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ORCIDSIAM Journal on Financial Mathematics, Volume 11
Volume 11, Number 1, 2020
- Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang
:
Inventory Management for High-Frequency Trading with Imperfect Competition. 1-26 - Anna Aksamit, Zhaoxu Hou, Jan Oblój:
Robust Framework for Quantifying the Value of Information in Pricing and Hedging. 27-59 - Hamed Amini, Damir Filipovic, Andreea Minca:
Systemic Risk in Networks with a Central Node. 60-98 - Stéphane Crépey, Wissal Sabbagh, Shiqi Song:
When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments. 99-130 - Michal Barski, Jerzy Zabczyk:
On CIR Equations with General Factors. 131-147 - Dorje C. Brody, Lane P. Hughston, Bernhard Meister:
Theory of Cryptocurrency Interest Rates. 148-168 - Tiantian Mao, Ruodu Wang:
Risk Aversion in Regulatory Capital Principles. 169-200 - David Farahany, Kenneth R. Jackson, Sebastian Jaimungal:
Mixing LSMC and PDE Methods to Price Bermudan Options. 201-239 - Nicole Bäuerle, Sascha Desmettre:
Portfolio Optimization in Fractional and Rough Heston Models. 240-273 - Josselin Garnier, Knut Sølna:
Optimal Hedging Under Fast-Varying Stochastic Volatility. 274-325
- Beatrice Acciaio, Julien Guyon:
Short Communication: Inversion of Convex Ordering: Local Volatility Does Not Maximize the Price of VIX Futures.
Volume 11, Number 2, 2020
- Luis Carlos Garcia del Molino, Iacopo Mastromatteo, Michael Benzaquen, Jean-Philippe Bouchaud:
The Multivariate Kyle Model: More is Different. 327-357 - Peter A. Forsyth:
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? 358-384 - Junbeom Lee, Stephan Sturm, Chao Zhou:
A Risk-Sharing Framework of Bilateral Contracts. 385-410 - Chonghu Guan, Xun Li, Wenxin Zhou:
An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon. 411-436 - Blanka Horvath, Antoine Jacquier, Peter Tankov:
Volatility Options in Rough Volatility Models. 437-469 - Jasdeep Kalsi, Terry J. Lyons, Imanol Pérez Arribas:
Optimal Execution with Rough Path Signatures. 470-493 - Sigrid Källblad:
Black's Inverse Investment Problem and Forward Criteria with Consumption. 494-525 - Paolo Bartesaghi, Michele Benzi, Gian Paolo Clemente, Rosanna Grassi, Ernesto Estrada:
Risk-Dependent Centrality in Economic and Financial Networks. 526-565 - Christian P. Fries, Lorenzo Torricelli:
An Analytical Valuation Framework for Financial Assets with Trading Suspensions. 566-592 - Ka Ho Tsang, Hoi Ying Wong:
Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns. 593-619 - Jocelyne Bion-Nadal, Giulia Di Nunno:
Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds. 620-658
Volume 11, Number 3, 2020
- Jaime A. Londoño:
Duesenberry Equilibrium and Heterogenous Agents. 659-689 - Álvaro Cartea, Sebastian Jaimungal, Tianyi Jia:
Trading Foreign Exchange Triplets. 690-719 - Monique Jeanblanc, Libo Li:
Characteristics and Constructions of Default Times. 720-749 - Karel Janecek, Zheng Li, Mihai Sîrbu:
Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. 750-787 - Claudia Ceci, Katia Colaneri, Rüdiger Frey, Verena Köck:
Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk. 788-814 - Alessandro Calvia, Emanuela Rosazza Gianin:
Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach. 815-848 - Miryana Grigorova, Marie Claire Quenez, Agnès Sulem:
European Options in a Nonlinear Incomplete Market Model with Default. 849-880 - Johannes Ruf, Kangjianan Xie:
The Impact of Proportional Transaction Costs on Systematically Generated Portfolios. 881-896 - Kathrin Glau, Daniel Kressner, Francesco Statti:
Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing. 897-927 - Xi Kleisinger-Yu, Vlatka Komaric, Martin Larsson, Markus Regez:
A Multifactor Polynomial Framework for Long-Term Electricity Forwards with Delivery Period. 928-957
- Yuri F. Saporito:
Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation. - Matthew F. Dixon, Nick Polson:
Short Communication: Deep Fundamental Factor Models.
Volume 11, Number 4, 2020
- Robert Jarrow, Martin Larsson:
Informational Efficiency with Trading Constraints: A Characterization. 959-973 - Henrik T. Dam, Andrea Macrina, David Skovmand, David Sloth:
Rational Models for Inflation-Linked Derivatives. 974-1006 - Vicky Henderson, Kamil Kladívko, Michael Monoyios, Christoph Reisinger:
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point. 1007-1062 - Maryam Vahid Dastgerdi, Ali Foroush Bastani:
Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation. 1063-1097 - Florian Bourgey, Emmanuel Gobet, Clément Rey:
Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model. 1098-1136 - Antoine Jacquier, Lorenzo Torricelli:
Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure. 1137-1167 - Jean-François Bégin, Diego Amaya, Geneviève Gauthier, Marie-Ève Malette:
On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach. 1168-1208
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