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@article{DBLP:journals/siamfm/AbadI15,
author = {Carlos Abad and
Garud Iyengar},
title = {Portfolio Selection with Multiple Spectral Risk Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {467--486},
year = {2015},
url = {https://doi.org/10.1137/140967635},
doi = {10.1137/140967635},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AbadI15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AbergelJ15,
author = {Fr{\'{e}}d{\'{e}}ric Abergel and
Aymen Jedidi},
title = {Long-Time Behavior of a Hawkes Process-Based Limit Order Book},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1026--1043},
year = {2015},
url = {https://doi.org/10.1137/15M1011469},
doi = {10.1137/15M1011469},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AbergelJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AhnHJ15,
author = {Andrew Ahn and
Martin B. Haugh and
Ashish Jain},
title = {Consistent Pricing of Options on Leveraged ETFs},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {559--593},
year = {2015},
url = {https://doi.org/10.1137/151003933},
doi = {10.1137/151003933},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AhnHJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AltmayerN15,
author = {Martin Altmayer and
Andreas Neuenkirch},
title = {Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the
Generalized Heston Model Using Malliavin Integration by Parts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {22--52},
year = {2015},
url = {https://doi.org/10.1137/130933629},
doi = {10.1137/130933629},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AltmayerN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AminiMS15,
author = {Hamed Amini and
Andreea Minca and
Agn{\`{e}}s Sulem},
title = {Control of Interbank Contagion Under Partial Information},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1195--1219},
year = {2015},
url = {https://doi.org/10.1137/140981538},
doi = {10.1137/140981538},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AminiMS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AzimzadehF15,
author = {Parsiad Azimzadeh and
Peter A. Forsyth},
title = {The Existence of Optimal Bang-Bang Controls for GMxB Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {117--139},
year = {2015},
url = {https://doi.org/10.1137/140953885},
doi = {10.1137/140953885},
timestamp = {Wed, 17 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AzimzadehF15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarHZ15,
author = {Erhan Bayraktar and
Yu{-}Jui Huang and
Zhou Zhou},
title = {On Hedging American Options under Model Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {425--447},
year = {2015},
url = {https://doi.org/10.1137/140961869},
doi = {10.1137/140961869},
timestamp = {Thu, 15 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarHZ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BechlerL15,
author = {Kyle Bechler and
Michael Ludkovski},
title = {Optimal Execution with Dynamic Order Flow Imbalance},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1123--1151},
year = {2015},
url = {https://doi.org/10.1137/140992254},
doi = {10.1137/140992254},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BechlerL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelomestnyDN15,
author = {Denis Belomestny and
Fabian Dickmann and
Tigran Nagapetyan},
title = {Pricing Bermudan Options via Multilevel Approximation Methods},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {448--466},
year = {2015},
url = {https://doi.org/10.1137/130912426},
doi = {10.1137/130912426},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelomestnyDN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthK15,
author = {Fred Espen Benth and
Paul Kr{\"{u}}hner},
title = {Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {825--869},
year = {2015},
url = {https://doi.org/10.1137/15100268X},
doi = {10.1137/15100268X},
timestamp = {Fri, 30 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BenthK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiN15,
author = {Francesca Biagini and
Sorin Nedelcu},
title = {The Formation of Financial Bubbles in Defaultable Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {530--558},
year = {2015},
url = {https://doi.org/10.1137/140960608},
doi = {10.1137/140960608},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BieleckiCC15,
author = {Tomasz R. Bielecki and
Igor Cialenco and
Tao Chen},
title = {Dynamic Conic Finance via Backward Stochastic Difference Equations},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1068--1122},
year = {2015},
url = {https://doi.org/10.1137/141002013},
doi = {10.1137/141002013},
timestamp = {Tue, 02 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BieleckiCC15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BieleckiR15,
author = {Tomasz R. Bielecki and
Marek Rutkowski},
title = {Valuation and Hedging of Contracts with Funding Costs and Collateralization},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {594--655},
year = {2015},
url = {https://doi.org/10.1137/130928819},
doi = {10.1137/130928819},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BieleckiR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BoC15,
author = {Lijun Bo and
Agostino Capponi},
title = {Systemic Risk in Interbanking Networks},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {386--424},
year = {2015},
url = {https://doi.org/10.1137/130937664},
doi = {10.1137/130937664},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BoC15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BurkovskaHSW15,
author = {Olena Burkovska and
