[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 | |
1996 | 0 | 0.25 | 0.75 | 0 | 4 | 4 | 73 | 4 | 0 | 0 | 0 | 0 | 0.12 | |||||
1997 | 0 | 0.25 | 0.6 | 0 | 16 | 20 | 666 | 12 | 16 | 4 | 4 | 5 | 41.7 | 12 | 0.75 | 0.11 | ||
1998 | 0.65 | 0.28 | 0.39 | 0.65 | 21 | 41 | 643 | 16 | 32 | 20 | 13 | 20 | 13 | 0 | 2 | 0.1 | 0.13 | |
1999 | 0.54 | 0.31 | 0.45 | 0.51 | 25 | 66 | 608 | 28 | 62 | 37 | 20 | 41 | 21 | 0 | 3 | 0.12 | 0.15 | |
2000 | 0.39 | 0.36 | 0.55 | 0.55 | 17 | 83 | 427 | 45 | 108 | 46 | 18 | 66 | 36 | 4 | 8.9 | 2 | 0.12 | 0.16 |
2001 | 0.64 | 0.39 | 0.7 | 0.57 | 29 | 112 | 899 | 77 | 186 | 42 | 27 | 83 | 47 | 1 | 1.3 | 5 | 0.17 | 0.17 |
2002 | 0.54 | 0.41 | 0.63 | 0.63 | 38 | 150 | 1255 | 95 | 281 | 46 | 25 | 108 | 68 | 7 | 7.4 | 5 | 0.13 | 0.21 |
2004 | 0.92 | 0.5 | 0.93 | 0.87 | 29 | 179 | 849 | 167 | 589 | 38 | 35 | 109 | 95 | 0 | 9 | 0.31 | 0.22 | |
2005 | 0.55 | 0.51 | 1.17 | 0.95 | 32 | 211 | 969 | 246 | 835 | 29 | 16 | 113 | 107 | 5 | 2 | 13 | 0.41 | 0.24 |
2006 | 1.15 | 0.51 | 1.12 | 1.05 | 35 | 246 | 686 | 276 | 1111 | 61 | 70 | 128 | 134 | 16 | 5.8 | 6 | 0.17 | 0.23 |
2007 | 0.76 | 0.46 | 1.05 | 0.79 | 27 | 273 | 773 | 288 | 1399 | 67 | 51 | 134 | 106 | 22 | 7.6 | 11 | 0.41 | 0.2 |
2008 | 0.52 | 0.49 | 1.11 | 0.76 | 24 | 297 | 416 | 325 | 1728 | 62 | 32 | 123 | 94 | 12 | 3.7 | 11 | 0.46 | 0.23 |
2009 | 1 | 0.48 | 1.22 | 0.86 | 23 | 320 | 411 | 388 | 2119 | 51 | 51 | 147 | 127 | 15 | 3.9 | 11 | 0.48 | 0.24 |
2010 | 0.87 | 0.49 | 1.31 | 1 | 24 | 344 | 392 | 451 | 2571 | 47 | 41 | 141 | 141 | 32 | 7.1 | 10 | 0.42 | 0.21 |
2011 | 0.89 | 0.52 | 1.27 | 0.84 | 29 | 373 | 526 | 469 | 3044 | 47 | 42 | 133 | 112 | 41 | 8.7 | 14 | 0.48 | 0.24 |
2012 | 0.83 | 0.52 | 1.24 | 0.87 | 30 | 403 | 476 | 497 | 3543 | 53 | 44 | 127 | 110 | 54 | 10.9 | 9 | 0.3 | 0.22 |
2013 | 1.08 | 0.56 | 1.43 | 1 | 31 | 434 | 484 | 620 | 4164 | 59 | 64 | 130 | 130 | 43 | 6.9 | 14 | 0.45 | 0.24 |
2014 | 0.89 | 0.55 | 1.51 | 1.01 | 31 | 465 | 479 | 703 | 4867 | 61 | 54 | 137 | 138 | 66 | 9.4 | 21 | 0.68 | 0.23 |
2015 | 1.13 | 0.55 | 1.58 | 1.12 | 31 | 496 | 349 | 785 | 5653 | 62 | 70 | 145 | 162 | 74 | 9.4 | 11 | 0.35 | 0.23 |
2016 | 1.29 | 0.53 | 1.72 | 1.14 | 34 | 530 | 300 | 911 | 6565 | 62 | 80 | 152 | 174 | 72 | 7.9 | 14 | 0.41 | 0.21 |
2017 | 0.98 | 0.54 | 1.67 | 1.15 | 33 | 563 | 425 | 941 | 7506 | 65 | 64 | 157 | 181 | 89 | 9.5 | 12 | 0.36 | 0.22 |
2018 | 1.13 | 0.55 | 1.51 | 1 | 31 | 594 | 367 | 898 | 8404 | 67 | 76 | 160 | 160 | 96 | 10.7 | 14 | 0.45 | 0.24 |
2019 | 1.55 | 0.57 | 1.43 | 1.2 | 30 | 624 | 228 | 891 | 9295 | 64 | 99 | 160 | 192 | 62 | 7 | 12 | 0.4 | 0.23 |
2020 | 1.3 | 0.68 | 1.44 | 1.25 | 30 | 654 | 168 | 943 | 10238 | 61 | 79 | 159 | 198 | 70 | 7.4 | 17 | 0.57 | 0.32 |
2021 | 1.23 | 0.81 | 1.42 | 1.34 | 25 | 679 | 88 | 962 | 11200 | 60 | 74 | 158 | 212 | 68 | 7.1 | 10 | 0.4 | 0.3 |
2022 | 0.95 | 0.86 | 1.21 | 1.26 | 27 | 706 | 53 | 853 | 12053 | 55 | 52 | 149 | 187 | 71 | 8.3 | 14 | 0.52 | 0.26 |
2023 | 1 | 0.92 | 1.18 | 1.18 | 29 | 735 | 27 | 870 | 12923 | 52 | 52 | 143 | 169 | 62 | 7.1 | 6 | 0.21 | 0.27 |
IF: | Two years Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for all series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Five years Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 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 | 516 |
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 | 216 |
3 | 2006 | Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers || Download paper | 211 |
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 | 170 |
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 | 168 |
6 | 2007 | The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers || Download paper | 158 |
7 | 2013 | Model-independent bounds for option pricesâa mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers || Download paper | 150 |
8 | 2005 | Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers || Download paper | 148 |
9 | 2004 | Liquidity risk and arbitrage pricing theory. (2004). Jarrow, Robert ; Etin, Umut ; Protter, Philip. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:3:p:311-341. Full description at Econpapers || Download paper | 147 |
10 | 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 ; Dave, Rakhal R. ; Pictet, Olivier V. ; Guillaume, Dominique M. ; Muller, Ulrich A.. In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:2:p:95-129. Full description at Econpapers || Download paper | 137 |
11 | 1999 | Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers || Download paper | 136 |
12 | 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 | 130 |
