Stop the war!Остановите войну!
for scientists:
default search action
Google
Google Scholar
Semantic Scholar
Internet Archive Scholar
CiteSeerX
ORCIDSearch dblp for Publications
export results for "toc:db/journals/siamfm/siamfm12.bht:"
download as .bib file
@article{DBLP:journals/siamfm/AcharyaBRR21,
author = {Subas Acharya and
Alain Bensoussan and
Dmitrii I. Rachinskii and
Alejandro Rivera},
title = {Real Options Problem with Nonsmooth Obstacle},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1508--1552},
year = {2021},
url = {https://doi.org/10.1137/20M1386815},
doi = {10.1137/20M1386815},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AcharyaBRR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AckermannKU21,
author = {Julia Ackermann and
Thomas Kruse and
Mikhail Urusov},
title = {Optimal Trade Execution in an Order Book Model with Stochastic Liquidity
Parameters},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {788--822},
year = {2021},
url = {https://doi.org/10.1137/20M135409X},
doi = {10.1137/20M135409X},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AckermannKU21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlosRS21,
author = {Elisa Al{\`{o}}s and
Frido Rolloos and
Kenichiro Shiraya},
title = {On the Difference Between the Volatility Swap Strike and the Zero
Vanna Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {690--723},
year = {2021},
url = {https://doi.org/10.1137/20M134722X},
doi = {10.1137/20M134722X},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlosRS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AmraniJM21,
author = {Mehdi El Amrani and
Antoine Jacquier and
Claude Martini},
title = {Short Communication: Dynamics of Symmetric {SSVI} Smiles and Implied
Volatility Bubbles},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/20M136089X},
doi = {10.1137/20M136089X},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AmraniJM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciPR21,
author = {Bastien Baldacci and
Dylan Possama{\"{\i}} and
Mathieu Rosenbaum},
title = {Optimal Make-Take Fees in a Multi Market-Maker Environment},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {446--486},
year = {2021},
url = {https://doi.org/10.1137/19M1277412},
doi = {10.1137/19M1277412},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciPR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BankD21,
author = {Peter Bank and
Yan Dolinsky},
title = {Short Communication: {A} Note on Utility Indifference Pricing with
Delayed Information},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/20M1379630},
doi = {10.1137/20M1379630},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BankD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerBHPS21,
author = {Christian Bayer and
Denis Belomestny and
Paul Hager and
Paolo Pigato and
John Schoenmakers},
title = {Randomized Optimal Stopping Algorithms and Their Convergence Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1201--1225},
year = {2021},
url = {https://doi.org/10.1137/20M1373876},
doi = {10.1137/20M1373876},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerBHPS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerHP21,
author = {Christian Bayer and
Fabian A. Harang and
Paolo Pigato},
title = {Log-Modulated Rough Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1257--1284},
year = {2021},
url = {https://doi.org/10.1137/20M135902X},
doi = {10.1137/20M135902X},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerHP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarCDD21,
author = {Erhan Bayraktar and
Christoph Czichowsky and
Leonid Dolinskyi and
Yan Dolinsky},
title = {Short Communication: {A} Note on Utility Maximization with Proportional
Transaction Costs and Stability of Optimal Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/21M1431382},
doi = {10.1137/21M1431382},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarCDD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelliniKMS21,
author = {Fabio Bellini and
Pablo Koch{-}Medina and
Cosimo Munari and
Gregor Svindland},
title = {Law-Invariant Functionals on General Spaces of Random Variables},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {318--341},
year = {2021},
url = {https://doi.org/10.1137/20M1341258},
doi = {10.1137/20M1341258},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelliniKMS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenezetCR21,
author = {Cyril B{\'{e}}n{\'{e}}zet and
Jean{-}Fran{\c{c}}ois Chassagneux and
Christoph Reisinger},
title = {A Numerical Scheme for the Quantile Hedging Problem},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {110--157},
year = {2021},
url = {https://doi.org/10.1137/19M1267477},
doi = {10.1137/19M1267477},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BenezetCR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthL21,
author = {Fred Espen Benth and
Silvia Lavagnini},
title = {Correlators of Polynomial Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1374--1415},
year = {2021},
url = {https://doi.org/10.1137/21M141556X},
doi = {10.1137/21M141556X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BenthL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiGO21,
author = {Francesca Biagini and
Alessandro Gnoatto and
Immacolata Oliva},
title = {A Unified Approach to xVA with {CSA} Discounting and Initial Margin},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1013--1053},
year = {2021},
url = {https://doi.org/10.1137/20M1332153},
doi = {10.1137/20M1332153},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiGO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BolkerGH21,
author = {Benjamin M. Bolker and
Matheus R. Grasselli and
Emma Holmes},
title = {Short Communication: Sensitivity Analysis of an Integrated Climate-Economic
Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/21M1404120},
doi = {10.1137/21M1404120},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BolkerGH21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BurzoniFZ21,
author = {Matteo Burzoni and
Marco Frittelli and
Federico Zorzi},
title = {Short Communication: Robust Market-Adjusted Systemic Risk Measures},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
year = {2021},
url = {https://doi.org/10.1137/21M1401723},
doi = {10.1137/21M1401723},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BurzoniFZ21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CaiAP21,
author = {Cheng Cai and
Tiziano De Angelis and
Jan Palczewski},
title = {Optimal Hedging of a Perpetual American Put with a Single Trade},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {823--866},
year = {2021},
url = {https://doi.org/10.1137/20M1325265},
doi = {10.1137/20M1325265},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CaiAP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrLL21,
author = {Peter Carr and
Roger Lee and
Matthew Lorig},
title = {Pricing Variance Swaps on Time-Changed Markov Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {672--689},
year = {2021},
url = {https://doi.org/10.1137/20M1344597},
doi = {10.1137/20M1344597},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrLL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaS21,
author = {{\'{A}}lvaro Cartea and
Leandro S{\'{a}}nchez{-}Betancourt},
title = {The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign
Exchange Markets},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {254--294},
year = {2021},
url = {https://doi.org/10.1137/19M1258888},
doi = {10.1137/19M1258888},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChataignerCCDG21,
author = {Marc Chataigner and
Areski Cousin and
St{\'{e}}phane Cr{\'{e}}pey and
Matthew F. Dixon and
Djibril Gueye},
title = {Short Communication: Beyond Surrogate Modeling: Learning the Local
Volatility via Shape Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
year = {2021},
url = {https://doi.org/10.1137/20M1381538},
doi = {10.1137/20M1381538},
timestamp = {Wed, 15 Dec 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChataignerCCDG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenL21,
author = {Xinfu Chen and
Jin Liang},
title = {A Free Boundary Problem for Corporate Bond Pricing and Credit Rating
Under Different Upgrade and Downgrade Thresholds},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {941--966},
year = {2021},
url = {https://doi.org/10.1137/20M1343592},
doi = {10.1137/20M1343592},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChenL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenL21a,
author = {Tao Chen and
Michael Ludkovski},
title = {A Machine Learning Approach to Adaptive Robust Utility Maximization
and Hedging},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1226--1256},
year = {2021},
url = {https://doi.org/10.1137/20M1336023},
doi = {10.1137/20M1336023},
timestamp = {Tue, 02 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChenL21a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CiprianoMP21,
author = {Fernanda Cipriano and
Nuno F. M. Martins and
Diogo Pereira},
title = {Optimal Portfolio for the {\(\alpha\)}-Hypergeometric Stochastic Volatility
Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {226--253},
year = {2021},
url = {https://doi.org/10.1137/19M1299165},
doi = {10.1137/19M1299165},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CiprianoMP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CohenY21,
author = {Asaf Cohen and
Virginia R. Young},
title = {Optimal Dividend Problem: Asymptotic Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {29--46},
year = {2021},
url = {https://doi.org/10.1137/20M1354738},
doi = {10.1137/20M1354738},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CohenY21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContM21,
author = {Rama Cont and
Marvin S. M{\"{u}}ller},
title = {A Stochastic Partial Differential Equation Model for Limit Order Book
Dynamics},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {744--787},
year = {2021},
url = {https://doi.org/10.1137/19M1254489},
doi = {10.1137/19M1254489},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Cotton21,
author = {Peter Cotton},
title = {Inferring Relative Ability from Winning Probability in Multientrant
Contests},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {295--317},
year = {2021},
url = {https://doi.org/10.1137/19M1276261},
doi = {10.1137/19M1276261},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Cotton21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DoldiF21,
author = {Alessandro Doldi and
Marco Frittelli},
title = {Conditional Systemic Risk Measures},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1459--1507},
year = {2021},
url = {https://doi.org/10.1137/20M1370616},
doi = {10.1137/20M1370616},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DoldiF21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EcksteinGLO21,
author = {Stephan Eckstein and
Gaoyue Guo and
Tongseok Lim and
Jan Obl{\'{o}}j},
title = {Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {158--188},
year = {2021},
url = {https://doi.org/10.1137/19M1286256},
doi = {10.1137/19M1286256},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/EcksteinGLO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ElliottMW21,
author = {Robert J. Elliott and
Dilip B. Madan and
King Wang},
title = {Filtering Response Directions},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1285--1306},
year = {2021},
url = {https://doi.org/10.1137/20M1339830},
doi = {10.1137/20M1339830},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ElliottMW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinS21,
