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ORCIDSIAM Journal on Financial Mathematics, Volume 15
Volume 15, Number 1, March 2024
- Alessandro Doldi
, Marco Frittelli, Emanuela Rosazza Gianin:
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? 1- - Philip Protter, Qianfan Wu, Shihao Yang:
Order Book Queue Hawkes Markovian Modeling. 1-25 - Ryan Donnelly, Sebastian Jaimungal:
Exploratory Control with Tsallis Entropy for Latent Factor Models. 26-53 - Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou:
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional. 15- - Jianming Xia:
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures. 54-92 - Shreya Bose, Ibrahim Ekren:
Multidimensional Kyle-Back Model with a Risk Averse Informed Trader. 93-120 - Xun Li, Xiang Yu, Qinyi Zhang:
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. 121-160 - Jin Hyuk Choi, Jetlir Duraj, Kim Weston:
A Multi-agent Targeted Trading Equilibrium with Transaction Costs. 161-193 - Erhan Bayraktar, Qi Feng, Zhaoyu Zhang:
Deep Signature Algorithm for Multidimensional Path-Dependent Options. 194-214 - Damiano Brigo, Federico Graceffa, Alexander Kalinin:
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. 215-254 - Qinyu Wu, Tiantian Mao, Taizhong Hu:
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model. 255-294 - Cosimo Munari, Justin Plückebaum, Stefan Weber:
Robust Portfolio Selection under Recovery Average Value at Risk. 295-314
Volume 15, Number 2, 2024
- Yerkin Kitapbayev, Scott Robertson:
Mortgage Contracts and Underwater Default. 315-359 - Chao Deng, Xizhi Su, Chao Zhou:
Relative Wealth Concerns with Partial Information and Heterogeneous Priors. 360-398
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