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@article{DBLP:journals/siamfm/ArducaM24,
author = {Maria Arduca and
Cosimo Munari},
title = {Risk Measures beyond Frictionless Markets},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {537--570},
year = {2024},
url = {https://doi.org/10.1137/22m1540090},
doi = {10.1137/22M1540090},
timestamp = {Fri, 19 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ArducaM24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarFZ24,
author = {Erhan Bayraktar and
Qi Feng and
Zhaoyu Zhang},
title = {Deep Signature Algorithm for Multidimensional Path-Dependent Options},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {194--214},
year = {2024},
url = {https://doi.org/10.1137/23m1571563},
doi = {10.1137/23M1571563},
timestamp = {Thu, 23 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarFZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiGW24,
author = {Francesca Biagini and
Lukas Gonon and
Niklas Walter},
title = {Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility
Models},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {734--784},
year = {2024},
url = {https://doi.org/10.1137/23m1606769},
doi = {10.1137/23M1606769},
timestamp = {Thu, 19 Sep 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiGW24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BoseE24,
author = {Shreya Bose and
Ibrahim Ekren},
title = {Multidimensional Kyle-Back Model with a Risk Averse Informed Trader},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {93--120},
year = {2024},
url = {https://doi.org/10.1137/21m1457059},
doi = {10.1137/21M1457059},
timestamp = {Thu, 21 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BoseE24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BrigoGK24,
author = {Damiano Brigo and
Federico Graceffa and
Alexander Kalinin},
title = {Mild to Classical Solutions for {XVA} Equations under Stochastic Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {215--254},
year = {2024},
url = {https://doi.org/10.1137/22m1506882},
doi = {10.1137/22M1506882},
timestamp = {Fri, 17 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BrigoGK24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CalafioreFP24,
author = {Giuseppe Carlo Calafiore and
Giulia Fracastoro and
Anton V. Proskurnikov},
title = {Optimal Clearing Payments in a Financial Contagion Model},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {473--502},
year = {2024},
url = {https://doi.org/10.1137/22m150294x},
doi = {10.1137/22M150294X},
timestamp = {Tue, 18 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CalafioreFP24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CaoLYZ24,
author = {Jingyi Cao and
Dongchen Li and
Virginia R. Young and
Bin Zou},
title = {Short Communication: Optimal Insurance to Maximize Exponential Utility
When Premium Is Computed by a Convex Functional},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {15},
year = {2024},
url = {https://doi.org/10.1137/23m1601237},
doi = {10.1137/23M1601237},
timestamp = {Mon, 01 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CaoLYZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CasillasFYZ24,
author = {Jonathan A. Ch{\'{a}}vez Casillas and
Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Chuyi Yu and
Yi Zhang},
title = {Adaptive Optimal Market Making Strategies with Inventory Liquidation
Cost},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {653--699},
year = {2024},
url = {https://doi.org/10.1137/23m1571058},
doi = {10.1137/23M1571058},
timestamp = {Fri, 16 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CasillasFYZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Chau24,
author = {Huy N. Chau},
title = {On Robust Fundamental Theorems of Asset Pricing in Discrete Time},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {571--600},
year = {2024},
url = {https://doi.org/10.1137/23m156032x},
doi = {10.1137/23M156032X},
timestamp = {Fri, 19 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Chau24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChoiDW24,
author = {Jin Hyuk Choi and
Jetlir Duraj and
Kim Weston},
title = {A Multi-agent Targeted Trading Equilibrium with Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {161--193},
year = {2024},
url = {https://doi.org/10.1137/22m1542982},
doi = {10.1137/22M1542982},
timestamp = {Fri, 17 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChoiDW24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChuT24,
author = {Jiarui Chu and
Ludovic Tangpi},
title = {Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient
Langevin Dynamics},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {503--536},
year = {2024},
url = {https://doi.org/10.1137/23m1552747},
doi = {10.1137/23M1552747},
timestamp = {Sun, 14 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChuT24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DengSZ24,
author = {Chao Deng and
Xizhi Su and
Chao Zhou},
title = {Relative Wealth Concerns with Partial Information and Heterogeneous
Priors},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {360--398},
year = {2024},
url = {https://doi.org/10.1137/22m1508625},
doi = {10.1137/22M1508625},
timestamp = {Fri, 17 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DengSZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DoldiFG24,
author = {Alessandro Doldi and
Marco Frittelli and
Emanuela Rosazza Gianin},
title = {Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {1},
year = {2024},
url = {https://doi.org/10.1137/23m1580413},
doi = {10.1137/23M1580413},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DoldiFG24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DonnellyJ24,
author = {Ryan Donnelly and
Sebastian Jaimungal},
title = {Exploratory Control with Tsallis Entropy for Latent Factor Models},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {26--53},
year = {2024},
url = {https://doi.org/10.1137/22m153505x},
doi = {10.1137/22M153505X},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DonnellyJ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaberC24,
author = {Eduardo Abi Jaber and
Nathan De Carvalho},
title = {Reconciling Rough Volatility with Jumps},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {785--823},
year = {2024},
url = {https://doi.org/10.1137/23m1558847},
doi = {10.1137/23M1558847},
timestamp = {Thu, 19 Sep 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaberC24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaimungalS24,
author = {Sebastian Jaimungal and
Xiaofei Shi},
title = {Short Communication: The Price of Information},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {54},
year = {2024},
url = {https://doi.org/10.1137/24m1644791},
doi = {10.1137/24M1644791},
timestamp = {Thu, 22 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaimungalS24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JeonKK24,
author = {Junkee Jeon and
Hyeng Keun Koo and
Minsuk Kwak},
title = {A Two-Person Zero-Sum Game Approach for a Retirement Decision with
Borrowing Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {883--930},
year = {2024},
url = {https://doi.org/10.1137/22m1528124},
doi = {10.1137/22M1528124},
timestamp = {Thu, 03 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JeonKK24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KaakaiMT24,
author = {Sarah Kaaka{\"{\i}} and
Anis Matoussi and
Achraf Tamtalini},
title = {Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {700--733},
year = {2024},
url = {https://doi.org/10.1137/22m1539344},
doi = {10.1137/22M1539344},
timestamp = {Thu, 22 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KaakaiMT24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KitapbayevR24,
author = {Yerkin Kitapbayev and
Scott Robertson},
title = {Mortgage Contracts and Underwater Default},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {315--359},
year = {2024},
url = {https://doi.org/10.1137/22m1498590},
doi = {10.1137/22M1498590},
timestamp = {Fri, 17 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KitapbayevR24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiYZ24,
author = {Xun Li and
Xiang Yu and
Qinyi Zhang},
title = {Optimal Consumption with Loss Aversion and Reference to Past Spending
Maximum},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {121--160},
year = {2024},
url = {https://doi.org/10.1137/22m149212x},
doi = {10.1137/22M149212X},
timestamp = {Mon, 01 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiYZ24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MakinenT24,
author = {Raino A. E. M{\"{a}}kinen and
Jari Toivanen},
title = {Short Communication: Monte Carlo Expected Wealth and Risk Measure
Trade-Off Portfolio Optimization},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {41},
year = {2024},
url = {https://doi.org/10.1137/23m1624439},
doi = {10.1137/23M1624439},
timestamp = {Tue, 18 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MakinenT24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MotteH24,
author = {Edouard Motte and
Donatien Hainaut},
title = {Partial Hedging in Rough Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {601--652},
year = {2024},
url = {https://doi.org/10.1137/23m1583090},
doi = {10.1137/23M1583090},
timestamp = {Sun, 14 Jul 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MotteH24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MunariPW24,
author = {Cosimo Munari and
Justin Pl{\"{u}}ckebaum and
Stefan Weber},
title = {Robust Portfolio Selection under Recovery Average Value at Risk},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {295--314},
year = {2024},
url = {https://doi.org/10.1137/23m1555491},
doi = {10.1137/23M1555491},
timestamp = {Fri, 31 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MunariPW24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NeufeldSY24,
author = {Ariel Neufeld and
Julian Sester and
Daiying Yin},
title = {Detecting Data-Driven Robust Statistical Arbitrage Strategies with
Deep Neural Networks},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {436--472},
year = {2024},
url = {https://doi.org/10.1137/22m1487928},
doi = {10.1137/22M1487928},
timestamp = {Tue, 18 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NeufeldSY24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NunnoG24,
author = {Giulia Di Nunno and
Emanuela Rosazza Gianin},
title = {Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations
with BSDEs and BSVIEs},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {399--435},
year = {2024},
url = {https://doi.org/10.1137/23m1546804},
doi = {10.1137/23M1546804},
timestamp = {Mon, 10 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NunnoG24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NunnoMY24,
author = {Giulia Di Nunno and
Yuliya Mishura and
Anton Yurchenko{-}Tytarenko},
title = {Option Pricing in Sandwiched Volterra Volatility Model},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {3},
pages = {824--882},
year = {2024},
url = {https://doi.org/10.1137/22m1521328},
doi = {10.1137/22M1521328},
timestamp = {Thu, 03 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NunnoMY24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PiteraR24,
author = {Marcin Pitera and
Mikl{\'{o}}s R{\'{a}}sonyi},
title = {Short Communication: Utility-Based Acceptability Indices},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {2},
pages = {28},
year = {2024},
url = {https://doi.org/10.1137/24m1632486},
doi = {10.1137/24M1632486},
timestamp = {Tue, 18 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PiteraR24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ProtterWY24,
author = {Philip Protter and
Qianfan Wu and
Shihao Yang},
title = {Order Book Queue Hawkes Markovian Modeling},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {1--25},
year = {2024},
url = {https://doi.org/10.1137/22m1470815},
doi = {10.1137/22M1470815},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ProtterWY24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WuMH24,
author = {Qinyu Wu and
Tiantian Mao and
Taizhong Hu},
title = {Generalized Optimized Certainty Equivalent with Applications in the
Rank-Dependent Utility Model},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {255--294},
year = {2024},
url = {https://doi.org/10.1137/21m1448276},
doi = {10.1137/21M1448276},
timestamp = {Sun, 05 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/WuMH24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Xia24,
author = {Jianming Xia},
title = {Optimal Investment with Risk Controlled by Weighted Entropic Risk
Measures},
journal = {{SIAM} J. Financial Math.},
volume = {15},
number = {1},
pages = {54--92},
year = {2024},
url = {https://doi.org/10.1137/22m152894x},
doi = {10.1137/22M152894X},
timestamp = {Mon, 01 Apr 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Xia24.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AichingerD23,
author = {Florian Aichinger and
Sascha Desmettre},
title = {Utility Maximization in Multivariate Volterra Models},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {52--98},
year = {2023},
url = {https://doi.org/10.1137/21m1464543},
doi = {10.1137/21M1464543},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AichingerD23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlvarezNW23,
author = {Guillermo Alonso Alvarez and
Sergey Nadtochiy and
Kevin Webster},
title = {Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple
Clients},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {855--878},
year = {2023},
url = {https://doi.org/10.1137/22m1490156},
doi = {10.1137/22M1490156},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlvarezNW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngerisCEL23,
author = {Guillermo Angeris and
Tarun Chitra and
Alex Evans and
Matthew Lorig},
title = {Short Communication: {A} Primer on Perpetuals},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {17},
year = {2023},
url = {https://doi.org/10.1137/22m1520931},
doi = {10.1137/22M1520931},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngerisCEL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngoshtariBY23,
author = {Bahman Angoshtari and
Erhan Bayraktar and
Virginia R. Young},
title = {Optimal Consumption Under a Habit-Formation Constraint: The Deterministic
Case},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {557--597},
year = {2023},
url = {https://doi.org/10.1137/22m1471560},
doi = {10.1137/22M1471560},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngoshtariBY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AzcueLMY23,
author = {Pablo Azcue and
Xiaoqing Liang and
Nora Muler and
Virginia R. Young},
title = {Optimal Reinsurance to Minimize the Probability of Drawdown under
the Mean-Variance Premium Principle: Asymptotic Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {279--313},
year = {2023},
url = {https://doi.org/10.1137/21m1461666},
doi = {10.1137/21M1461666},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AzcueLMY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciBDR23,
author = {Bastien Baldacci and
Philippe Bergault and
Joffrey Derchu and
Mathieu Rosenbaum},
title = {On Bid and Ask Side-Specific Tick Sizes},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1215--1248},
year = {2023},
url = {https://doi.org/10.1137/21m146065x},
doi = {10.1137/21M146065X},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciBDR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciBP23,
author = {Bastien Baldacci and
Philippe Bergault and
Dylan Possama{\"{\i}}},
title = {A Mean-Field Game of Market-Making against Strategic Traders},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1080--1112},
year = {2023},
url = {https://doi.org/10.1137/22m1486492},
doi = {10.1137/22M1486492},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciBP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BartlW23,
author = {Daniel Bartl and
Johannes Wiesel},
title = {Sensitivity of Multiperiod Optimization Problems with Respect to the
Adapted Wasserstein Distance},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {704--720},
year = {2023},
url = {https://doi.org/10.1137/22m1537746},
doi = {10.1137/22M1537746},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BartlW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerEST23,
author = {Christian Bayer and
Martin Eigel and
Leon Sallandt and
Philipp Trunschke},
title = {Pricing High-Dimensional Bermudan Options with Hierarchical Tensor
Formats},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {383--406},
year = {2023},
url = {https://doi.org/10.1137/21m1402170},
doi = {10.1137/21M1402170},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerEST23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarCN23,
author = {Erhan Bayraktar and
Asaf Cohen and
April Nellis},
title = {A Neural Network Approach to High-Dimensional Optimal Switching Problems
with Jumps in Energy Markets},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1028--1061},
year = {2023},
url = {https://doi.org/10.1137/22m1527246},
doi = {10.1137/22M1527246},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarCN23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarH23,
author = {Erhan Bayraktar and
Bingyan Han},
title = {Short Communication: Existence of Markov Equilibrium Control in Discrete
Time},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {60},
year = {2023},
url = {https://doi.org/10.1137/23m1594121},
doi = {10.1137/23M1594121},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BernisGSS23,
author = {Guillaume Bernis and
Matthieu Garcin and
Simone Scotti and
Carlo Sgarra},
title = {Interest Rates Term Structure Models Driven by Hawkes Processes},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1062--1079},
year = {2023},
url = {https://doi.org/10.1137/22m1502604},
doi = {10.1137/22M1502604},
timestamp = {Wed, 08 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BernisGSS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiMMO23,
author = {Francesca Biagini and
Andrea Mazzon and
Thilo Meyer{-}Brandis and
Katharina Oberpriller},
title = {Liquidity Based Modeling of Asset Price Bubbles via Random Matching},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1304--1342},
year = {2023},
url = {https://doi.org/10.1137/22m1531580},
doi = {10.1137/22M1531580},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiMMO23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BosserhoffS23,
author = {Frank Bosserhoff and
Mitja Stadje},
title = {Robustness of Delta Hedging in a Jump-Diffusion Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {663--703},
year = {2023},
url = {https://doi.org/10.1137/22m149435x},
doi = {10.1137/22M149435X},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BosserhoffS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarmonaL23,
author = {Ren{\'{e}} Carmona and
Laura Leal},
title = {Optimal Execution with Quadratic Variation Inventories},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {751--776},
year = {2023},
url = {https://doi.org/10.1137/21m1416564},
doi = {10.1137/21M1416564},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarmonaL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChakrabortyCY23,
author = {Prakash Chakraborty and
Asaf Cohen and
Virginia R. Young},
title = {Optimal Dividends Under Model Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {497--524},
year = {2023},
url = {https://doi.org/10.1137/21m1447453},
doi = {10.1137/21M1447453},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChakrabortyCY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CoacheJC23,
author = {Anthony Coache and
Sebastian Jaimungal and
{\'{A}}lvaro Cartea},
title = {Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement
Learning},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1249--1289},
year = {2023},
url = {https://doi.org/10.1137/22m1527209},
doi = {10.1137/22M1527209},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CoacheJC23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CuchieroGS23,
author = {Christa Cuchiero and
Guido Gazzani and
Sara Svaluto{-}Ferro},
title = {Signature-Based Models: Theory and Calibration},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {910--957},
year = {2023},
url = {https://doi.org/10.1137/22m1512338},
doi = {10.1137/22M1512338},
timestamp = {Thu, 31 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CuchieroGS23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DolinskyZ23,
author = {Yan Dolinsky and
Or Zuk},
title = {Short Communication: Exponential Utility Maximization in a Discrete
Time Gaussian Framework},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {SC31--SC41},
year = {2023},
url = {https://doi.org/10.1137/23m1576074},
doi = {10.1137/23M1576074},
timestamp = {Sat, 14 Oct 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DolinskyZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DucJ23,
author = {Luu H. Duc and
J{\"{u}}rgen Jost},
title = {How Rough Path Lifts Affect Expected Return and Volatility: {A} Rough
Model under Transaction Cost},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {879--909},
year = {2023},
url = {https://doi.org/10.1137/20m1358670},
doi = {10.1137/20M1358670},
timestamp = {Thu, 31 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DucJ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EchChafiqHL23,
author = {Zineb El Filali Ech{-}Chafiq and
Pierre Henry{-}Labord{\`{e}}re and
J{\'{e}}r{\^{o}}me Lelong},
title = {Pricing Bermudan Options Using Regression Trees/Random Forests},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1113--1139},
year = {2023},
url = {https://doi.org/10.1137/21m1460648},
doi = {10.1137/21M1460648},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/EchChafiqHL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FadinaLW23,
author = {Tolulope Fadina and
Peng Liu and
Ruodu Wang},
title = {One Axiom to Rule Them All: {A} Minimalist Axiomatization of Quantiles},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {644--662},
year = {2023},
url = {https://doi.org/10.1137/22m1531567},
doi = {10.1137/22M1531567},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FadinaLW23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinH23,
author = {Zachary Feinstein and
Thomas R. Hurd},
title = {Contingent Convertible Obligations and Financial Stability},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {158--187},
year = {2023},
url = {https://doi.org/10.1137/22m1498954},
doi = {10.1137/22M1498954},
timestamp = {Sat, 25 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FengZ23,
author = {Qi Feng and
Jianfeng Zhang},
title = {Cubature Method for Stochastic Volterra Integral Equations},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {959--1003},
year = {2023},
url = {https://doi.org/10.1137/22m146889x},
doi = {10.1137/22M146889X},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FengZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Fontana23,
author = {Claudio Fontana},
title = {Short Communication: Caplet Pricing in Affine Models for Alternative
Risk-Free Rates},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {1},
year = {2023},
url = {https://doi.org/10.1137/22m1513691},
doi = {10.1137/22M1513691},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Fontana23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GaoGHZ23,
author = {Chengfan Gao and
Siping Gao and
Ruimeng Hu and
Zimu Zhu},
title = {Convergence of the Backward Deep {BSDE} Method with Applications to
Optimal Stopping Problems},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1290--1303},
year = {2023},
url = {https://doi.org/10.1137/22m1539952},
doi = {10.1137/22M1539952},
timestamp = {Sat, 13 Jan 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GaoGHZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Gassiat23,
author = {Paul Gassiat},
title = {Weak Error Rates of Numerical Schemes for Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {475--496},
year = {2023},
url = {https://doi.org/10.1137/22m1485760},
doi = {10.1137/22M1485760},
timestamp = {Sun, 13 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Gassiat23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GnoattoPR23,
author = {Alessandro Gnoatto and
Athena Picarelli and
Christoph Reisinger},
title = {Deep xVA Solver: {A} Neural Network-Based Counterparty Credit Risk
Management Framework},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {314--352},
year = {2023},
url = {https://doi.org/10.1137/21m1457606},
doi = {10.1137/21M1457606},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GnoattoPR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GomesGR23,
author = {Diogo Gomes and
Julian Gutierrez and
Ricardo Ribeiro},
title = {A Random-Supply Mean Field Game Price Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {188--222},
year = {2023},
url = {https://doi.org/10.1137/21m1443923},
doi = {10.1137/21M1443923},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GomesGR23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuSX23,
author = {Ying Hu and
Xiaomin Shi and
Zuo Quan Xu},
title = {Constrained Monotone Mean-Variance Problem with Random Coefficients},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {838--854},
year = {2023},
url = {https://doi.org/10.1137/22m154418x},
doi = {10.1137/22M154418X},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HuSX23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierO23,
author = {Antoine Jacquier and
Mugad Oumgari},
title = {Deep Curve-Dependent PDEs for Affine Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {353--382},
year = {2023},
url = {https://doi.org/10.1137/19m1267805},
doi = {10.1137/19M1267805},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierO23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KreherM23,
author = {D{\"{o}}rte Kreher and
Cassandra Milbradt},
title = {Jump Diffusion Approximation for the Price Dynamics of a Fully State
Dependent Limit Order Book Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {1--51},
year = {2023},
