[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 | |
1990 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1993 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1994 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.08 | |||||
1996 | 0 | 0.22 | 0.75 | 0 | 4 | 4 | 70 | 4 | 0 | 0 | 0 | 0 | 0.1 | |||||
1997 | 0 | 0.22 | 0.7 | 0 | 16 | 20 | 536 | 14 | 18 | 4 | 4 | 5 | 35.7 | 14 | 0.88 | 0.09 | ||
1998 | 0.65 | 0.26 | 0.39 | 0.65 | 21 | 41 | 468 | 16 | 34 | 20 | 13 | 20 | 13 | 0 | 2 | 0.1 | 0.12 | |
1999 | 0.54 | 0.28 | 0.45 | 0.51 | 25 | 66 | 477 | 28 | 64 | 37 | 20 | 41 | 21 | 0 | 3 | 0.12 | 0.14 | |
2000 | 0.43 | 0.33 | 0.59 | 0.59 | 17 | 83 | 335 | 48 | 113 | 46 | 20 | 66 | 39 | 3 | 6.3 | 1 | 0.06 | 0.15 |
2001 | 0.64 | 0.36 | 0.66 | 0.55 | 29 | 112 | 660 | 73 | 187 | 42 | 27 | 83 | 46 | 1 | 1.4 | 4 | 0.14 | 0.15 |
2002 | 0.5 | 0.39 | 0.58 | 0.56 | 38 | 150 | 844 | 87 | 274 | 46 | 23 | 108 | 60 | 7 | 8 | 5 | 0.13 | 0.21 |
2003 | 0.64 | 0.4 | 0.89 | 0.53 | 0 | 150 | 0 | 133 | 408 | 67 | 43 | 130 | 69 | 0 | 0 | 0.2 | ||
2004 | 0.87 | 0.45 | 0.88 | 0.83 | 29 | 179 | 598 | 158 | 566 | 38 | 33 | 109 | 90 | 0 | 9 | 0.31 | 0.2 | |
2005 | 0.52 | 0.46 | 0.99 | 0.78 | 32 | 211 | 670 | 209 | 775 | 29 | 15 | 113 | 88 | 2 | 1 | 10 | 0.31 | 0.22 |
2006 | 0.93 | 0.46 | 0.95 | 0.84 | 28 | 239 | 452 | 227 | 1002 | 61 | 57 | 128 | 108 | 10 | 4.4 | 2 | 0.07 | 0.21 |
2007 | 0.77 | 0.42 | 0.97 | 0.75 | 27 | 266 | 485 | 257 | 1259 | 60 | 46 | 127 | 95 | 20 | 7.8 | 6 | 0.22 | 0.18 |
2008 | 0.49 | 0.44 | 1 | 0.71 | 24 | 290 | 286 | 287 | 1550 | 55 | 27 | 116 | 82 | 11 | 3.8 | 9 | 0.38 | 0.21 |
2009 | 1.02 | 0.44 | 1.18 | 0.88 | 23 | 313 | 270 | 367 | 1920 | 51 | 52 | 140 | 123 | 15 | 4.1 | 9 | 0.39 | 0.21 |
2010 | 0.81 | 0.43 | 1.14 | 0.9 | 24 | 337 | 248 | 384 | 2304 | 47 | 38 | 134 | 121 | 29 | 7.6 | 5 | 0.21 | 0.18 |
2011 | 0.72 | 0.46 | 1.08 | 0.74 | 29 | 366 | 327 | 393 | 2700 | 47 | 34 | 126 | 93 | 38 | 9.7 | 13 | 0.45 | 0.21 |
2012 | 0.72 | 0.47 | 1.1 | 0.77 | 30 | 396 | 286 | 432 | 3134 | 53 | 38 | 127 | 98 | 51 | 11.8 | 9 | 0.3 | 0.19 |
2013 | 0.81 | 0.53 | 1.3 | 0.85 | 31 | 427 | 279 | 553 | 3688 | 59 | 48 | 130 | 111 | 40 | 7.2 | 9 | 0.29 | 0.22 |
2014 | 0.79 | 0.55 | 1.33 | 0.86 | 31 | 458 | 265 | 609 | 4297 | 61 | 48 | 137 | 118 | 60 | 9.9 | 18 | 0.58 | 0.22 |
2015 | 1.06 | 0.56 | 1.47 | 1.06 | 31 | 489 | 153 | 718 | 5016 | 62 | 66 | 145 | 153 | 72 | 10 | 7 | 0.23 | 0.21 |
2016 | 1.26 | 0.58 | 1.65 | 1.11 | 41 | 530 | 133 | 873 | 5890 | 62 | 78 | 152 | 169 | 86 | 9.9 | 18 | 0.44 | 0.2 |
2017 | 0.81 | 0.6 | 1.54 | 1.02 | 33 | 563 | 106 | 866 | 6756 | 72 | 58 | 164 | 168 | 87 | 10 | 10 | 0.3 | 0.22 |
2018 | 1.15 | 0.76 | 1.48 | 1.01 | 31 | 594 | 63 | 880 | 7636 | 74 | 85 | 167 | 169 | 91 | 10.3 | 19 | 0.61 | 0.31 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | 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 | 2002 | Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers || Download paper | 293 |
2 | 1997 | LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330. Full description at Econpapers || Download paper | 191 |
3 | 2006 | Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers || Download paper | 127 |
4 | 1997 | From the birds eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*). (1997). Olsen, Richard ; Dacorogna, Michel ; Guillaume, Dominique M. ; Muller, Ulrich A. ; Dave, Rakhal R. ; Pictet, Olivier V.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129. Full description at Econpapers || Download paper | 119 |
5 | 2004 | Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers || Download paper | 118 |
6 | 2005 | Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers || Download paper | 117 |
7 | 1998 | Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers || Download paper | 112 |
8 | 1999 | Hedging and liquidation under transaction costs in currency markets. (1999). Ðабанов, ЮÑий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers || Download paper | 107 |
9 | 2007 | The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers || Download paper | 104 |
10 | 2005 | Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers || Download paper | 96 |
11 | 2002 | Fourier series method for measurement of multivariate volatilities. (2002). Mancino, Maria Elvira ; Malliavin, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:1:p:49-61. Full description at Econpapers || Download paper | 93 |
12 | 2013 | Model-independent bounds for option pricesâa mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers || Download paper | 88 |
13 | 2007 | Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers || Download paper | 85 |
14 | 2005 | Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers || Download paper | 83 |
15 | 1999 | Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers || Download paper | 79 |
16 | 1999 | Quantile hedging. (1999). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers || Download paper | 74 |
17 | 2001 | A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers || Download paper | 72 |
18 | 2011 | Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers || Download paper | 69 |
19 | 2001 | The numeraire portfolio for unbounded semimartingales. (2001). Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. Full description at Econpapers || Download paper | 68 |
20 | 2002 | An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers || Download paper | 67 |
21 | 2001 | Utility maximization in incomplete markets with random endowment. (2001). wang, hui ; Cvitanic, Jaksa ; Schachermayer, Walter. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:259-272. Full description at Econpapers || Download paper | 65 |
