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Publication search results
found 56 matches
- 2021
- Subas Acharya
, Alain Bensoussan, Dmitrii I. Rachinskii, Alejandro Rivera
:
Real Options Problem with Nonsmooth Obstacle. SIAM J. Financial Math. 12(4): 1508-1552 (2021) - Julia Ackermann, Thomas Kruse, Mikhail Urusov:
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters. SIAM J. Financial Math. 12(2): 788-822 (2021) - Elisa Alòs, Frido Rolloos, Kenichiro Shiraya:
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. SIAM J. Financial Math. 12(2): 690-723 (2021) - Mehdi El Amrani, Antoine Jacquier
, Claude Martini
:
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles. SIAM J. Financial Math. 12(2) (2021) - Bastien Baldacci, Dylan Possamaï
, Mathieu Rosenbaum
:
Optimal Make-Take Fees in a Multi Market-Maker Environment. SIAM J. Financial Math. 12(1): 446-486 (2021) - Peter Bank, Yan Dolinsky:
Short Communication: A Note on Utility Indifference Pricing with Delayed Information. SIAM J. Financial Math. 12(2) (2021) - Christian Bayer
, Denis Belomestny
, Paul Hager
, Paolo Pigato
, John Schoenmakers:
Randomized Optimal Stopping Algorithms and Their Convergence Analysis. SIAM J. Financial Math. 12(3): 1201-1225 (2021) - Christian Bayer
, Fabian A. Harang
, Paolo Pigato
:
Log-Modulated Rough Stochastic Volatility Models. SIAM J. Financial Math. 12(3): 1257-1284 (2021) - Erhan Bayraktar
, Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky:
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios. SIAM J. Financial Math. 12(4) (2021) - Fabio Bellini
, Pablo Koch-Medina
, Cosimo Munari
, Gregor Svindland
:
Law-Invariant Functionals on General Spaces of Random Variables. SIAM J. Financial Math. 12(1): 318-341 (2021) - Cyril Bénézet, Jean-François Chassagneux, Christoph Reisinger
:
A Numerical Scheme for the Quantile Hedging Problem. SIAM J. Financial Math. 12(1): 110-157 (2021) - Fred Espen Benth, Silvia Lavagnini
:
Correlators of Polynomial Processes. SIAM J. Financial Math. 12(4): 1374-1415 (2021) - Francesca Biagini
, Alessandro Gnoatto
, Immacolata Oliva
:
A Unified Approach to xVA with CSA Discounting and Initial Margin. SIAM J. Financial Math. 12(3): 1013-1053 (2021) - Benjamin M. Bolker, Matheus R. Grasselli
, Emma Holmes
:
Short Communication: Sensitivity Analysis of an Integrated Climate-Economic Model. SIAM J. Financial Math. 12(2) (2021) - Matteo Burzoni
, Marco Frittelli
, Federico Zorzi:
Short Communication: Robust Market-Adjusted Systemic Risk Measures. SIAM J. Financial Math. 12(3) (2021) - Cheng Cai, Tiziano De Angelis
, Jan Palczewski
:
Optimal Hedging of a Perpetual American Put with a Single Trade. SIAM J. Financial Math. 12(2): 823-866 (2021) - Peter Carr, Roger Lee, Matthew Lorig:
Pricing Variance Swaps on Time-Changed Markov Processes. SIAM J. Financial Math. 12(2): 672-689 (2021) - Álvaro Cartea
, Leandro Sánchez-Betancourt
:
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. SIAM J. Financial Math. 12(1): 254-294 (2021) - Marc Chataigner, Areski Cousin, Stéphane Crépey
, Matthew F. Dixon
, Djibril Gueye:
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. SIAM J. Financial Math. 12(3) (2021) - Xinfu Chen, Jin Liang
:
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds. SIAM J. Financial Math. 12(3): 941-966 (2021) - Tao Chen, Michael Ludkovski
:
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. SIAM J. Financial Math. 12(3): 1226-1256 (2021) - Fernanda Cipriano
, Nuno F. M. Martins
, Diogo Pereira
:
Optimal Portfolio for the α-Hypergeometric Stochastic Volatility Model. SIAM J. Financial Math. 12(1): 226-253 (2021) - Asaf Cohen
, Virginia R. Young:
Optimal Dividend Problem: Asymptotic Analysis. SIAM J. Financial Math. 12(1): 29-46 (2021) - Rama Cont
, Marvin S. Müller
:
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics. SIAM J. Financial Math. 12(2): 744-787 (2021) - Peter Cotton
:
Inferring Relative Ability from Winning Probability in Multientrant Contests. SIAM J. Financial Math. 12(1): 295-317 (2021) - Alessandro Doldi
, Marco Frittelli
:
Conditional Systemic Risk Measures. SIAM J. Financial Math. 12(4): 1459-1507 (2021) - Stephan Eckstein
, Gaoyue Guo, Tongseok Lim
, Jan Oblój
:
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics. SIAM J. Financial Math. 12(1): 158-188 (2021) - Robert J. Elliott
, Dilip B. Madan
, King Wang:
Filtering Response Directions. SIAM J. Financial Math. 12(3): 1285-1306 (2021) - Zachary Feinstein
, Andreas Søjmark:
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems. SIAM J. Financial Math. 12(4) (2021) - Filipe Fontanela, Antoine Jacquier
, Mugad Oumgari:
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance. SIAM J. Financial Math. 12(4) (2021)
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