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@article{DBLP:journals/siamfm/AchtsisCN13,
author = {Nico Achtsis and
Ronald Cools and
Dirk Nuyens},
title = {Conditional Sampling for Barrier Option Pricing under the {LT} Method},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {327--352},
year = {2013},
url = {https://doi.org/10.1137/110855909},
doi = {10.1137/110855909},
timestamp = {Wed, 14 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/AchtsisCN13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AnkirchnerKK13,
author = {Stefan Ankirchner and
Peter Kratz and
Thomas Kruse},
title = {Hedging Forward Positions: Basis Risk Versus Liquidity Costs},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {668--696},
year = {2013},
url = {https://doi.org/10.1137/130907045},
doi = {10.1137/130907045},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AnkirchnerKK13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BernardL13,
author = {Carole Bernard and
Wenbo V. Li},
title = {Pricing and Hedging of Cliquet Options and Locally Capped Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {353--371},
year = {2013},
url = {https://doi.org/10.1137/100818157},
doi = {10.1137/100818157},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BernardL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiP13,
author = {Sara Biagini and
Mustafa {\c{C}}. Pinar},
title = {The Best Gain-Loss Ratio is a Poor Performance Measure},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {228--242},
year = {2013},
url = {https://doi.org/10.1137/120866774},
doi = {10.1137/120866774},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiP13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiS13,
author = {Francesca Biagini and
Irene Schreiber},
title = {Risk-Minimization for Life Insurance Liabilities},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {243--264},
year = {2013},
url = {https://doi.org/10.1137/110856836},
doi = {10.1137/110856836},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BichuchS13,
author = {Maxim Bichuch and
Steven E. Shreve},
title = {Utility Maximization Trading Two Futures with Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {26--85},
year = {2013},
url = {https://doi.org/10.1137/110853649},
doi = {10.1137/110853649},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BichuchS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrFR13,
author = {Peter Carr and
Travis Fisher and
Johannes Ruf},
title = {Why Are Quadratic Normal Volatility Models Analytically Tractable?},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {185--202},
year = {2013},
url = {https://doi.org/10.1137/120871973},
doi = {10.1137/120871973},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrFR13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenD13,
author = {Xinfu Chen and
Min Dai},
title = {Characterization of Optimal Strategy for Multiasset Investment and
Consumption with Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {857--883},
year = {2013},
url = {https://doi.org/10.1137/120898991},
doi = {10.1137/120898991},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChenD13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChevalierVS13,
author = {Etienne Chevalier and
Vathana Ly Vath and
Simone Scotti},
title = {An Optimal Dividend and Investment Control Problem under Debt Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {297--326},
year = {2013},
url = {https://doi.org/10.1137/120866816},
doi = {10.1137/120866816},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChevalierVS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContL13,
author = {Rama Cont and
Adrien de Larrard},
title = {Price Dynamics in a Markovian Limit Order Market},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {1--25},
year = {2013},
url = {https://doi.org/10.1137/110856605},
doi = {10.1137/110856605},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DassiosL13,
author = {Angelos Dassios and
Jia Wei Lim},
title = {Parisian Option Pricing: {A} Recursive Solution for the Density of
the Parisian Stopping Time},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {599--615},
year = {2013},
url = {https://doi.org/10.1137/120875466},
doi = {10.1137/120875466},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DassiosL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DorsekT13,
author = {Philipp D{\"{o}}rsek and
Josef Teichmann},
title = {Efficient Simulation and Calibration of General {HJM} Models by Splitting
Schemes},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {575--598},
year = {2013},
url = {https://doi.org/10.1137/110860173},
doi = {10.1137/110860173},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DorsekT13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EberleinGS13,
author = {Ernst Eberlein and
Zorana Grbac and
Thorsten Schmidt},
title = {Discrete Tenor Models for Credit Risky Portfolios Driven by Time-Inhomogeneous
L{\'{e}}vy Processes},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {616--649},
year = {2013},
url = {https://doi.org/10.1137/110827132},
doi = {10.1137/110827132},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/EberleinGS13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FengL13,
author = {Liming Feng and
Xiong Lin},
title = {Inverting Analytic Characteristic Functions and Financial Applications},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {372--398},
year = {2013},
url = {https://doi.org/10.1137/110830319},
doi = {10.1137/110830319},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FengL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FengL13a,
author = {Liming Feng and
Xiong Lin},
title = {Pricing Bermudan Options in L{\'{e}}vy Process Models},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {474--493},
year = {2013},
url = {https://doi.org/10.1137/120881063},
doi = {10.1137/120881063},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FengL13a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueI13,
author = {Jean{-}Pierre Fouque and
Tomoyuki Ichiba},
title = {Stability in a Model of Interbank Lending},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {784--803},
year = {2013},
url = {https://doi.org/10.1137/110841096},
doi = {10.1137/110841096},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueI13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GarnierPY13,
author = {Josselin Garnier and
George Papanicolaou and
Tzu{-}Wei Yang},
title = {Large Deviations for a Mean Field Model of Systemic Risk},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {151--184},
year = {2013},
url = {https://doi.org/10.1137/12087387X},