22 | 2004 | Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers || Download paper | 65 |
23 | 2006 | A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers || Download paper | 63 |
24 | 1997 | Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers || Download paper | 63 |
25 | 2000 | Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers || Download paper | 59 |
26 | 2009 | Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers || Download paper | 58 |
27 | 2004 | Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers || Download paper | 56 |
28 | 2001 | Coherent risk measures and good-deal bounds. (2001). Jaschke, Stefan ; Kuchler, Uwe . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200. Full description at Econpapers || Download paper | 56 |
29 | 2004 | Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers || Download paper | 56 |
30 | 1997 | Continuous-time term structure models: Forward measure approach (*). (1997). Musiela, Marek ; Rutkowski, Marek. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291. Full description at Econpapers || Download paper | 53 |
31 | 2002 | Optimal stopping and perpetual options for Lévy processes. (2002). Mordecki, Ernesto. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:473-493. Full description at Econpapers || Download paper | 53 |
32 | 2001 | The relaxed investor and parameter uncertainty. (2001). Rogers, Leonard. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:131-154. Full description at Econpapers || Download paper | 51 |
33 | 2000 | Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Hojgaard, Bjarne ; Asmussen, Soren ; Taksar, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers || Download paper | 51 |
34 | 2008 | Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers || Download paper | 51 |
35 | 2004 | An example of indifference prices under exponential preferences. (2004). Musiela, Marek ; Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239. Full description at Econpapers || Download paper | 48 |
36 | 2007 | On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers || Download paper | 48 |
37 | 1998 | Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Barles, Guy ; Soner, Halil Mete . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers || Download paper | 47 |
38 | 1998 | Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Shiryaev, A. N. ; Jacod, J.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. Full description at Econpapers || Download paper | 47 |
39 | 2001 | Fractional Brownian motion, random walks and binary market models. (2001). Sottinen, Tommi. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:3:p:343-355. Full description at Econpapers || Download paper | 46 |
40 | 2002 | A multicurrency extension of the lognormal interest rate Market Models. (2002). Schlogl, Erik. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:173-196. Full description at Econpapers || Download paper | 46 |
41 | 2002 | Optimal capital structure and endogenous default. (2002). Rogers, Leonard ; Hilberink, Bianca. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:2:p:237-263. Full description at Econpapers || Download paper | 46 |
42 | 2000 | Game options. (2000). Kifer, Yuri . In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:4:p:443-463. Full description at Econpapers || Download paper | 46 |
43 | 1998 | Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141. Full description at Econpapers || Download paper | 45 |
44 | 1998 | Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; Ðабанов, ЮÑий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:143-172. Full description at Econpapers || Download paper | 44 |
45 | 2005 | Diversity and relative arbitrage in equity markets. (2005). Kardaras, Constantinos ; Fernholz, Robert ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27. Full description at Econpapers || Download paper | 43 |
46 | 1998 | Optimization of consumption with labor income. (1998). Jeanblanc-Picque, Monique ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:409-440. Full description at Econpapers || Download paper | 42 |
47 | 1998 | Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114. Full description at Econpapers || Download paper | 42 |
48 | 2002 | The cumulant process and Esschers change of measure. (2002). Shiryaev, Albert N. ; Kallsen, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers || Download paper | 42 |
49 | 1996 | Irreversible investment and industry equilibrium (*). (1996). Baldursson, Fridrik ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1996:i:1:p:69-89. Full description at Econpapers || Download paper | 42 |
50 | 2001 | Minimax and minimal distance martingale measures and their relationship to portfolio optimization. (2001). Ruschendorf, Ludger ; Goll, Thomas. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581. Full description at Econpapers || Download paper | 41 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2002 | Convex measures of risk and trading constraints. (2002). Schied, Alexander ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:429-447. Full description at Econpapers || Download paper | 78 |
2 | 2013 | Model-independent bounds for option pricesâa mass transport approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers || Download paper | 56 |
3 | 1998 | Robust hedging of the lookback option. (1998). Hobson, David G.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:329-347. Full description at Econpapers || Download paper | 51 |
4 | 2007 | The numéraire portfolio in semimartingale financial models. (2007). Kardaras, Constantinos ; Karatzas, Ioannis. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers || Download paper | 42 |
