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@article{DBLP:journals/siamfm/AichingerD23,
author = {Florian Aichinger and
Sascha Desmettre},
title = {Utility Maximization in Multivariate Volterra Models},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {52--98},
year = {2023},
url = {https://doi.org/10.1137/21m1464543},
doi = {10.1137/21M1464543},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AichingerD23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlvarezNW23,
author = {Guillermo Alonso Alvarez and
Sergey Nadtochiy and
Kevin Webster},
title = {Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple
Clients},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {855--878},
year = {2023},
url = {https://doi.org/10.1137/22m1490156},
doi = {10.1137/22M1490156},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlvarezNW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngerisCEL23,
author = {Guillermo Angeris and
Tarun Chitra and
Alex Evans and
Matthew Lorig},
title = {Short Communication: {A} Primer on Perpetuals},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {17},
year = {2023},
url = {https://doi.org/10.1137/22m1520931},
doi = {10.1137/22M1520931},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngerisCEL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngoshtariBY23,
author = {Bahman Angoshtari and
Erhan Bayraktar and
Virginia R. Young},
title = {Optimal Consumption Under a Habit-Formation Constraint: The Deterministic
Case},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {557--597},
year = {2023},
url = {https://doi.org/10.1137/22m1471560},
doi = {10.1137/22M1471560},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngoshtariBY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AzcueLMY23,
author = {Pablo Azcue and
Xiaoqing Liang and
Nora Muler and
Virginia R. Young},
title = {Optimal Reinsurance to Minimize the Probability of Drawdown under
the Mean-Variance Premium Principle: Asymptotic Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {279--313},
year = {2023},
url = {https://doi.org/10.1137/21m1461666},
doi = {10.1137/21M1461666},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AzcueLMY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciBDR23,
author = {Bastien Baldacci and
Philippe Bergault and
Joffrey Derchu and
Mathieu Rosenbaum},
title = {On Bid and Ask Side-Specific Tick Sizes},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1215--1248},
year = {2023},
url = {https://doi.org/10.1137/21m146065x},
doi = {10.1137/21M146065X},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciBDR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciBP23,
author = {Bastien Baldacci and
Philippe Bergault and
Dylan Possama{\"{\i}}},
title = {A Mean-Field Game of Market-Making against Strategic Traders},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1080--1112},
year = {2023},
url = {https://doi.org/10.1137/22m1486492},
doi = {10.1137/22M1486492},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciBP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BartlW23,
author = {Daniel Bartl and
Johannes Wiesel},
title = {Sensitivity of Multiperiod Optimization Problems with Respect to the
Adapted Wasserstein Distance},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {704--720},
year = {2023},
url = {https://doi.org/10.1137/22m1537746},
doi = {10.1137/22M1537746},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BartlW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerEST23,
author = {Christian Bayer and
Martin Eigel and
Leon Sallandt and
Philipp Trunschke},
title = {Pricing High-Dimensional Bermudan Options with Hierarchical Tensor
Formats},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {383--406},
year = {2023},
url = {https://doi.org/10.1137/21m1402170},
doi = {10.1137/21M1402170},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerEST23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarCN23,
author = {Erhan Bayraktar and
Asaf Cohen and
April Nellis},
title = {A Neural Network Approach to High-Dimensional Optimal Switching Problems
with Jumps in Energy Markets},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1028--1061},
year = {2023},
url = {https://doi.org/10.1137/22m1527246},
doi = {10.1137/22M1527246},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarCN23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarH23,
author = {Erhan Bayraktar and
Bingyan Han},
title = {Short Communication: Existence of Markov Equilibrium Control in Discrete
Time},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {60},
year = {2023},
url = {https://doi.org/10.1137/23m1594121},
doi = {10.1137/23M1594121},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BernisGSS23,
author = {Guillaume Bernis and
Matthieu Garcin and
Simone Scotti and
Carlo Sgarra},
title = {Interest Rates Term Structure Models Driven by Hawkes Processes},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1062--1079},
year = {2023},
