[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 | 0.09 | 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 | 0.09 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1993 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1994 | 0 | 0.12 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
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 | 67 | 4 | 0 | 0 | 0 | 0 | 0.1 | |||||
1997 | 0 | 0.22 | 0.6 | 0 | 16 | 20 | 592 | 12 | 16 | 4 | 4 | 5 | 41.7 | 12 | 0.75 | 0.09 | ||
1998 | 0.65 | 0.26 | 0.39 | 0.65 | 21 | 41 | 536 | 16 | 32 | 20 | 13 | 20 | 13 | 0 | 2 | 0.1 | 0.12 | |
1999 | 0.54 | 0.27 | 0.45 | 0.51 | 25 | 66 | 524 | 28 | 62 | 37 | 20 | 41 | 21 | 0 | 3 | 0.12 | 0.13 | |
2000 | 0.43 | 0.32 | 0.58 | 0.58 | 17 | 83 | 363 | 47 | 110 | 46 | 20 | 66 | 38 | 3 | 6.4 | 1 | 0.06 | 0.14 |
2001 | 0.64 | 0.35 | 0.67 | 0.55 | 29 | 112 | 760 | 74 | 185 | 42 | 27 | 83 | 46 | 1 | 1.4 | 5 | 0.17 | 0.15 |
2002 | 0.5 | 0.37 | 0.59 | 0.57 | 38 | 150 | 989 | 89 | 274 | 46 | 23 | 108 | 62 | 7 | 7.9 | 5 | 0.13 | 0.19 |
2003 | 0.63 | 0.4 | 0.88 | 0.52 | 0 | 150 | 0 | 131 | 406 | 67 | 42 | 130 | 68 | 0 | 0 | 0.19 | ||
2004 | 0.89 | 0.44 | 0.89 | 0.83 | 29 | 179 | 700 | 159 | 565 | 38 | 34 | 109 | 90 | 0 | 9 | 0.31 | 0.2 | |
2005 | 0.52 | 0.45 | 1 | 0.8 | 32 | 211 | 786 | 212 | 777 | 29 | 15 | 113 | 90 | 2 | 0.9 | 10 | 0.31 | 0.21 |
2006 | 1.02 | 0.46 | 0.96 | 0.91 | 35 | 246 | 549 | 237 | 1014 | 61 | 62 | 128 | 116 | 16 | 6.8 | 2 | 0.06 | 0.2 |
2007 | 0.69 | 0.42 | 0.95 | 0.72 | 27 | 273 | 609 | 259 | 1273 | 67 | 46 | 134 | 96 | 20 | 7.7 | 6 | 0.22 | 0.18 |
2008 | 0.44 | 0.44 | 0.99 | 0.67 | 24 | 297 | 335 | 290 | 1567 | 62 | 27 | 123 | 82 | 11 | 3.8 | 9 | 0.38 | 0.2 |
2009 | 1.02 | 0.43 | 1.17 | 0.84 | 23 | 320 | 330 | 371 | 1941 | 51 | 52 | 147 | 123 | 15 | 4 | 9 | 0.39 | 0.21 |
2010 | 0.83 | 0.43 | 1.16 | 0.89 | 24 | 344 | 302 | 397 | 2339 | 47 | 39 | 141 | 125 | 29 | 7.3 | 7 | 0.29 | 0.18 |
2011 | 0.72 | 0.45 | 1.08 | 0.7 | 29 | 373 | 413 | 398 | 2741 | 47 | 34 | 133 | 93 | 39 | 9.8 | 13 | 0.45 | 0.2 |
2012 | 0.72 | 0.45 | 1.08 | 0.78 | 30 | 403 | 384 | 434 | 3177 | 53 | 38 | 127 | 99 | 51 | 11.8 | 9 | 0.3 | 0.19 |
2013 | 0.83 | 0.5 | 1.29 | 0.86 | 31 | 434 | 363 | 560 | 3738 | 59 | 49 | 130 | 112 | 40 | 7.1 | 9 | 0.29 | 0.21 |
2014 | 0.79 | 0.51 | 1.34 | 0.87 | 31 | 465 | 359 | 623 | 4361 | 61 | 48 | 137 | 119 | 60 | 9.6 | 18 | 0.58 | 0.2 |
2015 | 1.08 | 0.5 | 1.47 | 1.07 | 31 | 496 | 246 | 730 | 5092 | 62 | 67 | 145 | 155 | 72 | 9.9 | 8 | 0.26 | 0.19 |
2016 | 1.24 | 0.5 | 1.64 | 1.11 | 41 | 537 | 234 | 877 | 5970 | 62 | 77 | 152 | 168 | 86 | 9.8 | 18 | 0.44 | 0.18 |
2017 | 0.83 | 0.5 | 1.56 | 1.04 | 33 | 570 | 229 | 891 | 6861 | 72 | 60 | 164 | 171 | 87 | 9.8 | 9 | 0.27 | 0.18 |
2018 | 1.11 | 0.54 | 1.44 | 0.96 | 31 | 601 | 207 | 867 | 7728 | 74 | 82 | 167 | 161 | 91 | 10.5 | 13 | 0.42 | 0.21 |
2019 | 1.42 | 0.58 | 1.35 | 1.09 | 30 | 631 | 71 | 853 | 8581 | 64 | 91 | 167 | 182 | 58 | 6.8 | 6 | 0.2 | 0.21 |
2020 | 1.44 | 0.75 | 1.44 | 1.27 | 30 | 661 | 57 | 949 | 9530 | 61 | 88 | 166 | 210 | 63 | 6.6 | 17 | 0.57 | 0.29 |
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 | 352 |
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 | 197 |
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 | 164 |
4 | 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 | 139 |
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 | 138 |
6 | 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 | 136 |
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 | 135 |
8 | 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 | 127 |
9 | 1999 | Hedging and liquidation under transaction costs in currency markets. (1999). Úðñðýþò, îÃâ¬Ã¸Ã¹ ; 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 | 123 |
10 | 2013 | Model-independent bounds for option pricesââ¬âa 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 | 117 |
11 | 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 | 116 |
12 | 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 | 104 |
13 | 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 | 96 |
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 | 95 |
15 | 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 | 94 |
16 | 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 | 90 |
17 | 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 | 86 |
18 | 2004 | Vector-valued coherent risk measures. (2004). Jouini, Ely̮̬s ; 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 | 86 |
19 | 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 | 86 |
20 | 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 | 82 |
21 | 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 | 81 |
22 | 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 | 77 |
23 | 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 |