13 | 2005 | Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers || Download paper | 130 |
14 | 2007 | On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers || Download paper | 129 |
15 | 2007 | Moment explosions in stochastic volatility models. (2007). Piterbarg, Vladimir ; Andersen, Leif. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:1:p:29-50. Full description at Econpapers || Download paper | 122 |
16 | 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 | 121 |
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 | 119 |
18 | 2004 | Vector-valued coherent risk measures. (2004). Jouini, Elyès ; Touzi, Nizar ; Meddeb, Moncef . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:531-552. Full description at Econpapers || Download paper | 111 |
19 | 2002 | An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers || Download paper | 97 |
20 | 2017 | On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . 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 | 96 |
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 | 92 |
22 | 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 | 87 |
23 | 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 | 86 |
24 | 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 | 86 |
25 | 2011 | Robust pricing and hedging of double no-touch options. (2011). Oboj, Jan ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:15:y:2011:i:3:p:573-605. Full description at Econpapers || Download paper | 85 |
26 | 2000 | Efficient hedging: Cost versus shortfall risk. (2000). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:2:p:117-146. Full description at Econpapers || Download paper | 82 |
27 | 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 | 81 |
28 | 2004 | Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers || Download paper | 80 |
29 | 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 | 79 |
30 | 2004 | Asymptotic analysis for optimal investment and consumption with transaction costs. (2004). Shreve, Steven ; Janeek, Karel. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:181-206. Full description at Econpapers || Download paper | 76 |
31 | 2000 | Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers || Download paper | 74 |
32 | 1998 | Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers || Download paper | 73 |
33 | 1999 | Quantile hedging. (1999). Leukert, Peter ; Follmer, Hans. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:3:p:251-273. Full description at Econpapers || Download paper | 72 |
34 | 2004 | An example of indifference prices under exponential preferences. (2004). Zariphopoulou, Thaleia ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:2:p:229-239. Full description at Econpapers || Download paper | 71 |
35 | 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 | 71 |
36 | 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 | 71 |
37 | 2001 | Coherent risk measures and good-deal bounds. (2001). Kuchler, Uwe ; Jaschke, Stefan . In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:181-200. Full description at Econpapers || Download paper | 70 |
38 | 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 | 69 |
39 | 1998 | Local martingales and the fundamental asset pricing theorems in the discrete-time case. (1998). Jacod, J. ; Shiryaev, A. N.. In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:3:p:259-273. Full description at Econpapers || Download paper | 69 |
40 | 2015 | Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers || Download paper | 68 |
41 | 1997 | Continuous-time term structure models: Forward measure approach (*). (1997). Rutkowski, Marek ; Musiela, Marek . In: Finance and Stochastics. RePEc:spr:finsto:v:1:y:1997:i:4:p:261-291. Full description at Econpapers || Download paper | 67 |
42 | 2002 | The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers || Download paper | 66 |
43 | 2010 | Representation of the penalty term of dynamic concave utilities. (2010). Peng, Shige ; Delbaen, Freddy ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: Finance and Stochastics. RePEc:spr:finsto:v:14:y:2010:i:3:p:449-472. Full description at Econpapers || Download paper | 65 |
44 | 2001 | Applications of Malliavin calculus to Monte-Carlo methods in finance. II. (2001). Lions, Pierre-Louis ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric. In: Finance and Stochastics. RePEc:spr:finsto:v:5:y:2001:i:2:p:201-236. Full description at Econpapers || Download paper | 62 |
45 | 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 | 61 |
46 | 2005 | Diversity and relative arbitrage in equity markets. (2005). Fernholz, Robert ; Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:1:p:1-27. Full description at Econpapers || Download paper | 60 |
