti, Juan ; Dietl, Helmut ; Pereira, Marco Henriques ; Hafner, Matthias. In: Papers. RePEc:arx:papers:2308.07041. Full description at Econpapers || Download paper | |
2023 | Randomisation with moral hazard: a path to existence of optimal contracts. (2023). Possamai, Dylan ; Krvsek, Daniel. In: Papers. RePEc:arx:papers:2311.13278. Full description at Econpapers || Download paper | |
2023 | Golden parachutes under the threat of accidents. (2023). Rossato, Chiara ; Possamai, Dylan. In: Papers. RePEc:arx:papers:2312.02101. Full description at Econpapers || Download paper | |
2023 | Machine learning techniques in joint default assessment. (2022). luciano, elisa ; Semeraro, Patrizia ; Doria, Margherita. In: Papers. RePEc:arx:papers:2205.01524. Full description at Econpapers || Download paper | |
2023 | Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions. (2022). Gu, Olivier ; Bouba, David ; Bertucci, Louis ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2212.00336. Full description at Econpapers || Download paper | |
2023 | Over-the-Counter Market Making via Reinforcement Learning. (2023). Xu, Haiqing ; Fang, Zhou. In: Papers. RePEc:arx:papers:2307.01816. Full description at Econpapers || Download paper | |
2023 | Algorithmic market making in dealer markets with hedging and market impact. (2023). Gueant, Olivier ; Bergault, Philippe ; Barzykin, Alexander. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:41-79. Full description at Econpapers || Download paper | |
2023 | Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers || Download paper | |
2023 | Time-inconsistent contract theory. (2023). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2303.01601. Full description at Econpapers || Download paper | |
2023 | Continuous-time incentives in hierarchies. (2023). Hubert, Emma. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00506-0. Full description at Econpapers || Download paper | |
2023 | Markov risk mappings and risk-sensitive optimal prediction. (2023). Moriarty, John ; Martyr, Randall ; Kosmala, Tomasz. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:97:y:2023:i:1:d:10.1007_s00186-022-00802-z. Full description at Econpapers || Download paper | |
2023 | Detecting data-driven robust statistical arbitrage strategies with deep neural networks. (2022). Neufeld, Ariel ; Yin, Daiying ; Sester, Julian. In: Papers. RePEc:arx:papers:2203.03179. Full description at Econpapers || Download paper | |
2023 | A hidden Markov model for statistical arbitrage in international crude oil futures markets. (2023). Rotondi, Francesco ; Fontana, Claudio ; Fanelli, Viviana. In: Papers. RePEc:arx:papers:2309.00875. Full description at Econpapers || Download paper | |
2023 | International high-frequency arbitrage for cross-listed stocks. (2023). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002934. Full description at Econpapers || Download paper | |
2023 | Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6. Full description at Econpapers || Download paper | |
2023 | Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z. Full description at Econpapers || Download paper | |
2023 | Deep empirical risk minimization in finance: Looking into the future. (2023). Soner, Halil Mete ; Reppen, Anders Max. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:1:p:116-145. Full description at Econpapers || Download paper | |
2023 | ||
2023 | L\evy bandits under Poissonian decision times. (2023). Yamazaki, Kazutoshi ; Jos'e-Luis P'erez, . In: Papers. RePEc:arx:papers:2301.07798. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations. (2022). Balch, Tucker ; Zheng, Zeyu ; Xu, Mengda ; Vann, Jared ; Amrouni, Selim ; Spooner, Thomas ; Ganesh, Sumitra ; Ardon, Leo ; Vadori, Nelson ; Veloso, Manuela. In: Papers. RePEc:arx:papers:2210.07184. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper | |
2023 | A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599. Full description at Econpapers || Download paper | |
2023 | E-backtesting. (2022). Ziegel, Johanna ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2209.00991. Full description at Econpapers || Download paper | |
2023 | A risk measurement approach from risk-averse stochastic optimization of score functions. (2022). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2208.14809. Full description at Econpapers || Download paper | |