url = {https://doi.org/10.1137/20m1380922},
doi = {10.1137/20M1380922},
timestamp = {Tue, 14 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/KreherM23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LandriaultLP23,
author = {David Landriault and
Bin Li and
Jos{\'{e}} M. Pedraza},
title = {Optimal Stopping for Exponential L{\'{e}}vy Models with Weighted
Discounting},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {777--811},
year = {2023},
url = {https://doi.org/10.1137/22m1513538},
doi = {10.1137/22M1513538},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LandriaultLP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LilloLMSV23,
author = {Fabrizio Lillo and
Giulia Livieri and
Stefano Marmi and
Anton Solomko and
Sandro Vaienti},
title = {Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {598--643},
year = {2023},
url = {https://doi.org/10.1137/21m1412517},
doi = {10.1137/21M1412517},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LilloLMSV23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Maggis23,
author = {Marco Maggis},
title = {Short Communication: The Birth of (a Robust) Arbitrage Theory in de
Finetti's Early Contributions},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {49},
year = {2023},
url = {https://doi.org/10.1137/23m1604096},
doi = {10.1137/23M1604096},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Maggis23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarisuP23,
author = {Godeliva Petrina Marisu and
Chi Seng Pun},
title = {Bayesian Estimation and Optimization for Learning Sequential Regularized
Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {127--157},
year = {2023},
url = {https://doi.org/10.1137/21m1427176},
doi = {10.1137/21M1427176},
timestamp = {Sat, 25 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/MarisuP23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NingJZB23,
author = {Brian Ning and
Sebastian Jaimungal and
Xiaorong Zhang and
Maxime Bergeron},
title = {Arbitrage-Free Implied Volatility Surface Generation with Variational
Autoencoders},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1004--1027},
year = {2023},
url = {https://doi.org/10.1137/21m1443546},
doi = {10.1137/21M1443546},
timestamp = {Thu, 09 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NingJZB23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/OgetbilH23,
author = {Orcan {\"{O}}getbil and
Bernhard Hientzsch},
title = {Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic
Local Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {452--474},
year = {2023},
url = {https://doi.org/10.1137/21m1390906},
doi = {10.1137/21M1390906},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/OgetbilH23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PengWX23,
author = {Jing Peng and
Pengyu Wei and
Zuo Quan Xu},
title = {Relative Growth Rate Optimization Under Behavioral Criterion},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1140--1174},
year = {2023},
url = {https://doi.org/10.1137/22m1496943},
doi = {10.1137/22M1496943},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PengWX23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PesentiJ23,
author = {Silvana M. Pesenti and
Sebastian Jaimungal},
title = {Portfolio Optimization within a Wasserstein Ball},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {1175--1214},
year = {2023},
url = {https://doi.org/10.1137/22m1496803},
doi = {10.1137/22M1496803},
timestamp = {Sun, 10 Dec 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/PesentiJ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Qi23,
author = {Hou{-}Duo Qi},
title = {Geometric Characterization of Maximum Diversification Return Portfolio
via Rao's Quadratic Entropy},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {525--556},
year = {2023},
url = {https://doi.org/10.1137/22m1492313},
doi = {10.1137/22M1492313},
timestamp = {Sun, 13 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Qi23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RichardTY23,
author = {Alexandre Richard and
Xiaolu Tan and
Fan Yang},
title = {On the Discrete-Time Simulation of the Rough Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {223--249},
year = {2023},
url = {https://doi.org/10.1137/21m1443807},
doi = {10.1137/21M1443807},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RichardTY23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Sabino23,
author = {Piergiacomo Sabino},
title = {Normal Tempered Stable Processes and the Pricing of Energy Derivatives},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {99--126},
year = {2023},
url = {https://doi.org/10.1137/21m1425207},
doi = {10.1137/21M1425207},
timestamp = {Tue, 14 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Sabino23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/StadenFL23,
author = {Pieter M. van Staden and
Peter A. Forsyth and
Yuying Li},
title = {Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {2},
pages = {407--451},
year = {2023},
url = {https://doi.org/10.1137/22m1530070},
doi = {10.1137/22M1530070},
timestamp = {Tue, 24 Oct 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/StadenFL23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Tian23,
author = {Dejian Tian},
title = {Pricing Principle via Tsallis Relative Entropy in Incomplete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {1},
pages = {250--278},
year = {2023},
url = {https://doi.org/10.1137/22m1471614},
doi = {10.1137/22M1471614},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Tian23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/YangZZ23,
author = {Zhou Yang and
Jing Zhang and
Chao Zhou},
title = {Robust Control Problems of BSDEs Coupled with Value Functions},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {721--750},
year = {2023},
url = {https://doi.org/10.1137/22m1511977},
doi = {10.1137/22M1511977},
timestamp = {Sat, 05 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/YangZZ23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhang23,
author = {Jianfeng Zhang},
title = {Short Communication: Is a Sophisticated Agent Always a Wise One?},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {4},
pages = {42},
year = {2023},
url = {https://doi.org/10.1137/23m1569137},
doi = {10.1137/23M1569137},
timestamp = {Wed, 08 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Zhang23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhitlukhin23,
author = {Mikhail Zhitlukhin},
title = {Capital Growth and Survival Strategies in a Market with Endogenous
Prices},
journal = {{SIAM} J. Financial Math.},
volume = {14},
number = {3},
pages = {812--837},
year = {2023},
url = {https://doi.org/10.1137/21m1394370},
doi = {10.1137/21M1394370},
timestamp = {Fri, 18 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Zhitlukhin23.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlbrecherAM22,
author = {Hansj{\"{o}}rg Albrecher and
Pablo Azcue and
Nora Muler},
title = {Optimal Ratcheting of Dividends in a Brownian Risk Model},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {657--701},
year = {2022},
url = {https://doi.org/10.1137/20m1387171},
doi = {10.1137/20M1387171},
timestamp = {Thu, 25 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlbrecherAM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlosGG22,
author = {Elisa Al{\`{o}}s and
David Garc{\'{\i}}a{-}Lorite and
Aitor Muguruza Gonzalez},
title = {On Smile Properties of Volatility Derivatives: Understanding the {VIX}
Skew},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {32--69},
year = {2022},
url = {https://doi.org/10.1137/19m1269981},
doi = {10.1137/19M1269981},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlosGG22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngoshtariBY22,
author = {Bahman Angoshtari and
Erhan Bayraktar and
Virginia R. Young},
title = {Optimal Investment and Consumption under a Habit-Formation Constraint},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {321--352},
year = {2022},
url = {https://doi.org/10.1137/21m1397891},
doi = {10.1137/21M1397891},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngoshtariBY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AnthropelosGZ22,
author = {Michail Anthropelos and
Tianran Geng and
Thaleia Zariphopoulou},
title = {Competition in Fund Management and Forward Relative Performance Criteria},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1271--1301},
year = {2022},
url = {https://doi.org/10.1137/20m1376169},
doi = {10.1137/20M1376169},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AnthropelosGZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AvanesyanS22,
author = {Levon Avanesyan and
Ronnie Sircar},
title = {Power Mixture Forward Performance Processes},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1040--1062},
year = {2022},
url = {https://doi.org/10.1137/20m1385500},
doi = {10.1137/20M1385500},
timestamp = {Mon, 08 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AvanesyanS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AvellanedaHPP22,
author = {Marco Avellaneda and
Brian Healy and
Andrew Papanicolaou and
George Papanicolaou},
title = {Principal Eigenportfolios for {U.S.} Equities},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {702--744},
year = {2022},
url = {https://doi.org/10.1137/20m1383501},
doi = {10.1137/20M1383501},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AvellanedaHPP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BankK22,
author = {Peter Bank and
Laura K{\"{o}}rber},
title = {Merton's Optimal Investment Problem with Jump Signals},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1302--1325},
year = {2022},
url = {https://doi.org/10.1137/21m1450161},
doi = {10.1137/21M1450161},
timestamp = {Thu, 10 Nov 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BankK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerFN22,
author = {Christian Bayer and
Masaaki Fukasawa and
Shonosuke Nakahara},
title = {Short Communication: On the Weak Convergence Rate in the Discretization
of Rough Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {66},
year = {2022},
url = {https://doi.org/10.1137/22m1482871},
doi = {10.1137/22M1482871},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerFN22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerQY22,
author = {Christian Bayer and
Jinniao Qiu and
Yao Yao},
title = {Pricing Options under Rough Volatility with Backward SPDEs},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {179--212},
year = {2022},
url = {https://doi.org/10.1137/20m1357639},
doi = {10.1137/20M1357639},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerQY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarWZ22,
author = {Erhan Bayraktar and
Zhenhua Wang and
Zhou Zhou},
title = {Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional
Diffusions},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {123},
year = {2022},
url = {https://doi.org/10.1137/22m1510005},
doi = {10.1137/22M1510005},
timestamp = {Thu, 15 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarWZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelakCMS22,
author = {Christoph Belak and
An Chen and
Carla Mereu and
Robert Stelzer},
title = {Optimal Investment with Time-Varying Stochastic Endowments},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {969--1003},
year = {2022},
url = {https://doi.org/10.1137/21m1453402},
doi = {10.1137/21M1453402},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelakCMS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelliniP22,
author = {Fabio Bellini and
Ilaria Peri},
title = {Short Communication: An Axiomatization of {\textdollar}{\textbackslash}Lambda{\textdollar}-Quantiles},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {26},
year = {2022},
url = {https://doi.org/10.1137/21m1444278},
doi = {10.1137/21M1444278},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelliniP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BergaultDG22,
author = {Philippe Bergault and
Fay{\c{c}}al Drissi and
Olivier Gu{\'{e}}ant},
title = {Multi-asset Optimal Execution and Statistical Arbitrage Strategies
under Ornstein-Uhlenbeck Dynamics},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {353--390},
year = {2022},
url = {https://doi.org/10.1137/21m1407756},
doi = {10.1137/21M1407756},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BergaultDG22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiGZ22,
author = {Sara Biagini and
Fausto Gozzi and
Margherita Zanella},
title = {Robust Portfolio Choice with Sticky Wages},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1004--1039},
year = {2022},
url = {https://doi.org/10.1137/21m1429722},
doi = {10.1137/21M1429722},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiGZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BlanchardC22,
author = {Romain Blanchard and
Laurence Carassus},
title = {Short Communication: Super-Replication Prices with Multiple Priors
in Discrete Time},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {53},
year = {2022},
url = {https://doi.org/10.1137/22m1470013},
doi = {10.1137/22M1470013},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BlanchardC22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CampbellW22,
author = {Steven Campbell and
Ting{-}Kam Leonard Wong},
title = {Functional Portfolio Optimization in Stochastic Portfolio Theory},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {576--618},
year = {2022},
url = {https://doi.org/10.1137/21m1417715},
doi = {10.1137/21M1417715},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CampbellW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarassusOW22,
author = {Laurence Carassus and
Jan Obl{\'{o}}j and
Johannes Wiesel},
title = {Erratum: The Robust Superreplication Problem: {A} Dynamic Approach},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {653--655},
year = {2022},
url = {https://doi.org/10.1137/21m1447040},
doi = {10.1137/21M1447040},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarassusOW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaAS22,
author = {{\'{A}}lvaro Cartea and
Imanol P{\'{e}}rez Arribas and
Leandro S{\'{a}}nchez{-}Betancourt},
title = {Double-Execution Strategies Using Path Signatures},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1379--1417},
year = {2022},
url = {https://doi.org/10.1137/21m1456467},
doi = {10.1137/21M1456467},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaAS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaFVS22,
author = {{\'{A}}lvaro Cartea and
Maria Flora and
Tiziano Vargiolu and
Georgi Slavov},
title = {Optimal Cross-Border Electricity Trading},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {262--294},
year = {2022},
url = {https://doi.org/10.1137/21m1398537},
doi = {10.1137/21M1398537},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaFVS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChevalierPZ22,
author = {Etienne Chevalier and
Sergio Pulido and
Elizabeth Z{\'{u}}niga},
title = {American Options in the Volterra Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {426--458},
year = {2022},
url = {https://doi.org/10.1137/21m140674x},
doi = {10.1137/21M140674X},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChevalierPZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChoiW22,
author = {Jin Hyuk Choi and
Kim Weston},
title = {Endogenous Noise Trackers in a Radner Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1326--1343},
year = {2022},
url = {https://doi.org/10.1137/22m1483384},
doi = {10.1137/22M1483384},
timestamp = {Sun, 13 Nov 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChoiW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CoculescuD22,
author = {Delia Coculescu and
Aditi Dandapani},
title = {Insiders and Their Free Lunches: The Role of Short Positions},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {877--902},
year = {2022},
url = {https://doi.org/10.1137/20m1375826},
doi = {10.1137/20M1375826},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CoculescuD22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DeteringMPR22,
author = {Nils Detering and
Thilo Meyer{-}Brandis and
Konstantinos Panagiotou and
Daniel Ritter},
title = {Suffocating Fire Sales},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {70--108},
year = {2022},
url = {https://doi.org/10.1137/20m1379800},
doi = {10.1137/20M1379800},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DeteringMPR22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DolinskyM22,
author = {Yan Dolinsky and
Shir Moshe},
title = {Short Communication: Utility Indifference Pricing with High Risk Aversion
and Small Linear Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {12},
year = {2022},
url = {https://doi.org/10.1137/21m1456431},
doi = {10.1137/21M1456431},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DolinskyM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ElizaldeE22,
author = {Mauricio Elizalde and
Carlos Escudero},
title = {Short Communication: Chances for the Honest in Honest versus Insider
Trading},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {39},
year = {2022},
url = {https://doi.org/10.1137/21m1439547},
doi = {10.1137/21M1439547},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ElizaldeE22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Feinstein22,
author = {Zachary Feinstein},
title = {Short Communication: Clearing Prices under Margin Calls and the Short
Squeeze},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {113},
year = {2022},
url = {https://doi.org/10.1137/22m147877x},
doi = {10.1137/22M147877X},
timestamp = {Sun, 13 Nov 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Feinstein22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueHS22,
author = {Jean{-}Pierre Fouque and
Ruimeng Hu and
Ronnie Sircar},
title = {Sub- and Supersolution Approach to Accuracy Analysis of Portfolio
Optimization Asymptotics in Multiscale Stochastic Factor Markets},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {109--128},
year = {2022},
url = {https://doi.org/10.1137/21m1428625},
doi = {10.1137/21M1428625},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueHS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueJS22,
author = {Jean{-}Pierre Fouque and
Sebastian Jaimungal and
Yuri F. Saporito},
title = {Optimal Trading with Signals and Stochastic Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {944--968},
year = {2022},
url = {https://doi.org/10.1137/21m1394473},
doi = {10.1137/21M1394473},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueJS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FujiiT22,
author = {Masaaki Fujii and
Akihiko Takahashi},
title = {Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {459--490},
year = {2022},
url = {https://doi.org/10.1137/21m1441055},
doi = {10.1137/21M1441055},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FujiiT22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GapeevL22,
author = {Pavel V. Gapeev and
Libo Li},
title = {Perpetual American Standard and Lookback Options with Event Risk and
Asymmetric Information},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {773--801},
year = {2022},
url = {https://doi.org/10.1137/21m1396848},
doi = {10.1137/21M1396848},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GapeevL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GoldbergPS22,
author = {Lisa R. Goldberg and
Alex Papanicolaou and
Alexander D. Shkolnik},
title = {The Dispersion Bias},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {521--550},
year = {2022},
url = {https://doi.org/10.1137/21m144058x},
doi = {10.1137/21M144058X},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GoldbergPS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuoLOW22,
author = {Ivan Guo and
Gr{\'{e}}goire Loeper and
Jan Obl{\'{o}}j and
Shiyi Wang},
title = {Joint Modeling and Calibration of {SPX} and {VIX} by Optimal Transport},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {1--31},
year = {2022},
url = {https://doi.org/10.1137/20m1375905},
doi = {10.1137/20M1375905},
timestamp = {Thu, 22 Sep 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuoLOW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GurdoganK22,
author = {Hubeyb Gurdogan and
Alec N. Kercheval},
title = {Multiple Anchor Point Shrinkage for the Sample Covariance Matrix},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1112--1143},
year = {2022},
url = {https://doi.org/10.1137/21m1446411},
doi = {10.1137/21M1446411},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GurdoganK22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Guyon22,
author = {Julien Guyon},
title = {The {VIX} Future in Bergomi Models: Fast Approximation Formulas and
Joint Calibration with S{\&}P 500 Skew},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1418--1485},
year = {2022},
url = {https://doi.org/10.1137/21m1437408},
doi = {10.1137/21M1437408},
timestamp = {Mon, 08 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Guyon22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaimungalPWT22,
author = {Sebastian Jaimungal and
Silvana M. Pesenti and
Ye Sheng Wang and
Hariom Tatsat},
title = {Robust Risk-Aware Reinforcement Learning},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {213--226},
year = {2022},
url = {https://doi.org/10.1137/21m144640x},
doi = {10.1137/21M144640X},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaimungalPWT22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KongQY22,
author = {Linghui Kong and
Cong Qin and
Xingye Yue},
title = {Realization Utility with Path-Dependent Reference Points},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1063--1111},
year = {2022},
url = {https://doi.org/10.1137/21m1411457},
doi = {10.1137/21M1411457},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KongQY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Li22,
author = {Yunzhang Li},
title = {A High-Order Numerical Method for BSPDEs with Applications to Mathematical
Finance},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {147--178},
year = {2022},
url = {https://doi.org/10.1137/20m1383252},
doi = {10.1137/20M1383252},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Li22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiebrichMS22,
author = {Felix{-}Benedikt Liebrich and
Marco Maggis and
Gregor Svindland},
title = {Model Uncertainty: {A} Reverse Approach},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1230--1269},
year = {2022},
url = {https://doi.org/10.1137/21m1425463},
doi = {10.1137/21M1425463},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiebrichMS22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiebrichN22,
author = {Felix{-}Benedikt Liebrich and
Max Nendel},
title = {Separability Versus Robustness of Orlicz Spaces: Financial and Economic
Perspectives},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {1344--1378},
year = {2022},
url = {https://doi.org/10.1137/21m1418794},
doi = {10.1137/21M1418794},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiebrichN22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MartiniM22,
author = {Claude Martini and
Arianna Mingone},
title = {No Arbitrage {SVI}},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {227--261},
year = {2022},
url = {https://doi.org/10.1137/20m1351060},
doi = {10.1137/20M1351060},
timestamp = {Mon, 25 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MartiniM22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MengWZZ22,
author = {Hui Meng and
Pengyu Wei and
Wanlu Zhang and
Sheng Chao Zhuang},
title = {Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and {CARA}
Utility},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {903--943},
year = {2022},
url = {https://doi.org/10.1137/21m1411093},
doi = {10.1137/21M1411093},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MengWZZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NeumanV22,
author = {Eyal Neuman and
Moritz Vo{\ss}},
title = {Optimal Signal-Adaptive Trading with Temporary and Transient Price
Impact},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {551--575},
year = {2022},
url = {https://doi.org/10.1137/20m1375486},
doi = {10.1137/20M1375486},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NeumanV22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NutzZ22,
author = {Marcel Nutz and
Yuchong Zhang},
title = {Reward Design in Risk-Taking Contests},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {129--146},
year = {2022},
url = {https://doi.org/10.1137/21m1397386},
doi = {10.1137/21M1397386},
timestamp = {Tue, 19 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NutzZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ParkW22,
author = {Kyunghyun Park and
Hoi Ying Wong},
title = {Robust Consumption-Investment with Return Ambiguity: {A} Dual Approach
with Volatility Ambiguity},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {802--843},
year = {2022},
url = {https://doi.org/10.1137/21m1440189},
doi = {10.1137/21M1440189},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ParkW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ReisP22,
author = {Gon{\c{c}}alo Dos Reis and
Vadim Platonov},
title = {Forward Utility and Market Adjustments in Relative Investment-Consumption
Games of Many Players},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {844--876},
year = {2022},
url = {https://doi.org/10.1137/20m138421x},
doi = {10.1137/20M138421X},
timestamp = {Mon, 08 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ReisP22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ShenZ22,
author = {Yang Shen and
Bin Zou},
title = {Mean-Variance Portfolio Selection in Contagious Markets},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {391--425},
year = {2022},
url = {https://doi.org/10.1137/20m1320560},
doi = {10.1137/20M1320560},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ShenZ22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ShenZ22a,
author = {Yang Shen and
Bin Zou},
title = {Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio
Selection under Diffusion Models},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {4},
pages = {99},
year = {2022},
url = {https://doi.org/10.1137/22m1487527},
doi = {10.1137/22M1487527},
timestamp = {Sun, 13 Nov 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ShenZ22a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ShreveW22,
author = {Steven E. Shreve and
Jing Wang},
title = {Escrow and Clawback},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1191--1229},
year = {2022},
url = {https://doi.org/10.1137/21m1455619},
doi = {10.1137/21M1455619},
timestamp = {Mon, 10 Jun 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ShreveW22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/TissotDaguette22,
author = {Valentin Tissot{-}Daguette},
title = {Short Communication: Projection of Functionals and Fast Pricing of
Exotic Options},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {74},
year = {2022},
url = {https://doi.org/10.1137/21m1451439},
doi = {10.1137/21M1451439},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/TissotDaguette22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/VellekoopG22,
author = {Michel Vellekoop and
Marcellino Gaudenzi},
title = {Exact Solutions and Approximations for Optimal Investment Strategies
and Indifference Prices},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {491--520},
year = {2022},
url = {https://doi.org/10.1137/21m1393303},
doi = {10.1137/21M1393303},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/VellekoopG22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/VeraguasRT22,
author = {Julio D. Backhoff Veraguas and
A. Max Reppen and
Ludovic Tangpi},
title = {Stochastic Control of Optimized Certainty Equivalents},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {745--772},
year = {2022},
url = {https://doi.org/10.1137/21m1407732},
doi = {10.1137/21M1407732},
timestamp = {Wed, 17 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/VeraguasRT22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Vigna22,
author = {Elena Vigna},
title = {Tail Optimality and Preferences Consistency for Intertemporal Optimization
Problems},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {295--320},
year = {2022},
url = {https://doi.org/10.1137/21m1435422},
doi = {10.1137/21M1435422},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Vigna22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Wang22,
author = {Gu Wang},
title = {Performance Fees with Stochastic Benchmark},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {2},
pages = {619--652},
year = {2022},
url = {https://doi.org/10.1137/21m1401826},
doi = {10.1137/21M1401826},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Wang22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WangXXY22,
author = {Xiangyu Wang and
Jianming Xia and
Zuo Quan Xu and
Zhou Yang},
title = {Short Communication: Minimal Quantile Functions Subject to Stochastic
Dominance Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {87},
year = {2022},
url = {https://doi.org/10.1137/22m1488557},
doi = {10.1137/22M1488557},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/WangXXY22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Yamada22,
author = {Toshihiro Yamada},
title = {Short Communication: {A} Gaussian Kusuoka Approximation without Solving
Random ODEs},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {1},
pages = {1},
year = {2022},
url = {https://doi.org/10.1137/21m1433915},
doi = {10.1137/21M1433915},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Yamada22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZhangL22,
author = {Gongqiu Zhang and
Lingfei Li},
title = {Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth
Coefficients},
journal = {{SIAM} J. Financial Math.},
volume = {13},
number = {3},
pages = {1144--1190},
year = {2022},
url = {https://doi.org/10.1137/21m1440098},
doi = {10.1137/21M1440098},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ZhangL22.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AcharyaBRR21,
author = {Subas Acharya and
Alain Bensoussan and
Dmitrii I. Rachinskii and
Alejandro Rivera},
title = {Real Options Problem with Nonsmooth Obstacle},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1508--1552},
year = {2021},
url = {https://doi.org/10.1137/20M1386815},
doi = {10.1137/20M1386815},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AcharyaBRR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AckermannKU21,
author = {Julia Ackermann and
Thomas Kruse and
Mikhail Urusov},
title = {Optimal Trade Execution in an Order Book Model with Stochastic Liquidity
Parameters},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {788--822},
year = {2021},
url = {https://doi.org/10.1137/20M135409X},
doi = {10.1137/20M135409X},
timestamp = {Sun, 04 Aug 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AckermannKU21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlosRS21,
author = {Elisa Al{\`{o}}s and
Frido Rolloos and
Kenichiro Shiraya},
title = {On the Difference Between the Volatility Swap Strike and the Zero
Vanna Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {690--723},
year = {2021},
url = {https://doi.org/10.1137/20M134722X},
doi = {10.1137/20M134722X},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlosRS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AmraniJM21,
author = {Mehdi El Amrani and
Antoine Jacquier and
Claude Martini},
title = {Short Communication: Dynamics of Symmetric {SSVI} Smiles and Implied
Volatility Bubbles},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/20M136089X},
doi = {10.1137/20M136089X},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AmraniJM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaldacciPR21,
author = {Bastien Baldacci and
Dylan Possama{\"{\i}} and
Mathieu Rosenbaum},
title = {Optimal Make-Take Fees in a Multi Market-Maker Environment},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {446--486},
year = {2021},
url = {https://doi.org/10.1137/19M1277412},
doi = {10.1137/19M1277412},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BaldacciPR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BankD21,
author = {Peter Bank and
Yan Dolinsky},
title = {Short Communication: {A} Note on Utility Indifference Pricing with
Delayed Information},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/20M1379630},
doi = {10.1137/20M1379630},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BankD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerBHPS21,
author = {Christian Bayer and
Denis Belomestny and
Paul Hager and
Paolo Pigato and
John Schoenmakers},
title = {Randomized Optimal Stopping Algorithms and Their Convergence Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1201--1225},
year = {2021},
url = {https://doi.org/10.1137/20M1373876},
doi = {10.1137/20M1373876},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerBHPS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayerHP21,
author = {Christian Bayer and
Fabian A. Harang and
Paolo Pigato},
title = {Log-Modulated Rough Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1257--1284},
year = {2021},
url = {https://doi.org/10.1137/20M135902X},
doi = {10.1137/20M135902X},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayerHP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarCDD21,
author = {Erhan Bayraktar and
Christoph Czichowsky and
Leonid Dolinskyi and
Yan Dolinsky},
title = {Short Communication: {A} Note on Utility Maximization with Proportional
Transaction Costs and Stability of Optimal Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/21M1431382},
doi = {10.1137/21M1431382},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarCDD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelliniKMS21,
author = {Fabio Bellini and
Pablo Koch{-}Medina and
Cosimo Munari and
Gregor Svindland},
title = {Law-Invariant Functionals on General Spaces of Random Variables},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {318--341},
year = {2021},
url = {https://doi.org/10.1137/20M1341258},
doi = {10.1137/20M1341258},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelliniKMS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenezetCR21,
author = {Cyril B{\'{e}}n{\'{e}}zet and
Jean{-}Fran{\c{c}}ois Chassagneux and
Christoph Reisinger},
title = {A Numerical Scheme for the Quantile Hedging Problem},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {110--157},
year = {2021},
url = {https://doi.org/10.1137/19M1267477},
doi = {10.1137/19M1267477},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BenezetCR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthL21,
author = {Fred Espen Benth and
Silvia Lavagnini},
title = {Correlators of Polynomial Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1374--1415},
year = {2021},
url = {https://doi.org/10.1137/21M141556X},
doi = {10.1137/21M141556X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BenthL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiGO21,
author = {Francesca Biagini and
Alessandro Gnoatto and
Immacolata Oliva},
title = {A Unified Approach to xVA with {CSA} Discounting and Initial Margin},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1013--1053},
year = {2021},
url = {https://doi.org/10.1137/20M1332153},
doi = {10.1137/20M1332153},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiGO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BolkerGH21,
author = {Benjamin M. Bolker and
Matheus R. Grasselli and
Emma Holmes},
title = {Short Communication: Sensitivity Analysis of an Integrated Climate-Economic
Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/21M1404120},
doi = {10.1137/21M1404120},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BolkerGH21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BurzoniFZ21,
author = {Matteo Burzoni and
Marco Frittelli and
Federico Zorzi},
title = {Short Communication: Robust Market-Adjusted Systemic Risk Measures},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
year = {2021},
url = {https://doi.org/10.1137/21M1401723},
doi = {10.1137/21M1401723},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BurzoniFZ21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CaiAP21,
author = {Cheng Cai and
Tiziano De Angelis and
Jan Palczewski},
title = {Optimal Hedging of a Perpetual American Put with a Single Trade},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {823--866},
year = {2021},
url = {https://doi.org/10.1137/20M1325265},
doi = {10.1137/20M1325265},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CaiAP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrLL21,
author = {Peter Carr and
Roger Lee and
Matthew Lorig},
title = {Pricing Variance Swaps on Time-Changed Markov Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {672--689},
year = {2021},
url = {https://doi.org/10.1137/20M1344597},
doi = {10.1137/20M1344597},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrLL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaS21,
author = {{\'{A}}lvaro Cartea and
Leandro S{\'{a}}nchez{-}Betancourt},
title = {The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign
Exchange Markets},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {254--294},
year = {2021},
url = {https://doi.org/10.1137/19M1258888},
doi = {10.1137/19M1258888},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChataignerCCDG21,
author = {Marc Chataigner and
Areski Cousin and
St{\'{e}}phane Cr{\'{e}}pey and
Matthew F. Dixon and
Djibril Gueye},
title = {Short Communication: Beyond Surrogate Modeling: Learning the Local
Volatility via Shape Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
year = {2021},
url = {https://doi.org/10.1137/20M1381538},
doi = {10.1137/20M1381538},
timestamp = {Wed, 15 Dec 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChataignerCCDG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenL21,
author = {Xinfu Chen and
Jin Liang},
title = {A Free Boundary Problem for Corporate Bond Pricing and Credit Rating
Under Different Upgrade and Downgrade Thresholds},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {941--966},
year = {2021},
url = {https://doi.org/10.1137/20M1343592},
doi = {10.1137/20M1343592},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChenL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenL21a,
author = {Tao Chen and
Michael Ludkovski},
title = {A Machine Learning Approach to Adaptive Robust Utility Maximization
and Hedging},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1226--1256},
year = {2021},
url = {https://doi.org/10.1137/20M1336023},
doi = {10.1137/20M1336023},
timestamp = {Tue, 02 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChenL21a.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CiprianoMP21,
author = {Fernanda Cipriano and
Nuno F. M. Martins and
Diogo Pereira},
title = {Optimal Portfolio for the {\(\alpha\)}-Hypergeometric Stochastic Volatility
Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {226--253},
year = {2021},
url = {https://doi.org/10.1137/19M1299165},
doi = {10.1137/19M1299165},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CiprianoMP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CohenY21,
author = {Asaf Cohen and
Virginia R. Young},
title = {Optimal Dividend Problem: Asymptotic Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {29--46},
year = {2021},
url = {https://doi.org/10.1137/20M1354738},
doi = {10.1137/20M1354738},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CohenY21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContM21,
author = {Rama Cont and
Marvin S. M{\"{u}}ller},
title = {A Stochastic Partial Differential Equation Model for Limit Order Book
Dynamics},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {744--787},
year = {2021},
url = {https://doi.org/10.1137/19M1254489},
doi = {10.1137/19M1254489},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Cotton21,
author = {Peter Cotton},
title = {Inferring Relative Ability from Winning Probability in Multientrant
Contests},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {295--317},
year = {2021},
url = {https://doi.org/10.1137/19M1276261},
doi = {10.1137/19M1276261},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Cotton21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DoldiF21,
author = {Alessandro Doldi and
Marco Frittelli},
title = {Conditional Systemic Risk Measures},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1459--1507},
year = {2021},
url = {https://doi.org/10.1137/20M1370616},
doi = {10.1137/20M1370616},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DoldiF21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EcksteinGLO21,
author = {Stephan Eckstein and
Gaoyue Guo and
Tongseok Lim and
Jan Obl{\'{o}}j},
title = {Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {158--188},
year = {2021},
url = {https://doi.org/10.1137/19M1286256},
doi = {10.1137/19M1286256},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/EcksteinGLO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ElliottMW21,
author = {Robert J. Elliott and
Dilip B. Madan and
King Wang},
title = {Filtering Response Directions},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1285--1306},
year = {2021},
url = {https://doi.org/10.1137/20M1339830},
doi = {10.1137/20M1339830},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ElliottMW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinS21,
author = {Zachary Feinstein and
Andreas S{\o}jmark},
title = {Short Communication: Dynamic Default Contagion in Heterogeneous Interbank
Systems},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/20M1376765},
doi = {10.1137/20M1376765},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FontanelaJO21,
author = {Filipe Fontanela and
Antoine Jacquier and
Mugad Oumgari},
title = {Short Communication: {A} Quantum Algorithm for Linear PDEs Arising
in Finance},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
year = {2021},
url = {https://doi.org/10.1137/21M1397878},
doi = {10.1137/21M1397878},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FontanelaJO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FoxO21,
author = {Jamie Fox and
Giray {\"{O}}kten},
title = {Brownian Path Generation and Polynomial Chaos},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {724--743},
year = {2021},
url = {https://doi.org/10.1137/20M1343154},
doi = {10.1137/20M1343154},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FoxO21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FuhK21,
author = {Cheng{-}Der Fuh and
Chu{-}Lan Michael Kao},
title = {Credit Risk Propagation in Structural-Form Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1340--1373},
year = {2021},
url = {https://doi.org/10.1137/20M135340X},
doi = {10.1137/20M135340X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FuhK21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GnoattoS21,
author = {Alessandro Gnoatto and
Nicole Seiffert},
title = {Cross Currency Valuation and Hedging in the Multiple Curve Framework},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {967--1012},
year = {2021},
url = {https://doi.org/10.1137/20M1324375},
doi = {10.1137/20M1324375},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GnoattoS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuasoniHK21,
author = {Paolo Guasoni and
Yu{-}Jui Huang and
Saeed Khalili},
title = {Short Communication: American Student Loans: Repayment and Valuation},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
year = {2021},
url = {https://doi.org/10.1137/21M1392267},
doi = {10.1137/21M1392267},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuasoniHK21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HanW21,
author = {Bingyan Han and
Hoi Ying Wong},
title = {Time-Inconsistency with Rough Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1553--1595},
year = {2021},
url = {https://doi.org/10.1137/20M136654X},
doi = {10.1137/20M136654X},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HanW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/IshiiR21,
author = {Hitoshi Ishii and
Alexandre F. Roch},
title = {Existence and Uniqueness of Viscosity Solutions of an Integro-differential
Equation Arising in Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {604--640},
year = {2021},
url = {https://doi.org/10.1137/20M1341441},
doi = {10.1137/20M1341441},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/IshiiR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaberMP21,
author = {Eduardo Abi Jaber and
Enzo Miller and
Huy{\^{e}}n Pham},
title = {Markowitz Portfolio Selection for Multivariate Affine and Quadratic
Volterra Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {369--409},
year = {2021},
url = {https://doi.org/10.1137/20M1347449},
doi = {10.1137/20M1347449},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaberMP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Jusselin21,
author = {Paul Jusselin},
title = {Optimal Market Making with Persistent Order Flow},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1150--1200},
year = {2021},
url = {https://doi.org/10.1137/20M1376054},
doi = {10.1137/20M1376054},
timestamp = {Tue, 26 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Jusselin21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KarouiM21,
author = {Nicole El Karoui and
Mrad Mohamed},
title = {Recover Dynamic Utility from Observable Process: Application to the
Economic Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {189--225},
year = {2021},
url = {https://doi.org/10.1137/18M1235843},
doi = {10.1137/18M1235843},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KarouiM21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LessyDDD21,
author = {Djaffar Lessy and
Nahla Dhib and
Francine Diener and
Marc Diener},
title = {May Microcredit Lead to Inclusion?},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {898--911},
year = {2021},
url = {https://doi.org/10.1137/20M1342811},
doi = {10.1137/20M1342811},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LessyDDD21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiLL21,
author = {Juan Li and
Wenqiang Li and
Gechun Liang},
title = {A Game Theoretical Approach to Homothetic Robust Forward Investment
Performance Processes in Stochastic Factor Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {867--897},
year = {2021},
url = {https://doi.org/10.1137/20M1334280},
doi = {10.1137/20M1334280},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LiLL21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LinS21,
author = {Minglian Lin and
Indranil Sengupta},
title = {Analysis of Optimal Portfolio on Finite and Small-Time Horizons for
a Stochastic Volatility Market Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1596--1624},
year = {2021},
url = {https://doi.org/10.1137/21M1412281},
doi = {10.1137/21M1412281},
timestamp = {Sat, 30 Mar 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LinS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LopezPY21,
author = {Dante Mata L{\'{o}}pez and
Jos{\'{e}}{-}Luis P{\'{e}}rez and
Kazutoshi Yamazaki},
title = {Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal
Capital Structure: Continuous- and Periodic-Observation Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1112--1149},
year = {2021},
url = {https://doi.org/10.1137/20M1362127},
doi = {10.1137/20M1362127},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LopezPY21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LototskyP21,
author = {Sergey V. Lototsky and
Austin Pollok},
title = {Kelly Criterion: From a Simple Random Walk to L{\'{e}}vy Processes},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {342--368},
year = {2021},
url = {https://doi.org/10.1137/20M1330488},
doi = {10.1137/20M1330488},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LototskyP21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MalhamSW21,
author = {Simon J. A. Malham and
Jiaqi Shen and
Anke Wiese},
title = {Series Expansions and Direct Inversion for the Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {487--549},
year = {2021},
url = {https://doi.org/10.1137/19M126791X},
doi = {10.1137/19M126791X},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MalhamSW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Marco21,
author = {Stefano De Marco},
title = {On the Harmonic Mean Representation of the Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {551--565},
year = {2021},
url = {https://doi.org/10.1137/20M1352120},
doi = {10.1137/20M1352120},
timestamp = {Mon, 19 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Marco21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MercuriPR21,
author = {Lorenzo Mercuri and
Andrea Perchiazzo and
Edit Rroji},
title = {Finite Mixture Approximation of CARMA(p, q) Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1416--1458},
year = {2021},
url = {https://doi.org/10.1137/20M1363248},
doi = {10.1137/20M1363248},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MercuriPR21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Mostovyi21,
author = {Oleksii Mostovyi},
title = {Stability of the Indirect Utility Process},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {641--671},
year = {2021},
url = {https://doi.org/10.1137/19M1260359},
doi = {10.1137/19M1260359},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Mostovyi21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NeufeldS21,
author = {Ariel Neufeld and
Julian Sester},
title = {Model-Free Price Bounds Under Dynamic Option Trading},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {4},
pages = {1307--1339},
year = {2021},
url = {https://doi.org/10.1137/21M1390013},
doi = {10.1137/21M1390013},
timestamp = {Fri, 21 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NeufeldS21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NingW21,
author = {Ning Ning and
Jing Wu},
title = {Well-Posedness and Stability Analysis of Two Classes of Generalized
Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {79--109},
year = {2021},
url = {https://doi.org/10.1137/20M1336199},
doi = {10.1137/20M1336199},
timestamp = {Mon, 25 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NingW21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Pun21,
author = {Chi Seng Pun},
title = {A Sparse Learning Approach to Relative-Volatility-Managed Portfolio
Selection},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {410--445},
year = {2021},
url = {https://doi.org/10.1137/19M1291674},
doi = {10.1137/19M1291674},
timestamp = {Thu, 29 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Pun21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RedmannBG21,
author = {Martin Redmann and
Christian Bayer and
Pawan Goyal},
title = {Low-Dimensional Approximations of High-Dimensional Asset Price Models},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {1--28},
year = {2021},
url = {https://doi.org/10.1137/20M1325666},
doi = {10.1137/20M1325666},
timestamp = {Thu, 24 Jun 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RedmannBG21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SaporitoZ21,
author = {Yuri F. Saporito and
Zhaoyu Zhang},
title = {Path-Dependent Deep Galerkin Method: {A} Neural Network Approach to
Solve Path-Dependent Partial Differential Equations},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {912--940},
year = {2021},
url = {https://doi.org/10.1137/20M1329597},
doi = {10.1137/20M1329597},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SaporitoZ21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/StadenDF21,
author = {Pieter M. van Staden and
Duy{-}Minh Dang and
Peter A. Forsyth},
title = {On the Distribution of Terminal Wealth under Dynamic Mean-Variance
Optimal Investment Strategies},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {2},
pages = {566--603},
year = {2021},
url = {https://doi.org/10.1137/20M1338241},
doi = {10.1137/20M1338241},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/StadenDF21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WangX21,
author = {Xiangyu Wang and
Jianming Xia},