5 | 2006 | Generalized deviations in risk analysis. (2006). Zabarankin, Michael ; Uryasev, Stan ; Rockafellar, R.. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers || Download paper | 40 |
6 | 2007 | On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Alos, Elisa ; Vives, Josep ; Leon, Jorge. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers || Download paper | 34 |
7 | 2011 | Asymptotic analysis for stochastic volatility: martingale expansion. (2011). Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:4:p:635-654. Full description at Econpapers || Download paper | 32 |
8 | 2005 | Conditional and dynamic convex risk measures. (2005). Scandolo, Giacomo ; Detlefsen, Kai. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:539-561. Full description at Econpapers || Download paper | 31 |
9 | 2004 | Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Protter, Philip ; Etin, Umut. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers || Download paper | 29 |
10 | 2011 | Robust pricing and hedging of double no-touch options. (2011). Cox, Alexander ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers || Download paper | 29 |
11 | 2005 | Local martingales, bubbles and option prices. (2005). Cox, Alexander ; Hobson, David . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers || Download paper | 26 |
12 | 2007 | Moment explosions in stochastic volatility models. (2007). Andersen, Leif ; Piterbarg, Vladimir . In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers || Download paper | 26 |
13 | 2005 | Inf-convolution of risk measures and optimal risk transfer. (2005). el Karoui, Nicole ; Barrieu, Pauline . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers || Download paper | 24 |
14 | 2012 | Polynomial processes and their applications to mathematical finance. (2012). Cuchiero, Christa ; Keller-Ressel, Martin ; Teichmann, Josef. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers || Download paper | 22 |
15 | 2016 | Polynomial diffusions and applications in finance. (2016). Larsson, Martin ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0304-4. Full description at Econpapers || Download paper | 22 |
16 | 2004 | Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Meddeb, Moncef ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers || Download paper | 22 |
17 | 2014 | A note on the condition of no unbounded profit with bounded risk. (2014). Takaoka, Koichiro ; Schweizer, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:393-405. Full description at Econpapers || Download paper | 20 |
18 | 2002 | An analysis of a least squares regression method for American option pricing. (2002). Lamberton, Damien ; Protter, Philip ; Clement, Emmanuelle . In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers || Download paper | 20 |
19 | 1997 | Processes of normal inverse Gaussian type. (1997). Barndorff-Nielsen, Ole. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1997:i:1:p:41-68. Full description at Econpapers || Download paper | 20 |
20 | 1999 | Hedging and liquidation under transaction costs in currency markets. (1999). Ðабанов, ЮÑий ; Kabanov, Y. M.. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:2:p:237-248. Full description at Econpapers || Download paper | 19 |
21 | 2004 | Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Sass, Jorn ; Haussmann, Ulrich . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers || Download paper | 18 |
22 | 2008 | Dynamic risk measures: Time consistency and risk measures from BMO martingales. (2008). Bion-Nadal, Jocelyne . In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244. Full description at Econpapers || Download paper | 18 |
23 | 2009 | Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten . In: Finance and Stochastics. RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204. Full description at Econpapers || Download paper | 18 |
24 | 2014 | A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Murgoci, Agatha ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592. Full description at Econpapers || Download paper | 17 |
25 | 2004 | Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Janeek, Karel ; Shreve, Steven. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers || Download paper | 17 |
26 | 2014 | Transaction costs, trading volume, and the liquidity premium. (2014). Muhle-Karbe, Johannes ; Schachermayer, Walter ; Gerhold, Stefan ; Guasoni, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:1-37. Full description at Econpapers || Download paper | 17 |
27 | 2006 | A jump to default extended CEV model: an application of Bessel processes. (2006). Carr, Peter ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:3:p:303-330. Full description at Econpapers || Download paper | 17 |
28 | 2015 | Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Wang, Ruodu ; Embrechts, Paul. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers || Download paper | 16 |
29 | 2010 | Representation of the penalty term of dynamic concave utilities. (2010). RosazzaGianin, Emanuela ; Peng, Shige ; Delbaen, Freddy. In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472. Full description at Econpapers || Download paper | 16 |
30 | 2001 | A solution approach to valuation with unhedgeable risks. (2001). Zariphopoulou, Thaleia. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:1:p:61-82. Full description at Econpapers || Download paper | 16 |