24 | 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 | 72 |
25 | 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 | 70 |
26 | 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 | 68 |
27 | 2009 | Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Scḫ̦neborn, 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 | 68 |
28 | 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 | 64 |
29 | 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 | 62 |
30 | 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 | 61 |
31 | 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 | 61 |
32 | 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 | 60 |
33 | 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 | 58 |
34 | 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 | 58 |
35 | 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 | 58 |
36 | 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 | 57 |
37 | 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 | 56 |
38 | 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 | 55 |
39 | 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 | 55 |
40 | 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 | 54 |
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 | 53 |
42 | 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 | 52 |
43 | 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 | 50 |
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 | 49 |
45 | 1998 | Asymptotic arbitrage in large financial markets. (1998). Kramkov, Dmitry ; Úðñðýþò, îÃâ¬Ã¸Ã¹ ; 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 | 48 |
46 | 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 | 47 |
47 | 1997 | On the range of options prices (*). (1997). Eberlein, Ernst ; Jacod, Jean. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:131-140. Full description at Econpapers || Download paper | 47 |
48 | 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 |
49 | 2001 | Analytical value-at-risk with jumps and credit risk. (2001). pan, jun ; Duffie, Darrell. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180. Full description at Econpapers || Download paper | 46 |
50 | 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 | 45 |
# | 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 | 77 |
2 | 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 | 52 |
3 | 2013 | Model-independent bounds for option pricesââ¬âa 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 | 49 |
4 | 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 | 43 |
5 | 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 | 38 |
6 | 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 | 37 |
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 | 36 |
8 | 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 | 36 |
9 | 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 | 32 |
10 | 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 | 30 |
11 | 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 | 29 |
12 | 2018 | The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers || Download paper | 27 |
13 | 2017 | Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5. Full description at Econpapers || Download paper | 26 |
14 | 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 | 25 |
15 | 2018 | Dynamic programming approach to principalââ¬âagent problems. (2018). Cvitanic, Jaksa ; Touzi, Nizar ; Possamai, Dylan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0344-4. Full description at Econpapers || Download paper | 25 |
16 | 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 | 25 |
17 | 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 | 24 |
18 | 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 | 23 |
19 | 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 | 23 |
20 | 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 | 21 |
21 | 2018 | Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2018). Gao, Niushan ; Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0357-7. Full description at Econpapers || Download paper | 20 |
22 | 2004 | Vector-valued coherent risk measures. (2004). Jouini, Ely̮̬s ; 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 | 20 |
23 | 1999 | Hedging and liquidation under transaction costs in currency markets. (1999). Úðñðýþò, îÃâ¬Ã¸Ã¹ ; 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 | 20 |
24 | 2009 | Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Scḫ̦neborn, 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 | 19 |
25 | 2018 | Robust pricingââ¬âhedging 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 | 19 |
26 | 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 | 19 |
27 | 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 | 18 |
