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Publication search results
found 558 matches
- 2024
- Erhan Bayraktar, Qi Feng, Zhaoyu Zhang:
Deep Signature Algorithm for Multidimensional Path-Dependent Options. SIAM J. Financial Math. 15(1): 194-214 (2024) - Shreya Bose, Ibrahim Ekren:
Multidimensional Kyle-Back Model with a Risk Averse Informed Trader. SIAM J. Financial Math. 15(1): 93-120 (2024) - Damiano Brigo, Federico Graceffa, Alexander Kalinin:
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. SIAM J. Financial Math. 15(1): 215-254 (2024) - Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou:
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional. SIAM J. Financial Math. 15(1): 15- (2024) - Jin Hyuk Choi, Jetlir Duraj, Kim Weston:
A Multi-agent Targeted Trading Equilibrium with Transaction Costs. SIAM J. Financial Math. 15(1): 161-193 (2024) - Chao Deng, Xizhi Su, Chao Zhou:
Relative Wealth Concerns with Partial Information and Heterogeneous Priors. SIAM J. Financial Math. 15(2): 360-398 (2024) - Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin:
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? SIAM J. Financial Math. 15(1): 1- (2024) - Ryan Donnelly, Sebastian Jaimungal:
Exploratory Control with Tsallis Entropy for Latent Factor Models. SIAM J. Financial Math. 15(1): 26-53 (2024) - Yerkin Kitapbayev, Scott Robertson:
Mortgage Contracts and Underwater Default. SIAM J. Financial Math. 15(2): 315-359 (2024) - Xun Li, Xiang Yu, Qinyi Zhang:
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. SIAM J. Financial Math. 15(1): 121-160 (2024) - Cosimo Munari, Justin Plückebaum, Stefan Weber:
Robust Portfolio Selection under Recovery Average Value at Risk. SIAM J. Financial Math. 15(1): 295-314 (2024) - Philip Protter, Qianfan Wu, Shihao Yang:
Order Book Queue Hawkes Markovian Modeling. SIAM J. Financial Math. 15(1): 1-25 (2024) - Qinyu Wu, Tiantian Mao, Taizhong Hu:
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model. SIAM J. Financial Math. 15(1): 255-294 (2024) - Jianming Xia:
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures. SIAM J. Financial Math. 15(1): 54-92 (2024) - 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)
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