47 | 2008 | Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439. Full description at Econpapers || Download paper | 60 |
48 | 2012 | Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers || Download paper | 59 |
49 | 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 | 59 |
50 | 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 | 58 |
# | 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 | 89 |
2 | 2006 | Generalized deviations in risk analysis. (2006). Uryasev, Stan ; Rockafellar, R. ; Zabarankin, Michael. In: Finance and Stochastics. RePEc:spr:finsto:v:10:y:2006:i:1:p:51-74. Full description at Econpapers || Download paper | 42 |
3 | 2007 | On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility. (2007). Vives, Josep ; Leon, Jorge ; Alos, Elisa. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:571-589. Full description at Econpapers || Download paper | 40 |
4 | 2013 | Model-independent bounds for option pricesâa mass transport approach. (2013). Henry-Labordere, Pierre ; Beiglbock, Mathias ; Penkner, Friedrich . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:3:p:477-501. Full description at Econpapers || Download paper | 36 |
5 | 2017 | On time-inconsistent stochastic control in continuous time. (2017). Murgoci, Agatha ; Khapko, Mariana ; Bjork, Tomas . 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 | 35 |
6 | 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 | 30 |
7 | 2018 | The microstructural foundations of leverage effect and rough volatility. (2018). Rosenbaum, Mathieu ; Fukasawa, Masaaki ; Euch, Omar. 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 | 29 |
8 | 2007 | The numéraire portfolio in semimartingale financial models. (2007). Karatzas, Ioannis ; Kardaras, Constantinos. In: Finance and Stochastics. RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493. Full description at Econpapers || Download paper | 27 |
9 | 2018 | Dynamic programming approach to principalâagent 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 | 26 |
10 | 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 | 26 |
11 | 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 | 24 |
12 | 2019 | Incorporating signals into optimal trading. (2019). Neuman, Eyal ; Lehalle, Charles-Albert. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7. Full description at Econpapers || Download paper | 23 |
13 | 2017 | Optimal consumption and investment with EpsteinâZin recursive utility. (2017). Seifried, Frank Thomas ; Kraft, Holger ; Seiferling, Thomas . 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 | 22 |
14 | 2008 | Optimal capital and risk allocations for law- and cash-invariant convex functions. (2008). Svindland, Gregor ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:423-439. Full description at Econpapers || Download paper | 21 |
15 | 2017 | Hybrid scheme for Brownian semistationary processes. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. 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 | 21 |
16 | 2015 | Aggregation-robustness and model uncertainty of regulatory risk measures. (2015). Embrechts, Paul ; Wang, Bin. In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:4:p:763-790. Full description at Econpapers || Download paper | 20 |
17 | 2014 | A theory of Markovian time-inconsistent stochastic control in discrete time. (2014). Bjork, Tomas ; Murgoci, Agatha . In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:3:p:545-592. Full description at Econpapers || Download paper | 19 |
18 | 2020 | Adapted Wasserstein distances and stability in mathematical finance. (2020). Eder, Manu ; Beiglbock, Mathias ; Bartl, Daniel ; Backhoff-Veraguas, Julio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:3:d:10.1007_s00780-020-00426-3. Full description at Econpapers || Download paper | 19 |
19 | 2004 | Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain. (2004). Haussmann, Ulrich ; Sass, Jorn. In: Finance and Stochastics. RePEc:spr:finsto:v:8:y:2004:i:4:p:553-577. Full description at Econpapers || Download paper | 19 |
20 | 2019 | Affine forward variance models. (2019). Keller-Ressel, Martin ; Gatheral, Jim. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00392-5. Full description at Econpapers || Download paper | 18 |
21 | 2005 | Inf-convolution of risk measures and optimal risk transfer. (2005). Barrieu, Pauline ; el Karoui, Nicole. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:2:p:269-298. Full description at Econpapers || Download paper | 18 |
22 | 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 | 17 |
