- Constantinos Kardaras:
Valuation and Parities for Exchange Options. SIAM J. Financial Math. 6(1): 140-157 (2015) - Nicole El Karoui, Monique Jeanblanc, Ying Jiao:
Density Approach in Modeling Successive Defaults. SIAM J. Financial Math. 6(1): 1-21 (2015) - Justin Lars Kirkby:
Efficient Option Pricing by Frame Duality with the Fast Fourier Transform. SIAM J. Financial Math. 6(1): 713-747 (2015) - Adam W. Kolkiewicz:
On Suboptimality of Delta Hedging for Asian Options. SIAM J. Financial Math. 6(1): 352-385 (2015) - Tim Leung
, Haohua Wan:
ESO Valuation with Job Termination Risk and Jumps in Stock Price. SIAM J. Financial Math. 6(1): 487-516 (2015) - Cheng Li, Hao Xing:
Asymptotic Glosten-Milgrom Equilibrium. SIAM J. Financial Math. 6(1): 242-280 (2015) - Hsuan-Ku Liu
:
Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model. SIAM J. Financial Math. 6(1): 53-65 (2015) - Stefano De Marco, Pierre Henry-Labordère:
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem. SIAM J. Financial Math. 6(1): 1171-1194 (2015) - Miklós Rásonyi:
Optimal Investment with Nonconcave Utilities in Discrete-Time Markets. SIAM J. Financial Math. 6(1): 517-529 (2015) - Torsten Schöneborn:
Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions. SIAM J. Financial Math. 6(1): 1044-1067 (2015) - Konstantinos Spiliopoulos, Richard B. Sowers:
Default Clustering in Large Pools: Large Deviations. SIAM J. Financial Math. 6(1): 86-116 (2015) - Erick Treviño-Aguilar
:
Duality in a Problem of Static Partial Hedging under Convex Constraints. SIAM J. Financial Math. 6(1): 1152-1170 (2015) - Ruodu Wang, Valeria Bignozzi, Andreas Tsanakas:
How Superadditive Can a Risk Measure Be? SIAM J. Financial Math. 6(1): 776-803 (2015)