title = {Expected Utility Maximization with Stochastic Dominance Constraints
in Complete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {3},
pages = {1054--1111},
year = {2021},
url = {https://doi.org/10.1137/20M1338447},
doi = {10.1137/20M1338447},
timestamp = {Wed, 03 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/WangX21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Zhou21,
author = {Zhou Zhou},
title = {Utility Maximization When Shorting American Options},
journal = {{SIAM} J. Financial Math.},
volume = {12},
number = {1},
pages = {47--78},
year = {2021},
url = {https://doi.org/10.1137/20M1320584},
doi = {10.1137/20M1320584},
timestamp = {Mon, 19 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Zhou21.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AcciaioG20,
author = {Beatrice Acciaio and
Julien Guyon},
title = {Short Communication: Inversion of Convex Ordering: Local Volatility
Does Not Maximize the Price of {VIX} Futures},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
year = {2020},
url = {https://doi.org/10.1137/19M129303X},
doi = {10.1137/19M129303X},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AcciaioG20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AksamitHO20,
author = {Anna Aksamit and
Zhaoxu Hou and
Jan Obl{\'{o}}j},
title = {Robust Framework for Quantifying the Value of Information in Pricing
and Hedging},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {27--59},
year = {2020},
url = {https://doi.org/10.1137/18M1177597},
doi = {10.1137/18M1177597},
timestamp = {Mon, 15 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AksamitHO20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AminiFM20,
author = {Hamed Amini and
Damir Filipovic and
Andreea Minca},
title = {Systemic Risk in Networks with a Central Node},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {60--98},
year = {2020},
url = {https://doi.org/10.1137/18M1184667},
doi = {10.1137/18M1184667},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AminiFM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BarskiZ20,
author = {Michal Barski and
Jerzy Zabczyk},
title = {On {CIR} Equations with General Factors},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {131--147},
year = {2020},
url = {https://doi.org/10.1137/19M1292771},
doi = {10.1137/19M1292771},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BarskiZ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BartesaghiBCGE20,
author = {Paolo Bartesaghi and
Michele Benzi and
Gian Paolo Clemente and
Rosanna Grassi and
Ernesto Estrada},
title = {Risk-Dependent Centrality in Economic and Financial Networks},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {526--565},
year = {2020},
url = {https://doi.org/10.1137/19M1302041},
doi = {10.1137/19M1302041},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BartesaghiBCGE20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BauerleD20,
author = {Nicole B{\"{a}}uerle and
Sascha Desmettre},
title = {Portfolio Optimization in Fractional and Rough Heston Models},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {240--273},
year = {2020},
url = {https://doi.org/10.1137/18M1217243},
doi = {10.1137/18M1217243},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BauerleD20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BeginAGM20,
author = {Jean{-}Fran{\c{c}}ois B{\'{e}}gin and
Diego Amaya and
Genevi{\`{e}}ve Gauthier and
Marie{-}{\`{E}}ve Malette},
title = {On the Estimation of Jump-Diffusion Models Using Intraday Data: {A}
Filtering-Based Approach},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {1168--1208},
year = {2020},
url = {https://doi.org/10.1137/19M1266915},
doi = {10.1137/19M1266915},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BeginAGM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Bion-NadalN20,
author = {Jocelyne Bion{-}Nadal and
Giulia Di Nunno},
title = {Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {620--658},
year = {2020},
url = {https://doi.org/10.1137/18M120436X},
doi = {10.1137/18M120436X},
timestamp = {Wed, 29 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Bion-NadalN20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BourgeyGR20,
author = {Florian Bourgey and
Emmanuel Gobet and
Cl{\'{e}}ment Rey},
title = {Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula
Model},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {1098--1136},
year = {2020},
url = {https://doi.org/10.1137/19M1292084},
doi = {10.1137/19M1292084},
timestamp = {Sun, 12 Feb 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BourgeyGR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BrodyHM20,
author = {Dorje C. Brody and
Lane P. Hughston and
Bernhard Meister},
title = {Theory of Cryptocurrency Interest Rates},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {148--168},
year = {2020},
url = {https://doi.org/10.1137/19M1263042},
doi = {10.1137/19M1263042},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BrodyHM20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CalviaG20,
author = {Alessandro Calvia and
Emanuela Rosazza Gianin},
title = {Risk Measures and Progressive Enlargement of Filtration: {A} {BSDE}
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {815--848},
year = {2020},
url = {https://doi.org/10.1137/19M1259134},
doi = {10.1137/19M1259134},
timestamp = {Wed, 01 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CalviaG20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaJJ20,
author = {{\'{A}}lvaro Cartea and
Sebastian Jaimungal and
Tianyi Jia},
title = {Trading Foreign Exchange Triplets},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {690--719},
year = {2020},
url = {https://doi.org/10.1137/18M1172089},
doi = {10.1137/18M1172089},
timestamp = {Wed, 01 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaJJ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CeciCFK20,
author = {Claudia Ceci and
Katia Colaneri and
R{\"{u}}diger Frey and
Verena K{\"{o}}ck},
title = {Value Adjustments and Dynamic Hedging of Reinsurance Counterparty
Risk},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {788--814},
year = {2020},
url = {https://doi.org/10.1137/19M1283045},
doi = {10.1137/19M1283045},
timestamp = {Thu, 23 Jun 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CeciCFK20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CrepeySS20,
author = {St{\'{e}}phane Cr{\'{e}}pey and
Wissal Sabbagh and
Shiqi Song},
title = {When Capital Is a Funding Source: The Anticipated Backward Stochastic
Differential Equations of X-Value Adjustments},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {99--130},
year = {2020},
url = {https://doi.org/10.1137/19M1242781},
doi = {10.1137/19M1242781},
timestamp = {Tue, 16 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CrepeySS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DamMSS20,
author = {Henrik T. Dam and
Andrea Macrina and
David Skovmand and
David Sloth},
title = {Rational Models for Inflation-Linked Derivatives},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {974--1006},
year = {2020},
url = {https://doi.org/10.1137/18M1235764},
doi = {10.1137/18M1235764},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DamMSS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DastgerdiB20,
author = {Maryam Vahid Dastgerdi and
Ali Foroush Bastani},
title = {Solving Parametric Fractional Differential Equations Arising from
the Rough Heston Model Using Quasi-Linearization and Spectral Collocation},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {1063--1097},
year = {2020},
url = {https://doi.org/10.1137/19M1269324},
doi = {10.1137/19M1269324},
timestamp = {Fri, 08 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DastgerdiB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DixonP20,
author = {Matthew F. Dixon and
Nick Polson},
title = {Short Communication: Deep Fundamental Factor Models},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
year = {2020},
url = {https://doi.org/10.1137/20M1330518},
doi = {10.1137/20M1330518},
timestamp = {Wed, 01 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DixonP20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FarahanyJJ20,
author = {David Farahany and
Kenneth R. Jackson and
Sebastian Jaimungal},
title = {Mixing {LSMC} and {PDE} Methods to Price Bermudan Options},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {201--239},
year = {2020},
url = {https://doi.org/10.1137/19M1249035},
doi = {10.1137/19M1249035},
timestamp = {Fri, 22 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FarahanyJJ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Forsyth20,
author = {Peter A. Forsyth},
title = {Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It
Advantageous to Be Time Consistent?},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {358--384},
year = {2020},
url = {https://doi.org/10.1137/19M124650X},
doi = {10.1137/19M124650X},
timestamp = {Wed, 29 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Forsyth20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FriesT20,
author = {Christian P. Fries and
Lorenzo Torricelli},
title = {An Analytical Valuation Framework for Financial Assets with Trading
Suspensions},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {566--592},
year = {2020},
url = {https://doi.org/10.1137/18M1229821},
doi = {10.1137/18M1229821},
timestamp = {Thu, 06 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FriesT20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GarnierS20,
author = {Josselin Garnier and
Knut S{\o}lna},
title = {Optimal Hedging Under Fast-Varying Stochastic Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {274--325},
year = {2020},
url = {https://doi.org/10.1137/18M1221655},
doi = {10.1137/18M1221655},
timestamp = {Wed, 20 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GarnierS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GlauKS20,
author = {Kathrin Glau and
Daniel Kressner and
Francesco Statti},
title = {Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric
Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {897--927},
year = {2020},
url = {https://doi.org/10.1137/19M1244172},
doi = {10.1137/19M1244172},
timestamp = {Fri, 23 Oct 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GlauKS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GrigorovaQS20,
author = {Miryana Grigorova and
Marie Claire Quenez and
Agn{\`{e}}s Sulem},
title = {European Options in a Nonlinear Incomplete Market Model with Default},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {849--880},
year = {2020},
url = {https://doi.org/10.1137/20M1318018},
doi = {10.1137/20M1318018},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GrigorovaQS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuanLZ20,
author = {Chonghu Guan and
Xun Li and
Wenxin Zhou},
title = {An Optimal Investment Problem with Nonsmooth and Nonconcave Utility
over a Finite Time Horizon},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {411--436},
year = {2020},
url = {https://doi.org/10.1137/19M1273086},
doi = {10.1137/19M1273086},
timestamp = {Sun, 25 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuanLZ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HendersonKMR20,
author = {Vicky Henderson and
Kamil Klad{\'{\i}}vko and
Michael Monoyios and
Christoph Reisinger},
title = {Executive Stock Option Exercise with Full and Partial Information
on a Drift Change Point},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {1007--1062},
year = {2020},
url = {https://doi.org/10.1137/18M1222909},
doi = {10.1137/18M1222909},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HendersonKMR20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HerrmannMSY20,
author = {Sebastian Herrmann and
Johannes Muhle{-}Karbe and
Dapeng Shang and
Chen Yang},
title = {Inventory Management for High-Frequency Trading with Imperfect Competition},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {1--26},
year = {2020},
url = {https://doi.org/10.1137/18M1207776},
doi = {10.1137/18M1207776},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HerrmannMSY20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HorvathJT20,
author = {Blanka Horvath and
Antoine Jacquier and
Peter Tankov},
title = {Volatility Options in Rough Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {437--469},
year = {2020},
url = {https://doi.org/10.1137/18M1169242},
doi = {10.1137/18M1169242},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HorvathJT20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierT20,
author = {Antoine Jacquier and
Lorenzo Torricelli},
title = {Anomalous Diffusions in Option Prices: Connecting Trade Duration and
the Volatility Term Structure},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {1137--1167},
year = {2020},
url = {https://doi.org/10.1137/19M1289832},
doi = {10.1137/19M1289832},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierT20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JanecekLS20,
author = {Karel Janecek and
Zheng Li and
Mihai S{\^{\i}}rbu},
title = {Optimal Investment with High-Watermark Fee in a Multidimensional Jump
Diffusion Model},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {750--787},
year = {2020},
url = {https://doi.org/10.1137/18M1205066},
doi = {10.1137/18M1205066},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JanecekLS20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowL20,
author = {Robert Jarrow and
Martin Larsson},
title = {Informational Efficiency with Trading Constraints: {A} Characterization},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {4},
pages = {959--973},
year = {2020},
url = {https://doi.org/10.1137/20M1318948},
doi = {10.1137/20M1318948},
timestamp = {Sat, 09 Jan 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JeanblancL20,
author = {Monique Jeanblanc and
Libo Li},
title = {Characteristics and Constructions of Default Times},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {720--749},
year = {2020},
url = {https://doi.org/10.1137/19M1274912},
doi = {10.1137/19M1274912},
timestamp = {Fri, 23 Oct 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JeanblancL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kallblad20,
author = {Sigrid K{\"{a}}llblad},
title = {Black's Inverse Investment Problem and Forward Criteria with Consumption},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {494--525},
year = {2020},
url = {https://doi.org/10.1137/17M1143812},
doi = {10.1137/17M1143812},
timestamp = {Wed, 29 Jul 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kallblad20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KalsiLA20,
author = {Jasdeep Kalsi and
Terry J. Lyons and
Imanol P{\'{e}}rez Arribas},
title = {Optimal Execution with Rough Path Signatures},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {470--493},
year = {2020},
url = {https://doi.org/10.1137/19M1259778},
doi = {10.1137/19M1259778},
timestamp = {Mon, 08 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KalsiLA20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kleisinger-YuKL20,
author = {Xi Kleisinger{-}Yu and
Vlatka Komaric and
Martin Larsson and
Markus Regez},
title = {A Multifactor Polynomial Framework for Long-Term Electricity Forwards
with Delivery Period},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {928--957},
year = {2020},
url = {https://doi.org/10.1137/19M1283264},
doi = {10.1137/19M1283264},
timestamp = {Wed, 01 Sep 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kleisinger-YuKL20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LeeSZ20,
author = {Junbeom Lee and
Stephan Sturm and
Chao Zhou},
title = {A Risk-Sharing Framework of Bilateral Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {385--410},
year = {2020},
url = {https://doi.org/10.1137/19M1246365},
doi = {10.1137/19M1246365},
timestamp = {Thu, 06 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LeeSZ20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Londono20,
author = {Jaime A. Londo{\~{n}}o},
title = {Duesenberry Equilibrium and Heterogenous Agents},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {659--689},
year = {2020},
url = {https://doi.org/10.1137/18M1236174},
doi = {10.1137/18M1236174},
timestamp = {Mon, 05 Sep 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Londono20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MaoW20,
author = {Tiantian Mao and
Ruodu Wang},
title = {Risk Aversion in Regulatory Capital Principles},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {1},
pages = {169--200},
year = {2020},
url = {https://doi.org/10.1137/18M121842X},
doi = {10.1137/18M121842X},
timestamp = {Wed, 20 May 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MaoW20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MolinoMBB20,
author = {Luis Carlos Garcia del Molino and
Iacopo Mastromatteo and
Michael Benzaquen and
Jean{-}Philippe Bouchaud},
title = {The Multivariate Kyle Model: More is Different},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {327--357},
year = {2020},
url = {https://doi.org/10.1137/18M1231997},
doi = {10.1137/18M1231997},
timestamp = {Thu, 06 Aug 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MolinoMBB20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RufX20,
author = {Johannes Ruf and
Kangjianan Xie},
title = {The Impact of Proportional Transaction Costs on Systematically Generated
Portfolios},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
pages = {881--896},
year = {2020},
url = {https://doi.org/10.1137/19M1282313},
doi = {10.1137/19M1282313},
timestamp = {Fri, 23 Oct 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RufX20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Saporito20,
author = {Yuri F. Saporito},
title = {Short Communication: Pricing Path-Dependent Derivatives under Multiscale
Stochastic Volatility Models: {A} Malliavin Representation},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {3},
year = {2020},
url = {https://doi.org/10.1137/20M1347334},
doi = {10.1137/20M1347334},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Saporito20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/TsangW20,
author = {Ka Ho Tsang and
Hoi Ying Wong},
title = {Deep-Learning Solution to Portfolio Selection with Serially Dependent
Returns},
journal = {{SIAM} J. Financial Math.},
volume = {11},
number = {2},
pages = {593--619},
year = {2020},
url = {https://doi.org/10.1137/19M1274924},
doi = {10.1137/19M1274924},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/TsangW20.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlfonsiKT19,
author = {Aur{\'{e}}lien Alfonsi and
David Krief and
Peter Tankov},
title = {Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility
Model and Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {4},
pages = {942--976},
year = {2019},
url = {https://doi.org/10.1137/18M1197588},
doi = {10.1137/18M1197588},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlfonsiKT19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AltayCE19,
author = {S{\"{u}}han Altay and
Katia Colaneri and
Zehra Eksi},
title = {Portfolio Optimization for a Large Investor Controlling Market Sentiment
Under Partial Information},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {512--546},
year = {2019},
url = {https://doi.org/10.1137/17M1134317},
doi = {10.1137/17M1134317},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AltayCE19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AngoshtariBY19,
author = {Bahman Angoshtari and
Erhan Bayraktar and
Virginia R. Young},
title = {Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints
on Dividend Rates},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {547--577},
year = {2019},
url = {https://doi.org/10.1137/18M119567X},
doi = {10.1137/18M119567X},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AngoshtariBY19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BankV19,
author = {Peter Bank and
Moritz Vo{\ss}},
title = {Optimal Investment with Transient Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {723--768},
year = {2019},
url = {https://doi.org/10.1137/18M1182267},
doi = {10.1137/18M1182267},
timestamp = {Fri, 27 Dec 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BankV19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarZZ19,
author = {Erhan Bayraktar and
Jingjie Zhang and
Zhou Zhou},
title = {Time Consistent Stopping for the Mean-Standard Deviation Problem -
The Discrete Time Case},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {667--697},
year = {2019},
url = {https://doi.org/10.1137/18M1216432},
doi = {10.1137/18M1216432},
timestamp = {Thu, 15 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarZZ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BensoussanHY19,
author = {Alain Bensoussan and
SingRu Celine Hoe and
Zhongfeng Yan},
title = {A Mean-Variance Approach to Capital Investment Optimization},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {156--180},
year = {2019},
url = {https://doi.org/10.1137/18M1176439},
doi = {10.1137/18M1176439},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BensoussanHY19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiMM19,
author = {Francesca Biagini and
Andrea Mazzon and
Thilo Meyer{-}Brandis},
title = {Financial Asset Bubbles in Banking Networks},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {430--465},
year = {2019},
url = {https://doi.org/10.1137/18M1193189},
doi = {10.1137/18M1193189},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiMM19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BianCX19,
author = {Baojun Bian and
Xinfu Chen and
Zuo Quan Xu},
title = {Utility Maximization Under Trading Constraints with Discontinuous
Utility},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {243--260},
year = {2019},
url = {https://doi.org/10.1137/18M1174659},
doi = {10.1137/18M1174659},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BianCX19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BichuchF19,
author = {Maxim Bichuch and
Zachary Feinstein},
title = {Optimization of Fire Sales and Borrowing in Systemic Risk},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {68--88},
year = {2019},
url = {https://doi.org/10.1137/18M1195425},
doi = {10.1137/18M1195425},
timestamp = {Sun, 12 Nov 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BichuchF19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarassusOW19,
author = {Laurence Carassus and
Jan Obl{\'{o}}j and
Johannes Wiesel},
title = {The Robust Superreplication Problem: {A} Dynamic Approach},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {4},
pages = {907--941},
year = {2019},
url = {https://doi.org/10.1137/18M1235934},
doi = {10.1137/18M1235934},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarassusOW19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaGJ19,
author = {{\'{A}}lvaro Cartea and
Luhui Gan and
Sebastian Jaimungal},
title = {Hedge and Speculate: Replicating Option Payoffs with Limit and Market
Orders},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {790--814},
year = {2019},
url = {https://doi.org/10.1137/18M1192706},
doi = {10.1137/18M1192706},
timestamp = {Thu, 07 Nov 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaGJ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenCSW19,
author = {Kexin Chen and
Mei Choi Chiu and
Yong Hyun Shin and
Hoi Ying Wong},
title = {Stochastic Volatility Asymptotics for Optimal Subsistence Consumption
and Investment with Bankruptcy},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {4},
pages = {977--1005},
year = {2019},
url = {https://doi.org/10.1137/19M124681X},
doi = {10.1137/19M124681X},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChenCSW19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenCW19,
author = {Kexin Chen and
Mei Choi Chiu and
Hoi Ying Wong},
title = {Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching
Cointegration},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {632--665},
year = {2019},
url = {https://doi.org/10.1137/18M1209611},
doi = {10.1137/18M1209611},
timestamp = {Fri, 27 Dec 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChenCW19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CozmaMR19,
author = {Andrei Cozma and
Matthieu Mariapragassam and
Christoph Reisinger},
title = {Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates
Model with a Control Variate Particle Method},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {181--213},
year = {2019},
url = {https://doi.org/10.1137/17M1114570},
doi = {10.1137/17M1114570},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CozmaMR19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DeteringMPR19,
author = {Nils Detering and
Thilo Meyer{-}Brandis and
Konstantinos Panagiotou and
Daniel Ritter},
title = {Managing Default Contagion in Inhomogeneous Financial Networks},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {578--614},
year = {2019},
url = {https://doi.org/10.1137/17M1156046},
doi = {10.1137/17M1156046},
timestamp = {Thu, 08 Aug 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DeteringMPR19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EuchFGR19,
author = {Omar El Euch and
Masaaki Fukasawa and
Jim Gatheral and
Mathieu Rosenbaum},
title = {Short-Term At-the-Money Asymptotics under Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {491--511},
year = {2019},
url = {https://doi.org/10.1137/18M1167565},
doi = {10.1137/18M1167565},
timestamp = {Thu, 08 Aug 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/EuchFGR19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Feinstein19,
author = {Zachary Feinstein},
title = {Obligations with Physical Delivery in a Multilayered Financial Network},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {4},
pages = {877--906},
year = {2019},
url = {https://doi.org/10.1137/18M1194729},
doi = {10.1137/18M1194729},
timestamp = {Wed, 15 Jan 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Feinstein19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuasoniNR19,
author = {Paolo Guasoni and
Zsolt Nika and
Mikl{\'{o}}s R{\'{a}}sonyi},