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 | 16 |
24 | 2013 | Consumption-portfolio optimization with recursive utility in incomplete markets. (2013). Steffensen, Mogens ; Kraft, Holger ; Seifried, Frank . In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:1:p:161-196. Full description at Econpapers || Download paper | 15 |
25 | 2005 | Local martingales, bubbles and option prices. (2005). Hobson, David ; Cox, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:9:y:2005:i:4:p:477-492. Full description at Econpapers || Download paper | 15 |
26 | 2016 | Polynomial diffusions and applications in finance. (2016). Filipovi, Damir ; Larsson, Martin. 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 | 15 |
27 | 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 | 15 |
28 | 2014 | Comparative and qualitative robustness for law-invariant risk measures. (2014). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:2:p:271-295. Full description at Econpapers || Download paper | 14 |
29 | 2022 | The characteristic function of Gaussian stochastic volatility models: an analytic expression. (2022). Jaber, Eduardo Abi. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00489-4. Full description at Econpapers || Download paper | 14 |
30 | 2015 | Taylor approximation of incomplete Radner equilibrium models. (2015). Larsen, Kasper ; Choi, Jin . In: Finance and Stochastics. RePEc:spr:finsto:v:19:y:2015:i:3:p:653-679. Full description at Econpapers || Download paper | 14 |
31 | 2017 | Consumptionâinvestment optimization with EpsteinâZin utility in incomplete markets. (2017). Xing, Hao. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0297-z. Full description at Econpapers || Download paper | 14 |
32 | 2017 | Trading strategies generated by Lyapunov functions. (2017). Ruf, Johannes ; Karatzas, Ioannis. 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 | 14 |
33 | 1999 | Applications of Malliavin calculus to Monte Carlo methods in finance. (1999). Touzi, Nizar ; Lebuchoux, Jerome ; Lasry, Jean-Michel ; Fournie, Eric ; Lions, Pierre-Louis. In: Finance and Stochastics. RePEc:spr:finsto:v:3:y:1999:i:4:p:391-412. Full description at Econpapers || Download paper | 13 |
34 | 2014 | Beyond cash-additive risk measures: when changing the numéraire fails. (2014). Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo. In: Finance and Stochastics. RePEc:spr:finsto:v:18:y:2014:i:1:p:145-173. Full description at Econpapers || Download paper | 13 |
35 | 2018 | Optimal liquidation under stochastic liquidity. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2. Full description at Econpapers || Download paper | 13 |
36 | 2008 | Optimal lifetime consumption and investment under a drawdown constraint. (2008). Elie, Romuald ; Touzi, Nizar. In: Finance and Stochastics. RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330. Full description at Econpapers || Download paper | 13 |
37 | 2002 | An analysis of a least squares regression method for American option pricing. (2002). Protter, Philip ; Clement, Emmanuelle ; Lamberton, Damien. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:449-471. Full description at Econpapers || Download paper | 13 |
38 | 2020 | Optimal dividends with partial information and stopping of a degenerate reflecting diffusion. (2020). Angelis, Tiziano. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00407-1. Full description at Econpapers || Download paper | 13 |
39 | 2013 | Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander. In: Finance and Stochastics. RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770. Full description at Econpapers || Download paper | 12 |
40 | 2012 | Polynomial processes and their applications to mathematical finance. (2012). Keller-Ressel, Martin ; Teichmann, Josef ; Cuchiero, Christa. In: Finance and Stochastics. RePEc:spr:finsto:v:16:y:2012:i:4:p:711-740. Full description at Econpapers || Download paper | 12 |
41 | 2002 | The cumulant process and Esschers change of measure. (2002). Kallsen, Jan ; Shiryaev, Albert N.. In: Finance and Stochastics. RePEc:spr:finsto:v:6:y:2002:i:4:p:397-428. Full description at Econpapers || Download paper | 12 |
42 | 2018 | Equilibrium returns with transaction costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. 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 | 12 |
43 | 2017 | Alpha-CIR model with branching processes in sovereign interest rate modeling. (2017). Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7. Full description at Econpapers || Download paper | 11 |