2023 | Stochastic Algorithms for Advanced Risk Budgeting. (2022). Gu, Olivier ; Fermanian, Jean-David ; Cetingoz, Adil Rengim. In: Papers. RePEc:arx:papers:2211.07212. Full description at Econpapers || Download paper | |
2023 | Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420. Full description at Econpapers || Download paper | |
2023 | Optimal insurance with mean-deviation measures. (2023). Han, Xia ; Boonen, Tim J. In: Papers. RePEc:arx:papers:2312.01813. Full description at Econpapers || Download paper | |
2023 | The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. I: Foundations. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00495-6. Full description at Econpapers || Download paper | |
2023 | The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. II: Existence, uniqueness and verification for ? ? ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5. Full description at Econpapers || Download paper | |
2023 | Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014. Full description at Econpapers || Download paper | |
2023 | Linear-Quadratic-Singular Stochastic Differential Games and Applications. (2023). Vepsaelaeinen, M ; Laine, Mikko ; Burnier, Yannis. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:678. Full description at Econpapers || Download paper | |
2023 | ||
2023 | Sensitivity of multi-period optimization problems in adapted Wasserstein distance. (2022). Wiesel, Johannes ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2208.05656. Full description at Econpapers || Download paper | |
2023 | Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665. Full description at Econpapers || Download paper | |
2023 | Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers || Download paper | |
2023 | Robust option pricing with volatility term structure -- An empirical study for variance options. (2023). Grass, Annemarie M. In: Papers. RePEc:arx:papers:2312.09201. Full description at Econpapers || Download paper | |
2023 | Gamma Hedging and Rough Paths. (2023). Ionescu, Andrei ; Armstrong, John. In: Papers. RePEc:arx:papers:2309.05054. Full description at Econpapers || Download paper | |
2023 | Signature SDEs from an affine and polynomial perspective. (2023). Teichmann, Josef ; Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362. Full description at Econpapers || Download paper | |
2023 | Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2023). Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2302.07758. Full description at Econpapers || Download paper | |
2023 | Fast and Slow Optimal Trading with Exogenous Information. (2022). Neuman, Eyal ; Micheli, Alessandro. In: Papers. RePEc:arx:papers:2210.01901. Full description at Econpapers || Download paper | |
2023 | Do price trajectory data increase the efficiency of market impact estimation?. (2022). Nevmyvaka, Yuriy ; Schneider, Anderson ; Kinnear, Ryan ; Ihnatiuk, Vitalii ; Li, Fengpei. In: Papers. RePEc:arx:papers:2205.13423. Full description at Econpapers || Download paper | |
2023 | Macroscopic Market Making. (2023). Nam, Kihun ; Jin, Shijia ; Guo, Ivan. In: Papers. RePEc:arx:papers:2307.14129. Full description at Econpapers || Download paper | |
2023 | A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation. (2023). Warin, Xavier ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2307.16619. Full description at Econpapers || Download paper | |
2023 | A change of variable formula with applications to multi-dimensional optimal stopping problems. (2023). de Angelis, Tiziano ; Cai, Cheng. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:33-61. Full description at Econpapers || Download paper | |
2023 | Reinsurance games with two reinsurers: Tree versus chain. (2023). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:928-941. Full description at Econpapers || Download paper | |
2023 | Multiple per-claim reinsurance based on maximizing the Lundberg exponent. (2023). Zhou, Ming ; Wei, LI ; Meng, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:33-47. Full description at Econpapers || Download paper | |
2023 | ||
2023 | Duality in optimal consumption--investment problems with alternative data. (2022). Wong, Hoi Ying ; Chen, Kexin. In: Papers. RePEc:arx:papers:2210.08422. Full description at Econpapers || Download paper | |