url = {https://doi.org/10.1137/22m1502604},
doi = {10.1137/22M1502604},
timestamp = {Wed, 08 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BernisGSS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiMMO23,
author = {Francesca Biagini and
Andrea Mazzon and
Thilo Meyer{-}Brandis and
Katharina Oberpriller},
title = {Liquidity Based Modeling of Asset Price Bubbles via Random Matching},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1304--1342},
year = {2023},
url = {https://doi.org/10.1137/22m1531580},
doi = {10.1137/22M1531580},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiMMO23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BosserhoffS23,
author = {Frank Bosserhoff and
Mitja Stadje},
title = {Robustness of Delta Hedging in a Jump-Diffusion Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {663--703},
year = {2023},
url = {https://doi.org/10.1137/22m149435x},
doi = {10.1137/22M149435X},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BosserhoffS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarmonaL23,
author = {Ren{\'{e}} Carmona and
Laura Leal},
title = {Optimal Execution with Quadratic Variation Inventories},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {751--776},
year = {2023},
url = {https://doi.org/10.1137/21m1416564},
doi = {10.1137/21M1416564},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarmonaL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChakrabortyCY23,
author = {Prakash Chakraborty and
Asaf Cohen and
Virginia R. Young},
title = {Optimal Dividends Under Model Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {497--524},
year = {2023},
url = {https://doi.org/10.1137/21m1447453},
doi = {10.1137/21M1447453},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChakrabortyCY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CoacheJC23,
author = {Anthony Coache and
Sebastian Jaimungal and
{\'{A}}lvaro Cartea},
title = {Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement
Learning},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1249--1289},
year = {2023},
url = {https://doi.org/10.1137/22m1527209},
doi = {10.1137/22M1527209},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CoacheJC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CuchieroGS23,
author = {Christa Cuchiero and
Guido Gazzani and
Sara Svaluto{-}Ferro},
title = {Signature-Based Models: Theory and Calibration},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {910--957},
year = {2023},
url = {https://doi.org/10.1137/22m1512338},
doi = {10.1137/22M1512338},
timestamp = {Thu, 31 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CuchieroGS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DolinskyZ23,
author = {Yan Dolinsky and
Or Zuk},
title = {Short Communication: Exponential Utility Maximization in a Discrete
Time Gaussian Framework},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {SC31--SC41},
year = {2023},
url = {https://doi.org/10.1137/23m1576074},
doi = {10.1137/23M1576074},
timestamp = {Sat, 14 Oct 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DolinskyZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DucJ23,
author = {Luu H. Duc and
J{\"{u}}rgen Jost},
title = {How Rough Path Lifts Affect Expected Return and Volatility: {A} Rough
Model under Transaction Cost},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {879--909},
year = {2023},
url = {https://doi.org/10.1137/20m1358670},
doi = {10.1137/20M1358670},
timestamp = {Thu, 31 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DucJ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EchChafiqHL23,
author = {Zineb El Filali Ech{-}Chafiq and
Pierre Henry{-}Labord{\`{e}}re and
J{\'{e}}r{\^{o}}me Lelong},
title = {Pricing Bermudan Options Using Regression Trees/Random Forests},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1113--1139},
year = {2023},
url = {https://doi.org/10.1137/21m1460648},
doi = {10.1137/21M1460648},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/EchChafiqHL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FadinaLW23,
author = {Tolulope Fadina and
Peng Liu and
Ruodu Wang},
title = {One Axiom to Rule Them All: {A} Minimalist Axiomatization of Quantiles},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {644--662},
year = {2023},
url = {https://doi.org/10.1137/22m1531567},
doi = {10.1137/22M1531567},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FadinaLW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinH23,
author = {Zachary Feinstein and
Thomas R. Hurd},
title = {Contingent Convertible Obligations and Financial Stability},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {158--187},
year = {2023},
url = {https://doi.org/10.1137/22m1498954},
doi = {10.1137/22M1498954},
timestamp = {Sat, 25 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FengZ23,
author = {Qi Feng and
Jianfeng Zhang},
title = {Cubature Method for Stochastic Volterra Integral Equations},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {959--1003},
year = {2023},