44 | 1998 | Option pricing with transaction costs and a nonlinear Black-Scholes equation. (1998). Soner, Halil Mete ; Barles, Guy . In: Finance and Stochastics. RePEc:spr:finsto:v:2:y:1998:i:4:p:369-397. Full description at Econpapers || Download paper | 11 |
45 | 2019 | The self-financing equation in limit order book markets. (2019). Webster, Kevin ; Carmona, Rene. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00398-z. Full description at Econpapers || Download paper | 11 |
46 | 2000 | Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. (2000). Asmussen, Soren ; Taksar, Michael ; jgaard, Bjarne Ho ; Hojgaard, Bjarne. In: Finance and Stochastics. RePEc:spr:finsto:v:4:y:2000:i:3:p:299-324. Full description at Econpapers || Download paper | 10 |
47 | 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 | 10 |
48 | 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 | 10 |
49 | 2020 | Term structure modelling for multiple curves with stochastic discontinuities. (2020). Schmidt, Thorsten ; Gumbel, Sandrine ; Grbac, Zorana ; Fontana, Claudio. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00416-5. Full description at Econpapers || Download paper | 10 |
50 | 2021 | Scenario-based risk evaluation. (2021). Ziegel, Johanna F ; Wang, Ruodu. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00460-9. Full description at Econpapers || Download paper | 10 |
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2023 | Imprecise P-Box Sensitivity Analysis of an Aero-Engine Combustor Performance Simulation Model Considering Correlated Variables. (2023). Luo, Huageng ; Xing, Fei ; Zhang, Baoqiang ; Kong, Lingwei ; Li, Jinhui ; Tang, Hongjie. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:5:p:2362-:d:1084712. Full description at Econpapers || Download paper | |
2023 | Analysis of optimal portfolios on finite and small-time horizons for a multi-dimensional correlated stochastic volatility model. (2023). Sengupta, Indranil ; Lin, Minglian. In: Papers. RePEc:arx:papers:2302.06778. Full description at Econpapers || Download paper | |
2023 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper | |
2023 | Predictable Forward Performance Processes: Infrequent Evaluation and Robo-Advising Applications. (2021). Wang, Yuwei ; Strub, Moris S ; Liang, Gechun. In: Papers. RePEc:arx:papers:2110.08900. Full description at Econpapers || Download paper | |
2023 | Optimal Investment in Defined Contribution Pension Schemes with Forward Utility Preferences. (2023). Chong, Wing Fung ; Hin, Kenneth Tsz. In: Papers. RePEc:arx:papers:2303.08462. Full description at Econpapers || Download paper | |
2023 | Can grid-tied solar photovoltaics lead to residential heating electrification? A techno-economic case study in the midwestern U.S.. (2023). Pearce, Joshua M ; Sommerfeldt, Nelson. In: Applied Energy. RePEc:eee:appene:v:336:y:2023:i:c:s0306261923002027. Full description at Econpapers || Download paper | |
2023 | Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (2023). Xu, Huifu ; Wang, Wei. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00475-x. Full description at Econpapers || Download paper | |
2023 | Deep stochastic optimization in finance. (2023). Tissot-Daguette, Valentin ; Soner, Mete H ; Reppen, Max A. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-022-00074-6. Full description at Econpapers || Download paper | |
2023 | Deep learning algorithms for hedging with frictions. (2023). Zhang, Zhanhao ; Xu, Daran ; Shi, Xiaofei. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:1:d:10.1007_s42521-023-00075-z. Full description at Econpapers || Download paper | |
2023 | Mean field portfolio games. (2023). Zhou, Chao ; Fu, Guanxing. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00492-9. Full description at Econpapers || Download paper | |
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2023 | Signature SDEs from an affine and polynomial perspective. (2023). Teichmann, Josef ; Svaluto-Ferro, Sara ; Cuchiero, Christa. In: Papers. RePEc:arx:papers:2302.01362. Full description at Econpapers || Download paper | |
2023 | Separating Times for One-Dimensional Diffusions. (2022). Urusov, Mikhail ; Criens, David. In: Papers. RePEc:arx:papers:2211.06042. Full description at Econpapers || Download paper | |
2023 | Pitmans Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers. (2023). Tsuzuki, Yukihiro. In: Papers. RePEc:arx:papers:2303.13956. Full description at Econpapers || Download paper | |
2023 | Robust utility maximization with nonlinear continuous semimartingales. (2022). Niemann, Lars ; Criens, David. In: Papers. RePEc:arx:papers:2206.14015. Full description at Econpapers || Download paper | |