title = {Trading Fractional Brownian Motion},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {769--789},
year = {2019},
url = {https://doi.org/10.1137/17M113592X},
doi = {10.1137/17M113592X},
timestamp = {Thu, 07 Nov 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GuasoniNR19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuasoniTW19,
author = {Paolo Guasoni and
Antonella Tolomeo and
Gu Wang},
title = {Should Commodity Investors Follow Commodities' Prices?},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {466--490},
year = {2019},
url = {https://doi.org/10.1137/18M1198284},
doi = {10.1137/18M1198284},
timestamp = {Fri, 30 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GuasoniTW19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HamblyK19,
author = {Ben M. Hambly and
Nikolaos Kolliopoulos},
title = {Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic
Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {857--876},
year = {2019},
url = {https://doi.org/10.1137/19M1260980},
doi = {10.1137/19M1260980},
timestamp = {Mon, 22 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HamblyK19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HorstX19,
author = {Ulrich Horst and
Wei Xu},
title = {A Scaling Limit for Limit Order Books Driven by Hawkes Processes},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {350--393},
year = {2019},
url = {https://doi.org/10.1137/17M1148682},
doi = {10.1137/17M1148682},
timestamp = {Wed, 24 Jul 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HorstX19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaberE19,
author = {Eduardo Abi Jaber and
Omar El Euch},
title = {Multifactor Approximation of Rough Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {309--349},
year = {2019},
url = {https://doi.org/10.1137/18M1170236},
doi = {10.1137/18M1170236},
timestamp = {Wed, 24 Jul 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JaberE19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierS19,
author = {Antoine Jacquier and
Fangwei Shi},
title = {The Randomized Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {89--129},
year = {2019},
url = {https://doi.org/10.1137/18M1166420},
doi = {10.1137/18M1166420},
timestamp = {Fri, 31 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierS19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JiaPZ19,
author = {Longjie Jia and
Martijn Pistorius and
Harry Zheng},
title = {Dynamic Portfolio Optimization with Looping Contagion Risk},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {1--36},
year = {2019},
url = {https://doi.org/10.1137/17M1154424},
doi = {10.1137/17M1154424},
timestamp = {Fri, 31 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JiaPZ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KusnetsovV19,
author = {Michael Kusnetsov and
Luitgard Anna Maria Veraart},
title = {Interbank Clearing in Financial Networks with Multiple Maturities},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {37--67},
year = {2019},
url = {https://doi.org/10.1137/18M1180542},
doi = {10.1137/18M1180542},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KusnetsovV19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LambertonT19,
author = {Damien Lamberton and
Giulia Terenzi},
title = {Variational Formulation of American Option Prices in the Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {261--308},
year = {2019},
url = {https://doi.org/10.1137/17M1158872},
doi = {10.1137/17M1158872},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LambertonT19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiLX19,
author = {Bin Li and
Peng Luo and
Dewen Xiong},
title = {Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {394--429},
year = {2019},
url = {https://doi.org/10.1137/18M1178542},
doi = {10.1137/18M1178542},
timestamp = {Wed, 11 Sep 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiLX19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NadtochiyZ19,
author = {Sergey Nadtochiy and
Thaleia Zariphopoulou},
title = {Optimal Contract for a Fund Manager with Capital Injections and Endogenous
Trading Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {698--722},
year = {2019},
url = {https://doi.org/10.1137/18M1172867},
doi = {10.1137/18M1172867},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/NadtochiyZ19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/QinC19,
author = {Cong Qin and
Xinfu Chen},
title = {On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth
Model},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {130--155},
year = {2019},
url = {https://doi.org/10.1137/18M1213531},
doi = {10.1137/18M1213531},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/QinC19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SchatzS19,
author = {Michael Schatz and
Didier Sornette},
title = {A Nonuniformly Integrable Martingale Bubble with a Crash},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {2},
pages = {615--631},
year = {2019},
url = {https://doi.org/10.1137/18M1215190},
doi = {10.1137/18M1215190},
timestamp = {Thu, 08 Aug 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SchatzS19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/StadenDF19,
author = {Pieter M. van Staden and
Duy{-}Minh Dang and
Peter A. Forsyth},
title = {Mean-Quadratic Variation Portfolio Optimization: {A} Desirable Alternative
to Time-Consistent Mean-Variance Optimization?},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {3},
pages = {815--856},
year = {2019},
url = {https://doi.org/10.1137/18M1222570},
doi = {10.1137/18M1222570},
timestamp = {Mon, 04 Nov 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/StadenDF19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZengX19,
author = {Ailing Zeng and
Jungong Xue},
title = {Multilevel Monte Carlo Method for Path-Dependent Barrier Interest
Rate Derivatives},
journal = {{SIAM} J. Financial Math.},
volume = {10},
number = {1},
pages = {214--242},
year = {2019},
url = {https://doi.org/10.1137/17M1149171},
doi = {10.1137/17M1149171},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ZengX19.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AgarwalS18,
author = {Ankush Agarwal and
Ronnie Sircar},
title = {Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe
Ratio},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {435--464},
year = {2018},
url = {https://doi.org/10.1137/16M1100861},
doi = {10.1137/16M1100861},
timestamp = {Fri, 30 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/AgarwalS18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ArmentiCDP18,
author = {Yannick Armenti and
St{\'{e}}phane Cr{\'{e}}pey and
Samuel Drapeau and
Antonis Papapantoleon},
title = {Multivariate Shortfall Risk Allocation and Systemic Risk},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {90--126},
year = {2018},
url = {https://doi.org/10.1137/16M1087357},
doi = {10.1137/16M1087357},
timestamp = {Wed, 23 May 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ArmentiCDP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Armstrong18,
author = {John Armstrong},
title = {The Markowitz Category},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {994--1016},
year = {2018},
url = {https://doi.org/10.1137/17M1155727},
doi = {10.1137/17M1155727},
timestamp = {Wed, 29 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Armstrong18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarDG18,
author = {Erhan Bayraktar and
Yan Dolinsky and
Jia Guo},
title = {Recombining Tree Approximations for Optimal Stopping for Diffusions},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {602--633},
year = {2018},
url = {https://doi.org/10.1137/17M1118865},
doi = {10.1137/17M1118865},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarDG18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BeissnerD18,
author = {Patrick Beissner and
Laurent Denis},
title = {Duality and General Equilibrium Theory Under Knightian Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {381--400},
year = {2018},
url = {https://doi.org/10.1137/17M1120877},
doi = {10.1137/17M1120877},
timestamp = {Wed, 23 May 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BeissnerD18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelomestnyHU18,
author = {Denis Belomestny and
Stefan H{\"{a}}fner and
Mikhail Urusov},
title = {Regression-Based Complexity Reduction of the Nested Monte Carlo Methods},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {665--689},
year = {2018},
url = {https://doi.org/10.1137/17M114577X},
doi = {10.1137/17M114577X},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelomestnyHU18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiMM18,
author = {Francesca Biagini and
Andrea Mazzon and
Thilo Meyer{-}Brandis},
title = {Liquidity Induced Asset Bubbles via Flows of ELMMs},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {800--834},
year = {2018},
url = {https://doi.org/10.1137/16M1107097},
doi = {10.1137/16M1107097},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiMM18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BonnansK18,
author = {J. Fr{\'{e}}d{\'{e}}ric Bonnans and
Axel Kr{\"{o}}ner},
title = {Variational Analysis for Options with Stochastic Volatility and Multiple
Factors},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {465--492},
year = {2018},
url = {https://doi.org/10.1137/17M1130836},
doi = {10.1137/17M1130836},
timestamp = {Mon, 23 Jul 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BonnansK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BorovykhPO18,
author = {Anastasia Borovykh and
Andrea Pascucci and
Cornelis W. Oosterlee},
title = {Efficient Computation of Various Valuation Adjustments Under Local
L{\'{e}}vy Models},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {251--273},
year = {2018},
url = {https://doi.org/10.1137/16M1099005},
doi = {10.1137/16M1099005},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BorovykhPO18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChazalLP18,
author = {M. Chazal and
R. Loeffen and
Pierre Patie},
title = {Option Pricing in a One-Dimensional Affine Term Structure Model via
Spectral Representations},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {634--664},
year = {2018},
url = {https://doi.org/10.1137/16M1098267},
doi = {10.1137/16M1098267},
timestamp = {Thu, 31 Oct 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChazalLP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChenLZ18,
author = {Shumin Chen and
Zhongfei Li and
Yan Zeng},
title = {Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent
Preferences and Ruin Penalty},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {274--314},
year = {2018},
url = {https://doi.org/10.1137/16M1088983},
doi = {10.1137/16M1088983},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChenLZ18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChongK18,
author = {Carsten Chong and
Claudia Kl{\"{u}}ppelberg},
title = {Contagion in Financial Systems: {A} Bayesian Network Approach},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {28--53},
year = {2018},
url = {https://doi.org/10.1137/17M1116659},
doi = {10.1137/17M1116659},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChongK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CozmaMR18,
author = {Andrei Cozma and
Matthieu Mariapragassam and
Christoph Reisinger},
title = {Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility
Model with Stochastic Rates in Foreign Exchange Markets},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {127--170},
year = {2018},
url = {https://doi.org/10.1137/17M1114569},
doi = {10.1137/17M1114569},
timestamp = {Wed, 23 May 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CozmaMR18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CuiKN18,
author = {Zhenyu Cui and
Justin Lars Kirkby and
Duy Nguyen},
title = {A General Valuation Framework for {SABR} and Stochastic Local Volatility
Models},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {520--563},
year = {2018},
url = {https://doi.org/10.1137/16M1106572},
doi = {10.1137/16M1106572},
timestamp = {Thu, 28 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CuiKN18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DentchevaR18,
author = {Darinka Dentcheva and
Andrzej Ruszczynski},
title = {Time-Coherent Risk Measures for Continuous-Time Markov Chains},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {690--715},
year = {2018},
url = {https://doi.org/10.1137/16M1063794},
doi = {10.1137/16M1063794},
timestamp = {Tue, 16 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DentchevaR18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DetempleK18,
author = {J{\'{e}}r{\^{o}}me Detemple and
Yerkin Kitapbayev},
title = {American Options with Discontinuous Two-Level Caps},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {219--250},
year = {2018},
url = {https://doi.org/10.1137/17M1110791},
doi = {10.1137/17M1110791},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DetempleK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinPRSSW18,
author = {Zachary Feinstein and
Weijie Pang and
Birgit Rudloff and
Eric Schaanning and
Stephan Sturm and
Mackenzie Wildman},
title = {Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank
Liabilities},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {4},
pages = {1286--1325},
year = {2018},
url = {https://doi.org/10.1137/18M1171060},
doi = {10.1137/18M1171060},
timestamp = {Fri, 31 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinPRSSW18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Figueroa-LopezG18,
author = {Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Ruoting Gong and
Matthew Lorig},
title = {Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential
L{\'{e}}vy Models with Local Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {347--380},
year = {2018},
url = {https://doi.org/10.1137/17M1111292},
doi = {10.1137/17M1111292},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Figueroa-LopezG18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FilipovicW18,
author = {Damir Filipovic and
Sander Willems},
title = {Exact Smooth Term-Structure Estimation},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {907--929},
year = {2018},
url = {https://doi.org/10.1137/16M1080276},
doi = {10.1137/16M1080276},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FilipovicW18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueH18,
author = {Jean{-}Pierre Fouque and
Ruimeng Hu},
title = {Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic
Environment},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {564--601},
year = {2018},
url = {https://doi.org/10.1137/17M1134068},
doi = {10.1137/17M1134068},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueH18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueN18,
author = {Jean{-}Pierre Fouque and
Ning Ning},
title = {Uncertain Volatility Models with Stochastic Bounds},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {4},
pages = {1175--1207},
year = {2018},
url = {https://doi.org/10.1137/17M1116908},
doi = {10.1137/17M1116908},
timestamp = {Mon, 10 May 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueN18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GassG18,
author = {Maximilian Ga{\ss} and
Kathrin Glau},
title = {A Flexible Galerkin Scheme for Option Pricing in L{\'{e}}vy Models},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {930--965},
year = {2018},
url = {https://doi.org/10.1137/16M1070438},
doi = {10.1137/16M1070438},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GassG18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuennounJRS18,
author = {Hamza Guennoun and
Antoine Jacquier and
Patrick Roome and
Fangwei Shi},
title = {Asymptotic Behavior of the Fractional Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {1017--1045},
year = {2018},
url = {https://doi.org/10.1137/17M1142892},
doi = {10.1137/17M1142892},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GuennounJRS18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Gulisashvili18,
author = {Archil Gulisashvili},
title = {Large Deviation Principle for Volterra Type Fractional Stochastic
Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {1102--1136},
year = {2018},
url = {https://doi.org/10.1137/17M116344X},
doi = {10.1137/17M116344X},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Gulisashvili18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HayashiK18,
author = {Takaki Hayashi and
Yuta Koike},
title = {Wavelet-Based Methods for High-Frequency Lead-Lag Analysis},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {4},
pages = {1208--1248},
year = {2018},
url = {https://doi.org/10.1137/18M1166079},
doi = {10.1137/18M1166079},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HayashiK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HorvathR18,
author = {Blanka Horvath and
Oleg Reichmann},
title = {Dirichlet Forms and Finite Element Methods for the {SABR} Model},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {716--754},
year = {2018},
url = {https://doi.org/10.1137/16M1066117},
doi = {10.1137/16M1066117},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HorvathR18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierK18,
author = {Antoine Jacquier and
Martin Keller{-}Ressel},
title = {Implied Volatility in Strict Local Martingale Models},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {171--189},
year = {2018},
url = {https://doi.org/10.1137/16M1069651},
doi = {10.1137/16M1069651},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierK18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierL18,
author = {Antoine Jacquier and
Hao Liu},
title = {Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {875--906},
year = {2018},
url = {https://doi.org/10.1137/17M1117860},
doi = {10.1137/17M1117860},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KumarN18,
author = {Rohini Kumar and
Hussein Nasralah},
title = {Asymptotic Approximation of Optimal Portfolio for Small Time Horizons},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {755--774},
year = {2018},
url = {https://doi.org/10.1137/17M1111371},
doi = {10.1137/17M1111371},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KumarN18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KwakP18,
author = {Minsuk Kwak and
Traian A. Pirvu},
title = {Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {54--89},
year = {2018},
url = {https://doi.org/10.1137/16M1093550},
doi = {10.1137/16M1093550},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/KwakP18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LandriaultLLY18,
author = {David Landriault and
Bin Li and
Danping Li and
Virginia R. Young},
title = {Equilibrium Strategies for the Mean-Variance Investment Problem over
a Random Horizon},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {1046--1073},
year = {2018},
url = {https://doi.org/10.1137/17M1153479},
doi = {10.1137/17M1153479},
timestamp = {Wed, 11 Sep 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LandriaultLLY18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Lelong18,
author = {J{\'{e}}r{\^{o}}me Lelong},
title = {Dual Pricing of American Options by Wiener Chaos Expansion},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {493--519},
year = {2018},
url = {https://doi.org/10.1137/16M1102161},
doi = {10.1137/16M1102161},
timestamp = {Mon, 23 Jul 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Lelong18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Levendorskii18,
author = {Sergei Levendorskii},
title = {Pricing Arithmetic Asian Options Under L{\'{e}}vy Models by Backward
Induction in the Dual Space},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {1--27},
year = {2018},
url = {https://doi.org/10.1137/16M1108133},
doi = {10.1137/16M1108133},
timestamp = {Wed, 23 May 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Levendorskii18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiSWY18,
author = {Lujun Li and
Hui Shao and
Ruodu Wang and
Jingping Yang},
title = {Worst-Case Range Value-at-Risk with Partial Information},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {190--218},
year = {2018},
url = {https://doi.org/10.1137/17M1126138},
doi = {10.1137/17M1126138},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LiSWY18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarchenkoGH18,
author = {Ganna Marchenko and
Patrick Gagliardini and
Illia Horenko},
title = {Towards a Computationally Tractable Maximum Entropy Principle for
Nonstationary Financial Time Series},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {4},
pages = {1249--1285},
year = {2018},
url = {https://doi.org/10.1137/17M1142600},
doi = {10.1137/17M1142600},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MarchenkoGH18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarcoF18,
author = {Stefano De Marco and
Peter K. Friz},
title = {Local Volatility, Conditioned Diffusions, and Varadhan's Formula},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {835--874},
year = {2018},
url = {https://doi.org/10.1137/16M1092313},
doi = {10.1137/16M1092313},
timestamp = {Mon, 23 Jul 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MarcoF18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MastroliaR18,
author = {Thibaut Mastrolia and
Zhenjie Ren},
title = {Principal-Agent Problem with Common Agency Without Communication},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {775--799},
year = {2018},
url = {https://doi.org/10.1137/17M1133609},
doi = {10.1137/17M1133609},
timestamp = {Mon, 23 Jul 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MastroliaR18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PagesPS18,
author = {Gilles Pag{\`{e}}s and
Olivier Pironneau and
Guillaume Sall},
title = {The Parareal Algorithm for American Options},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {966--993},
year = {2018},
url = {https://doi.org/10.1137/17M1138832},
doi = {10.1137/17M1138832},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PagesPS18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Papanicolaou18,
author = {Alex Papanicolaou},
title = {Extreme-Strike Comparisons and Structural Bounds for {SPX} and {VIX}
Options},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {2},
pages = {401--434},
year = {2018},
url = {https://doi.org/10.1137/141001615},
doi = {10.1137/141001615},
timestamp = {Fri, 01 Jul 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Papanicolaou18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RiskL18,
author = {Jimmy Risk and
Michael Ludkovski},
title = {Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {4},
pages = {1137--1174},
year = {2018},
url = {https://doi.org/10.1137/17M1158380},
doi = {10.1137/17M1158380},
timestamp = {Fri, 31 May 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RiskL18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SchiedSV18,
author = {Alexander Schied and
Leo Speiser and
Iryna Voloshchenko},
title = {Model-Free Portfolio Theory and Its Functional Master Formula},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {3},
pages = {1074--1101},
year = {2018},
url = {https://doi.org/10.1137/16M1079828},
doi = {10.1137/16M1079828},
timestamp = {Thu, 18 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SchiedSV18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/TanT18,
author = {Zongjun Tan and
Peter Tankov},
title = {Optimal Trading Policies for Wind Energy Producer},
journal = {{SIAM} J. Financial Math.},
volume = {9},
number = {1},
pages = {315--346},
year = {2018},
url = {https://doi.org/10.1137/16M1093069},
doi = {10.1137/16M1093069},
timestamp = {Wed, 23 May 2018 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/TanT18.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlosL17,
author = {Elisa Al{\`{o}}s and
Jorge A. Le{\'{o}}n},
title = {On the Curvature of the Smile in Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {373--399},
year = {2017},
url = {https://doi.org/10.1137/16M1086315},
doi = {10.1137/16M1086315},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/AlosL17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ArmentiC17,
author = {Yannick Armenti and
St{\'{e}}phane Cr{\'{e}}pey},
title = {Central Clearing Valuation Adjustment},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {274--313},
year = {2017},
url = {https://doi.org/10.1137/15M1028170},
doi = {10.1137/15M1028170},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ArmentiC17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ArmstrongFLZ17,
author = {John Armstrong and
Martin Forde and
Matthew Lorig and
Hongzhong Zhang},
title = {Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default:
Curvature and the Heat Kernel Expansion},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {82--113},
year = {2017},
url = {https://doi.org/10.1137/140971397},
doi = {10.1137/140971397},
timestamp = {Fri, 09 Apr 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ArmstrongFLZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BielagkLR17,
author = {Jana Bielagk and
Arnaud Lionnet and
Gon{\c{c}}alo Dos Reis},
title = {Equilibrium Pricing Under Relative Performance Concerns},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {435--482},
year = {2017},
url = {https://doi.org/10.1137/16M1082536},
doi = {10.1137/16M1082536},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BielagkLR17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BressanMNP17,
author = {Alberto Bressan and
Antonio Marigonda and
Khai Tien Nguyen and
Michele Palladino},
title = {A Stochastic Model of Optimal Debt Management and Bankruptcy},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {841--873},
year = {2017},
url = {https://doi.org/10.1137/16M1095019},
doi = {10.1137/16M1095019},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BressanMNP17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CampolietiM17,
author = {Giuseppe Campolieti and
Roman N. Makarov},
title = {Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear
Drifts},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {146--170},
year = {2017},
url = {https://doi.org/10.1137/15M1033502},
doi = {10.1137/15M1033502},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CampolietiM17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarmonaMN17,
author = {Ren{\'{e}} Carmona and
Yi Ma and
Sergey Nadtochiy},
title = {Simulation of Implied Volatility Surfaces via Tangent L{\'{e}}vy
Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {171--213},
year = {2017},
url = {https://doi.org/10.1137/15M1015510},
doi = {10.1137/15M1015510},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarmonaMN17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaDJ17,
author = {{\'{A}}lvaro Cartea and
Ryan Donnelly and
Sebastian Jaimungal},
title = {Algorithmic Trading with Model Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {635--671},
year = {2017},
url = {https://doi.org/10.1137/16M106282X},
doi = {10.1137/16M106282X},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaDJ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CheriditoKT17,
author = {Patrick Cheridito and
Michael Kupper and
Ludovic Tangpi},
title = {Duality Formulas for Robust Pricing and Hedging in Discrete Time},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {738--765},
year = {2017},
url = {https://doi.org/10.1137/16M1064088},
doi = {10.1137/16M1064088},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CheriditoKT17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DumitrescuQS17,
author = {Roxana Dumitrescu and
Marie Claire Quenez and
Agn{\`{e}}s Sulem},
title = {Game Options in an Imperfect Market with Default},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {532--559},
year = {2017},
url = {https://doi.org/10.1137/16M1109102},
doi = {10.1137/16M1109102},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DumitrescuQS17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FeinsteinRW17,
author = {Zachary Feinstein and
Birgit Rudloff and
Stefan Weber},
title = {Measures of Systemic Risk},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {672--708},
year = {2017},
url = {https://doi.org/10.1137/16M1066087},
doi = {10.1137/16M1066087},
timestamp = {Fri, 12 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FeinsteinRW17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FordeZ17,
author = {Martin Forde and
Hongzhong Zhang},
title = {Asymptotics for Rough Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {114--145},
year = {2017},
url = {https://doi.org/10.1137/15M1009330},
doi = {10.1137/15M1009330},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FordeZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GarnierS17,
author = {Josselin Garnier and
Knut S{\o}lna},
title = {Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {560--588},
year = {2017},
url = {https://doi.org/10.1137/15M1036749},
doi = {10.1137/15M1036749},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GarnierS17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GassGM17,
author = {Maximilian Ga{\ss} and
Kathrin Glau and
Maximilian Mair},
title = {Magic Points in Finance: Empirical Integration for Parametric Option
Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {766--803},
year = {2017},
url = {https://doi.org/10.1137/16M1101301},
doi = {10.1137/16M1101301},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GassGM17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HamblyK17,
author = {Ben M. Hambly and
Nikolaos Kolliopoulos},
title = {Stochastic Evolution Equations for Large Portfolios of Stochastic
Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {962--1014},
year = {2017},
url = {https://doi.org/10.1137/17M111715X},
doi = {10.1137/17M111715X},
timestamp = {Mon, 22 May 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HamblyK17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HeKZ17,
author = {Xue Dong He and
Roy Kouwenberg and
Xun Yu Zhou},
title = {Rank-Dependent Utility and Risk Taking in Complete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {214--239},
year = {2017},
url = {https://doi.org/10.1137/16M1072516},
doi = {10.1137/16M1072516},
timestamp = {Wed, 25 Sep 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HeKZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HorstK17,
author = {Ulrich Horst and
D{\"{o}}rte Kreher},
title = {A Weak Law of Large Numbers for a Limit Order Book Model with Fully
State Dependent Order Dynamics},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {314--343},
year = {2017},
url = {https://doi.org/10.1137/15M1024226},
doi = {10.1137/15M1024226},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HorstK17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuangR17,
author = {Weibing Huang and
Mathieu Rosenbaum},
title = {Ergodicity and Diffusivity of Markovian Order Book Models: {A} General
Framework},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {874--900},
year = {2017},
url = {https://doi.org/10.1137/16M1064337},
doi = {10.1137/16M1064337},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HuangR17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuangSZ17,
author = {Yao Tung Huang and
Qingshuo Song and
Harry Zheng},
title = {Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap
Pricing with Contagion Risk},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {1--27},
year = {2017},
url = {https://doi.org/10.1137/15M1052329},
doi = {10.1137/15M1052329},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HuangSZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuangZK17,
author = {Yao Tung Huang and
Pingping Zeng and
Yue Kuen Kwok},
title = {Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with
Dynamic Withdrawals},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {804--840},
year = {2017},
url = {https://doi.org/10.1137/16M1089575},
doi = {10.1137/16M1089575},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HuangZK17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiangZ17,
author = {Gechun Liang and
Thaleia Zariphopoulou},
title = {Representation of Homothetic Forward Performance Processes in Stochastic
Factor Models via Ergodic and Infinite Horizon {BSDE}},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {344--372},
year = {2017},
url = {https://doi.org/10.1137/15M1048847},
doi = {10.1137/15M1048847},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiangZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ManiaT17,
author = {Michael Mania and
Revaz Tevzadze},
title = {On Regularity of Primal and Dual Dynamic Value Functions Related to
Investment Problems and Their Representations as Backward Stochastic
{PDE} Solutions},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {483--503},
year = {2017},
url = {https://doi.org/10.1137/16M1060558},
doi = {10.1137/16M1060558},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ManiaT17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarcoHJ17,
author = {Stefano De Marco and
Caroline Hillairet and
Antoine Jacquier},
title = {Shapes of Implied Volatility with Positive Mass at Zero},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {709--737},
year = {2017},
url = {https://doi.org/10.1137/14098065X},
doi = {10.1137/14098065X},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/MarcoHJ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/NicolatoPS17,
author = {Elisa Nicolato and
Camilla Pisani and
David Sloth},
title = {The Impact of Jump Distributions on the Implied Volatility of Variance},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {28--53},
year = {2017},
url = {https://doi.org/10.1137/16M1059072},
doi = {10.1137/16M1059072},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/NicolatoPS17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PierreVW17,
author = {Erwan Pierre and
St{\'{e}}phane Villeneuve and
Xavier Warin},
title = {Numerical Approximation of a Cash-Constrained Firm Value with Investment
Opportunities},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {54--81},
year = {2017},
url = {https://doi.org/10.1137/16M1068323},
doi = {10.1137/16M1068323},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/PierreVW17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RichterT17,
author = {Anja Richter and
Josef Teichmann},
title = {Discrete Time Term Structure Theory and Consistent Recalibration Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {504--531},
year = {2017},
url = {https://doi.org/10.1137/15M1007434},
doi = {10.1137/15M1007434},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/RichterT17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RobertsonX17,
author = {Scott Robertson and
Hao Xing},
title = {Long-Term Optimal Investment in Matrix Valued Factor Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {400--434},
year = {2017},
url = {https://doi.org/10.1137/15M1030625},
doi = {10.1137/15M1030625},
timestamp = {Fri, 30 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/RobertsonX17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SchiedSZ17,
author = {Alexander Schied and
Elias Strehle and
Tao Zhang},
title = {High-Frequency Limit of Nash Equilibria in a Market Impact Game with
Transient Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {589--634},
year = {2017},
url = {https://doi.org/10.1137/16M107030X},
doi = {10.1137/16M107030X},
timestamp = {Tue, 30 Nov 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/SchiedSZ17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Shinozaki17,
author = {Yuji Shinozaki},
title = {Construction of a Third-Order K-Scheme and Its Application to Financial
Models},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {901--932},
year = {2017},
url = {https://doi.org/10.1137/16M1067986},
doi = {10.1137/16M1067986},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Shinozaki17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SirignanoS17,
author = {Justin A. Sirignano and
Konstantinos Spiliopoulos},
title = {Stochastic Gradient Descent in Continuous Time},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {933--961},
year = {2017},
url = {https://doi.org/10.1137/17M1126825},
doi = {10.1137/17M1126825},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/SirignanoS17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SwishchukV17,
author = {Anatoliy Swishchuk and
Nelson Vadori},
title = {A Semi-Markovian Modeling of Limit Order Markets},
journal = {{SIAM} J. Financial Math.},
volume = {8},
number = {1},
pages = {240--273},
year = {2017},
url = {https://doi.org/10.1137/15M1015406},
doi = {10.1137/15M1015406},
timestamp = {Tue, 13 Mar 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/SwishchukV17.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BackhoffH16,
author = {Julio Backhoff and
Ulrich Horst},
title = {Conditional Analysis and a Principal-Agent Problem},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {477--507},
year = {2016},
url = {https://doi.org/10.1137/14100066X},
doi = {10.1137/14100066X},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BackhoffH16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Baltean-Lugojan16,
author = {Radu Baltean{-}Lugojan and
Panos Parpas},
title = {Robust Numerical Calibration for Implied Volatility Expansion Models},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {917--946},
year = {2016},
url = {https://doi.org/10.1137/15M1035215},
doi = {10.1137/15M1035215},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Baltean-Lugojan16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarPY16,
author = {Erhan Bayraktar and
S. David Promislow and
Virginia R. Young},
title = {Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {183--214},
year = {2016},
url = {https://doi.org/10.1137/15M1017855},
doi = {10.1137/15M1017855},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarPY16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BouchardBC16,
author = {Bruno Bouchard and
G{\'{e}}raldine Bouveret and
Jean{-}Fran{\c{c}}ois Chassagneux},
title = {A Backward Dual Representation for the Quantile Hedging of Bermudan
Options},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {215--235},
year = {2016},
url = {https://doi.org/10.1137/15M1029461},
doi = {10.1137/15M1029461},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BouchardBC16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BouchardMS16,
author = {Bruno Bouchard and
Ludovic Moreau and
H. Mete Soner},
title = {Hedging Under an Expected Loss Constraint with Small Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {508--551},
year = {2016},
url = {https://doi.org/10.1137/15M1006787},
doi = {10.1137/15M1006787},
timestamp = {Wed, 14 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BouchardMS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BouselmiL16,
author = {Aych I. Bouselmi and
Damien Lamberton},
title = {The Critical Price of the American Put Near Maturity in the Jump Diffusion
Model},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {236--272},
year = {2016},
url = {https://doi.org/10.1137/140965910},
doi = {10.1137/140965910},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BouselmiL16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Burzoni16,
author = {Matteo Burzoni},
title = {Arbitrage and Hedging in Model-Independent Markets with Frictions},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {812--844},
year = {2016},
url = {https://doi.org/10.1137/15M1053013},
doi = {10.1137/15M1053013},
timestamp = {Mon, 15 Jun 2020 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Burzoni16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CaiFRT16,
author = {Jiatu Cai and
Masaaki Fukasawa and
Mathieu Rosenbaum and
Peter Tankov},
title = {Optimal Discretization of Hedging Strategies with Directional Views},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {34--69},
year = {2016},
url = {https://doi.org/10.1137/151004306},
doi = {10.1137/151004306},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CaiFRT16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CaravennaC16,
author = {Francesco Caravenna and
Jacopo Corbetta},
title = {General Smile Asymptotics with Bounded Maturity},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {720--759},
year = {2016},
url = {https://doi.org/10.1137/15M1031102},
doi = {10.1137/15M1031102},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CaravennaC16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaJ16,
author = {{\'{A}}lvaro Cartea and
Sebastian Jaimungal},
title = {A Closed-Form Execution Strategy to Target Volume Weighted Average
Price},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {760--785},
year = {2016},
url = {https://doi.org/10.1137/16M1058406},
doi = {10.1137/16M1058406},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaJ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaJQ16,
author = {{\'{A}}lvaro Cartea and
Sebastian Jaimungal and
Zhen Qin},
title = {Model Uncertainty in Commodity Markets},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {1--33},
year = {2016},
url = {https://doi.org/10.1137/15M1027243},
doi = {10.1137/15M1027243},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaJQ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChassagneuxJM16,
author = {Jean{-}Fran{\c{c}}ois Chassagneux and
Antoine Jacquier and
Ivo Mihaylov},
title = {An Explicit Euler Scheme with Strong Rate of Convergence for Financial
SDEs with Non-Lipschitz Coefficients},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {993--1021},
year = {2016},
url = {https://doi.org/10.1137/15M1017788},
doi = {10.1137/15M1017788},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/ChassagneuxJM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EkstromV16,
author = {Erik Ekstr{\"{o}}m and
Juozas Vaicenavicius},
title = {Optimal Liquidation of an Asset under Drift Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {357--381},
year = {2016},
url = {https://doi.org/10.1137/15M1033265},
doi = {10.1137/15M1033265},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/EkstromV16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FordeZ16,
author = {Martin Forde and
Hongzhong Zhang},
title = {Small-Time Asymptotics for Basket Options - the Bivariate {SABR} Model
and the Hyperbolic Heat Kernel on {\(\mathbb{H}\)}\({}^{\mbox{3}}\)},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {448--476},
year = {2016},
url = {https://doi.org/10.1137/15M1029795},
doi = {10.1137/15M1029795},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FordeZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GarreauK16,
author = {Pierre Garreau and
Alec N. Kercheval},
title = {A Structural Jump Threshold Framework for Credit Risk},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {642--673},
year = {2016},
url = {https://doi.org/10.1137/140993892},
doi = {10.1137/140993892},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GarreauK16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GranelliV16,
author = {Andrea Granelli and
Almut E. D. Veraart},
title = {Modeling the Variance Risk Premium of Equity Indices: The Role of
Dependence and Contagion},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {382--417},
year = {2016},
url = {https://doi.org/10.1137/15M1011822},
doi = {10.1137/15M1011822},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GranelliV16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuoJMN16,
author = {Gaoyue Guo and
Antoine Jacquier and
Claude Martini and
Leo Neufcourt},
title = {Generalized Arbitrage-Free {SVI} Volatility Surfaces},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {619--641},
year = {2016},
url = {https://doi.org/10.1137/120900320},
doi = {10.1137/120900320},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GuoJMN16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Henry-Labordere16,
author = {Pierre Henry{-}Labord{\`{e}}re and
Christian Litterer and
Zhenjie Ren},
title = {A Dual Algorithm for Stochastic Control Problems: Applications to
Uncertain Volatility Models and {CVA}},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {159--182},
year = {2016},
url = {https://doi.org/10.1137/15M1019945},
doi = {10.1137/15M1019945},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Henry-Labordere16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HobsonZ16,
author = {David Hobson and
Ye{-}Qi Zhu},
title = {Optimal Consumption and Sale Strategies for a Risk Averse Agent},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {674--719},
year = {2016},
url = {https://doi.org/10.1137/140982738},
doi = {10.1137/140982738},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HobsonZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HouX16,
author = {Danlin Hou and
Zuo Quan Xu},
title = {A Robust Markowitz Mean-Variance Portfolio Selection Model with an
Intractable Claim},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {124--151},
year = {2016},
url = {https://doi.org/10.1137/15M1016357},
doi = {10.1137/15M1016357},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HouX16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JonesC16,
author = {Chris Jones and
Xinfu Chen},
title = {Optimal Mortgage Prepayment Under the Cox-Ingersoll-Ross Model},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {552--566},
year = {2016},
url = {https://doi.org/10.1137/16M1066555},
doi = {10.1137/16M1066555},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JonesC16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kirkby16,
author = {Justin Lars Kirkby},
title = {An Efficient Transform Method for Asian Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {845--892},
year = {2016},
url = {https://doi.org/10.1137/16M1057127},
doi = {10.1137/16M1057127},
timestamp = {Thu, 28 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kirkby16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KramkovP16,
author = {Dmitry Kramkov and
Sergio Pulido},
title = {Stability and Analytic Expansions of Local Solutions of Systems of
Quadratic BSDEs with Applications to a Price Impact Model},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {567--587},
year = {2016},
url = {https://doi.org/10.1137/15M1035859},
doi = {10.1137/15M1035859},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KramkovP16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LaachirR16,
author = {Ismail Laachir and
Francesco Russo},
title = {BSDEs, C{\`{a}}dl{\`{a}}g Martingale Problems, and Orthogonalization
under Basis Risk},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {308--356},
year = {2016},
url = {https://doi.org/10.1137/140996239},
doi = {10.1137/140996239},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LaachirR16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Lepinette16,
author = {Emmanuel L{\'{e}}pinette},
title = {Robust No Arbitrage of the Second Kind with a Continuum of Assets
and Proportional Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {104--123},
year = {2016},
url = {https://doi.org/10.1137/14099752X},
doi = {10.1137/14099752X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Lepinette16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LorigLM16,
author = {Matthew Lorig and
Oriol Lozano{-}Carbass{\'{e}} and
Rafael Mendoza{-}Arriaga},
title = {Variance Swaps on Defaultable Assets and Market Implied Time-Changes},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {273--307},
year = {2016},
url = {https://doi.org/10.1137/140955380},
doi = {10.1137/140955380},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LorigLM16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LorigS16,
author = {Matthew J. Lorig and
Ronnie Sircar},
title = {Portfolio Optimization under Local-Stochastic Volatility: Coefficient
Taylor Series Approximations and Implied Sharpe Ratio},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {418--447},
year = {2016},
url = {https://doi.org/10.1137/15M1027073},
doi = {10.1137/15M1027073},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LorigS16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PirjolZ16,
author = {Dan Pirjol and
Lingjiong Zhu},
title = {Short Maturity Asian Options in Local Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {947--992},
year = {2016},
url = {https://doi.org/10.1137/15M1047568},
doi = {10.1137/15M1047568},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PirjolZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PunW16,
author = {Chi Seng Pun and
Hoi Ying Wong},
title = {Resolution of Degeneracy in Merton's Portfolio Problem},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {786--811},
year = {2016},
url = {https://doi.org/10.1137/16M1065021},
doi = {10.1137/16M1065021},
timestamp = {Fri, 27 Dec 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/PunW16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ShkolnikovSZ16,
author = {Mykhaylo Shkolnikov and
Ronnie Sircar and
Thaleia Zariphopoulou},
title = {Asymptotic Analysis of Forward Performance Processes in Incomplete
Markets and Their Ill-Posed {HJB} Equations},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {588--618},
year = {2016},
url = {https://doi.org/10.1137/15M1016059},
doi = {10.1137/15M1016059},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ShkolnikovSZ16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Tehranchi16,
author = {Michael Tehranchi},
title = {Uniform Bounds for Black-Scholes Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {893--916},
year = {2016},
url = {https://doi.org/10.1137/14095248X},
doi = {10.1137/14095248X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Tehranchi16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/VeraguasF16,
author = {Julio D. Backhoff Veraguas and
Joaqu{\'{\i}}n Fontbona},
title = {Robust Utility Maximization without Model Compactness},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {70--103},
year = {2016},
url = {https://doi.org/10.1137/140985718},
doi = {10.1137/140985718},
timestamp = {Sat, 30 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/VeraguasF16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZhangCLG16,
author = {Geliang Zhang and
Hugh L. Christensen and
Guolong Li and
Simon J. Godsill},
title = {A Correction Note for Price Dynamics in a Markovian Limit Order Market},
journal = {{SIAM} J. Financial Math.},
volume = {7},
number = {1},
pages = {152--158},
year = {2016},
url = {https://doi.org/10.1137/16M1057437},
doi = {10.1137/16M1057437},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ZhangCLG16.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AbadI15,
author = {Carlos Abad and
Garud Iyengar},
title = {Portfolio Selection with Multiple Spectral Risk Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {467--486},
year = {2015},
url = {https://doi.org/10.1137/140967635},
doi = {10.1137/140967635},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AbadI15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AbergelJ15,
author = {Fr{\'{e}}d{\'{e}}ric Abergel and
Aymen Jedidi},
title = {Long-Time Behavior of a Hawkes Process-Based Limit Order Book},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1026--1043},
year = {2015},
url = {https://doi.org/10.1137/15M1011469},
doi = {10.1137/15M1011469},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AbergelJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AhnHJ15,
author = {Andrew Ahn and
Martin B. Haugh and
Ashish Jain},
title = {Consistent Pricing of Options on Leveraged ETFs},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {559--593},
year = {2015},
url = {https://doi.org/10.1137/151003933},
doi = {10.1137/151003933},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AhnHJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AltmayerN15,
author = {Martin Altmayer and
Andreas Neuenkirch},
title = {Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the
Generalized Heston Model Using Malliavin Integration by Parts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {22--52},
year = {2015},
url = {https://doi.org/10.1137/130933629},
doi = {10.1137/130933629},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AltmayerN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AminiMS15,