doi = {10.1137/12087387X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GarnierPY13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HowisonRW13,
author = {Sam D. Howison and
Christoph Reisinger and
Jan Hendrik Witte},
title = {The Effect of Nonsmooth Payoffs on the Penalty Approximation of American
Options},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {539--574},
year = {2013},
url = {https://doi.org/10.1137/12087743X},
doi = {10.1137/12087743X},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HowisonRW13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierL13,
author = {Antoine Jacquier and
Matthew J. Lorig},
title = {The Smile of Certain L{\'{e}}vy-Type Models},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {804--830},
year = {2013},
url = {https://doi.org/10.1137/12090246X},
doi = {10.1137/12090246X},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierL13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierR13,
author = {Antoine Jacquier and
Patrick Roome},
title = {The Small-Maturity Heston Forward Smile},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {831--856},
year = {2013},
url = {https://doi.org/10.1137/13091703X},
doi = {10.1137/13091703X},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierR13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Karoui13,
author = {Noureddine El Karoui},
title = {On the Realized Risk of High-Dimensional Markowitz Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {737--783},
year = {2013},
url = {https://doi.org/10.1137/090774926},
doi = {10.1137/090774926},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Karoui13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiuM13,
author = {Ren Liu and
Johannes Muhle{-}Karbe},
title = {Portfolio Selection with Small Transaction Costs and Binding Portfolio
Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {203--227},
year = {2013},
url = {https://doi.org/10.1137/120885036},
doi = {10.1137/120885036},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiuM13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MochaW13,
author = {Markus Mocha and
Nicholas Westray},
title = {The Stability of the Constrained Utility Maximization Problem: {A}
{BSDE} Approach},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {117--150},
year = {2013},
url = {https://doi.org/10.1137/120862016},
doi = {10.1137/120862016},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MochaW13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Monnier13,
author = {Jean{-}Baptiste Monnier},
title = {Risk-Neutral Density Recovery via Spectral Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {650--667},
year = {2013},
url = {https://doi.org/10.1137/110840340},
doi = {10.1137/110840340},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Monnier13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Monoyios13,
author = {Michael Monoyios},
title = {Malliavin Calculus Method for Asymptotic Expansion of Dual Control
Problems},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {884--915},
year = {2013},
url = {https://doi.org/10.1137/120892441},
doi = {10.1137/120892441},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Monoyios13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NadtochiyZ13,
author = {Sergey Nadtochiy and
Thaleia Zariphopoulou},
title = {An Approximation Scheme for Solution to the Optimal Investment Problem
in Incomplete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {494--538},
year = {2013},
url = {https://doi.org/10.1137/120869080},
doi = {10.1137/120869080},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NadtochiyZ13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NicoleM13,
author = {Nicole El Karoui and
Mrad Mohamed},
title = {An Exact Connection between Two Solvable SDEs and a Nonlinear Utility
Stochastic {PDE}},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {697--736},
year = {2013},
url = {https://doi.org/10.1137/10081143X},
doi = {10.1137/10081143X},
timestamp = {Tue, 06 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NicoleM13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PagliaraniPR13,
author = {Stefano Pagliarani and
Andrea Pascucci and
Candia Riga},
title = {Adjoint Expansions in Local L{\'{e}}vy Models},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {265--296},
year = {2013},
url = {https://doi.org/10.1137/110858732},
doi = {10.1137/110858732},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PagliaraniPR13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Papanicolaou13,
author = {Andrew Papanicolaou},
title = {Dimension Reduction in Discrete Time Portfolio Optimization with Partial
Information},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {916--960},
year = {2013},
url = {https://doi.org/10.1137/120897596},
doi = {10.1137/120897596},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Papanicolaou13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SchoenmakersZH13,
author = {John Schoenmakers and
Jianing Zhang and
Junbo Huang},
title = {Optimal Dual Martingales, Their Analysis, and Application to New Algorithms
for Bermudan Products},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {86--116},
year = {2013},
url = {https://doi.org/10.1137/110832513},
doi = {10.1137/110832513},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SchoenmakersZH13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Sekine13,
author = {Jun Sekine},
title = {Long-Term Optimal Investment with a Generalized Drawdown Constraint},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {452--473},
year = {2013},
url = {https://doi.org/10.1137/110830101},
doi = {10.1137/110830101},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Sekine13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Ware13,
author = {Antony Ware},
title = {Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control
Problems with Application to the Valuation of Natural Gas Storage},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {427--451},
year = {2013},
url = {https://doi.org/10.1137/110853546},
doi = {10.1137/110853546},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Ware13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZhangO13,
author = {Bowen Zhang and
Cornelis W. Oosterlee},
title = {Efficient Pricing of European-Style Asian Options under Exponential
L{\'{e}}vy Processes Based on Fourier Cosine Expansions},
journal = {{SIAM} J. Financial Math.},
volume = {4},
number = {1},
pages = {399--426},
year = {2013},
url = {https://doi.org/10.1137/110853339},
doi = {10.1137/110853339},
timestamp = {Wed, 05 Feb 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ZhangO13.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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