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Publication search results
found 43 matches
- 2015
- Carlos Abad, Garud Iyengar:
Portfolio Selection with Multiple Spectral Risk Constraints. SIAM J. Financial Math. 6(1): 467-486 (2015) - Frédéric Abergel, Aymen Jedidi:
Long-Time Behavior of a Hawkes Process-Based Limit Order Book. SIAM J. Financial Math. 6(1): 1026-1043 (2015) - Andrew Ahn, Martin B. Haugh, Ashish Jain:
Consistent Pricing of Options on Leveraged ETFs. SIAM J. Financial Math. 6(1): 559-593 (2015) - Martin Altmayer, Andreas Neuenkirch:
Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts. SIAM J. Financial Math. 6(1): 22-52 (2015) - Hamed Amini, Andreea Minca, Agnès Sulem:
Control of Interbank Contagion Under Partial Information. SIAM J. Financial Math. 6(1): 1195-1219 (2015) - Parsiad Azimzadeh, Peter A. Forsyth:
The Existence of Optimal Bang-Bang Controls for GMxB Contracts. SIAM J. Financial Math. 6(1): 117-139 (2015) - Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou:
On Hedging American Options under Model Uncertainty. SIAM J. Financial Math. 6(1): 425-447 (2015) - Kyle Bechler, Michael Ludkovski:
Optimal Execution with Dynamic Order Flow Imbalance. SIAM J. Financial Math. 6(1): 1123-1151 (2015) - Denis Belomestny, Fabian Dickmann, Tigran Nagapetyan:
Pricing Bermudan Options via Multilevel Approximation Methods. SIAM J. Financial Math. 6(1): 448-466 (2015) - Fred Espen Benth, Paul Krühner:
Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach. SIAM J. Financial Math. 6(1): 825-869 (2015) - Francesca Biagini, Sorin Nedelcu:
The Formation of Financial Bubbles in Defaultable Markets. SIAM J. Financial Math. 6(1): 530-558 (2015) - Tomasz R. Bielecki, Igor Cialenco, Tao Chen:
Dynamic Conic Finance via Backward Stochastic Difference Equations. SIAM J. Financial Math. 6(1): 1068-1122 (2015) - Tomasz R. Bielecki, Marek Rutkowski:
Valuation and Hedging of Contracts with Funding Costs and Collateralization. SIAM J. Financial Math. 6(1): 594-655 (2015) - Lijun Bo, Agostino Capponi:
Systemic Risk in Interbanking Networks. SIAM J. Financial Math. 6(1): 386-424 (2015) - Olena Burkovska, Bernard Haasdonk, Julien Salomon, Barbara I. Wohlmuth:
Reduced Basis Methods for Pricing Options with the Black-Scholes and Heston Models. SIAM J. Financial Math. 6(1): 685-712 (2015) - Agostino Capponi, Christoph Frei:
Dynamic Contracting: Accidents Lead to Nonlinear Contracts. SIAM J. Financial Math. 6(1): 959-983 (2015) - Patrick Chan, Ronnie Sircar, Michael V. Stein:
A Feedback Model for the Financialization of Commodity Markets. SIAM J. Financial Math. 6(1): 870-899 (2015) - Huy N. Chau, Peter Tankov:
Market Models with Optimal Arbitrage. SIAM J. Financial Math. 6(1): 66-85 (2015) - Mathieu S. Dubois, Luitgard A. M. Veraart:
Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor. SIAM J. Financial Math. 6(1): 201-241 (2015) - Pietro Fodra, Huyên Pham:
High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model. SIAM J. Financial Math. 6(1): 656-684 (2015) - Liliana Forzani, Carlos F. Tolmasky:
On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total Positivity. SIAM J. Financial Math. 6(1): 900-918 (2015) - Emmanuel Gobet, Stefano Pagliarani:
Analytical Approximations of BSDEs with Nonsmooth Driver. SIAM J. Financial Math. 6(1): 919-958 (2015) - Robert B. Gramacy, Michael Ludkovski:
Sequential Design for Optimal Stopping Problems. SIAM J. Financial Math. 6(1): 748-775 (2015) - Zorana Grbac, Antonis Papapantoleon, John Schoenmakers, David Skovmand:
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration. SIAM J. Financial Math. 6(1): 984-1025 (2015) - Archil Gulisashvili, Josep Vives:
Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models. SIAM J. Financial Math. 6(1): 158-188 (2015) - Xin Guo, Mihail Zervos:
Optimal Execution with Multiplicative Price Impact. SIAM J. Financial Math. 6(1): 281-306 (2015) - Michael Ho, Zheng Sun, Jack Xin:
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation. SIAM J. Financial Math. 6(1): 1220-1244 (2015) - Antoine Jacquier, Patrick Roome:
Asymptotics of Forward Implied Volatility. SIAM J. Financial Math. 6(1): 307-351 (2015) - Robert A. Jarrow, Martin Larsson:
Informational Efficiency under Short Sale Constraints. SIAM J. Financial Math. 6(1): 804-824 (2015) - Robert Jarrow, Philip Protter:
Liquidity Suppliers and High Frequency Trading. SIAM J. Financial Math. 6(1): 189-200 (2015)
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