2023 | On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation. (2023). Runggaldier, Wolfgang J ; Lleo, S'Ebastien. In: Papers. RePEc:arx:papers:2304.08910. Full description at Econpapers || Download paper | |
2023 | On time-consistent equilibrium stopping under aggregation of diverse discount rates. (2023). Zhang, Jiacheng ; Yu, Xiang ; Deng, Shuoqing. In: Papers. RePEc:arx:papers:2302.07470. Full description at Econpapers || Download paper | |
2023 | Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30. Full description at Econpapers || Download paper | |
2023 | ||
2023 | Weak equilibriums for time-inconsistent stopping control problems. (2021). Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2105.06607. Full description at Econpapers || Download paper | |
2023 | Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850. Full description at Econpapers || Download paper | |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper | |
2023 | Bowley vs. Pareto optima in reinsurance contracting. (2023). Ghossoub, Mario ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:1:p:382-391. Full description at Econpapers || Download paper | |
2023 | Robust utility maximisation under proportional transaction costs for c\`adl\`ag price processes. (2022). Huwyler, Raphael ; Czichowsky, Christoph. In: Papers. RePEc:arx:papers:2211.00532. Full description at Econpapers || Download paper | |
2023 | Duality Theory for Exponential Utility Based Hedging in the Almgren--Chriss Model. (2022). Dolinsky, Yan. In: Papers. RePEc:arx:papers:2210.03917. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166. Full description at Econpapers || Download paper | |
2023 | Online portfolio selection with state-dependent price estimators and transaction costs. (2023). Ching, Wai-Ki ; Fok, Christopher H ; Gu, Jia-Wen ; Guo, Sini. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:1:p:333-353. Full description at Econpapers || Download paper | |
2023 | Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models. (2023). Tsianni, Maria Olympia ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2302.00434. Full description at Econpapers || Download paper | |
2023 | The Measure Preserving Martingale Sinkhorn Algorithm. (2023). Loeper, Gregoire. In: Papers. RePEc:arx:papers:2310.13797. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2023 | Understanding the least well-kept secret of high-frequency trading. (2023). Sfendourakis, Emmanouil ; Rosenbaum, Mathieu ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2307.15599. Full description at Econpapers || Download paper | |
2023 | Reinforcement Learning for Financial Index Tracking. (2023). He, Xue Dong ; Gong, Chenyin ; Peng, Xianhua. In: Papers. RePEc:arx:papers:2308.02820. Full description at Econpapers || Download paper | |
2023 | Modeling liquidity in corporate bond markets: applications to price adjustments. (2023). Gu, Olivier ; Bergault, Philippe. In: Papers. RePEc:arx:papers:2309.04216. Full description at Econpapers || Download paper | |
2023 | Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Zhao, Long ; Webster, Kevin ; Nutz, Marcel. In: Papers. RePEc:arx:papers:2310.14144. Full description at Econpapers || Download paper | |
2023 | Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784. Full description at Econpapers || Download paper | |
2023 | ||
2023 | Climate policies, macroprudential regulation, and the welfare cost of business cycles. (2023). Diluiso, Francesca ; Carli, Marco ; Annicchiarico, Barbara. In: Bank of England working papers. RePEc:boe:boeewp:1036. Full description at Econpapers || Download paper | |
2023 | Multivariate stress scenario selection in interbank networks. (2023). Kwon, Eunji ; Kim, Kyoung-Kuk ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | New Classes of Distortion Risk Measures and Their Estimation. (2023). Wang, Xiwen ; Sepanski, Jungsywan H. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:11:p:194-:d:1277752. Full description at Econpapers || Download paper | |
2023 | Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers || Download paper | |
2023 | Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2022 | Robust control problems of BSDEs coupled with value functions. (2022). Zhou, Chao ; Zhang, Jing ; Yang, Zhou. In: Papers. RePEc:arx:papers:2208.10735. Full description at Econpapers || Download paper | |