28 | 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 | 17 |
29 | 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 | 16 |
30 | 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 | 16 |
31 | 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 | 16 |
32 | 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 | 16 |
33 | 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 | 15 |
34 | 2016 | Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:p:1-50. Full description at Econpapers || Download paper | 15 |
35 | 2016 | Universal arbitrage aggregator in discrete-time markets under uncertainty. (2016). Maggis, Marco ; Burzoni, Matteo ; Frittelli, Marco. In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0283-x. Full description at Econpapers || Download paper | 15 |
36 | 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 | 15 |
37 | 2017 | Optimal consumption and investment with Epsteinââ¬âZin recursive utility. (2017). Seiferling, Thomas ; Seifried, Frank Thomas ; Kraft, Holger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0316-0. Full description at Econpapers || Download paper | 14 |
38 | 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 | 14 |
39 | 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 | 14 |
40 | 2016 | A general HJM framework for multiple yield curve modelling. (2016). Gnoatto, Alessandro ; Fontana, Claudio ; Cuchiero, Christa . In: Finance and Stochastics. RePEc:spr:finsto:v:20:y:2016:i:2:d:10.1007_s00780-016-0291-5. Full description at Econpapers || Download paper | 14 |
41 | 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 | 14 |
42 | 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 | 14 |
43 | 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 | 14 |
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45 | 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 | 13 |
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49 | 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 | 12 |
50 | 2017 | Trading strategies generated by Lyapunov functions. (2017). Karatzas, Ioannis ; Ruf, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0332-8. Full description at Econpapers || Download paper | 12 |
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2020 | A Stationary Kyle Setup: Microfounding propagator models. (2020). Vodret, Michele ; Benzaquen, Michael ; Toth, Bence ; Mastromatteo, Iacopo. In: Working Papers. RePEc:hal:wpaper:hal-03016486. Full description at Econpapers || Download paper | |
2020 | The value of a liability cash flow in discrete time subject to capital requirements. (2020). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00408-0. Full description at Econpapers || Download paper | |
2020 | Assessing Asset-Liability Risk with Neural Networks. (2020). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:16-:d:318508. Full description at Econpapers || Download paper | |
2020 | On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2019). Bayraktar, Erhan ; Zhou, Zhou ; Zhang, Jingjie. In: Papers. RePEc:arx:papers:1909.01112. Full description at Econpapers || Download paper | |
2020 | Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application. (2019). Lindensjo, Kristoffer ; Christensen, Soren. In: Papers. RePEc:arx:papers:1909.11921. Full description at Econpapers || Download paper | |
2020 | Optimal variance stopping with linear diffusions. (2020). Matomaki, Pekka ; Tgholt, Kamille Sofie. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:2349-2383. Full description at Econpapers || Download paper | |
2020 | On time-inconsistent stopping problems and mixed strategy stopping times. (2020). Lindensjo, Kristoffer ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:5:p:2886-2917. Full description at Econpapers || Download paper | |
2020 | Optimal equilibria for timeââ¬Âinconsistent stopping problems in continuous time. (2020). Zhou, Zhou ; Huang, Yujui. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1103-1134. 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 | Understanding the dual formulation for the hedging of path-dependent options with price impact. (2019). Tan, Xiaolu ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1912.03946. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time. (2020). Zou, Bin ; Deng, Jun. In: Papers. RePEc:arx:papers:2005.06015. Full description at Econpapers || Download paper | |
2020 | Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2. Full description at Econpapers || Download paper | |
2020 | Is there a Golden Parachute in Sannikovs principal-agent problem?. (2020). Touzi, Nizar ; Possamai, Dylan. In: Papers. RePEc:arx:papers:2007.05529. Full description at Econpapers || Download paper | |