Bernard Haasdonk and
Julien Salomon and
Barbara I. Wohlmuth},
title = {Reduced Basis Methods for Pricing Options with the Black-Scholes and
Heston Models},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {685--712},
year = {2015},
url = {https://doi.org/10.1137/140981216},
doi = {10.1137/140981216},
timestamp = {Tue, 04 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BurkovskaHSW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CapponiF15,
author = {Agostino Capponi and
Christoph Frei},
title = {Dynamic Contracting: Accidents Lead to Nonlinear Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {959--983},
year = {2015},
url = {https://doi.org/10.1137/140986864},
doi = {10.1137/140986864},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CapponiF15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChanSS15,
author = {Patrick Chan and
Ronnie Sircar and
Michael V. Stein},
title = {A Feedback Model for the Financialization of Commodity Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {870--899},
year = {2015},
url = {https://doi.org/10.1137/140995349},
doi = {10.1137/140995349},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChanSS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChauT15,
author = {Huy N. Chau and
Peter Tankov},
title = {Market Models with Optimal Arbitrage},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {66--85},
year = {2015},
url = {https://doi.org/10.1137/140953666},
doi = {10.1137/140953666},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChauT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DuboisV15,
author = {Mathieu S. Dubois and
Luitgard A. M. Veraart},
title = {Optimal Diversification in the Presence of Parameter Uncertainty for
a Risk Averse Investor},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {201--241},
year = {2015},
url = {https://doi.org/10.1137/130942826},
doi = {10.1137/130942826},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DuboisV15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FodraP15,
author = {Pietro Fodra and
Huy{\^{e}}n Pham},
title = {High Frequency Trading and Asymptotics for Small Risk Aversion in
a Markov Renewal Model},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {656--684},
year = {2015},
url = {https://doi.org/10.1137/140976005},
doi = {10.1137/140976005},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FodraP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ForzaniT15,
author = {Liliana Forzani and
Carlos F. Tolmasky},
title = {On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total
Positivity},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {900--918},
year = {2015},
url = {https://doi.org/10.1137/140998354},
doi = {10.1137/140998354},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ForzaniT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GobetP15,
author = {Emmanuel Gobet and
Stefano Pagliarani},
title = {Analytical Approximations of BSDEs with Nonsmooth Driver},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {919--958},
year = {2015},
url = {https://doi.org/10.1137/14100021X},
doi = {10.1137/14100021X},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GobetP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GramacyL15,
author = {Robert B. Gramacy and
Michael Ludkovski},
title = {Sequential Design for Optimal Stopping Problems},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {748--775},
year = {2015},
url = {https://doi.org/10.1137/140980089},
doi = {10.1137/140980089},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GramacyL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GrbacPSS15,
author = {Zorana Grbac and
Antonis Papapantoleon and
John Schoenmakers and
David Skovmand},
title = {Affine {LIBOR} Models with Multiple Curves: Theory, Examples and Calibration},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {984--1025},
year = {2015},
url = {https://doi.org/10.1137/15M1011731},
doi = {10.1137/15M1011731},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GrbacPSS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GulisashviliV15,
author = {Archil Gulisashvili and
Josep Vives},
title = {Asymptotic Analysis of Stock Price Densities and Implied Volatilities
in Mixed Stochastic Models},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {158--188},
year = {2015},
url = {https://doi.org/10.1137/140962255},
doi = {10.1137/140962255},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GulisashviliV15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuoZ15,
author = {Xin Guo and
Mihail Zervos},
title = {Optimal Execution with Multiplicative Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {281--306},
year = {2015},
url = {https://doi.org/10.1137/120894622},
doi = {10.1137/120894622},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuoZ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HoSX15,
author = {Michael Ho and
Zheng Sun and
Jack Xin},
title = {Weighted Elastic Net Penalized Mean-Variance Portfolio Design and
Computation},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1220--1244},
year = {2015},
url = {https://doi.org/10.1137/15M1007872},
doi = {10.1137/15M1007872},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HoSX15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierR15,
author = {Antoine Jacquier and
Patrick Roome},
title = {Asymptotics of Forward Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {307--351},
year = {2015},
url = {https://doi.org/10.1137/140960712},
doi = {10.1137/140960712},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowL15,
author = {Robert A. Jarrow and
Martin Larsson},
title = {Informational Efficiency under Short Sale Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {804--824},
year = {2015},
url = {https://doi.org/10.1137/140963522},
doi = {10.1137/140963522},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowP15,
author = {Robert Jarrow and
Philip Protter},
title = {Liquidity Suppliers and High Frequency Trading},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {189--200},
year = {2015},
url = {https://doi.org/10.1137/140967702},
doi = {10.1137/140967702},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kardaras15,
author = {Constantinos Kardaras},
title = {Valuation and Parities for Exchange Options},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {140--157},
year = {2015},
url = {https://doi.org/10.1137/120884973},
doi = {10.1137/120884973},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kardaras15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KarouiJJ15,
author = {Nicole El Karoui and
Monique Jeanblanc and
Ying Jiao},
title = {Density Approach in Modeling Successive Defaults},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1--21},
year = {2015},
url = {https://doi.org/10.1137/130939791},
doi = {10.1137/130939791},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KarouiJJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kirkby15,
author = {Justin Lars Kirkby},
title = {Efficient Option Pricing by Frame Duality with the Fast Fourier Transform},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {713--747},
year = {2015},
url = {https://doi.org/10.1137/140989480},
doi = {10.1137/140989480},
timestamp = {Thu, 28 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kirkby15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kolkiewicz15,
author = {Adam W. Kolkiewicz},
title = {On Suboptimality of Delta Hedging for Asian Options},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {352--385},
year = {2015},
url = {https://doi.org/10.1137/130914760},
doi = {10.1137/130914760},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kolkiewicz15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LeungW15,
author = {Tim Leung and
Haohua Wan},
title = {{ESO} Valuation with Job Termination Risk and Jumps in Stock Price},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {487--516},
year = {2015},
url = {https://doi.org/10.1137/130937949},
doi = {10.1137/130937949},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LeungW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiX15,
author = {Cheng Li and
Hao Xing},
title = {Asymptotic Glosten-Milgrom Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {242--280},
year = {2015},
url = {https://doi.org/10.1137/130943121},
doi = {10.1137/130943121},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiX15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Liu15,
author = {Hsuan{-}Ku Liu},
title = {Properties of American Volatility Options in the Mean-Reverting 3/2
Volatility Model},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {53--65},
year = {2015},
url = {https://doi.org/10.1137/130924573},
doi = {10.1137/130924573},
timestamp = {Mon, 03 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Liu15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarcoH15,
author = {Stefano De Marco and
Pierre Henry{-}Labord{\`{e}}re},
title = {Linking Vanillas and {VIX} Options: {A} Constrained Martingale Optimal
Transport Problem},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1171--1194},
year = {2015},
url = {https://doi.org/10.1137/140960724},
doi = {10.1137/140960724},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MarcoH15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Rasonyi15,
author = {Mikl{\'{o}}s R{\'{a}}sonyi},
title = {Optimal Investment with Nonconcave Utilities in Discrete-Time Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {517--529},
year = {2015},
url = {https://doi.org/10.1137/140985184},
doi = {10.1137/140985184},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Rasonyi15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Schoneborn15,
author = {Torsten Sch{\"{o}}neborn},
title = {Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria
and Risk Functions},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1044--1067},
year = {2015},
url = {https://doi.org/10.1137/15M1007537},
doi = {10.1137/15M1007537},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Schoneborn15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SpiliopoulosS15,
author = {Konstantinos Spiliopoulos and
Richard B. Sowers},
title = {Default Clustering in Large Pools: Large Deviations},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {86--116},
year = {2015},
url = {https://doi.org/10.1137/130944060},
doi = {10.1137/130944060},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SpiliopoulosS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Trevino-Aguilar15,
author = {Erick Trevi{\~{n}}o{-}Aguilar},
title = {Duality in a Problem of Static Partial Hedging under Convex Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1152--1170},
year = {2015},
url = {https://doi.org/10.1137/140959614},
doi = {10.1137/140959614},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Trevino-Aguilar15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WangBT15,
author = {Ruodu Wang and
Valeria Bignozzi and
Andreas Tsanakas},
title = {How Superadditive Can a Risk Measure Be?},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {776--803},
year = {2015},
url = {https://doi.org/10.1137/140981046},
doi = {10.1137/140981046},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/WangBT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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