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journals/siamfm/JacquierO23 share record
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Antoine Jacquier , Mugad Oumgari : Deep Curve-Dependent PDEs for Affine Rough Volatility. SIAM J. Financial Math. 14 (2 ) : 353-382 (2023 )export record
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journals/siamfm/KreherM23 share record
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Dörte Kreher , Cassandra Milbradt : Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model. SIAM J. Financial Math. 14 (1 ) : 1-51 (2023 )export record
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journals/siamfm/LandriaultLP23 share record
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David Landriault , Bin Li , José M. Pedraza : Optimal Stopping for Exponential Lévy Models with Weighted Discounting. SIAM J. Financial Math. 14 (3 ) : 777-811 (2023 )export record
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journals/siamfm/LilloLMSV23 share record
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Fabrizio Lillo , Giulia Livieri , Stefano Marmi , Anton Solomko , Sandro Vaienti : Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks. SIAM J. Financial Math. 14 (2 ) : 598-643 (2023 )share record
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Marco Maggis : Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions. SIAM J. Financial Math. 14 (4 ) : 49- (2023 )export record
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journals/siamfm/MarisuP23 share record
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Godeliva Petrina Marisu , Chi Seng Pun : Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. SIAM J. Financial Math. 14 (1 ) : 127-157 (2023 )export record
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journals/siamfm/NingJZB23 share record
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Brian Ning , Sebastian Jaimungal , Xiaorong Zhang , Maxime Bergeron : Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. SIAM J. Financial Math. 14 (4 ) : 1004-1027 (2023 )export record
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journals/siamfm/OgetbilH23 share record
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Orcan Ögetbil , Bernhard Hientzsch : Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility. SIAM J. Financial Math. 14 (2 ) : 452-474 (2023 )share record
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Jing Peng , Pengyu Wei , Zuo Quan Xu : Relative Growth Rate Optimization Under Behavioral Criterion. SIAM J. Financial Math. 14 (4 ) : 1140-1174 (2023 )export record
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journals/siamfm/PesentiJ23 share record
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Silvana M. Pesenti , Sebastian Jaimungal : Portfolio Optimization within a Wasserstein Ball. SIAM J. Financial Math. 14 (4 ) : 1175-1214 (2023 )share record
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Hou-Duo Qi : Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy. SIAM J. Financial Math. 14 (2 ) : 525-556 (2023 )export record
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journals/siamfm/RichardTY23 share record
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Alexandre Richard , Xiaolu Tan , Fan Yang : On the Discrete-Time Simulation of the Rough Heston Model. SIAM J. Financial Math. 14 (1 ) : 223-249 (2023 )share record
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Piergiacomo Sabino : Normal Tempered Stable Processes and the Pricing of Energy Derivatives. SIAM J. Financial Math. 14 (1 ) : 99-126 (2023 )export record
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journals/siamfm/StadenFL23 share record
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Pieter M. van Staden , Peter A. Forsyth , Yuying Li : Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. SIAM J. Financial Math. 14 (2 ) : 407-451 (2023 )share record
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Dejian Tian : Pricing Principle via Tsallis Relative Entropy in Incomplete Markets. SIAM J. Financial Math. 14 (1 ) : 250-278 (2023 )share record
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Zhou Yang , Jing Zhang , Chao Zhou : Robust Control Problems of BSDEs Coupled with Value Functions. SIAM J. Financial Math. 14 (3 ) : 721-750 (2023 )share record
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Jianfeng Zhang : Short Communication: Is a Sophisticated Agent Always a Wise One? SIAM J. Financial Math. 14 (4 ) : 42- (2023 )export record
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journals/siamfm/Zhitlukhin23 share record
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Mikhail Zhitlukhin : Capital Growth and Survival Strategies in a Market with Endogenous Prices. SIAM J. Financial Math. 14 (3 ) : 812-837 (2023 )