31 | 2014 | Comparative and qualitative robustness for law-invariant risk measures. (2014). Schied, Alexander ; Kratschmer, Volker ; Zahle, Henryk. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295. Full description at Econpapers || Download paper | 15 |
32 | 2016 | An explicit martingale version of the one-dimensional Brenier theorem. (2016). Henry-Labordere, Pierre ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0299-x. Full description at Econpapers || Download paper | 15 |
33 | 2016 | Counterparty risk and funding: immersion and beyond. (2016). Crepey, Stephane ; Song, Shiqi. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:4:d:10.1007_s00780-016-0305-3. Full description at Econpapers || Download paper | 15 |
34 | 2014 | Asymptotics of implied volatility to arbitrary order. (2014). Gao, Kun ; Lee, Roger. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:349-392. Full description at Econpapers || Download paper | 15 |
35 | 1999 | Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Fournie, Eric ; Lions, Pierre-Louis ; Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers || Download paper | 15 |
36 | 2015 | Robust price bounds for the forward starting straddle. (2015). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:1:p:189-214. Full description at Econpapers || Download paper | 15 |
37 | 2017 | On time-inconsistent stochastic control in continuous time. (2017). Bjork, Tomas ; Murgoci, Agatha ; Khapko, Mariana . In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:2:d:10.1007_s00780-017-0327-5. Full description at Econpapers || Download paper | 15 |
38 | 2000 | Efficient hedging: Cost versus shortfall risk. (2000). Follmer, Hans ; Leukert, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers || Download paper | 14 |
39 | 2005 | Integro-differential equations for option prices in exponential Lévy models. (2005). Voltchkova, Ekaterina ; Cont, Rama. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:3:p:299-325. Full description at Econpapers || Download paper | 14 |
40 | 2005 | A note on Wick products and the fractional Black-Scholes model. (2005). Hult, Henrik ; Bjork, Tomas . In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:197-209. Full description at Econpapers || Download paper | 13 |
41 | 2012 | Model-independent hedging strategies for variance swaps. (2012). Hobson, David ; Klimmek, Martin . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:611-649. Full description at Econpapers || Download paper | 13 |
42 | 2014 | Robust hedging with proportional transaction costs. (2014). Soner, H. ; Dolinsky, Yan. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:327-347. Full description at Econpapers || Download paper | 13 |
43 | 1998 | Portfolio optimisation with strictly positive transaction costs and impulse control. (1998). Korn, Ralf. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:85-114. Full description at Econpapers || Download paper | 13 |
44 | 1998 | Perfect option hedging for a large trader. (1998). Frey, Rudiger. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:2:p:115-141. Full description at Econpapers || Download paper | 13 |
45 | 1997 | LIBOR and swap market models and measures (*). (1997). Jamshidian, Farshid. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:293-330. Full description at Econpapers || Download paper | 13 |
46 | 2013 | Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. (2013). Yang, Jingping ; Wang, Ruodu ; Peng, Liang. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:2:p:395-417. Full description at Econpapers || Download paper | 12 |
47 | 2012 | Optimal dividend distribution under Markov regime switching. (2012). Pistorius, Martijn ; Jiang, Zhengjun . In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:3:p:449-476. Full description at Econpapers || Download paper | 12 |
48 | 2012 | Continuous-time trading and the emergence of probability. (2012). Vovk, Vladimir. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:561-609. Full description at Econpapers || Download paper | 11 |
49 | 2001 | Equity portfolios generated by functions of ranked market weights. (2001). Fernholz, Robert. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:4:p:469-486. Full description at Econpapers || Download paper | 11 |
50 | 2008 | Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Filipovi, Damir ; Svindland, Gregor. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439. Full description at Econpapers || Download paper | 11 |
Year | Title | |
---|---|---|
2018 | Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1809.05328. Full description at Econpapers || Download paper | |
2018 | Non-implementability of ArrowâDebreu equilibria by continuous trading under volatility uncertainty. (2018). Riedel, Frank ; Beissner, Patrick. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0362-x. Full description at Econpapers || Download paper | |
2018 | An expansion in the model space in the context of utility maximization. (2018). Larsen, Kasper ; Itkovi, Gordan ; Mostovyi, Oleksii. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-017-0353-3. Full description at Econpapers || Download paper | |
2018 | Optimal investment and consumption for Ornstein-Uhlenbeck spread financial markets with logarithmic utility. (2018). Pergamenshchikov, Serguei ; Albosaily, Sahar. In: Papers. RePEc:arx:papers:1809.08139. Full description at Econpapers || Download paper | |
2018 | Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256. Full description at Econpapers || Download paper | |
2018 | An urgent call to get better prepared for unexpected events. (2018). Spaanderman, Jurgen. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1602. Full description at Econpapers || Download paper | |
