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Publication search results
found 48 matches
- 2023
- Florian Aichinger, Sascha Desmettre:
Utility Maximization in Multivariate Volterra Models. SIAM J. Financial Math. 14(1): 52-98 (2023) - Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster:
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients. SIAM J. Financial Math. 14(3): 855-878 (2023) - Guillermo Angeris, Tarun Chitra, Alex Evans, Matthew Lorig:
Short Communication: A Primer on Perpetuals. SIAM J. Financial Math. 14(1): 17- (2023) - Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young:
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case. SIAM J. Financial Math. 14(2): 557-597 (2023) - Pablo Azcue, Xiaoqing Liang, Nora Muler, Virginia R. Young:
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. SIAM J. Financial Math. 14(1): 279-313 (2023) - Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum:
On Bid and Ask Side-Specific Tick Sizes. SIAM J. Financial Math. 14(4): 1215-1248 (2023) - Bastien Baldacci, Philippe Bergault, Dylan Possamaï:
A Mean-Field Game of Market-Making against Strategic Traders. SIAM J. Financial Math. 14(4): 1080-1112 (2023) - Daniel Bartl, Johannes Wiesel:
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance. SIAM J. Financial Math. 14(2): 704-720 (2023) - Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke:
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. SIAM J. Financial Math. 14(2): 383-406 (2023) - Erhan Bayraktar, Asaf Cohen, April Nellis:
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. SIAM J. Financial Math. 14(4): 1028-1061 (2023) - Erhan Bayraktar, Bingyan Han:
Short Communication: Existence of Markov Equilibrium Control in Discrete Time. SIAM J. Financial Math. 14(4): 60- (2023) - Guillaume Bernis, Matthieu Garcin, Simone Scotti, Carlo Sgarra:
Interest Rates Term Structure Models Driven by Hawkes Processes. SIAM J. Financial Math. 14(4): 1062-1079 (2023) - Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller:
Liquidity Based Modeling of Asset Price Bubbles via Random Matching. SIAM J. Financial Math. 14(4): 1304-1342 (2023) - Frank Bosserhoff, Mitja Stadje:
Robustness of Delta Hedging in a Jump-Diffusion Model. SIAM J. Financial Math. 14(2): 663-703 (2023) - René Carmona, Laura Leal:
Optimal Execution with Quadratic Variation Inventories. SIAM J. Financial Math. 14(3): 751-776 (2023) - Prakash Chakraborty, Asaf Cohen, Virginia R. Young:
Optimal Dividends Under Model Uncertainty. SIAM J. Financial Math. 14(2): 497-524 (2023) - Anthony Coache, Sebastian Jaimungal, Álvaro Cartea:
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. SIAM J. Financial Math. 14(4): 1249-1289 (2023) - Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro:
Signature-Based Models: Theory and Calibration. SIAM J. Financial Math. 14(3): 910-957 (2023) - Yan Dolinsky, Or Zuk:
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework. SIAM J. Financial Math. 14(3): SC31-SC41 (2023) - Luu H. Duc, Jürgen Jost:
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost. SIAM J. Financial Math. 14(3): 879-909 (2023) - Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong:
Pricing Bermudan Options Using Regression Trees/Random Forests. SIAM J. Financial Math. 14(4): 1113-1139 (2023) - Tolulope Fadina, Peng Liu, Ruodu Wang:
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles. SIAM J. Financial Math. 14(2): 644-662 (2023) - Zachary Feinstein, Thomas R. Hurd:
Contingent Convertible Obligations and Financial Stability. SIAM J. Financial Math. 14(1): 158-187 (2023) - Qi Feng, Jianfeng Zhang:
Cubature Method for Stochastic Volterra Integral Equations. SIAM J. Financial Math. 14(4): 959-1003 (2023) - Claudio Fontana:
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates. SIAM J. Financial Math. 14(1): 1- (2023) - Chengfan Gao, Siping Gao, Ruimeng Hu, Zimu Zhu:
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems. SIAM J. Financial Math. 14(4): 1290-1303 (2023) - Paul Gassiat:
Weak Error Rates of Numerical Schemes for Rough Volatility. SIAM J. Financial Math. 14(2): 475-496 (2023) - Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger:
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. SIAM J. Financial Math. 14(1): 314-352 (2023) - Diogo Gomes, Julian Gutierrez, Ricardo Ribeiro:
A Random-Supply Mean Field Game Price Model. SIAM J. Financial Math. 14(1): 188-222 (2023) - Ying Hu, Xiaomin Shi, Zuo Quan Xu:
Constrained Monotone Mean-Variance Problem with Random Coefficients. SIAM J. Financial Math. 14(3): 838-854 (2023)
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