url = {https://doi.org/10.1137/22m146889x},
doi = {10.1137/22M146889X},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FengZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Fontana23,
author = {Claudio Fontana},
title = {Short Communication: Caplet Pricing in Affine Models for Alternative
Risk-Free Rates},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {1},
year = {2023},
url = {https://doi.org/10.1137/22m1513691},
doi = {10.1137/22M1513691},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Fontana23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GaoGHZ23,
author = {Chengfan Gao and
Siping Gao and
Ruimeng Hu and
Zimu Zhu},
title = {Convergence of the Backward Deep {BSDE} Method with Applications to
Optimal Stopping Problems},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1290--1303},
year = {2023},
url = {https://doi.org/10.1137/22m1539952},
doi = {10.1137/22M1539952},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GaoGHZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Gassiat23,
author = {Paul Gassiat},
title = {Weak Error Rates of Numerical Schemes for Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {475--496},
year = {2023},
url = {https://doi.org/10.1137/22m1485760},
doi = {10.1137/22M1485760},
timestamp = {Sun, 13 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Gassiat23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GnoattoPR23,
author = {Alessandro Gnoatto and
Athena Picarelli and
Christoph Reisinger},
title = {Deep xVA Solver: {A} Neural Network-Based Counterparty Credit Risk
Management Framework},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {314--352},
year = {2023},
url = {https://doi.org/10.1137/21m1457606},
doi = {10.1137/21M1457606},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GnoattoPR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GomesGR23,
author = {Diogo Gomes and
Julian Gutierrez and
Ricardo Ribeiro},
title = {A Random-Supply Mean Field Game Price Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {188--222},
year = {2023},
url = {https://doi.org/10.1137/21m1443923},
doi = {10.1137/21M1443923},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GomesGR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuSX23,
author = {Ying Hu and
Xiaomin Shi and
Zuo Quan Xu},
title = {Constrained Monotone Mean-Variance Problem with Random Coefficients},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {838--854},
year = {2023},
url = {https://doi.org/10.1137/22m154418x},
doi = {10.1137/22M154418X},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HuSX23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierO23,
author = {Antoine Jacquier and
Mugad Oumgari},
title = {Deep Curve-Dependent PDEs for Affine Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {353--382},
year = {2023},
url = {https://doi.org/10.1137/19m1267805},
doi = {10.1137/19M1267805},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierO23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KreherM23,
author = {D{\"{o}}rte Kreher and
Cassandra Milbradt},
title = {Jump Diffusion Approximation for the Price Dynamics of a Fully State
Dependent Limit Order Book Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {1--51},
year = {2023},
url = {https://doi.org/10.1137/20m1380922},
doi = {10.1137/20M1380922},
timestamp = {Tue, 14 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/KreherM23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LandriaultLP23,
author = {David Landriault and
Bin Li and
Jos{\'{e}} M. Pedraza},
title = {Optimal Stopping for Exponential L{\'{e}}vy Models with Weighted
Discounting},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {777--811},
year = {2023},
url = {https://doi.org/10.1137/22m1513538},
doi = {10.1137/22M1513538},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LandriaultLP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LilloLMSV23,
author = {Fabrizio Lillo and
Giulia Livieri and
Stefano Marmi and
Anton Solomko and
Sandro Vaienti},
title = {Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {598--643},
year = {2023},
url = {https://doi.org/10.1137/21m1412517},
doi = {10.1137/21M1412517},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LilloLMSV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Maggis23,
author = {Marco Maggis},
title = {Short Communication: The Birth of (a Robust) Arbitrage Theory in de
Finetti's Early Contributions},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {49},
year = {2023},
url = {https://doi.org/10.1137/23m1604096},
doi = {10.1137/23M1604096},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Maggis23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarisuP23,
author = {Godeliva Petrina Marisu and
Chi Seng Pun},
title = {Bayesian Estimation and Optimization for Learning Sequential Regularized
Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {127--157},
year = {2023},
url = {https://doi.org/10.1137/21m1427176},
doi = {10.1137/21M1427176},
