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ORCIDSIAM Journal on Financial Mathematics, Volume 16
Volume 16, Number 1, 2025
- Pierre Bras
, Masaaki Fukasawa:
Weak Error Rates for Numerical Schemes of Nonsingular Stochastic Volterra Equations with Application to Stochastic Volatility Models. 1-28 - Yan Dolinsky, Or Zuk:
Explicit Computations for Delayed Semistatic Hedging. 29-52 - Zongxia Liang, Sheng Wang, Jianming Xia:
Short Communication: An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences. 12- - Felix-Benedikt Liebrich, Cosimo Munari:
Short Communication: Revisiting the Automatic Fatou Property of Law-Invariant Functionals. 1- - Marcelo Righi:
Short Communication: A Note on Robust Risk-Sharing with Convex Risk Measures. 24- - Marco Frittelli:
Collective Free Lunch and the FTAP. 53-67 - Nixie S. Lesmana, Chi Seng Pun:
A Subgame Perfect Equilibrium Reinforcement Learning Approach to Time-Inconsistent Problems. 68-122 - Rama Cont, Pierre Degond, Lifan Xuan:
A Mathematical Framework for Modeling Order Book Dynamics. 123-166 - Zongxia Liang, Xiaodong Luo:
Stackelberg Reinsurance and Premium Decisions with MV Criterion and Irreversibility. 167-199 - Erhan Bayraktar, Zhenhua Wang, Zhou Zhou:
Binomial-Tree Approximation for Time-Inconsistent Stopping. 200-220 - Paul Krühner, Shijie Xu:
Statistically Consistent Term Structures Have Affine Geometry. 221-242
Volume 16, Number 2, 2025
- Álvaro Cartea, Leandro Sánchez-Betancourt:
Brokers and Informed Traders: Dealing with Toxic Flow and Extracting Trading Signals. 243-270 - Ofelia Bonesini, Antoine Jacquier, Chloé Lacombe:
A Theoretical Analysis of Guyon's Toy Volatility Model. 271-309 - Dan Ren:
Shortfall Aversion on a Finite Horizon. 310-357 - Philippe Bergault, Leandro Sánchez-Betancourt:
A Mean Field Game between Informed Traders and a Broker. 358-388 - David Criens:
Robust Market Convergence: From Discrete to Continuous Time. 389-425 - Liyuan Lin, Ruodu Wang, Ruixun Zhang, Chaoyi Zhao:
The Checkerboard Copula and Dependence Concepts. 426-447 - Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou:
Optimal Loss Reporting in Continuous Time with Full Insurance. 448-479 - Jin Hyuk Choi, Kim Weston:
Short Communication: Radner Equilibrium with Population Growth. 37- - Igor Cialenco, Mike Ludkovski:
Short Communication: A Groundwater Market Model. 51- - Ryoji Takano:
Large Deviation Principle for Stochastic Differential Equations Driven by Stochastic Integrals. 480-515 - Aurélien Alfonsi, Edoardo Lombardo:
High Order Approximations and Simulation Schemes for the Log-Heston Process. 516-544 - Géraldine Bouveret, Jean-François Chassagneux, Smail Ibbou, Antoine Jacquier, Lionel Sopgoui:
Propagation of a Carbon Price in a Credit Portfolio through Macroeconomic Factors. 545-605 - Eduardo Abi Jaber, Louis-Amand Gérard:
Signature Volatility Models: Pricing and Hedging with Fourier. 606-642 - Anna Ananova, Rama Cont, Renyuan Xu:
Model-Free Analysis of Dynamic Trading Strategies. 643-666 - Edoardo Berton, Alessandro Doldi, Marco Maggis:
On Conditioning and Consistency for Nonlinear Functionals. 667-691 - Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt:
Market Making with Exogenous Competition. 692-706 - Liwei Lu, Ruimeng Hu, Xu Yang, Yi Zhu:
Multiagent Relative Investment Games in a Jump Diffusion Market with Deep Reinforcement Learning Algorithm. 707-746
Volume 16, Number 3, 2025
- Michele Azzone, Lorenzo Torricelli:
Explicit Option Pricing with Additive Processes. 747-802
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