2020 | Incentives, lockdown, and testing: from Thucydidess analysis to the COVID-19 pandemic. (2020). Warin, Xavier ; Possamai, Dylan ; Mastrolia, Thibaut ; Hubert, Emma. In: Papers. RePEc:arx:papers:2009.00484. Full description at Econpapers || Download paper | |
2020 | Mean-field moral hazard for optimal energy demand response management. (2019). Possamai, Dylan ; Mastrolia, Thibaut ; Hubert, Emma ; Elie, Romuald. In: Papers. RePEc:arx:papers:1902.10405. Full description at Econpapers || Download paper | |
2020 | Optimal Dynamic Incentive Contracts between a Principal and Multiple Agents in Controlled Markov Processes: A Constructive Approach. (2020). Uchida, Kenko ; Akao, Ken-Ichi ; Wasa, Yasuaki. In: RIEEM Discussion Paper Series. RePEc:was:dpaper:2001. Full description at Econpapers || Download paper | |
2020 | Random horizon principal-agent problem. (2020). Yang, Junjian ; Touzi, Nizar ; Ren, Zhenjie ; Lin, Yiqing. In: Papers. RePEc:arx:papers:2002.10982. Full description at Econpapers || Download paper | |
2020 | Bank Monitoring Incentives Under Moral Hazard and Adverse Selection. (2020). Zhou, Chao ; Possamai, Dylan ; Santibaez, Nicolas Hernandez. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:184:y:2020:i:3:d:10.1007_s10957-019-01621-9. Full description at Econpapers || Download paper | |
2020 | Continuous-time incentives in hierarchies. (2020). Hubert, Emma. In: Papers. RePEc:arx:papers:2007.10758. Full description at Econpapers || Download paper | |
2020 | Optimal compensation and investment affected by firm size and time-varying external factors. (2020). Lai, Chong ; Wu, Yonghong ; Li, Rui. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00365-1. Full description at Econpapers || Download paper | |
2020 | A Continuous-Time Model of Self-Protection. (2020). Santibaez, Nicolas Hernandez ; Bensalem, Sarah ; Kazi-Tani, Nabil. In: Working Papers. RePEc:hal:wpaper:hal-02974961. Full description at Econpapers || Download paper | |
2020 | Applications of Mean Field Games in Financial Engineering and Economic Theory. (2020). Carmona, Rene. In: Papers. RePEc:arx:papers:2012.05237. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Continuity of Utility Maximization under Weak Convergence. (2019). Bayraktar, Erhan ; Guo, Jia ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1811.01420. Full description at Econpapers || Download paper | |
2020 | Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (2020). Mostovyi, Oleksii. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4444-4469. Full description at Econpapers || Download paper | |
2020 | Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730. Full description at Econpapers || Download paper | |
2020 | On the uniqueness of solutions of stochastic Volterra equations. (2019). Jacquier, Antoine ; Pannier, Alexandre. In: Papers. RePEc:arx:papers:1912.05917. Full description at Econpapers || Download paper | |
2020 | 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 | |
2020 | Mean-variance portfolio selection under Volterra Heston model. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1904.12442. Full description at Econpapers || Download paper | |
2020 | Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378. Full description at Econpapers || Download paper | |
2020 | The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. (2020). Rosenbaum, Mathieu ; Jusselin, Paul ; Gatheral, Jim. In: Papers. RePEc:arx:papers:2001.01789. Full description at Econpapers || Download paper | |
2020 | Volatility has to be rough. (2020). Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:2002.09215. Full description at Econpapers || Download paper | |
2020 | Large and moderate deviations for stochastic Volterra systems. (2020). Pannier, Alexandre ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2004.10571. Full description at Econpapers || Download paper | |
2020 | A regularity structure for rough volatility. (2020). Stemper, Benjamin ; Martin, Jorg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:782-832. Full description at Econpapers || Download paper | |
2020 | Spot estimation for fractional Ornsteinââ¬âUhlenbeck stochastic volatility model: consistency and central limit theorem. (2020). Eumenius-Schulz, Yaroslav. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:2:d:10.1007_s11203-020-09209-1. Full description at Econpapers || Download paper | |
2020 | Pricing Options Under Rough Volatility with Backward SPDEs. (2020). Yao, Yao ; Qiu, Jinniao ; Bayer, Christian. In: Papers. RePEc:arx:papers:2008.01241. 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 | Noââ¬Âarbitrage implies powerââ¬Âlaw market impact and rough volatility. (2020). Rosenbaum, Mathieu ; Jusselin, Paul. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1309-1336. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