timestamp = {Sat, 25 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/MarisuP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NingJZB23,
author = {Brian Ning and
Sebastian Jaimungal and
Xiaorong Zhang and
Maxime Bergeron},
title = {Arbitrage-Free Implied Volatility Surface Generation with Variational
Autoencoders},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1004--1027},
year = {2023},
url = {https://doi.org/10.1137/21m1443546},
doi = {10.1137/21M1443546},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NingJZB23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/OgetbilH23,
author = {Orcan {\"{O}}getbil and
Bernhard Hientzsch},
title = {Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic
Local Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {452--474},
year = {2023},
url = {https://doi.org/10.1137/21m1390906},
doi = {10.1137/21M1390906},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/OgetbilH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PengWX23,
author = {Jing Peng and
Pengyu Wei and
Zuo Quan Xu},
title = {Relative Growth Rate Optimization Under Behavioral Criterion},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1140--1174},
year = {2023},
url = {https://doi.org/10.1137/22m1496943},
doi = {10.1137/22M1496943},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PengWX23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PesentiJ23,
author = {Silvana M. Pesenti and
Sebastian Jaimungal},
title = {Portfolio Optimization within a Wasserstein Ball},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1175--1214},
year = {2023},
url = {https://doi.org/10.1137/22m1496803},
doi = {10.1137/22M1496803},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/PesentiJ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Qi23,
author = {Hou{-}Duo Qi},
title = {Geometric Characterization of Maximum Diversification Return Portfolio
via Rao's Quadratic Entropy},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {525--556},
year = {2023},
url = {https://doi.org/10.1137/22m1492313},
doi = {10.1137/22M1492313},
timestamp = {Sun, 13 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Qi23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RichardTY23,
author = {Alexandre Richard and
Xiaolu Tan and
Fan Yang},
title = {On the Discrete-Time Simulation of the Rough Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {223--249},
year = {2023},
url = {https://doi.org/10.1137/21m1443807},
doi = {10.1137/21M1443807},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RichardTY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Sabino23,
author = {Piergiacomo Sabino},
title = {Normal Tempered Stable Processes and the Pricing of Energy Derivatives},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {99--126},
year = {2023},
url = {https://doi.org/10.1137/21m1425207},
doi = {10.1137/21M1425207},
timestamp = {Tue, 14 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Sabino23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/StadenFL23,
author = {Pieter M. van Staden and
Peter A. Forsyth and
Yuying Li},
title = {Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {407--451},
year = {2023},
url = {https://doi.org/10.1137/22m1530070},
doi = {10.1137/22M1530070},
timestamp = {Tue, 24 Oct 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/StadenFL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Tian23,
author = {Dejian Tian},
title = {Pricing Principle via Tsallis Relative Entropy in Incomplete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {250--278},
year = {2023},
url = {https://doi.org/10.1137/22m1471614},
doi = {10.1137/22M1471614},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Tian23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/YangZZ23,
author = {Zhou Yang and
Jing Zhang and
Chao Zhou},
title = {Robust Control Problems of BSDEs Coupled with Value Functions},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {721--750},
year = {2023},
url = {https://doi.org/10.1137/22m1511977},
doi = {10.1137/22M1511977},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/YangZZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhang23,
author = {Jianfeng Zhang},
title = {Short Communication: Is a Sophisticated Agent Always a Wise One?},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {42},
year = {2023},
url = {https://doi.org/10.1137/23m1569137},
doi = {10.1137/23M1569137},
timestamp = {Wed, 08 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Zhang23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhitlukhin23,
author = {Mikhail Zhitlukhin},
title = {Capital Growth and Survival Strategies in a Market with Endogenous
Prices},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {812--837},
year = {2023},
url = {https://doi.org/10.1137/21m1394370},
doi = {10.1137/21M1394370},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Zhitlukhin23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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