author = {Hamed Amini and
Andreea Minca and
Agn{\`{e}}s Sulem},
title = {Control of Interbank Contagion Under Partial Information},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1195--1219},
year = {2015},
url = {https://doi.org/10.1137/140981538},
doi = {10.1137/140981538},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AminiMS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AzimzadehF15,
author = {Parsiad Azimzadeh and
Peter A. Forsyth},
title = {The Existence of Optimal Bang-Bang Controls for GMxB Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {117--139},
year = {2015},
url = {https://doi.org/10.1137/140953885},
doi = {10.1137/140953885},
timestamp = {Wed, 17 Apr 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AzimzadehF15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarHZ15,
author = {Erhan Bayraktar and
Yu{-}Jui Huang and
Zhou Zhou},
title = {On Hedging American Options under Model Uncertainty},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {425--447},
year = {2015},
url = {https://doi.org/10.1137/140961869},
doi = {10.1137/140961869},
timestamp = {Thu, 15 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarHZ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BechlerL15,
author = {Kyle Bechler and
Michael Ludkovski},
title = {Optimal Execution with Dynamic Order Flow Imbalance},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1123--1151},
year = {2015},
url = {https://doi.org/10.1137/140992254},
doi = {10.1137/140992254},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BechlerL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BelomestnyDN15,
author = {Denis Belomestny and
Fabian Dickmann and
Tigran Nagapetyan},
title = {Pricing Bermudan Options via Multilevel Approximation Methods},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {448--466},
year = {2015},
url = {https://doi.org/10.1137/130912426},
doi = {10.1137/130912426},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BelomestnyDN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthK15,
author = {Fred Espen Benth and
Paul Kr{\"{u}}hner},
title = {Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {825--869},
year = {2015},
url = {https://doi.org/10.1137/15100268X},
doi = {10.1137/15100268X},
timestamp = {Fri, 30 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BenthK15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BiaginiN15,
author = {Francesca Biagini and
Sorin Nedelcu},
title = {The Formation of Financial Bubbles in Defaultable Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {530--558},
year = {2015},
url = {https://doi.org/10.1137/140960608},
doi = {10.1137/140960608},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BiaginiN15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BieleckiCC15,
author = {Tomasz R. Bielecki and
Igor Cialenco and
Tao Chen},
title = {Dynamic Conic Finance via Backward Stochastic Difference Equations},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1068--1122},
year = {2015},
url = {https://doi.org/10.1137/141002013},
doi = {10.1137/141002013},
timestamp = {Tue, 02 Aug 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BieleckiCC15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BieleckiR15,
author = {Tomasz R. Bielecki and
Marek Rutkowski},
title = {Valuation and Hedging of Contracts with Funding Costs and Collateralization},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {594--655},
year = {2015},
url = {https://doi.org/10.1137/130928819},
doi = {10.1137/130928819},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BieleckiR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BoC15,
author = {Lijun Bo and
Agostino Capponi},
title = {Systemic Risk in Interbanking Networks},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {386--424},
year = {2015},
url = {https://doi.org/10.1137/130937664},
doi = {10.1137/130937664},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BoC15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BurkovskaHSW15,
author = {Olena Burkovska and
Bernard Haasdonk and
Julien Salomon and
Barbara I. Wohlmuth},
title = {Reduced Basis Methods for Pricing Options with the Black-Scholes and
Heston Models},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {685--712},
year = {2015},
url = {https://doi.org/10.1137/140981216},
doi = {10.1137/140981216},
timestamp = {Tue, 04 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BurkovskaHSW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CapponiF15,
author = {Agostino Capponi and
Christoph Frei},
title = {Dynamic Contracting: Accidents Lead to Nonlinear Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {959--983},
year = {2015},
url = {https://doi.org/10.1137/140986864},
doi = {10.1137/140986864},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CapponiF15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChanSS15,
author = {Patrick Chan and
Ronnie Sircar and
Michael V. Stein},
title = {A Feedback Model for the Financialization of Commodity Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {870--899},
year = {2015},
url = {https://doi.org/10.1137/140995349},
doi = {10.1137/140995349},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChanSS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChauT15,
author = {Huy N. Chau and
Peter Tankov},
title = {Market Models with Optimal Arbitrage},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {66--85},
year = {2015},
url = {https://doi.org/10.1137/140953666},
doi = {10.1137/140953666},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChauT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DuboisV15,
author = {Mathieu S. Dubois and
Luitgard A. M. Veraart},
title = {Optimal Diversification in the Presence of Parameter Uncertainty for
a Risk Averse Investor},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {201--241},
year = {2015},
url = {https://doi.org/10.1137/130942826},
doi = {10.1137/130942826},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DuboisV15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FodraP15,
author = {Pietro Fodra and
Huy{\^{e}}n Pham},
title = {High Frequency Trading and Asymptotics for Small Risk Aversion in
a Markov Renewal Model},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {656--684},
year = {2015},
url = {https://doi.org/10.1137/140976005},
doi = {10.1137/140976005},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FodraP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ForzaniT15,
author = {Liliana Forzani and
Carlos F. Tolmasky},
title = {On the Level-Slope-Curvature Effect in Yield Curves and Eventual Total
Positivity},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {900--918},
year = {2015},
url = {https://doi.org/10.1137/140998354},
doi = {10.1137/140998354},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ForzaniT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GobetP15,
author = {Emmanuel Gobet and
Stefano Pagliarani},
title = {Analytical Approximations of BSDEs with Nonsmooth Driver},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {919--958},
year = {2015},
url = {https://doi.org/10.1137/14100021X},
doi = {10.1137/14100021X},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GobetP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GramacyL15,
author = {Robert B. Gramacy and
Michael Ludkovski},
title = {Sequential Design for Optimal Stopping Problems},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {748--775},
year = {2015},
url = {https://doi.org/10.1137/140980089},
doi = {10.1137/140980089},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GramacyL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GrbacPSS15,
author = {Zorana Grbac and
Antonis Papapantoleon and
John Schoenmakers and
David Skovmand},
title = {Affine {LIBOR} Models with Multiple Curves: Theory, Examples and Calibration},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {984--1025},
year = {2015},
url = {https://doi.org/10.1137/15M1011731},
doi = {10.1137/15M1011731},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GrbacPSS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GulisashviliV15,
author = {Archil Gulisashvili and
Josep Vives},
title = {Asymptotic Analysis of Stock Price Densities and Implied Volatilities
in Mixed Stochastic Models},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {158--188},
year = {2015},
url = {https://doi.org/10.1137/140962255},
doi = {10.1137/140962255},
timestamp = {Tue, 21 Mar 2023 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/GulisashviliV15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GuoZ15,
author = {Xin Guo and
Mihail Zervos},
title = {Optimal Execution with Multiplicative Price Impact},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {281--306},
year = {2015},
url = {https://doi.org/10.1137/120894622},
doi = {10.1137/120894622},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GuoZ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HoSX15,
author = {Michael Ho and
Zheng Sun and
Jack Xin},
title = {Weighted Elastic Net Penalized Mean-Variance Portfolio Design and
Computation},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1220--1244},
year = {2015},
url = {https://doi.org/10.1137/15M1007872},
doi = {10.1137/15M1007872},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HoSX15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JacquierR15,
author = {Antoine Jacquier and
Patrick Roome},
title = {Asymptotics of Forward Implied Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {307--351},
year = {2015},
url = {https://doi.org/10.1137/140960712},
doi = {10.1137/140960712},
timestamp = {Fri, 27 Mar 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JacquierR15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowL15,
author = {Robert A. Jarrow and
Martin Larsson},
title = {Informational Efficiency under Short Sale Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {804--824},
year = {2015},
url = {https://doi.org/10.1137/140963522},
doi = {10.1137/140963522},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowL15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowP15,
author = {Robert Jarrow and
Philip Protter},
title = {Liquidity Suppliers and High Frequency Trading},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {189--200},
year = {2015},
url = {https://doi.org/10.1137/140967702},
doi = {10.1137/140967702},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowP15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kardaras15,
author = {Constantinos Kardaras},
title = {Valuation and Parities for Exchange Options},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {140--157},
year = {2015},
url = {https://doi.org/10.1137/120884973},
doi = {10.1137/120884973},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kardaras15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KarouiJJ15,
author = {Nicole El Karoui and
Monique Jeanblanc and
Ying Jiao},
title = {Density Approach in Modeling Successive Defaults},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1--21},
year = {2015},
url = {https://doi.org/10.1137/130939791},
doi = {10.1137/130939791},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KarouiJJ15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kirkby15,
author = {Justin Lars Kirkby},
title = {Efficient Option Pricing by Frame Duality with the Fast Fourier Transform},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {713--747},
year = {2015},
url = {https://doi.org/10.1137/140989480},
doi = {10.1137/140989480},
timestamp = {Thu, 28 Sep 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kirkby15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kolkiewicz15,
author = {Adam W. Kolkiewicz},
title = {On Suboptimality of Delta Hedging for Asian Options},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {352--385},
year = {2015},
url = {https://doi.org/10.1137/130914760},
doi = {10.1137/130914760},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Kolkiewicz15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LeungW15,
author = {Tim Leung and
Haohua Wan},
title = {{ESO} Valuation with Job Termination Risk and Jumps in Stock Price},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {487--516},
year = {2015},
url = {https://doi.org/10.1137/130937949},
doi = {10.1137/130937949},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LeungW15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiX15,
author = {Cheng Li and
Hao Xing},
title = {Asymptotic Glosten-Milgrom Equilibrium},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {242--280},
year = {2015},
url = {https://doi.org/10.1137/130943121},
doi = {10.1137/130943121},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiX15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Liu15,
author = {Hsuan{-}Ku Liu},
title = {Properties of American Volatility Options in the Mean-Reverting 3/2
Volatility Model},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {53--65},
year = {2015},
url = {https://doi.org/10.1137/130924573},
doi = {10.1137/130924573},
timestamp = {Mon, 03 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Liu15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MarcoH15,
author = {Stefano De Marco and
Pierre Henry{-}Labord{\`{e}}re},
title = {Linking Vanillas and {VIX} Options: {A} Constrained Martingale Optimal
Transport Problem},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1171--1194},
year = {2015},
url = {https://doi.org/10.1137/140960724},
doi = {10.1137/140960724},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MarcoH15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Rasonyi15,
author = {Mikl{\'{o}}s R{\'{a}}sonyi},
title = {Optimal Investment with Nonconcave Utilities in Discrete-Time Markets},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {517--529},
year = {2015},
url = {https://doi.org/10.1137/140985184},
doi = {10.1137/140985184},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Rasonyi15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Schoneborn15,
author = {Torsten Sch{\"{o}}neborn},
title = {Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria
and Risk Functions},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1044--1067},
year = {2015},
url = {https://doi.org/10.1137/15M1007537},
doi = {10.1137/15M1007537},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Schoneborn15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/SpiliopoulosS15,
author = {Konstantinos Spiliopoulos and
Richard B. Sowers},
title = {Default Clustering in Large Pools: Large Deviations},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {86--116},
year = {2015},
url = {https://doi.org/10.1137/130944060},
doi = {10.1137/130944060},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/SpiliopoulosS15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Trevino-Aguilar15,
author = {Erick Trevi{\~{n}}o{-}Aguilar},
title = {Duality in a Problem of Static Partial Hedging under Convex Constraints},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {1152--1170},
year = {2015},
url = {https://doi.org/10.1137/140959614},
doi = {10.1137/140959614},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Trevino-Aguilar15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WangBT15,
author = {Ruodu Wang and
Valeria Bignozzi and
Andreas Tsanakas},
title = {How Superadditive Can a Risk Measure Be?},
journal = {{SIAM} J. Financial Math.},
volume = {6},
number = {1},
pages = {776--803},
year = {2015},
url = {https://doi.org/10.1137/140981046},
doi = {10.1137/140981046},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/WangBT15.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AidCLP14,
author = {Ren{\'{e}} A{\"{\i}}d and
Luciano Campi and
Nicolas Langren{\'{e}} and
Huy{\^{e}}n Pham},
title = {A Probabilistic Numerical Method for Optimal Multiple Switching Problems
in High Dimension},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {191--231},
year = {2014},
url = {https://doi.org/10.1137/120897298},
doi = {10.1137/120897298},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AidCLP14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Aly14,
author = {Sidi Mohamed Ould Aly},
title = {Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {729--752},
year = {2014},
url = {https://doi.org/10.1137/110848682},
doi = {10.1137/110848682},
timestamp = {Wed, 26 Jan 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Aly14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Anthropelos14,
author = {Michail Anthropelos},
title = {Forward Exponential Performances: Pricing and Optimal Risk Sharing},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {626--655},
year = {2014},
url = {https://doi.org/10.1137/130910087},
doi = {10.1137/130910087},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Anthropelos14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Arai14,
author = {Takuji Arai},
title = {Convex Risk Measures for C{\`{a}}dl{\`{a}}g Processes on Orlicz Hearts},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {609--625},
year = {2014},
url = {https://doi.org/10.1137/130908427},
doi = {10.1137/130908427},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Arai14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BankF14,
author = {Peter Bank and
Antje Fruth},
title = {Optimal Order Scheduling for Deterministic Liquidity Patterns},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {137--152},
year = {2014},
url = {https://doi.org/10.1137/120897511},
doi = {10.1137/120897511},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BankF14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BaseiCV14,
author = {Matteo Basei and
Annalisa Cesaroni and
Tiziano Vargiolu},
title = {Optimal Exercise of Swing Contracts in Energy Markets: An Integral
Constrained Stochastic Optimal Control Problem},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {581--608},
year = {2014},
url = {https://doi.org/10.1137/130928893},
doi = {10.1137/130928893},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BaseiCV14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarZ14,
author = {Erhan Bayraktar and
Zhou Zhou},
title = {On Controller-Stopper Problems with Jumps and Their Applications to
Indifference Pricing of American Options},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {20--49},
year = {2014},
url = {https://doi.org/10.1137/120903336},
doi = {10.1137/120903336},
timestamp = {Thu, 15 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarZ14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BensoussanWYY14,
author = {Alain Bensoussan and
Kwok Chuen Wong and
Sheung Chi Phillip Yam and
Siu{-}Pang Yung},
title = {Time-Consistent Portfolio Selection under Short-Selling Prohibition:
From Discrete to Continuous Setting},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {153--190},
year = {2014},
url = {https://doi.org/10.1137/130914139},
doi = {10.1137/130914139},
timestamp = {Wed, 25 Sep 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BensoussanWYY14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthEV14,
author = {Fred Espen Benth and
Heidar Eyjolfsson and
Almut E. D. Veraart},
title = {Approximating L{\'{e}}vy Semistationary Processes via Fourier
Methods in the Context of Power Markets},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {71--98},
year = {2014},
url = {https://doi.org/10.1137/130905320},
doi = {10.1137/130905320},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BenthEV14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenthO14,
author = {Fred Espen Benth and
Salvador Ortiz{-}Latorre},
title = {A Pricing Measure to Explain the Risk Premium in Power Markets},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {685--728},
year = {2014},
url = {https://doi.org/10.1137/13093604X},
doi = {10.1137/13093604X},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BenthO14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BressanF14,
author = {Alberto Bressan and
Giancarlo Facchi},
title = {Discrete Bidding Strategies for a Random Incoming Order},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {50--70},
year = {2014},
url = {https://doi.org/10.1137/130917685},
doi = {10.1137/130917685},
timestamp = {Sun, 02 Jun 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BressanF14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarteaJR14,
author = {{\'{A}}lvaro Cartea and
Sebastian Jaimungal and
Jason Ricci},
title = {Buy Low, Sell High: {A} High Frequency Trading Perspective},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {415--444},
year = {2014},
url = {https://doi.org/10.1137/130911196},
doi = {10.1137/130911196},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CarteaJR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CzichowskyMS14,
author = {Christoph Czichowsky and
Johannes Muhle{-}Karbe and
Walter Schachermayer},
title = {Transaction Costs, Shadow Prices, and Duality in Discrete Time},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {258--277},
year = {2014},
url = {https://doi.org/10.1137/130925864},
doi = {10.1137/130925864},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CzichowskyMS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueR14,
author = {Jean{-}Pierre Fouque and
Bin Ren},
title = {Approximation for Option Prices under Uncertain Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {360--383},
year = {2014},
url = {https://doi.org/10.1137/130908385},
doi = {10.1137/130908385},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Frikha14,
author = {Noufel Frikha},
title = {Shortfall Risk Minimization in Discrete Time Financial Market Models},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {384--414},
year = {2014},
url = {https://doi.org/10.1137/120903142},
doi = {10.1137/120903142},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Frikha14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GnoattoG14,
author = {Alessandro Gnoatto and
Martino Grasselli},
title = {An Affine Multicurrency Model with Stochastic Volatility and Stochastic
Interest Rates},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {493--531},
year = {2014},
url = {https://doi.org/10.1137/130922902},
doi = {10.1137/130922902},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GnoattoG14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GriesslerK14,
author = {Claus Griessler and
Martin Keller{-}Ressel},
title = {Convex Order of Discrete, Continuous, and Predictable Quadratic Variation
and Applications to Options on Variance},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {1--19},
year = {2014},
url = {https://doi.org/10.1137/120893690},
doi = {10.1137/120893690},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GriesslerK14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GueantR14,
author = {Olivier Gu{\'{e}}ant and
Guillaume Royer},
title = {{VWAP} Execution and Guaranteed {VWAP}},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {445--471},
year = {2014},
url = {https://doi.org/10.1137/130924676},
doi = {10.1137/130924676},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GueantR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HaughW14,
author = {Martin Haugh and
Chun Wang},
title = {Dynamic Portfolio Execution and Information Relaxations},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {316--359},
year = {2014},
url = {https://doi.org/10.1137/120896761},
doi = {10.1137/120896761},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HaughW14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HorstN14,
author = {Ulrich Horst and
Felix Naujokat},
title = {When to Cross the Spread? Trading in Two-Sided Limit Order Books},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {278--315},
year = {2014},
url = {https://doi.org/10.1137/110849341},
doi = {10.1137/110849341},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HorstN14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ImkellerR14,
author = {Nora Imkeller and
L. C. G. Rogers},
title = {Trading to Stops},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {753--781},
year = {2014},
url = {https://doi.org/10.1137/130911706},
doi = {10.1137/130911706},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ImkellerR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiLS14,
author = {Xiao Li and
Michael D. Lipkin and
Richard B. Sowers},
title = {Dynamics of Bankrupt Stocks},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {232--257},
year = {2014},
url = {https://doi.org/10.1137/120872206},
doi = {10.1137/120872206},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiLS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MilsteinS14,
author = {G. N. Milstein and
Vladimir G. Spokoiny},
title = {Construction of Mean-Self-Financing Strategies for European Options
under Regime-Switching},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {532--556},
year = {2014},
url = {https://doi.org/10.1137/120896566},
doi = {10.1137/120896566},
timestamp = {Sat, 30 Nov 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/MilsteinS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MontesPR14,
author = {Juan Miguel Montes and
Valentina Prezioso and
Wolfgang J. Runggaldier},
title = {Monte Carlo Variance Reduction by Conditioning for Pricing with Underlying
a Continuous-Time Finite State Markov Process},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {557--580},
year = {2014},
url = {https://doi.org/10.1137/130923221},
doi = {10.1137/130923221},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MontesPR14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RheinlanderS14,
author = {Thorsten Rheinl{\"{a}}nder and
Michael Schmutz},
title = {Quasi-Self-Dual Exponential L{\'{e}}vy Processes},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {656--684},
year = {2014},
url = {https://doi.org/10.1137/110859555},
doi = {10.1137/110859555},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RheinlanderS14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Strong14,