2018 | Tail expectile process and risk assessment. (2018). STUPFLER, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: TSE Working Papers. RePEc:tse:wpaper:32890. Full description at Econpapers || Download paper | |
2018 | Extreme quantile estimation for β-mixing time series and applications. (2018). Chavez-Demoulin, Valerie ; Guillou, Armelle. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:59-74. Full description at Econpapers || Download paper | |
2018 | A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8. Full description at Econpapers || Download paper | |
2018 | No-arbitrage under a class of honest times. (2018). Aksamit, Anna ; Jeanblanc, Monique ; Deng, Jun ; Choulli, Tahir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0345-3. Full description at Econpapers || Download paper | |
2018 | Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers || Download paper | |
2018 | The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers || Download paper | |
2018 | Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449. Full description at Econpapers || Download paper | |
2018 | Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762. Full description at Econpapers || Download paper | |
2018 | Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR. (2018). Schweizer, Martin ; Balint, Daniel Agoston. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1823. Full description at Econpapers || Download paper | |
2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994. Full description at Econpapers || Download paper | |
2018 | Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Grbac, Zorana ; Gerhart, Christoph ; Eberlein, Ernst. In: Papers. RePEc:arx:papers:1805.02605. Full description at Econpapers || Download paper | |
2018 | Convexity adjustment for constant maturity swaps in a multi-curve framework. (2018). Karouzakis, Nikolaos ; Andriosopoulos, Kostas ; Hatgioannides, John. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2430-6. Full description at Econpapers || Download paper | |
2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969. Full description at Econpapers || Download paper | |
2018 | Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics. (2018). Toczydlowska, Dorota ; Peters, Gareth W. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660. Full description at Econpapers || Download paper | |
2018 | Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers || Download paper | |
2018 | Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1707.06970. Full description at Econpapers || Download paper | |
2018 | Optimal trading using signals. (2018). Lehalle, Charles-Albert ; de March, Hadrien. In: Papers. RePEc:arx:papers:1811.03718. Full description at Econpapers || Download paper | |
2018 | Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Sikic, Mario ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1801.03574. Full description at Econpapers || Download paper | |
2018 | Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Bielecki, Tomasz R ; Cialenco, Igor ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:1701.08399. Full description at Econpapers || Download paper | |
2018 | A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Lee, Junbeom ; Zhou, Chao. In: Papers. RePEc:arx:papers:1703.00259. Full description at Econpapers || Download paper | |
2018 | Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1802.10228. Full description at Econpapers || Download paper | |
2018 | Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2018). Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane ; Barrera, David. In: Working Papers. RePEc:hal:wpaper:hal-01710394. Full description at Econpapers || Download paper | |
2018 | XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS. (2018). Abbas-Turki, Lokman A ; Diallo, Babacar ; Crepey, Stephane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500309. Full description at Econpapers || Download paper | |
2018 | Dependent Defaults and Losses with Factor Copula Models. (2018). Ackerer, Damien ; Vatter, Thibault . In: Papers. RePEc:arx:papers:1610.03050. Full description at Econpapers || Download paper | |
2018 | Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1. Full description at Econpapers || Download paper | |
2018 | Asian Option Pricing with Orthogonal Polynomials. (2018). Willems, Sander. In: Papers. RePEc:arx:papers:1802.01307. Full description at Econpapers || Download paper | |
2018 | On the Relation Between Linearity-Generating Processes and Linear-Rational Models. (2018). Trolle, Anders B ; Larsson, Martin ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1806.03153. Full description at Econpapers || Download paper | |
2018 | Probability measure-valued polynomial diffusions. (2018). Svaluto-Ferro, Sara ; Larsson, Martin ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:1807.03229. Full description at Econpapers || Download paper | |
2018 | The Jacobi Stochastic Volatility Model. (2018). Pulido, Sergio ; Filipovic, Damir ; Ackerer, Damien. In: Post-Print. RePEc:hal:journl:hal-01338330. Full description at Econpapers || Download paper | |
2018 | The Jacobi stochastic volatility model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0364-8. Full description at Econpapers || Download paper | |
2018 | Stochastic invariance of closed sets with non-Lipschitz coefficients. (2018). Jaber, Eduardo ; Illand, Camille ; Bouchard, Bruno. In: Post-Print. RePEc:hal:journl:hal-01349639. Full description at Econpapers || Download paper | |