author = {Zachary Feinstein and
Andreas S{\o}jmark},
title = {Short Communication: Dynamic Default Contagion in Heterogeneous Interbank
Systems},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/20M1376765},
doi = {10.1137/20M1376765},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FontanelaJO21,
author = {Filipe Fontanela and
Antoine Jacquier and
Mugad Oumgari},
title = {Short Communication: {A} Quantum Algorithm for Linear PDEs Arising
in Finance},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/21M1397878},
doi = {10.1137/21M1397878},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FontanelaJO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FoxO21,
author = {Jamie Fox and
Giray {\"{O}}kten},
title = {Brownian Path Generation and Polynomial Chaos},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {724--743},
year = {2021},
url = {https://doi.org/10.1137/20M1343154},
doi = {10.1137/20M1343154},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FoxO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FuhK21,
author = {Cheng{-}Der Fuh and
Chu{-}Lan Michael Kao},
title = {Credit Risk Propagation in Structural-Form Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1340--1373},
year = {2021},
url = {https://doi.org/10.1137/20M135340X},
doi = {10.1137/20M135340X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FuhK21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GnoattoS21,
author = {Alessandro Gnoatto and
Nicole Seiffert},
title = {Cross Currency Valuation and Hedging in the Multiple Curve Framework},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {967--1012},
year = {2021},
url = {https://doi.org/10.1137/20M1324375},
doi = {10.1137/20M1324375},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GnoattoS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuasoniHK21,
author = {Paolo Guasoni and
Yu{-}Jui Huang and
Saeed Khalili},
title = {Short Communication: American Student Loans: Repayment and Valuation},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/21M1392267},
doi = {10.1137/21M1392267},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuasoniHK21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HanW21,
author = {Bingyan Han and
Hoi Ying Wong},
title = {Time-Inconsistency with Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1553--1595},
year = {2021},
url = {https://doi.org/10.1137/20M136654X},
doi = {10.1137/20M136654X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HanW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/IshiiR21,
author = {Hitoshi Ishii and
Alexandre F. Roch},
title = {Existence and Uniqueness of Viscosity Solutions of an Integro-differential
Equation Arising in Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {604--640},
year = {2021},
url = {https://doi.org/10.1137/20M1341441},
doi = {10.1137/20M1341441},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/IshiiR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaberMP21,
author = {Eduardo Abi Jaber and
Enzo Miller and
Huy{\^{e}}n Pham},
title = {Markowitz Portfolio Selection for Multivariate Affine and Quadratic
Volterra Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {369--409},
year = {2021},
url = {https://doi.org/10.1137/20M1347449},
doi = {10.1137/20M1347449},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaberMP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Jusselin21,
author = {Paul Jusselin},
title = {Optimal Market Making with Persistent Order Flow},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1150--1200},
year = {2021},
url = {https://doi.org/10.1137/20M1376054},
doi = {10.1137/20M1376054},
timestamp = {Tue, 26 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Jusselin21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KarouiM21,
author = {Nicole El Karoui and
Mrad Mohamed},
title = {Recover Dynamic Utility from Observable Process: Application to the
Economic Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {189--225},
year = {2021},
url = {https://doi.org/10.1137/18M1235843},
doi = {10.1137/18M1235843},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KarouiM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LessyDDD21,
author = {Djaffar Lessy and
Nahla Dhib and
Francine Diener and
Marc Diener},
title = {May Microcredit Lead to Inclusion?},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {898--911},
year = {2021},
url = {https://doi.org/10.1137/20M1342811},
doi = {10.1137/20M1342811},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LessyDDD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiLL21,
author = {Juan Li and
Wenqiang Li and
Gechun Liang},
title = {A Game Theoretical Approach to Homothetic Robust Forward Investment
Performance Processes in Stochastic Factor Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {867--897},
year = {2021},
url = {https://doi.org/10.1137/20M1334280},
doi = {10.1137/20M1334280},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LiLL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LinS21,
author = {Minglian Lin and
Indranil Sengupta},
title = {Analysis of Optimal Portfolio on Finite and Small-Time Horizons for
a Stochastic Volatility Market Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1596--1624},
year = {2021},
url = {https://doi.org/10.1137/21M1412281},
doi = {10.1137/21M1412281},
timestamp = {Sat, 30 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LinS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LopezPY21,
author = {Dante Mata L{\'{o}}pez and
Jos{\'{e}}{-}Luis P{\'{e}}rez and
Kazutoshi Yamazaki},
title = {Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal
Capital Structure: Continuous- and Periodic-Observation Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1112--1149},
year = {2021},