2023 | The continuous-time pre-commitment KMM problem in incomplete markets. (2022). Song, Yilun ; Liang, Zongxia ; Guan, Guohui. In: Papers. RePEc:arx:papers:2210.13833. Full description at Econpapers || Download paper | |
2023 | Robust retirement and life insurance with inflation risk and model ambiguity. (2023). Yan, Tingjin ; Wong, Hoi Ying ; Park, Kyunghyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:1-30. Full description at Econpapers || Download paper | |
2023 | Markov decision processes under model uncertainty. (2023). Iki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:618-665. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Sensitivity of robust optimization problems under drift and volatility uncertainty. (2023). Neufeld, Ariel ; Bartl, Daniel ; Park, Kyunghyun. In: Papers. RePEc:arx:papers:2311.11248. Full description at Econpapers || Download paper | |
2023 | Transaction time models in multi-state life insurance. (2022). Sandqvist, Oliver Lunding ; Furrer, Christian ; Buchardt, Kristian. In: Papers. RePEc:arx:papers:2209.06902. Full description at Econpapers || Download paper | |
2023 | Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409. Full description at Econpapers || Download paper | |
2023 | Simultaneous Optimal Transport. (2022). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483. Full description at Econpapers || Download paper | |
2023 | A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792. Full description at Econpapers || Download paper | |
2023 | Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers || Download paper | |
2023 | Dynamic star-shaped risk measures and $g$-expectations. (2023). Wang, Xunlian ; Tian, Dejian. In: Papers. RePEc:arx:papers:2305.02481. Full description at Econpapers || Download paper | |
2023 | An axiomatic approach to default risk and model uncertainty in rating systems. (2023). Streicher, Jan ; Nendel, Max. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:109:y:2023:i:c:s0304406823000897. Full description at Econpapers || Download paper | |
2023 | A fast Monte Carlo scheme for additive processes and option pricing. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2112.08291. Full description at Econpapers || Download paper | |
2023 | A fast Monte Carlo scheme for additive processes and option pricing. (2023). Baviera, Roberto ; Azzone, Michele. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00463-1. Full description at Econpapers || Download paper | |
2023 | Is (independent) subordination relevant?. (2023). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2307.08628. Full description at Econpapers || Download paper | |
2023 | Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models. (2023). Walter, Niklas ; Gonon, Lukas ; Biagini, Francesca. In: Papers. RePEc:arx:papers:2309.14784. Full description at Econpapers || Download paper | |
2023 | Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis. (2022). Kratsios, Anastasis ; Livieri, Giulia ; Galimberti, Luca. In: Papers. RePEc:arx:papers:2210.13300. Full description at Econpapers || Download paper | |
2023 | Impact of financial environment on household risk financial asset selection: A micro perspective. (2023). Khalid, Fahad ; Xiaoyang, MA ; Xiaoyi, Zhang ; Xiaoli, Gan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:137-145. Full description at Econpapers || Download paper | |
2023 | On Parametric Optimal Execution and Machine Learning Surrogates. (2022). Voss, Moritz ; Ludkovski, Mike ; Chen, Tao. In: Papers. RePEc:arx:papers:2204.08581. Full description at Econpapers || Download paper | |
2023 | A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:2207.00446. Full description at Econpapers || Download paper | |
2023 | Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2022). Urusov, Mikhail ; Kruse, Thomas ; Ackermann, Julia. In: Papers. RePEc:arx:papers:2206.03772. Full description at Econpapers || Download paper | |
2023 | Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. (2023). Roch, Alexandre. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:25:y:2023:i:1:d:10.1007_s11009-023-09996-z. Full description at Econpapers || Download paper | |
2023 | Calibration of the Bass Local Volatility model. (2023). Marini, Antonio ; Acciaio, Beatrice ; Pammer, Gudmund. In: Papers. RePEc:arx:papers:2311.14567. Full description at Econpapers || Download paper | |
2023 | Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective. (2022). Vadori, Nelson. In: Papers. RePEc:arx:papers:2203.06865. Full description at Econpapers || Download paper | |
2023 | Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. (2022). 'Alvaro Cartea, ; Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2206.14666. Full description at Econpapers || Download paper | |
2023 | Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning. (2023). Hyndman, Cody ; Kratsios, Anastasis. In: Papers. RePEc:arx:papers:2302.09176. Full description at Econpapers || Download paper | |
2023 | D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556. Full description at Econpapers || Download paper | |
2023 | Machine learning for option pricing: an empirical investigation of network architectures. (2023). Papazoglou-Hennig, Jonas ; Papapantoleon, Antonis ; van Mieghem, Laurens. In: Papers. RePEc:arx:papers:2307.07657. Full description at Econpapers || Download paper | |
2023 | Strategic trading with information acquisition and long-memory stochastic liquidity. (2023). Kennedy, Adrian Patrick ; Ma, Guiyuan ; Li, Xiaolong ; Han, Jinhui. In: European Journal of Operational Research. RePEc:eee:ejores:v:308:y:2023:i:1:p:480-495. Full description at Econpapers || Download paper | |
2023 | On an Optimal Stopping Problem with a Discontinuous Reward. (2023). Vachon, Marie-Claude ; MacKay, Anne. In: Papers. RePEc:arx:papers:2311.03538. Full description at Econpapers || Download paper | |
2023 | Aggregate Markov models in life insurance: Properties and valuation. (2023). Furrer, Christian ; Bladt, Mogens ; Ahmad, Jamaal. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:50-69. Full description at Econpapers || Download paper | |
2023 | Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (2023). Zhang, Qinyi ; Yu, Xiang ; Li, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:25-45. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668. Full description at Econpapers || Download paper | |
2023 | Evolutionary finance: a model with endogenous asset payoffs. (2023). Vanaei, M J ; Hens, T ; Evstigneev, I V. In: Journal of Bioeconomics. RePEc:kap:jbioec:v:25:y:2023:i:2:d:10.1007_s10818-023-09335-9. Full description at Econpapers || Download paper | |
2023 | Simulation of a L\evy process, its extremum, and hitting time of the extremum via characteristic functions. (2023). Levendorskii, Sergei ; Boyarchenko, Svetlana. In: Papers. RePEc:arx:papers:2312.03929. Full description at Econpapers || Download paper | |
2023 | Equilibrium in Functional Stochastic Games with Mean-Field Interaction. (2023). Voss, Moritz ; Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-04119787. Full description at Econpapers || Download paper |
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2023 | An elementary proof of the dual representation of Expected Shortfall. (2023). Munari, Cosimo ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2306.14506. Full description at Econpapers || Download paper | |
2023 | Optimal dividend strategies for a catastrophe insurer. (2023). Azcue, Pablo ; Albrecher, Hansjoerg ; Muler, Nora. In: Papers. RePEc:arx:papers:2311.05781. Full description at Econpapers || Download paper | |
2023 | Dynamic portfolio selection for nonlinear law-dependent preferences. (2023). Xia, Jianming ; Liang, Zongxia ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2311.06745. Full description at Econpapers || Download paper | |
2023 | Optimal dividend payout with path-dependent drawdown constraint. (2023). Fan, Jiacheng ; Guan, Chonghu ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2312.01668. Full description at Econpapers || Download paper | |
2023 | Detecting Toxic Flow. (2023). Duran-Martin, Gerardo ; 'Alvaro Cartea, . In: Papers. RePEc:arx:papers:2312.05827. Full description at Econpapers || Download paper | |
2023 | The infinite-horizon investmentâconsumption problem for EpsteinâZin stochastic differential utility. II: Existence, uniqueness and verification for ? ? ( 0 , 1 ) $\vartheta \in (0,1)$. (2023). Jerome, Joseph ; Hobson, David ; Herdegen, Martin. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:1:d:10.1007_s00780-022-00496-5. Full description at Econpapers || Download paper |
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2022 | Reinforcement Learning with Dynamic Convex Risk Measures. (2022). Jaimungal, Sebastian ; Coache, Anthony. In: Papers. RePEc:arx:papers:2112.13414. Full description at Econpapers || Download paper | |
2022 | Representation for martingales living after a random time with applications. (2022). Alharbi, Ferdoos ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2203.11072. Full description at Econpapers || Download paper | |
2022 | Economic Networks: Theory and Computation. (2022). Stachurski, John ; Sargent, Thomas J. In: Papers. RePEc:arx:papers:2203.11972. Full description at Econpapers || Download paper | |