2020 | Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735. Full description at Econpapers || Download paper | |
2020 | On the extension property of dilatation monotone risk measures. (2020). Xanthos, Foivos ; Rahsepar, Massoomeh. In: Papers. RePEc:arx:papers:2002.11865. Full description at Econpapers || Download paper | |
2020 | Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479. Full description at Econpapers || Download paper | |
2020 | Is the inf-convolution of law-invariant preferences law-invariant?. (2020). Wang, Ruodu ; Liu, Peng ; Wei, Linxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:144-154. Full description at Econpapers || Download paper | |
2020 | Characterization, Robustness, and Aggregation of Signed Choquet Integrals. (2020). Willmot, Gordon E ; Wei, Yunran ; Wang, Ruodu. In: Mathematics of Operations Research. RePEc:inm:ormoor:v:45:y:2020:i:3:p:993-1015. Full description at Econpapers || Download paper | |
2020 | Stability properties of HaezendonckâGoovaerts premium principles. (2020). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:94-99. Full description at Econpapers || Download paper | |
2020 | Denting the FRTB IMA computational challenge via Orthogonal Chebyshev Sliding Technique. (2019). Ruiz, Ignacio ; Laris, Mariano Zeron-Medina. In: Papers. RePEc:arx:papers:1911.10948. Full description at Econpapers || Download paper | |
2020 | Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z. Full description at Econpapers || Download paper | |
2020 | Dynamic sensitivities and Initial Margin via Chebyshev Tensors. (2020). Ruiz, Ignacio ; Zeron, Mariano. In: Papers. RePEc:arx:papers:2011.04544. Full description at Econpapers || Download paper | |
2020 | Tensoring volatility calibration. (2020). Ruiz, Ignacio ; Zeron, Mariano. In: Papers. RePEc:arx:papers:2012.07440. Full description at Econpapers || Download paper | |
2020 | Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989. Full description at Econpapers || Download paper | |
2020 | Asset Pricing with General Transaction Costs: Theory and Numerics. (2019). Shi, Xiaofei ; Muhle-Karbe, Johannes ; Gonon, Lukas. In: Papers. RePEc:arx:papers:1905.05027. Full description at Econpapers || Download paper | |
2020 | Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466. Full description at Econpapers || Download paper | |
2020 | Price impact equilibrium with transaction costs and TWAP trading. (2020). Weston, Kim ; Noh, Eunjung. In: Papers. RePEc:arx:papers:2002.08286. Full description at Econpapers || Download paper | |
2020 | Optimal investment and consumption with return predictability and execution costs. (2020). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:408-419. Full description at Econpapers || Download paper | |
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 | |
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 | Asset pricing with heterogeneous beliefs and illiquidity. (2020). Tan, Xiaowei ; Nutz, Marcel ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1392-1421. 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 multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954. Full description at Econpapers || Download paper | |
2020 | Markov cubature rules for polynomial processes. (2020). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1947-1971. Full description at Econpapers || Download paper | |
2020 | Jacobi Stochastic Volatility factor for the Libor Market Model. (2020). Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-02468583. Full description at Econpapers || Download paper | |
2020 | A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496. Full description at Econpapers || Download paper | |
2020 | Martingale Optimal Transport Duality. (2019). Soner, Mete H ; Promel, David J ; Kiiski, Matti ; Cheridito, Patrick. In: Papers. RePEc:arx:papers:1904.04644. Full description at Econpapers || Download paper | |
2020 | Model-free pricing and hedging in discrete time using rough path signatures. (2019). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Papers. RePEc:arx:papers:1905.01720. Full description at Econpapers || Download paper | |
2020 | Robust pricing and hedging of options on multiple assets and its numerics. (2019). Obloj, Jan ; Lim, Tongseok ; Guo, Gaoyue ; Eckstein, Stephan. In: Papers. RePEc:arx:papers:1909.03870. Full description at Econpapers || Download paper | |
2020 | Arbitrage-free modeling under Knightian Uncertainty. (2019). Maggis, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1909.04602. Full description at Econpapers || Download paper | |
2020 | Pathwise superhedging on prediction sets. (2020). Neufeld, Ariel ; Kupper, Michael ; Bartl, Daniel. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00412-4. Full description at Econpapers || Download paper | |