url = {https://doi.org/10.1137/20M1362127},
doi = {10.1137/20M1362127},
timestamp = {Mon, 03 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LopezPY21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LototskyP21,
author = {Sergey V. Lototsky and
Austin Pollok},
title = {Kelly Criterion: From a Simple Random Walk to L{\'{e}}vy Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {342--368},
year = {2021},
url = {https://doi.org/10.1137/20M1330488},
doi = {10.1137/20M1330488},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LototskyP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MalhamSW21,
author = {Simon J. A. Malham and
Jiaqi Shen and
Anke Wiese},
title = {Series Expansions and Direct Inversion for the Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {487--549},
year = {2021},
url = {https://doi.org/10.1137/19M126791X},
doi = {10.1137/19M126791X},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MalhamSW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Marco21,
author = {Stefano De Marco},
title = {On the Harmonic Mean Representation of the Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {551--565},
year = {2021},
url = {https://doi.org/10.1137/20M1352120},
doi = {10.1137/20M1352120},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Marco21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MercuriPR21,
author = {Lorenzo Mercuri and
Andrea Perchiazzo and
Edit Rroji},
title = {Finite Mixture Approximation of CARMA(p, q) Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1416--1458},
year = {2021},
url = {https://doi.org/10.1137/20M1363248},
doi = {10.1137/20M1363248},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MercuriPR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Mostovyi21,
author = {Oleksii Mostovyi},
title = {Stability of the Indirect Utility Process},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {641--671},
year = {2021},
url = {https://doi.org/10.1137/19M1260359},
doi = {10.1137/19M1260359},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Mostovyi21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NeufeldS21,
author = {Ariel Neufeld and
Julian Sester},
title = {Model-Free Price Bounds Under Dynamic Option Trading},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1307--1339},
year = {2021},
url = {https://doi.org/10.1137/21M1390013},
doi = {10.1137/21M1390013},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NeufeldS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NingW21,
author = {Ning Ning and
Jing Wu},
title = {Well-Posedness and Stability Analysis of Two Classes of Generalized
Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {79--109},
year = {2021},
url = {https://doi.org/10.1137/20M1336199},
doi = {10.1137/20M1336199},
timestamp = {Mon, 25 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NingW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Pun21,
author = {Chi Seng Pun},
title = {A Sparse Learning Approach to Relative-Volatility-Managed Portfolio
Selection},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {410--445},
year = {2021},
url = {https://doi.org/10.1137/19M1291674},
doi = {10.1137/19M1291674},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Pun21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RedmannBG21,
author = {Martin Redmann and
Christian Bayer and
Pawan Goyal},
title = {Low-Dimensional Approximations of High-Dimensional Asset Price Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {1--28},
year = {2021},
url = {https://doi.org/10.1137/20M1325666},
doi = {10.1137/20M1325666},
timestamp = {Thu, 24 Jun 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RedmannBG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SaporitoZ21,
author = {Yuri F. Saporito and
Zhaoyu Zhang},
title = {Path-Dependent Deep Galerkin Method: {A} Neural Network Approach to
Solve Path-Dependent Partial Differential Equations},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {912--940},
year = {2021},
url = {https://doi.org/10.1137/20M1329597},
doi = {10.1137/20M1329597},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SaporitoZ21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/StadenDF21,
author = {Pieter M. van Staden and
Duy{-}Minh Dang and
Peter A. Forsyth},
title = {On the Distribution of Terminal Wealth under Dynamic Mean-Variance
Optimal Investment Strategies},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {566--603},
year = {2021},
url = {https://doi.org/10.1137/20M1338241},
doi = {10.1137/20M1338241},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/StadenDF21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WangX21,
author = {Xiangyu Wang and
Jianming Xia},
title = {Expected Utility Maximization with Stochastic Dominance Constraints
in Complete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1054--1111},
year = {2021},
url = {https://doi.org/10.1137/20M1338447},
doi = {10.1137/20M1338447},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/WangX21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhou21,
author = {Zhou Zhou},
title = {Utility Maximization When Shorting American Options},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {47--78},
year = {2021},
url = {https://doi.org/10.1137/20M1320584},
doi = {10.1137/20M1320584},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Zhou21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
a service of 
manage site settings
To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.
retrieved on 2024-05-22 14:34 CEST from data curated by the dblp team
all metadata released as open data under CC0 1.0 license
see also: Terms of Use | Privacy Policy | Imprint
dblp was originally created in 1993 at:
since 2018, dblp has been operated and maintained by:
the dblp computer science bibliography is funded and supported by:
