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@article{DBLP:journals/anor/AbudurexitiHHRSS24, author = {Nuerxiati Abudurexiti and Kai He and Dongdong Hu and Svetlozar T. Rachev and Hasanjan Sayit and Ruoyu Sun}, title = {Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {945--966}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05396-1}, doi = {10.1007/S10479-023-05396-1}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AbudurexitiHHRSS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AckermannKU24, author = {Julia Ackermann and Thomas Kruse and Mikhail Urusov}, title = {Self-exciting price impact via negative resilience in stochastic order books}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {637--659}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04973-0}, doi = {10.1007/S10479-022-04973-0}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AckermannKU24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AlasseurCDZ24, author = {Cl{\'{e}}mence Alasseur and Luciano Campi and Roxana Dumitrescu and Jia Zeng}, title = {{MFG} model with a long-lived penalty at random jump times: application to demand side management for electricity contracts}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {541--569}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05270-0}, doi = {10.1007/S10479-023-05270-0}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AlasseurCDZ24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AminiM24, author = {Hamed Amini and Andreea Minca}, title = {Social distancing game and insurance investment in a pandemic}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {2009--2036}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05485-1}, doi = {10.1007/S10479-023-05485-1}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AminiM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AraratCPR24, author = {{\c{C}}agin Ararat and Francesco Cesarone and Mustafa {\c{C}}elebi Pinar and Jacopo M. Ricci}, title = {{MAD} risk parity portfolios}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {899--924}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05797-2}, doi = {10.1007/S10479-023-05797-2}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AraratCPR24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ArmijosToroAM24, author = {Livino M. Armijos{-}Toro and Jos{\'{e}} M. Alonso{-}Meijide and Manuel A. Mosquera}, title = {Mergeable weighted majority games and characterizations of some power indices}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1373--1393}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05340-3}, doi = {10.1007/S10479-023-05340-3}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ArmijosToroAM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ArmstrongBT24, author = {John Armstrong and Damiano Brigo and Alex S. L. Tse}, title = {The importance of dynamic risk constraints for limited liability operators}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {861--898}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05295-5}, doi = {10.1007/S10479-023-05295-5}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ArmstrongBT24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AssarzadeganHB24, author = {Parisa Assarzadegan and Seyed Reza Hejazi and Morteza Rasti Barzoki}, title = {A stackelberg differential game theoretic approach for analyzing coordination strategies in a supply chain with retailer's premium store brand}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1519--1549}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05372-9}, doi = {10.1007/S10479-023-05372-9}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AssarzadeganHB24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/AzzoneB24, author = {Michele Azzone and Roberto Baviera}, title = {Short-time implied volatility of additive normal tempered stable processes}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {93--126}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04894-y}, doi = {10.1007/S10479-022-04894-Y}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/AzzoneB24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BergantinosM24, author = {Gustavo Berganti{\~{n}}os and Juan D. Moreno{-}Ternero}, title = {Anonymity in sharing the revenues from broadcasting sports leagues}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1395--1417}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05345-y}, doi = {10.1007/S10479-023-05345-Y}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BergantinosM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BernardPV24, author = {Carole Bernard and Andrea Perchiazzo and Steven Vanduffel}, title = {Implied value-at-risk and model-free simulation}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {925--943}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05048-w}, doi = {10.1007/S10479-022-05048-W}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BernardPV24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BertonM24, author = {Edoardo Berton and Lorenzo Mercuri}, title = {An efficient unified approach for spread option pricing in a copula market model}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {307--329}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05549-2}, doi = {10.1007/S10479-023-05549-2}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BertonM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BiancardiBBV24, author = {Marta Biancardi and Michele Bufalo and Antonio Di Bari and Giovanni Villani}, title = {A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1063--1087}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05249-x}, doi = {10.1007/S10479-023-05249-X}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BiancardiBBV24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BorosCGM24, author = {Endre Boros and Ondrej Cepek and Vladimir Gurvich and Kazuhisa Makino}, title = {Recognizing distributed approval voting forms and correspondences}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {2091--2110}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05430-2}, doi = {10.1007/S10479-023-05430-2}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BorosCGM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BourgeyGJ24, author = {Florian Bourgey and Emmanuel Gobet and Ying Jiao}, title = {Bridging socioeconomic pathways of rmCO\({}_{\mbox{2}}\) emission and credit risk}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1197--1218}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05135-y}, doi = {10.1007/S10479-022-05135-Y}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BourgeyGJ24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BreinbjergPO24, author = {Jesper Breinbjerg and Trine Torn{\o}e Platz and Lars Peter {\O}sterdal}, title = {Equilibrium arrivals to a last-come first-served preemptive-resume queue}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1551--1572}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05348-9}, doi = {10.1007/S10479-023-05348-9}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BreinbjergPO24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BrignoneGS24, author = {Riccardo Brignone and Luca Gonzato and Carlo Sgarra}, title = {Commodity Asian option pricing and simulation in a 4-factor model with jump clusters}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {275--306}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05152-x}, doi = {10.1007/S10479-022-05152-X}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BrignoneGS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/BroekaertTH24, author = {Jan Bart Broekaert and Davide La Torre and Faizal M. F. Hafiz}, title = {Competing control scenarios in probabilistic {SIR} epidemics on social-contact networks}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {2037--2060}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05031-5}, doi = {10.1007/S10479-022-05031-5}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/BroekaertTH24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CaliciottiCF24, author = {Andrea Caliciotti and Marco Corazza and Giovanni Fasano}, title = {From regression models to machine learning approaches for long term Bitcoin price forecast}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {359--381}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05444-w}, doi = {10.1007/S10479-023-05444-W}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CaliciottiCF24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CallegaroFGRV24, author = {Giorgia Callegaro and Claudio Fontana and Martino Grasselli and Wolfgang J. Runggaldier and Tiziano Vargiolu}, title = {Recent advances in mathematical methods for finance}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1--2}, year = {2024}, url = {https://doi.org/10.1007/s10479-024-05959-w}, doi = {10.1007/S10479-024-05959-W}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CallegaroFGRV24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CalvoLSS24, author = {Miguel {\'{A}}ngel Mir{\'{a}}s Calvo and Iago N{\'{u}}{\~{n}}ez Lugilde and Carmen Quinteiro Sandomingo and Estela S{\'{a}}nchez{-}Rodr{\'{\i}}guez}, title = {An algorithm to compute the average-of-awards rule for claims problems with an application to the allocation of CO\({}_{\mbox{2}}\) emissions}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1435--1459}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05214-8}, doi = {10.1007/S10479-023-05214-8}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CalvoLSS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CarrT24, author = {Peter Carr and Lorenzo Torricelli}, title = {Convex duality in continuous option pricing models}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1013--1037}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05143-y}, doi = {10.1007/S10479-022-05143-Y}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CarrT24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CarusoCM24, author = {Francesco Caruso and Maria Carmela Ceparano and Jacqueline Morgan}, title = {Asymptotic behavior of subgame perfect Nash equilibria in Stackelberg games}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1573--1590}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05422-2}, doi = {10.1007/S10479-023-05422-2}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CarusoCM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CerreiaVioglioORS24, author = {Simone Cerreia{-}Vioglio and Fulvio Ortu and Francesco Rotondi and Federico Severino}, title = {On horizon-consistent mean-variance portfolio allocation}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {797--828}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04798-x}, doi = {10.1007/S10479-022-04798-X}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CerreiaVioglioORS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ChakrabartiGGBK24, author = {Subhadip Chakrabarti and Loyimee Gogoi and Robert P. Gilles and Surajit Borkotokey and Rajnish Kumar}, title = {Expected values for variable network games}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {2061--2089}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05530-z}, doi = {10.1007/S10479-023-05530-Z}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ChakrabartiGGBK24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CordoniL24, author = {Francesco Cordoni and Fabrizio Lillo}, title = {Instabilities in multi-asset and multi-agent market impact games}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {505--539}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05066-8}, doi = {10.1007/S10479-022-05066-8}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CordoniL24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/CuchieroRR24a, author = {Christa Cuchiero and Christoph Reisinger and Stefan Rigger}, title = {Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1315--1349}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05293-7}, doi = {10.1007/S10479-023-05293-7}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/CuchieroRR24a.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DAuriaS24a, author = {Bernardo D'Auria and Jose A. Salmeron}, title = {Anticipative information in a Brownian-Poisson market}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1289--1314}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05060-0}, doi = {10.1007/S10479-022-05060-0}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DAuriaS24a.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DavisL24, author = {Mark Davis and S{\'{e}}bastien Lleo}, title = {Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {661--689}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05130-3}, doi = {10.1007/S10479-022-05130-3}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DavisL24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DhamalBCASP24, author = {Swapnil Dhamal and Walid Ben{-}Ameur and Tijani Chahed and Eitan Altman and Albert Sunny and Sudheer Poojary}, title = {A game theoretic framework for distributed computing with dynamic set of agents}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1871--1904}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05231-7}, doi = {10.1007/S10479-023-05231-7}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DhamalBCASP24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DingM24, author = {Guodong Ding and Daniele Marazzina}, title = {Effect of labour income on the optimal bankruptcy problem}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {773--795}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05166-z}, doi = {10.1007/S10479-023-05166-Z}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DingM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DoldiF24, author = {Alessandro Doldi and Marco Frittelli}, title = {Multivariate systemic optimal risk transfer equilibrium}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {435--480}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04652-0}, doi = {10.1007/S10479-022-04652-0}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DoldiF24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/DongDHRX24, author = {Yinhong Dong and Donglei Du and Qiaoming Han and Jianfeng Ren and Dachuan Xu}, title = {A Stackelberg order execution game}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {571--604}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05120-5}, doi = {10.1007/S10479-022-05120-5}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/DongDHRX24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/FontanaGS24, author = {Claudio Fontana and Alessandro Gnoatto and Guillaume Szulda}, title = {CBI-time-changed L{\'{e}}vy processes for multi-currency modeling}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {127--152}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04982-z}, doi = {10.1007/S10479-022-04982-Z}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/FontanaGS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/FrauF24a, author = {Carme Frau and Viviana Fanelli}, title = {Seasonality in commodity prices: new approaches for pricing plain vanilla options}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1089--1131}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05128-x}, doi = {10.1007/S10479-022-05128-X}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/FrauF24a.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/FreixasS24, author = {Josep Freixas and Dani Samaniego}, title = {Some characterizations of resolute majority rules}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {2111--2124}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05621-x}, doi = {10.1007/S10479-023-05621-X}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/FreixasS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GehaJZ24, author = {Marc Geha and Antoine Jacquier and Zan Zuric}, title = {Large and moderate deviations for importance sampling in the Heston model}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {47--92}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05424-0}, doi = {10.1007/S10479-023-05424-0}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GehaJZ24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GiacintoTW24, author = {Marina Di Giacinto and Claudio Tebaldi and Tai{-}Ho Wang}, title = {Optimal order execution under price impact: a hybrid model}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {605--636}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05082-8}, doi = {10.1007/S10479-022-05082-8}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GiacintoTW24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GiovanniLL24, author = {Domenico De Giovanni and Arturo Leccadito and Debora Loccisano}, title = {Co-movements, option pricing and risk management: an application to {WTI} versus Brent spread options}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1039--1061}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05059-7}, doi = {10.1007/S10479-022-05059-7}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GiovanniLL24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GlauW24, author = {Kathrin Glau and Linus Wunderlich}, title = {Neural network expression rates and applications of the deep parametric {PDE} method in counterparty credit risk}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {331--357}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05315-4}, doi = {10.1007/S10479-023-05315-4}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GlauW24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GobetL24, author = {Emmanuel Gobet and Clara Lage}, title = {Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge-Kantorovich formulation}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1161--1195}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05385-4}, doi = {10.1007/S10479-023-05385-4}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GobetL24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GongDP24, author = {Doudou Gong and Bas J. Dietzenbacher and Hans Peters}, title = {Two-bound core games and the nucleolus}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1419--1433}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04949-0}, doi = {10.1007/S10479-022-04949-0}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GongDP24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GrasselliMP24, author = {Martino Grasselli and Andrea Mazzoran and Andrea Pallavicini}, title = {A general framework for a joint calibration of {VIX} and {VXX} options}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {3--26}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05205-9}, doi = {10.1007/S10479-023-05205-9}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GrasselliMP24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/GurvichN24, author = {Vladimir Gurvich and Mariya Naumova}, title = {On Nash-solvability of n-person graphical games under Markov and a-priori realizations}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1905--1927}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05636-4}, doi = {10.1007/S10479-023-05636-4}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/GurvichN24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/HafizBTS24, author = {Faizal M. F. Hafiz and Jan Broekaert and Davide La Torre and Akshya Swain}, title = {A multi-criteria approach to evolve sparse neural architectures for stock market forecasting}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1219--1263}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05715-6}, doi = {10.1007/S10479-023-05715-6}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/HafizBTS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/HassanpourRB24, author = {Atefeh Hassanpour and Emad Roghanian and Mahdi Bashiri}, title = {A non-cooperative multi-leader one-follower integrated generation maintenance scheduling problem under the risk of generation units' disruption and variation in demands}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1591--1635}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05553-6}, doi = {10.1007/S10479-023-05553-6}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/HassanpourRB24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/Holzermann24, author = {Julian H{\"{o}}lzermann}, title = {Pricing interest rate derivatives under volatility uncertainty}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {153--182}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04921-y}, doi = {10.1007/S10479-022-04921-Y}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/Holzermann24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/JarrowPQ24, author = {Robert Jarrow and Philip Protter and Alejandra Quintos}, title = {Computing the probability of a financial market failure: a new measure of systemic risk}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {481--503}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05146-9}, doi = {10.1007/S10479-022-05146-9}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/JarrowPQ24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/JohariH24, author = {Maryam Johari and Seyyed{-}Mahdi Hosseini{-}Motlagh}, title = {An evolutionary game theory approach for analyzing risk-based financing schemes}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1637--1660}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05308-3}, doi = {10.1007/S10479-023-05308-3}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/JohariH24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/KochMedinaM24, author = {Pablo Koch{-}Medina and Cosimo Munari}, title = {Qualitative robustness of utility-based risk measures}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {967--980}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04885-z}, doi = {10.1007/S10479-022-04885-Z}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/KochMedinaM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/LeonardosKM24, author = {Stefanos Leonardos and Constandina Koki and Costis Melolidakis}, title = {A generalization of the increasing generalized failure rate unimodality condition}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1661--1679}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05425-z}, doi = {10.1007/S10479-023-05425-Z}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/LeonardosKM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/LiuCL24, author = {Weihua Liu and Zhixuan Chen and Tingting Liu}, title = {Model analysis of smart supply chain finance of platform-based enterprises under government supervision}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1929--1963}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05243-3}, doi = {10.1007/S10479-023-05243-3}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/LiuCL24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/LovasR24, author = {Attila Lovas and Mikl{\'{o}}s R{\'{a}}sonyi}, title = {Ergodic aspects of trading with threshold strategies}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {691--709}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05233-5}, doi = {10.1007/S10479-023-05233-5}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/LovasR24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/MartinezHSS24, author = {Ricardo Mart{\'{\i}}nez and Ruud Hendrickx and Marco Slikker and Izabella Stach}, title = {2021 European meeting on game theory {(SING16)}}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1369--1372}, year = {2024}, url = {https://doi.org/10.1007/s10479-024-05960-3}, doi = {10.1007/S10479-024-05960-3}, timestamp = {Thu, 23 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/MartinezHSS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/MastrogiacomoG24, author = {Elisa Mastrogiacomo and Emanuela Rosazza Gianin}, title = {Dynamic capital allocation rules via BSDEs: an axiomatic approach}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {749--772}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04917-8}, doi = {10.1007/S10479-022-04917-8}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/MastrogiacomoG24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/MichielonKS24, author = {Matteo Michielon and Asma Khedher and Peter Spreij}, title = {Proxying credit curves via Wasserstein distances}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1351--1367}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04552-3}, doi = {10.1007/S10479-022-04552-3}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/MichielonKS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/MonteroP24, author = {Maria Montero and Alex Possajennikov}, title = {"Greedy" demand adjustment in cooperative games}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1461--1478}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05179-8}, doi = {10.1007/S10479-023-05179-8}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/MonteroP24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/NunnoG24, author = {Giulia Di Nunno and Michele Giordano}, title = {Stochastic Volterra equations with time-changed L{\'{e}}vy noise and maximum principles}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1265--1287}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05303-8}, doi = {10.1007/S10479-023-05303-8}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/NunnoG24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/RaffaelliST24, author = {Iacopo Raffaelli and Simone Scotti and Giacomo Toscano}, title = {Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with {S} {\&}P500 data}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {27--45}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04924-9}, doi = {10.1007/S10479-022-04924-9}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/RaffaelliST24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/RighiM24, author = {Marcelo Brutti Righi and Marlon Ruoso Moresco}, title = {Inf-convolution and optimal risk sharing with countable sets of risk measures}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {829--860}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04593-8}, doi = {10.1007/S10479-022-04593-8}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/RighiM24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/SahaK24, author = {Indrajit Saha and Veeraruna Kavitha}, title = {Random fixed points, systemic risk and resilience of heterogeneous financial network}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {383--433}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05137-w}, doi = {10.1007/S10479-022-05137-W}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/SahaK24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/SilottoSB24, author = {Lorenzo Silotto and Marco Scaringi and Marco Bianchetti}, title = {{XVA} modelling: validation, performance and model risk management}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {183--274}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05323-4}, doi = {10.1007/S10479-023-05323-4}, timestamp = {Tue, 18 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/SilottoSB24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/TankovT24, author = {Peter Tankov and Laura Tinsi}, title = {Stochastic optimization with dynamic probabilistic forecasts}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {711--747}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04913-y}, doi = {10.1007/S10479-022-04913-Y}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/TankovT24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/VidalVBB24, author = {Marta Vidal and Javier Vidal{-}Garc{\'{\i}}a and Sabri Boubaker and Stelios D. Bekiros}, title = {Short-term volatility timing: a cross-country study}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1681--1706}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04998-5}, doi = {10.1007/S10479-022-04998-5}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/VidalVBB24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/WangSF24, author = {Ning Wang and Tak Kuen Siu and Kun Fan}, title = {Robust reinsurance and investment strategies under principal-agent framework}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {981--1011}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-04696-2}, doi = {10.1007/S10479-022-04696-2}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/WangSF24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/XinLX24, author = {Baogui Xin and Yue Liu and Lei Xie}, title = {Data capital investment strategy in competing supply chains}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1707--1740}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05334-1}, doi = {10.1007/S10479-023-05334-1}, timestamp = {Sat, 06 Jul 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/XinLX24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/YangZZ24, author = {Shitao Yang and Jiangao Zhang and Shaorui Zhou}, title = {The cost transportation game for collaboration among transportation companies}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1479--1503}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05466-4}, doi = {10.1007/S10479-023-05466-4}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/YangZZ24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZaefarianFY24, author = {Tahereh Zaefarian and Atieh Fander and Saeed Yaghoubi}, title = {A dynamic game approach to demand disruptions of green supply chain with government intervention (case study: automotive supply chain)}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1965--2008}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05432-0}, doi = {10.1007/S10479-023-05432-0}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZaefarianFY24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/Zeng24, author = {Kuan Zeng}, title = {The role of venture capitalists in reward-based crowdfunding: a game-theoretical analysis}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1741--1775}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05182-z}, doi = {10.1007/S10479-023-05182-Z}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/Zeng24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZhangHG24, author = {Wen Zhang and Ting Hou and Qinglong Gou}, title = {Choosing a self-built or an intermediary platform for hosting winner-take-all crowdsourcing contests?}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1813--1834}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05712-9}, doi = {10.1007/S10479-023-05712-9}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZhangHG24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZhangS24, author = {Yu Zhang and Xiang{-}Kai Sun}, title = {On the {\(\alpha\)}-core of set payoffs games}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1505--1518}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05090-8}, doi = {10.1007/S10479-022-05090-8}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZhangS24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZhangWC24, author = {Li{-}Hao Zhang and Shan{-}Shan Wang and Luyu Chang}, title = {Radio-frequency Identification {(RFID)} adoption and chain structure decisions in competing supply chains: Bertrand competition versus Cournot competition}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1777--1811}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05095-3}, doi = {10.1007/S10479-022-05095-3}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZhangWC24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZhaoZW24, author = {Yujie Zhao and Hong Zhou and Jiepeng Wang}, title = {Information acquisition and sharing strategies of supply chain with supplier encroachment considering signaling effect}, journal = {Ann. Oper. Res.}, volume = {336}, number = {3}, pages = {1835--1869}, year = {2024}, url = {https://doi.org/10.1007/s10479-022-05032-4}, doi = {10.1007/S10479-022-05032-4}, timestamp = {Fri, 31 May 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZhaoZW24.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
@article{DBLP:journals/anor/ZormpasO24a, author = {Dimitrios Zormpas and Giorgia Oggioni}, title = {Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries}, journal = {Ann. Oper. Res.}, volume = {336}, number = {1-2}, pages = {1133--1160}, year = {2024}, url = {https://doi.org/10.1007/s10479-023-05273-x}, doi = {10.1007/S10479-023-05273-X}, timestamp = {Sat, 08 Jun 2024 01:00:00 +0200}, biburl = {https://dblp.org/rec/journals/anor/ZormpasO24a.bib}, bibsource = {dblp computer science bibliography, https://dblp.org} }
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