2022 | Log-optimal portfolio after a random time: Existence, description and sensitivity analysis. (2022). Choulli, Tahir ; Alharbi, Ferdoos. In: Papers. RePEc:arx:papers:2204.03798. Full description at Econpapers || Download paper | |
2022 | Ensemble learning for portfolio valuation and risk management. (2022). Filipovi, Damir ; Boudabsa, Lotfi. In: Papers. RePEc:arx:papers:2204.05926. Full description at Econpapers || Download paper | |
2022 | Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions. (2022). Pakkanen, Mikko S ; Wiese, Magnus ; Buehler, Hans ; Wood, Ben ; Murray, Phillip. In: Papers. RePEc:arx:papers:2207.07467. Full description at Econpapers || Download paper | |
2022 | Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2211.00447. Full description at Econpapers || Download paper | |
2022 | Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). , Li ; Illand, Camille ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2212.08297. Full description at Econpapers || Download paper | |
2022 | Portfolio choice with return predictability and small trading frictions. (2022). Zhu, Song-Ping ; Siu, Chi Chung ; Ma, Guiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000694. Full description at Econpapers || Download paper | |
2022 | Extension of as-if-Markov modeling to scaled payments. (2022). Furrer, Christian ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306. Full description at Econpapers || Download paper | |
2022 | Explicit description of all deflators for market models under random horizon with applications to NFLVR. (2022). Yansori, Sina ; Choulli, Tahir. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:151:y:2022:i:c:p:230-264. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Optimal Liquidation with Signals: the General Propagator Case. (2022). Neuman, Eyal ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03835948. Full description at Econpapers || Download paper | |
2022 | Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. (2022). Li, Shaun Xiaoyuan ; Illand, Camille ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-03902513. Full description at Econpapers || Download paper |
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2021 | Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Papers. RePEc:arx:papers:2105.09140. Full description at Econpapers || Download paper | |
2021 | Measure-valued affine and polynomial diffusions. (2021). di Persio, Luca ; Guida, Francesco ; Cuchiero, Christa ; Svaluto-Ferro, Sara. In: Papers. RePEc:arx:papers:2112.15129. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Forecasting with fractional Brownian motion: a financial perspective. (2021). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-03230167. Full description at Econpapers || Download paper | |
2021 | Nonlinear expectations of random sets. (2021). Muhlemann, Anja ; Molchanov, Ilya. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00442-3. Full description at Econpapers || Download paper | |
2021 | Set-valued risk measures as backward stochastic difference inclusions and equations. (2021). Feinstein, Zachary ; Ararat, Ain. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:1:d:10.1007_s00780-020-00445-0. Full description at Econpapers || Download paper | |
2021 | Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach. (2021). Platen, Eckhard ; Grasselli, Martino ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:06/2021. Full description at Econpapers || Download paper |
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2020 | Cournot-Nash equilibrium and optimal transport in a dynamic setting. (2020). Jia, Junchao ; Backhoff-Veraguas, Julio ; Acciaio, Beatrice. In: Papers. RePEc:arx:papers:2002.08786. 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, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015. Full description at Econpapers || Download paper | |
2020 | Variance Contracts. (2020). Zhuang, Sheng Chao ; Yu, Xun ; Chi, Yichun. In: Papers. RePEc:arx:papers:2008.07103. 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 |
# | Series | H | Cites | |
---|---|---|---|---|
1 | Papers / arXiv.org | 90 | 2540 | |
2 | Finance and Stochastics / Springer | 55 | 369 | |
3 | Stochastic Processes and their Applications / Elsevier | 46 | 186 | |
4 | Insurance: Mathematics and Economics / Elsevier | 56 | 170 | |
5 | European Journal of Operational Research / Elsevier | 132 | 134 | |
6 | 112 | |||
7 | Mathematical Finance / Wiley Blackwell | 65 | 107 | |
8 | Post-Print / HAL | 206 | 89 | |
9 | Working Papers / HAL | 59 | 77 | |
10 | Risks / MDPI | 18 | 67 | |
11 | Decisions in Economics and Finance / Springer | 11 | 67 |