2018 | Risk- and value-based management for non-life insurers under solvency constraints. (2018). Eckert, Johanna ; Gatzert, Nadine. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:2:p:761-774. Full description at Econpapers || Download paper | |
2018 | ON DISTRIBUTIONS OF EXPONENTIAL FUNCTIONALS OF THE PROCESSES WITH INDEPENDENT INCREMENTS. (2018). Vostrikova, Lioudmila. In: Working Papers. RePEc:hal:wpaper:hal-01725776. Full description at Econpapers || Download paper | |
2018 | The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085. Full description at Econpapers || Download paper | |
2018 | Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers || Download paper | |
2018 | A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1808.06430. Full description at Econpapers || Download paper | |
2018 | Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). Peng, Xianhua ; He, Xue Dong . In: Papers. RePEc:arx:papers:1707.05596. Full description at Econpapers || Download paper | |
2018 | Large deviations for risk measures in finite mixture models. (2018). Petrella, Lea ; Macci, Claudio ; Bignozzi, Valeria. In: Papers. RePEc:arx:papers:1710.03252. Full description at Econpapers || Download paper | |
2018 | Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92. Full description at Econpapers || Download paper | |
2018 | Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123. Full description at Econpapers || Download paper | |
2018 | A control problem for a speculative investor in a target zone model. (2018). Schied, Alexander ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1801.07784. Full description at Econpapers || Download paper | |
2018 | Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Ou, Kevin ; Muhle-Karbe, Johannes ; Belak, Christoph. In: Papers. RePEc:arx:papers:1808.00515. Full description at Econpapers || Download paper | |
2018 | Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475. Full description at Econpapers || Download paper | |
2018 | Explicit Asymptotics on First Passage Times of Diffusion Processes. (2018). Li, Luting ; Dassios, Angelos. In: Papers. RePEc:arx:papers:1806.08161. Full description at Econpapers || Download paper | |
2018 | FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT. (2018). Saporito, Yuri F. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500243. Full description at Econpapers || Download paper | |
2018 | Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543. Full description at Econpapers || Download paper | |
2018 | Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151. Full description at Econpapers || Download paper | |
2018 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
2018 | Quantile Hedging in a semi-static market with model uncertainty. (2018). Bayraktar, Erhan ; Wang, GU. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:87:y:2018:i:2:d:10.1007_s00186-017-0616-y. Full description at Econpapers || Download paper | |
2018 | Malliavin differentiability of indicator functions on canonical Lévy spaces. (2018). Suzuki, Ryoichi. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:183-190. Full description at Econpapers || Download paper | |
2018 | The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case. (2018). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1707.04981. Full description at Econpapers || Download paper | |
2018 | Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2018). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1712.07806. Full description at Econpapers || Download paper | |
2018 | Time-consistent stopping under decreasing impatience. (2018). Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0350-6. Full description at Econpapers || Download paper | |
2018 | Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (2018). Bian, Lihua ; Yao, Haixiang ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:78-94. Full description at Econpapers || Download paper | |
2018 | Time-consistent mean-variance portfolio selection with only risky assets. (2018). Pun, Chi Seng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:281-292. Full description at Econpapers || Download paper | |
2018 | Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32. Full description at Econpapers || Download paper | |
2018 | Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x. Full description at Econpapers || Download paper | |
2018 | Market Delay and G-expectations. (2018). Zouari, Jonathan ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1709.09442. Full description at Econpapers || Download paper | |
2018 | The Alpha-Heston Stochastic Volatility Model. (2018). Zhou, Chao ; Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Papers. RePEc:arx:papers:1812.01914. Full description at Econpapers || Download paper | |
2018 | Volatility and arbitrage. (2018). Ruf, Johannes ; Karatzas, Ioannis ; Fernholz, Robert E. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:75234. Full description at Econpapers || Download paper | |
2018 | Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1801.07817. Full description at Econpapers || Download paper | |
2018 | Dynamics of observables in rank-based models and performance of functionally generated portfolios. (2018). Zhang, Jiacheng ; Shkolnikov, Mykhaylo ; Almada, Sergio A. In: Papers. RePEc:arx:papers:1802.03593. Full description at Econpapers || Download paper | |
2018 | Diversification, Volatility, and Surprising Alpha. (2018). Schofield, David ; Ruf, Johannes ; Papathanakos, Vassilios ; Fernholz, Robert ; Banner, Adrian. In: Papers. RePEc:arx:papers:1809.03769. Full description at Econpapers || Download paper | |