2020 | Optimal semi-static hedging in illiquid markets. (2020). Rakwongwan, Udomsak ; Pennanen, Teemu. In: Papers. RePEc:arx:papers:2008.01463. Full description at Econpapers || Download paper | |
2020 | Construction of a class of forward performance processes in stochastic factor models, and an extension of Widderââ¬â¢s theorem. (2020). Sircar, Ronnie ; Shkolnikov, Mykhaylo ; Avanesyan, Levon. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00436-1. Full description at Econpapers || Download paper | |
2020 | Competition in Fund Management and Forward Relative Performance Criteria. (2020). Anthropelos, Michail ; Geng, Tianran ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:2011.00838. Full description at Econpapers || Download paper | |
2020 | Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235. Full description at Econpapers || Download paper | |
2020 | Forward BSDEs and backward SPDEs for utility maximization under endogenous pricing. (2020). Stadje, Mitja ; Nguyen, Thai. In: Papers. RePEc:arx:papers:2005.04312. Full description at Econpapers || Download paper | |
2020 | The value of Monte Carlo model-based variance reduction technology in the pricing of financial derivatives. (2020). Zhang, Yunyu. In: PLOS ONE. RePEc:plo:pone00:0229737. Full description at Econpapers || Download paper | |
2020 | Scaling limits of processes with fast nonlinear mean reversion. (2020). Muhle-Karbe, Johannes ; Herdegen, Martin ; Caye, Thomas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:4:p:1994-2031. Full description at Econpapers || Download paper | |
2020 | Insiders and their Free Lunches: the Role of Short Positions. (2020). Dandapani, Aditi ; Coculescu, Delia. In: Papers. RePEc:arx:papers:2012.00359. Full description at Econpapers || Download paper | |
2020 | Mechanics of good trade execution in the framework of linear temporary market impact. (2019). Brigo, Damiano ; Bellani, Claudio. In: Papers. RePEc:arx:papers:1909.10464. Full description at Econpapers || Download paper | |
2020 | Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. (2020). Voss, Moritz ; Neuman, Eyal. In: Papers. RePEc:arx:papers:2002.09549. Full description at Econpapers || Download paper | |
2020 | Equations and Shape of the Optimal Band Strategy. (2020). Chaouki, Ayman ; de Lataillade, Joachim . In: Papers. RePEc:arx:papers:2003.04646. Full description at Econpapers || Download paper | |
2020 | Forward utilities and Mean-field games under relative performance concerns. (2020). Platonov, Vadim ; Reis, Goncalo Dos. In: Papers. RePEc:arx:papers:2005.09461. Full description at Econpapers || Download paper | |
2020 | Optimizing distortion riskmetrics with distributional uncertainty. (2020). Wang, Qiuqi ; Pesenti, Silvana. In: Papers. RePEc:arx:papers:2011.04889. Full description at Econpapers || Download paper | |
2020 | Markovian approximation of the rough Bergomi model for Monte Carlo option pricing. (2020). Langrene, Nicolas ; Chen, Wen ; Loeper, Gregoire ; Zhu, Qinwen. In: Working Papers. RePEc:hal:wpaper:hal-02910724. 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 | Optimal risk-sharing across a network of insurance companies. (2020). Smirnow, Alexander ; Kull, Andreas ; Farkas, Walter ; Ettlin, Nicolas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:39-47. Full description at Econpapers || Download paper | |
2020 | Convergence of optimal expected utility for a sequence of discreteââ¬Âtime markets. (2020). Schachermayer, Walter ; Kreps, David M. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1205-1228. Full description at Econpapers || Download paper | |
2020 | Propagation of minimality in the supercooled Stefan problem. (2020). Svaluto-Ferro, Sara ; Rigger, Stefan ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2010.03580. Full description at Econpapers || Download paper | |
2020 | Nonzero-Sum Stochastic Differential Games Between an Impulse Controller and a Stopper. (2020). Campi, Luciano ; Santis, Davide. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:2:d:10.1007_s10957-020-01718-6. Full description at Econpapers || Download paper | |
2020 | A solution technique for Lévy driven long term average impulse control problems. (2020). Sohr, Tobias ; Christensen, Soren. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:12:p:7303-7337. Full description at Econpapers || Download paper |
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2020 | Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | A New Approach to Estimating Loss-Given-Default Distribution. (2020). Kevkhishvili, Rusudan ; Egami, Masahiko. In: Papers. RePEc:arx:papers:2009.00868. Full description at Econpapers || Download paper | |