2022 | Robustness of Hilbert space-valued stochastic volatility models. (2022). Eyjolfsson, Heidar ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:2211.16071. Full description at Econpapers || Download paper | |
2022 | Designing Autonomous Markets for Stablecoin Monetary Policy. (2022). Schuldenzucker, Steffen ; Klages-Mundt, Ariah. In: Papers. RePEc:arx:papers:2212.12398. Full description at Econpapers || Download paper | |
2022 | Optimal dividends under Markov-modulated bankruptcy level. (2022). Zhu, Shihao ; Schuhmann, Patrick ; Ferrari, Giorgio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:146-172. Full description at Econpapers || Download paper | |
2022 | On stock-based loans. (2022). Ritchken, Peter H ; McWalter, Thomas A. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:52:y:2022:i:c:s1042957322000444. Full description at Econpapers || Download paper | |
2022 | The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers || Download paper | |
2022 | Optimal Control of Diffusion Processes with Terminal Constraint in Law. (2022). Daudin, Samuel. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:195:y:2022:i:1:d:10.1007_s10957-022-02053-8. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Signal-to-noise matrix and model reduction in continuous-time hidden Markov models. (2022). Sass, Jorn ; Ruderer, Leonie ; Leoff, Elisabeth. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:95:y:2022:i:2:d:10.1007_s00186-022-00784-y. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2021 | Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation. (2021). He, Xuedong ; Yu, Xun. In: Papers. RePEc:arx:papers:2105.01829. Full description at Econpapers || Download paper | |
2021 | Risk measures induced by efficient insurance contracts. (2021). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2109.00314. Full description at Econpapers || Download paper | |
2021 | Proper solutions for Epstein-Zin Stochastic Differential Utility. (2021). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2112.06708. Full description at Econpapers || Download paper | |
2021 | Consistent investment of sophisticated rank?dependent utility agents in continuous time. (2021). Yu, Xun ; Jin, Hanqing ; Hu, Ying. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:1056-1095. Full description at Econpapers || Download paper | |
2021 | Optimal stopping under model ambiguity: A time?consistent equilibrium approach. (2021). Yu, Xiang ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:979-1012. Full description at Econpapers || Download paper | |
2021 | In memoriam: Mark H. A. Davis and his contributions to mathematical finance. (2021). Zariphopoulou, Thaleia ; Oboj, Jan. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:4:p:1099-1110. Full description at Econpapers || Download paper | |
2021 | A refined measure of conditional maximum drawdown. (2021). Rossello, Damiano ; lo Cascio, Silvestro. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:4:d:10.1057_s41283-021-00081-8. Full description at Econpapers || Download paper | |
2021 | CBI-time-changed Lévy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Working Papers. RePEc:ver:wpaper:14/2021. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2020 | Valuing Tradeability in Exponential L\evy Models. (2019). Mathys, Ludovic. In: Papers. RePEc:arx:papers:1912.00469. Full description at Econpapers || Download paper | |
2020 | Double continuation regions for American options under Poisson exercise opportunities. (2020). Yamazaki, Kazutoshi ; Jos'e Luis P'erez, ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:2004.03330. Full description at Econpapers || Download paper | |
2020 | The Hansen ratio in mean--variance portfolio theory. (2020). Vcern, Alevs. In: Papers. RePEc:arx:papers:2007.15980. Full description at Econpapers || Download paper | |
2020 | Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454. Full description at Econpapers || Download paper | |
2020 | Multi-utility representations of incomplete preferences induced by set-valued risk measures. (2020). Munari, Cosimo. In: Papers. RePEc:arx:papers:2009.04151. Full description at Econpapers || Download paper | |
2020 | Convergence of Optimal Expected Utility for a Sequence of Binomial Models. (2020). Schachermayer, Walter ; Hubalek, Friedrich. In: Papers. RePEc:arx:papers:2009.09751. Full description at Econpapers || Download paper | |