2018 | Asset Price Distributions and Efficient Markets. (2018). Stroup, Caleb ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1810.12840. Full description at Econpapers || Download paper | |
2018 | The Rank Effect. (2018). Koch, Christoffer ; Fernholz, Ricardo T. In: Papers. RePEc:arx:papers:1812.06000. Full description at Econpapers || Download paper | |
2018 | Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734. Full description at Econpapers || Download paper | |
2018 | Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151. Full description at Econpapers || Download paper | |
2018 | A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248. Full description at Econpapers || Download paper | |
2018 | Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096. Full description at Econpapers || Download paper | |
2018 | Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (2018). Rutkowski, Marek ; Kim, Edward ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1807.05448. Full description at Econpapers || Download paper | |
2018 | General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (2018). Kahale, Nabil . In: Papers. RePEc:arx:papers:1805.09427. Full description at Econpapers || Download paper | |
2018 | Discretization error for a two-sided reflected Lévy process. (2018). Asmussen, Soren ; Ivanovs, Jevgenijs . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:89:y:2018:i:1:d:10.1007_s11134-018-9576-z. Full description at Econpapers || Download paper | |
2018 | Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134. Full description at Econpapers || Download paper | |
2018 | A superhedging approach to stochastic integration. (2018). Ochowski, Rafa M ; Promel, David J ; Perkowski, Nicolas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4078-4103. Full description at Econpapers || Download paper | |
2018 | Mortality/longevity Risk-Minimization with or without securitization. (2018). Vanmaele, Michele ; Daveloose, Catherine ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1805.11844. Full description at Econpapers || Download paper | |
2018 | Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078. Full description at Econpapers || Download paper | |
2018 | Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Rosenbaum, Mathieu ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1711.00427. Full description at Econpapers || Download paper | |
2018 | Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215. Full description at Econpapers || Download paper | |
2018 | Deep calibration of rough stochastic volatility models. (2018). Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1810.03399. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2018 | Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers || Download paper | |
2018 | The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:1805.05259. Full description at Econpapers || Download paper | |
2018 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
2018 | Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449. Full description at Econpapers || Download paper | |
2018 | Optimal Trading with General Signals and Liquidation in Target Zone Models. (2018). Ou, Kevin ; Muhle-Karbe, Johannes ; Belak, Christoph. In: Papers. RePEc:arx:papers:1808.00515. Full description at Econpapers || Download paper | |
2018 | Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers || Download paper | |
2018 | The value of a liability cash flow in discrete time subject to capital requirements. (2018). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus . In: Papers. RePEc:arx:papers:1808.03328. Full description at Econpapers || Download paper | |
2018 | A unified Framework for Robust Modelling of Financial Markets in discrete time. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1808.06430. Full description at Econpapers || Download paper | |
2018 | The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098. Full description at Econpapers || Download paper | |
2018 | The Fatou property of law-invariant risk measures. (2018). Leung, Denny H ; Tantrawan, Made. In: Papers. RePEc:arx:papers:1810.10374. Full description at Econpapers || Download paper | |
2018 | Log-optimal portfolio and num\eraire portfolio under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1810.12762. Full description at Econpapers || Download paper | |
2018 | Precise asymptotics: robust stochastic volatility models. (2018). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1811.00267. Full description at Econpapers || Download paper | |
2018 | On pricing rules and optimal strategies in general Kyle-Back models. (2018). Danilova, Albina ; Ccetin, Umut. In: Papers. RePEc:arx:papers:1812.07529. Full description at Econpapers || Download paper | |
2018 | The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179. Full description at Econpapers || Download paper | |
2018 | General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion. (2018). Yu, Xun ; Nguyen-Huu, Adrien ; Huang, Yu-Jui. In: Working Papers. RePEc:hal:wpaper:hal-01954926. Full description at Econpapers || Download paper | |
2018 | General stopping behaviors of naïve and non-committed sophisticated agents, with application to probability distortion. (2018). Nguyen-Huu, Adrien ; Yu, Xun ; Huang, Yu-Jui. In: CEE-M Working Papers. RePEc:hal:wpceem:hal-01954926. Full description at Econpapers || Download paper | |
2018 | Equilibrium returns with transaction costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6. Full description at Econpapers || Download paper | |
2018 | Moral Hazard Under Ambiguity. (2018). Mastrolia, Thibaut ; Possamai, Dylan. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1230-8. Full description at Econpapers || Download paper | |
