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ORCIDSIAM Journal on Financial Mathematics, Volume 9
Volume 9, Number 1, 2018
- Sergei Levendorskii:
Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space. 1-27 - Carsten Chong
, Claudia Klüppelberg:
Contagion in Financial Systems: A Bayesian Network Approach. 28-53 - Minsuk Kwak, Traian A. Pirvu:
Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution. 54-89 - Yannick Armenti, Stéphane Crépey, Samuel Drapeau, Antonis Papapantoleon:
Multivariate Shortfall Risk Allocation and Systemic Risk. 90-126 - Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets. 127-170 - Antoine Jacquier, Martin Keller-Ressel:
Implied Volatility in Strict Local Martingale Models. 171-189 - Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang:
Worst-Case Range Value-at-Risk with Partial Information. 190-218 - Jérôme Detemple, Yerkin Kitapbayev:
American Options with Discontinuous Two-Level Caps. 219-250 - Anastasia Borovykh, Andrea Pascucci, Cornelis W. Oosterlee:
Efficient Computation of Various Valuation Adjustments Under Local Lévy Models. 251-273 - Shumin Chen, Zhongfei Li, Yan Zeng:
Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty. 274-314 - Zongjun Tan, Peter Tankov:
Optimal Trading Policies for Wind Energy Producer. 315-346 - José E. Figueroa-López, Ruoting Gong, Matthew Lorig:
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility. 347-380 - Patrick Beissner, Laurent Denis:
Duality and General Equilibrium Theory Under Knightian Uncertainty. 381-400
Volume 9, Number 2, 2018
- Alex Papanicolaou:
Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. 401-434 - Ankush Agarwal, Ronnie Sircar:
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio. 435-464 - J. Frédéric Bonnans, Axel Kröner:
Variational Analysis for Options with Stochastic Volatility and Multiple Factors. 465-492 - Jérôme Lelong:
Dual Pricing of American Options by Wiener Chaos Expansion. 493-519 - Zhenyu Cui, Justin Lars Kirkby, Duy Nguyen:
A General Valuation Framework for SABR and Stochastic Local Volatility Models. 520-563 - Jean-Pierre Fouque, Ruimeng Hu:
Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment. 564-601 - Erhan Bayraktar, Yan Dolinsky, Jia Guo:
Recombining Tree Approximations for Optimal Stopping for Diffusions. 602-633 - M. Chazal, R. Loeffen, Pierre Patie:
Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations. 634-664 - Denis Belomestny, Stefan Häfner, Mikhail Urusov:
Regression-Based Complexity Reduction of the Nested Monte Carlo Methods. 665-689 - Darinka Dentcheva, Andrzej Ruszczynski:
Time-Coherent Risk Measures for Continuous-Time Markov Chains. 690-715 - Blanka Horvath, Oleg Reichmann:
Dirichlet Forms and Finite Element Methods for the SABR Model. 716-754 - Rohini Kumar, Hussein Nasralah:
Asymptotic Approximation of Optimal Portfolio for Small Time Horizons. 755-774 - Thibaut Mastrolia, Zhenjie Ren:
Principal-Agent Problem with Common Agency Without Communication. 775-799 - Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis:
Liquidity Induced Asset Bubbles via Flows of ELMMs. 800-834 - Stefano De Marco, Peter K. Friz:
Local Volatility, Conditioned Diffusions, and Varadhan's Formula. 835-874
Volume 9, Number 3, 2018
- Antoine Jacquier, Hao Liu:
Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks. 875-906 - Damir Filipovic, Sander Willems:
Exact Smooth Term-Structure Estimation. 907-929 - Maximilian Gaß, Kathrin Glau:
A Flexible Galerkin Scheme for Option Pricing in Lévy Models. 930-965 - Gilles Pagès, Olivier Pironneau, Guillaume Sall:
The Parareal Algorithm for American Options. 966-993 - John Armstrong:
The Markowitz Category. 994-1016 - Hamza Guennoun, Antoine Jacquier, Patrick Roome, Fangwei Shi:
Asymptotic Behavior of the Fractional Heston Model. 1017-1045 - David Landriault, Bin Li, Danping Li, Virginia R. Young:
Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon. 1046-1073 - Alexander Schied, Leo Speiser, Iryna Voloshchenko:
Model-Free Portfolio Theory and Its Functional Master Formula. 1074-1101 - Archil Gulisashvili:
Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models. 1102-1136
Volume 9, Number 4, 2018
- Jimmy Risk, Michael Ludkovski:
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. 1137-1174 - Jean-Pierre Fouque, Ning Ning:
Uncertain Volatility Models with Stochastic Bounds. 1175-1207 - Takaki Hayashi, Yuta Koike:
Wavelet-Based Methods for High-Frequency Lead-Lag Analysis. 1208-1248 - Ganna Marchenko, Patrick Gagliardini, Illia Horenko:
Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series. 1249-1285 - Zachary Feinstein, Weijie Pang, Birgit Rudloff, Eric Schaanning, Stephan Sturm, Mackenzie Wildman:
Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities. 1286-1325
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