2020 | Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Horst, Ulrich ; Fu, Guanxing ; Xia, Xiaonyu. In: Papers. RePEc:arx:papers:2011.05589. Full description at Econpapers || Download paper | |
2020 | Price formation and optimal trading in intraday electricity markets with a major player. (2020). Tankov, Peter ; Tinsi, Laura. In: Papers. RePEc:arx:papers:2011.07655. Full description at Econpapers || Download paper | |
2020 | An Equilibrium Model for the Cross-Section of Liquidity Premia. (2020). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Yang, Chen. In: Papers. RePEc:arx:papers:2011.13625. Full description at Econpapers || Download paper | |
2020 | A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: Working Papers. RePEc:bfi:wpaper:2020-101. Full description at Econpapers || Download paper | |
2020 | Optimal Dividend Payout under Stochastic Discounting. (2020). Mitzel, Norbert W ; Stammler, Hans-Georg ; Neumann, Beate ; Strasser, Ulf. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:636. Full description at Econpapers || Download paper | |
2020 | Semimartingale theory of monotone meanââ¬âvariance portfolio allocation. (2020). ÃÅerný, AleÃ
¡. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178. Full description at Econpapers || Download paper | |
2020 | Dividend policy and capital structure of a defaultable firm. (2020). , Alex ; Lex, A ; Alex, . In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:961-994. Full description at Econpapers || Download paper | |
2020 | A Continuous-Time Model of Financial Clearing. (2020). Sonin, Konstantin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15117. Full description at Econpapers || Download paper | |
2020 | Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time. (2020). Jin, Zhuo ; Zhou, Zhou. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:100-108. Full description at Econpapers || Download paper | |
2020 | Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78. Full description at Econpapers || Download paper | |
2020 | Optimal stopping problems for running minima with positive discounting rates. (2020). Gapeev, Pavel V. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105849. Full description at Econpapers || Download paper | |
2020 | Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints. (2020). Sass, Jorn ; Laudage, Christian ; Desmettre, Sascha. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:114-:d:437604. Full description at Econpapers || Download paper | |
2020 | Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player. (2020). Tinsi, Laura ; Tankov, Peter ; Feron, Olivier. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:133-:d:457902. Full description at Econpapers || Download paper | |
2020 | A Deep Neural Network Algorithm for Semilinear Elliptic PDEs with Applications in Insurance Mathematics. (2020). Szolgyenyi, Michaela ; Steinicke, Alexander ; Kremsner, Stefan. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:136-:d:459366. Full description at Econpapers || Download paper | |
2020 | American Step Options. (2019). Moraux, Franck ; Abdou, Souleymane Laminou ; Detemple, Jerome ; De Temple, Jerome. In: Post-Print. RePEc:hal:journl:halshs-02283374. Full description at Econpapers || Download paper | |
2020 | Utility Maximization with Proportional Transaction Costs Under Model Uncertainty. (2020). Yu, Xiang ; Tan, Xiaolu ; Deng, Shuoqing. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:4:p:1210-1236. Full description at Econpapers || Download paper | |
2020 | Network Risk in the European Sovereign CDS Market. (2020). Todorova, Zornitsa. In: The Review of Finance and Banking. RePEc:rfb:journl:v:12:y:2020:i:2:p:137-154. Full description at Econpapers || Download paper |
# | Series | H | Cites | |
---|---|---|---|---|
1 | Papers / arXiv.org | 87 | 2429 | |
2 | Mathematical Finance / Wiley Blackwell | 70 | 249 | |
3 | European Journal of Operational Research / Elsevier | 130 | 233 | |
4 | Finance and Stochastics / Springer | 53 | 231 | |
5 | Insurance: Mathematics and Economics / Elsevier | 55 | 227 | |
6 | 175 | |||
7 | Stochastic Processes and their Applications / Elsevier | 46 | 138 | |
8 | Working Papers / HAL | 59 | 96 | |
9 | Risks / MDPI | 17 | 91 | |
10 | Annals of Operations Research / Springer | 48 | 84 | |
11 | Computational Economics / Springer | 31 | 78 |