2018 |
Year | Citing document | |
---|---|---|
2017 | Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging. (2017). Muhle-Karbe, Johannes ; Herrmann, Sebastian. In: Papers. RePEc:arx:papers:1704.04524. Full description at Econpapers || Download paper | |
2017 | The geometry of multi-marginal Skorokhod Embedding. (2017). Huesmann, Martin ; Cox, Alexander ; Beiglboeck, Mathias . In: Papers. RePEc:arx:papers:1705.09505. Full description at Econpapers || Download paper | |
2017 | Option Pricing with Delayed Information. (2017). Mousavi, Seyyed Mostafa ; Ichiba, Tomoyuki . In: Papers. RePEc:arx:papers:1707.01600. Full description at Econpapers || Download paper | |
2017 | On portfolios generated by optimal transport. (2017). Wong, Ting-Kam Leonard . In: Papers. RePEc:arx:papers:1709.03169. Full description at Econpapers || Download paper | |
2017 | A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar. In: Papers. RePEc:arx:papers:1710.03506. Full description at Econpapers || Download paper | |
2017 | Intrinsic expansions for averaged diffusion processes. (2017). Pascucci, Andrea ; Pignotti, M ; Pagliarani, S. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:8:p:2560-2585. Full description at Econpapers || Download paper | |
2017 | Monotone martingale transport plans and Skorokhod embedding. (2017). Beiglbock, Mathias ; Touzi, Nizar ; Henry-Labordere, Pierre. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:9:p:3005-3013. Full description at Econpapers || Download paper | |
2017 | Density of the set of probability measures with the martingale representation property. (2017). Pulido, Sergio ; Kramkov, Dmitry . In: Working Papers. RePEc:hal:wpaper:hal-01598651. Full description at Econpapers || Download paper | |
2017 | Model uncertainty, recalibration, and the emergence of deltaâvega hedging. (2017). Herrmann, Sebastian ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0342-6. Full description at Econpapers || Download paper | |
2017 | SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY. (2017). Bayraktar, Erhan ; Zhou, Zhou. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:06:n:s0219024917500364. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2016 | Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers || Download paper | |
2016 | Asymptotics for rough stochastic volatility models. (2016). Forde, Martin ; Zhang, Hongzhong. In: Papers. RePEc:arx:papers:1610.08878. Full description at Econpapers || Download paper | |
2016 | Robust Trading of Implied Skew. (2016). Obloj, Jan ; Nadtochiy, Sergey. In: Papers. RePEc:arx:papers:1611.05518. Full description at Econpapers || Download paper | |
2016 | Shot-Noise Processes in Finance. (2016). Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1612.06616. Full description at Econpapers || Download paper | |
2016 | Scenario aggregation method for portfolio expectile optimization. (2016). Edgars, Jakobsons . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:51-65:n:4. Full description at Econpapers || Download paper | |
2016 | Polynomial diffusion models for life insurance liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:114-129. Full description at Econpapers || Download paper | |
2016 | An explicit martingale version of the one-dimensional Brenierâs Theorem with full marginals constraint. (2016). Henry-Labordere, Pierre ; Touzi, Nizar ; Tan, Xiaolu . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:9:p:2800-2834. Full description at Econpapers || Download paper | |
2016 | Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty. (2016). Bayraktar, Erhan ; Zhang, Yuchong. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:41:y:2016:i:3:p:1039-1054. Full description at Econpapers || Download paper | |
2016 | Stability of utility maximization in nonequivalent markets. (2016). Weston, Kim . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0289-z. Full description at Econpapers || Download paper | |
2016 | Robust pricing and hedging under trading restrictions and the emergence of local martingale models. (2016). Alexander, ; Oboj, Jan ; Hou, Zhaoxu . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:3:d:10.1007_s00780-016-0293-3. Full description at Econpapers || Download paper |
Year | Citing document | |
---|---|---|
2015 | Radner equilibrium in incomplete Levy models. (2015). Larsen, Kasper ; Sue, Tanawit Sae . In: Papers. RePEc:arx:papers:1507.02974. Full description at Econpapers || Download paper | |
2015 | Implied volatility in strict local martingale models. (2015). Jacquier, Antoine ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1508.04351. Full description at Econpapers || Download paper | |
2015 | Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales). (2015). Herdegen, Martin ; Schweizer, Martin. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1505. Full description at Econpapers || Download paper | |
2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers || Download paper | |
2015 | A model for a large investor trading at market indifference prices. I: Single-period case. (2015). Kramkov, Dmitry ; Bank, Peter. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:2:p:449-472. Full description at Econpapers || Download paper | |
2015 | A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing. (2015). Teichmann, Josef ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:743-761. Full description at Econpapers || Download paper | |
2015 | Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu. In: World Scientific Books. RePEc:wsi:wsbook:9524. Full description at Econpapers || Download paper |