2020 | Weak Transport for Non-Convex Costs and Model-independence in a Fixed-Income Market. (2020). Beiglboeck, Mathias ; Acciaio, Beatrice ; Pammer, Gudmund. In: Papers. RePEc:arx:papers:2011.04274. Full description at Econpapers || Download paper | |
2020 | Power mixture forward performance processes. (2020). Sircar, Ronnie ; Avanesyan, Levon. In: Papers. RePEc:arx:papers:2012.10847. 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 | A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496. Full description at Econpapers || Download paper | |
2020 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CARF F-Series. RePEc:cfi:fseres:cf495. Full description at Econpapers || Download paper | |
2020 | Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776. Full description at Econpapers || Download paper | |
2020 | How safe are european safe bonds? An analysis from the perspective of modern credit risk models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620302016. Full description at Econpapers || Download paper | |
2020 | Impact of proportional transaction costs on systematically generated portfolios. (2020). Xie, Kangjianan ; Ruf, Johannes. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104696. Full description at Econpapers || Download paper | |
2020 | Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework. (2020). Schmidt, Thorsten ; Gumbel, Sandrine. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:50-:d:361196. 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 | Filtration shrinkage, the structure of deflators, and failure of market completeness. (2020). Ruf, Johannes ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00435-2. Full description at Econpapers || Download paper | |
2020 | Extended weak convergence and utility maximisation with proportional transaction costs. (2020). Bayraktar, Erhan ; Dolinsky, Yan ; Dolinskyi, Leonid. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00437-0. Full description at Econpapers || Download paper | |
2020 | Optimal reduction of public debt under partial observation of the economic growth. (2020). Ferrari, Giorgio ; Ceci, Claudia ; Callegaro, Giorgia. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00438-z. Full description at Econpapers || Download paper | |
2020 | Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data. (2020). Mancino, Maria Elvira ; Toscano, G ; Scotti, S. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:27:y:2020:i:4:p:288-316. Full description at Econpapers || Download paper | |
2020 | A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit. (2020). Takahashi, Akihiko ; Fujii, Masaaki. In: CIRJE F-Series. RePEc:tky:fseres:2020cf1156. Full description at Econpapers || Download paper |
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2019 | Optimal Stopping and Utility in a Simple Model of Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Papers. RePEc:arx:papers:1902.06175. Full description at Econpapers || Download paper | |
2019 | Optimal execution with rough path signatures. (2019). Arribas, Imanol Perez ; Lyons, Terry ; Kalsi, Jasdeep. In: Papers. RePEc:arx:papers:1905.00728. Full description at Econpapers || Download paper | |
2019 | A Model for the Optimal Management of Inflation. (2019). Schuhmann, Patrick ; Ferrari, Giorgio ; Federico, Salvatore. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:624. Full description at Econpapers || Download paper | |
2019 | Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107. Full description at Econpapers || Download paper | |
2019 | Optimal Stopping and Utility in a Simple Modelof Unemployment Insurance. (2019). Bogachev, Leonid V ; Anquandah, Jason S. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:94-:d:262848. Full description at Econpapers || Download paper | |
2019 | Optimal Investment for Retail Investors with Flooredand Capped Costs. (2019). Mich, Lukas ; Belak, Christoph ; Seifried, Frank T. In: Working Paper Series. RePEc:trr:qfrawp:201906. Full description at Econpapers || Download paper |
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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 | 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 | 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 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 | The strong Fatou property of risk measures. (2018). Foivos, Xanthos ; Niushan, Gao ; Shengzhong, Chen. In: Dependence Modeling. RePEc:vrs:demode:v:6:y:2018:i:1:p:183-196:n:12. Full description at Econpapers || Download paper | |
2018 |
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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 | 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 deltaââ¬âvega 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 |