author = {Winslow Strong},
title = {Generalizations of Functionally Generated Portfolios with Applications
to Statistical Arbitrage},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {472--492},
year = {2014},
url = {https://doi.org/10.1137/130907458},
doi = {10.1137/130907458},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Strong14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZhengRA14,
author = {Ban Zheng and
Fran{\c{c}}ois Roueff and
Fr{\'{e}}d{\'{e}}ric Abergel},
title = {Modelling Bid and Ask Prices Using Constrained Hawkes Processes: Ergodicity
and Scaling Limit},
journal = {{SIAM} J. Financial Math.},
volume = {5},
number = {1},
pages = {99--136},
year = {2014},
url = {https://doi.org/10.1137/130912980},
doi = {10.1137/130912980},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ZhengRA14.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@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}
}
@article{DBLP:journals/siamfm/Abbas-TurkiL12,
author = {Lokman A. Abbas{-}Turki and
Bernard Lapeyre},
title = {American Options by Malliavin Calculus and Nonparametric Variance
and Bias Reduction Methods},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {479--510},
year = {2012},
url = {https://doi.org/10.1137/11083890x},
doi = {10.1137/11083890X},
timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Abbas-TurkiL12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlfonsiSS12,
author = {Aur{\'{e}}lien Alfonsi and
Alexander Schied and
Alla Slynko},
title = {Order Book Resilience, Price Manipulation, and the Positive Portfolio
Problem},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {511--533},
year = {2012},
url = {https://doi.org/10.1137/110822098},
doi = {10.1137/110822098},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlfonsiSS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Almgren12,
author = {Robert Almgren},
title = {Optimal Trading with Stochastic Liquidity and Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {163--181},
year = {2012},
url = {https://doi.org/10.1137/090763470},
doi = {10.1137/090763470},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Almgren12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BauerBK12,
author = {Daniel Bauer and
Fred Espen Benth and
R{\"{u}}diger Kiesel},
title = {Modeling the Forward Surface of Mortality},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {639--666},
year = {2012},
url = {https://doi.org/10.1137/100818261},
doi = {10.1137/100818261},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BauerBK12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BauerleUV12,
author = {Nicole B{\"{a}}uerle and
Sebastian P. Urban and
Luitgard A. M. Veraart},
title = {The Relaxed Investor with Partial Information},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {304--327},
year = {2012},
url = {https://doi.org/10.1137/100813646},
doi = {10.1137/100813646},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BauerleUV12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BayraktarKX12,
author = {Erhan Bayraktar and
Constantinos Kardaras and
Hao Xing},
title = {Valuation Equations for Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {351--373},
year = {2012},
url = {https://doi.org/10.1137/110842302},
doi = {10.1137/110842302},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BayraktarKX12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BensoussanYY12,
author = {Alain Bensoussan and
Zhongfeng Yan and
George Yin},
title = {Threshold-Type Policies for Real Options Using Regime-Switching Models},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {667--689},
year = {2012},
url = {https://doi.org/10.1137/110833300},
doi = {10.1137/110833300},
timestamp = {Mon, 12 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BensoussanYY12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BeveridgeJ12,
author = {Christopher Beveridge and
Mark S. Joshi},
title = {Interpolation Schemes in the Displaced-Diffusion {LIBOR} Market Model},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {593--604},
year = {2012},
url = {https://doi.org/10.1137/100788008},
doi = {10.1137/100788008},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BeveridgeJ12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Bichuch12,
author = {Maxim Bichuch},
title = {Asymptotic Analysis for Optimal Investment in Finite Time with Transaction
Costs},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {433--458},
year = {2012},
url = {https://doi.org/10.1137/100808046},
doi = {10.1137/100808046},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Bichuch12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CampiV12,
author = {Luciano Campi and
M. Del Vigna},
title = {Weak Insider Trading and Behavioral Finance},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {242--279},
year = {2012},
url = {https://doi.org/10.1137/110824693},
doi = {10.1137/110824693},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CampiV12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CapponiCY12,
author = {Agostino Capponi and
Jaksa Cvitanic and
T{\"{u}}rkay Yolcu},
title = {A Variational Approach to Contracting under Imperfect Observations},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {605--638},
year = {2012},
url = {https://doi.org/10.1137/110859075},
doi = {10.1137/110859075},
timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CapponiCY12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrC12,
author = {Peter Carr and
Laurent Cousot},
title = {Explicit Constructions of Martingales Calibrated to Given Implied
Volatility Smiles},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {182--214},
year = {2012},
url = {https://doi.org/10.1137/100809933},
doi = {10.1137/100809933},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrC12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CheriditoNP12,
author = {Patrick Cheridito and
Ashkan Nikeghbali and
Eckhard Platen},
title = {Processes of Class Sigma, Last Passage Times, and Drawdowns},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {280--303},
year = {2012},
url = {https://doi.org/10.1137/09077878X},
doi = {10.1137/09077878X},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CheriditoNP12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CheriditoW12,
author = {Patrick Cheridito and
Alexander Wugalter},
title = {Pricing and Hedging in Affine Models with Possibility of Default},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {328--350},
year = {2012},
url = {https://doi.org/10.1137/100816730},
doi = {10.1137/100816730},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CheriditoW12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CrisanM12,
author = {D. Crisan and
K. Manolarakis},
title = {Solving Backward Stochastic Differential Equations Using the Cubature
Method: Application to Nonlinear Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {534--571},
year = {2012},
url = {https://doi.org/10.1137/090765766},
doi = {10.1137/090765766},
timestamp = {Tue, 08 Feb 2022 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CrisanM12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/EkelandMP12,
author = {Ivar Ekeland and
Oumar Mbodji and
Traian A. Pirvu},
title = {Time-Consistent Portfolio Management},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {1--32},
year = {2012},
url = {https://doi.org/10.1137/100810034},
doi = {10.1137/100810034},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/EkelandMP12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Figueroa-LopezF12,
author = {Jos{\'{e}} E. Figueroa{-}L{\'{o}}pez and
Martin Forde},
title = {The Small-Maturity Smile for Exponential L{\'{e}}vy Models},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {33--65},
year = {2012},
url = {https://doi.org/10.1137/110820658},
doi = {10.1137/110820658},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Figueroa-LopezF12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FilipovicKV12,
author = {Damir Filipovic and
Michael Kupper and
Nicolas Vogelpoth},
title = {Approaches to Conditional Risk},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {402--432},
year = {2012},
url = {https://doi.org/10.1137/090773076},
doi = {10.1137/090773076},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FilipovicKV12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FordeJL12,
author = {Martin Forde and
Antoine Jacquier and
Roger Lee},
title = {The Small-Time Smile and Term Structure of Implied Volatility under
the Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {690--708},
year = {2012},
url = {https://doi.org/10.1137/110830241},
doi = {10.1137/110830241},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FordeJL12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GilesR12,
author = {Michael B. Giles and
Christoph Reisinger},
title = {Stochastic Finite Differences and Multilevel Monte Carlo for a Class
of SPDEs in Finance},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {572--592},
year = {2012},
url = {https://doi.org/10.1137/110841916},
doi = {10.1137/110841916},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GilesR12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GlassermanS12,
author = {Paul Glasserman and
Sira Suchintabandid},
title = {Quadratic Transform Approximation for {CDO} Pricing in Multifactor
Models},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {137--162},
year = {2012},
url = {https://doi.org/10.1137/110827399},
doi = {10.1137/110827399},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GlassermanS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GueantLT12,
author = {Olivier Gu{\'{e}}ant and
Charles{-}Albert Lehalle and
Joaquin Fernandez Tapia},
title = {Optimal Portfolio Liquidation with Limit Orders},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {740--764},
year = {2012},
url = {https://doi.org/10.1137/110850475},
doi = {10.1137/110850475},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GueantLT12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Howison12,
author = {Sam D. Howison},
title = {Asymptotic Approximations for Asian, European, and American Options
with Discrete Averaging or Discrete Dividend/Coupon Payments},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {215--241},
year = {2012},
url = {https://doi.org/10.1137/090771636},
doi = {10.1137/090771636},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Howison12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HowisonS12,
author = {Sam D. Howison and
Daniel C. Schwarz},
title = {Risk-Neutral Pricing of Financial Instruments in Emission Markets:
{A} Structural Approach},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {709--739},
year = {2012},
url = {https://doi.org/10.1137/100815219},
doi = {10.1137/100815219},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HowisonS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Muhle-KarbePS12,
author = {Johannes Muhle{-}Karbe and
Oliver Pfaffel and
Robert Stelzer},
title = {Option Pricing in Multivariate Stochastic Volatility Models of {OU}
Type},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {66--94},
year = {2012},
url = {https://doi.org/10.1137/100803687},
doi = {10.1137/100803687},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Muhle-KarbePS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ReisingerW12,
author = {Christoph Reisinger and
Jan Hendrik Witte},
title = {On the Use of Policy Iteration as an Easy Way of Pricing American
Options},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {459--478},
year = {2012},
url = {https://doi.org/10.1137/110823328},
doi = {10.1137/110823328},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ReisingerW12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RodriguezS12,
author = {Jose Orozco Rodriguez and
Fadil Santosa},
title = {Estimation of Asset Distributions from Option Prices: Analysis and
Regularization},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {374--401},
year = {2012},
url = {https://doi.org/10.1137/100813245},
doi = {10.1137/100813245},
timestamp = {Wed, 29 Mar 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RodriguezS12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/TakahashiY12,
author = {Akihiko Takahashi and
Toshihiro Yamada},
title = {An Asymptotic Expansion with Push-Down of Malliavin Weights},
journal = {{SIAM} J. Financial Math.},
volume = {3},
number = {1},
pages = {95--136},
year = {2012},
url = {https://doi.org/10.1137/100807624},
doi = {10.1137/100807624},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/TakahashiY12.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AbergelM11,
author = {Fr{\'{e}}d{\'{e}}ric Abergel and
Nicolas Millot},
title = {Nonquadratic Local Risk-Minimization for Hedging Contingent Claims
in Incomplete Markets},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {342--356},
year = {2011},
url = {https://doi.org/10.1137/100803079},
doi = {10.1137/100803079},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AbergelM11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Arai11,
author = {Takuji Arai},
title = {Good Deal Bounds Induced by Shortfall Risk},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {1--21},
year = {2011},
url = {https://doi.org/10.1137/090769120},
doi = {10.1137/090769120},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Arai11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BeiglbockFS11,
author = {Mathias Beiglb{\"{o}}ck and
Peter Friz and
Stephan Sturm},
title = {Is the Minimum Value of an Option on Variance Generated by Local Volatility?},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {213--220},
year = {2011},
url = {https://doi.org/10.1137/100800166},
doi = {10.1137/100800166},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BeiglbockFS11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Bender11,
author = {Christian Bender},
title = {Primal and Dual Pricing of Multiple Exercise Options in Continuous
Time},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {562--586},
year = {2011},
url = {https://doi.org/10.1137/09077076X},
doi = {10.1137/09077076X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Bender11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BernhartTW11,
author = {Marie Bernhart and
Peter Tankov and
Xavier Warin},
title = {A Finite-Dimensional Approximation for Pricing Moving Average Options},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {989--1013},
year = {2011},
url = {https://doi.org/10.1137/100815566},
doi = {10.1137/100815566},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BernhartTW11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BianMZ11,
author = {Baojun Bian and
Sheng Miao and
Harry Zheng},
title = {Smooth Value Functions for a Class of Nonsmooth Utility Maximization
Problems},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {727--747},
year = {2011},
url = {https://doi.org/10.1137/100793396},
doi = {10.1137/100793396},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BianMZ11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BouchardDL11,
author = {Bruno Bouchard and
Ngoc{-}Minh Dang and
Charles{-}Albert Lehalle},
title = {Optimal Control of Trading Algorithms: {A} General Impulse Control
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {404--438},
year = {2011},
url = {https://doi.org/10.1137/090777293},
doi = {10.1137/090777293},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BouchardDL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BrodenW11,
author = {Mats Brod{\'{e}}n and
Magnus Wiktorsson},
title = {On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma
Case},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {55--78},
year = {2011},
url = {https://doi.org/10.1137/090779905},
doi = {10.1137/090779905},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BrodenW11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BushHHJR11,
author = {N. Bush and
Ben M. Hambly and
Helen Haworth and
L. Jin and
Christoph Reisinger},
title = {Stochastic Evolution Equations in Portfolio Credit Modelling},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {627--664},
year = {2011},
url = {https://doi.org/10.1137/100796777},
doi = {10.1137/100796777},
timestamp = {Thu, 21 Feb 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BushHHJR11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrN11,
author = {Peter Carr and
Sergey Nadtochiy},
title = {Static Hedging under Time-Homogeneous Diffusions},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {794--838},
year = {2011},
url = {https://doi.org/10.1137/100818303},
doi = {10.1137/100818303},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrN11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ChengCLMN11,
author = {Wen Cheng and
Nick Costanzino and
John Liechty and
Anna L. Mazzucato and
Victor Nistor},
title = {Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic
Equations with Applications to Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {901--934},
year = {2011},
url = {https://doi.org/10.1137/100796832},
doi = {10.1137/100796832},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ChengCLMN11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContK11,
author = {Rama Cont and
Yu Hang Kan},
title = {Dynamic Hedging of Portfolio Credit Derivatives},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {112--140},
year = {2011},
url = {https://doi.org/10.1137/090750937},
doi = {10.1137/090750937},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContK11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContLP11,
author = {Rama Cont and
Nicolas Lantos and
Olivier Pironneau},
title = {A Reduced Basis for Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {287--316},
year = {2011},
url = {https://doi.org/10.1137/10079851X},
doi = {10.1137/10079851X},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContLP11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CoxO11,
author = {Alexander M. G. Cox and
Jan Obl{\'{o}}j},
title = {Robust Hedging of Double Touch Barrier Options},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {141--182},
year = {2011},
url = {https://doi.org/10.1137/090777487},
doi = {10.1137/090777487},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/CoxO11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DavisL11,
author = {Mark Davis and
S{\'{e}}bastien Lleo},
title = {Jump-Diffusion Risk-Sensitive Asset Management {I:} Diffusion Factor
Model},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {22--54},
year = {2011},
url = {https://doi.org/10.1137/090760180},
doi = {10.1137/090760180},
timestamp = {Fri, 08 Feb 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DavisL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DiaL11,
author = {El Hadj Aly Dia and
Damien Lamberton},
title = {Continuity Correction for Barrier Options in Jump-Diffusion Models},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {866--900},
year = {2011},
url = {https://doi.org/10.1137/100817553},
doi = {10.1137/100817553},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DiaL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Dmitrasinovic-VidovicW11,
author = {Gordana Dmitrasinovic{-}Vidovic and
Antony Ware},
title = {Optimal Portfolios of Mean-Reverting Instruments},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {748--767},
year = {2011},
url = {https://doi.org/10.1137/100787714},
doi = {10.1137/100787714},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Dmitrasinovic-VidovicW11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FaidiMM11,
author = {Wahid Faidi and
Anis Matoussi and
Mohamed Mnif},
title = {Maximization of Recursive Utilities: {A} Dynamic Maximum Principle
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {1014--1041},
year = {2011},
url = {https://doi.org/10.1137/100814354},
doi = {10.1137/100814354},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FaidiMM11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FangO11,
author = {Fang Fang and
Cornelis W. Oosterlee},
title = {A Fourier-Based Valuation Method for Bermudan and Barrier Options
under Heston's Model},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {439--463},
year = {2011},
url = {https://doi.org/10.1137/100794158},
doi = {10.1137/100794158},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FangO11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueJL11,
author = {Jean{-}Pierre Fouque and
Sebastian Jaimungal and
Matthew J. Lorig},
title = {Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic
Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {665--691},
year = {2011},
url = {https://doi.org/10.1137/100803614},
doi = {10.1137/100803614},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueJL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FouqueL11,
author = {Jean{-}Pierre Fouque and
Matthew J. Lorig},
title = {A Fast Mean-Reverting Correction to Heston's Stochastic Volatility
Model},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {221--254},
year = {2011},
url = {https://doi.org/10.1137/090761458},
doi = {10.1137/090761458},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FouqueL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FrittelliM11,
author = {Marco Frittelli and
Marco Maggis},
title = {Dual Representation of Quasi-convex Conditional Maps},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {357--382},
year = {2011},
url = {https://doi.org/10.1137/09078033X},
doi = {10.1137/09078033X},
timestamp = {Fri, 27 Dec 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/FrittelliM11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FusaiMM11,
author = {Gianluca Fusai and
Daniele Marazzina and
Marina Marena},
title = {Pricing Discretely Monitored Asian Options by Maturity Randomization},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {383--403},
year = {2011},
url = {https://doi.org/10.1137/09076115X},
doi = {10.1137/09076115X},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FusaiMM11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GoodmanO11,
author = {Jonathan Goodman and
Daniel N. Ostrov},
title = {An Option to Reduce Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {512--537},
year = {2011},
url = {https://doi.org/10.1137/100798053},
doi = {10.1137/100798053},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GoodmanO11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GrzelakO11,
author = {Lech A. Grzelak and
Cornelis W. Oosterlee},
title = {On the Heston Model with Stochastic Interest Rates},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {255--286},
year = {2011},
url = {https://doi.org/10.1137/090756119},
doi = {10.1137/090756119},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GrzelakO11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HuangO11,
author = {Xinzheng Huang and
Cornelis W. Oosterlee},
title = {Saddlepoint Approximations for Expectations and an Application to
{CDO} Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {692--714},
year = {2011},
url = {https://doi.org/10.1137/100784084},
doi = {10.1137/100784084},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HuangO11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JaimungalS11,
author = {Sebastian Jaimungal and
Vladimir Surkov},
title = {L{\'{e}}vy-Based Cross-Commodity Models and Derivative Valuation},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {464--487},
year = {2011},
url = {https://doi.org/10.1137/100791609},
doi = {10.1137/100791609},
timestamp = {Mon, 05 Feb 2024 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JaimungalS11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JarrowKP11,
author = {Robert Jarrow and
Younes Kchia and
Philip Protter},
title = {How to Detect an Asset Bubble},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {839--865},
year = {2011},
url = {https://doi.org/10.1137/10079673X},
doi = {10.1137/10079673X},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/JarrowKP11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JenaT11,
author = {Rudra P. Jena and
Peter Tankov},
title = {Arbitrage Opportunities in Misspecified Stochastic Volatility Models},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {317--341},
year = {2011},
url = {https://doi.org/10.1137/100786678},
doi = {10.1137/100786678},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JenaT11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JohnsonSDN11,
author = {Paul V. Johnson and
Nicholas J. Sharp and
Peter W. Duck and
David P. Newton},
title = {A Bridge between American and European Options: The "Ameripean" Delayed-Exercise
Model},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {965--988},
year = {2011},
url = {https://doi.org/10.1137/09077730X},
doi = {10.1137/09077730X},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JohnsonSDN11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JordanT11,
author = {Richard Jordan and
Charles Tier},
title = {Asymptotic Approximations to Deterministic and Stochastic Volatility
Models},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {935--964},
year = {2011},
url = {https://doi.org/10.1137/100791890},
doi = {10.1137/100791890},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JordanT11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/JourdainV11,
author = {Benjamin Jourdain and
Michel H. Vellekoop},
title = {Regularity of the Exercise Boundary for American Put Options on Assets
with Discrete Dividends},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {538--561},
year = {2011},
url = {https://doi.org/10.1137/100800889},
doi = {10.1137/100800889},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/JourdainV11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LaruelleLP11,
author = {Sophie Laruelle and
Charles{-}Albert Lehalle and
Gilles Pag{\`{e}}s},
title = {Optimal Split of Orders Across Liquidity Pools: {A} Stochastic Algorithm
Approach},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {1042--1076},
year = {2011},
url = {https://doi.org/10.1137/090780596},
doi = {10.1137/090780596},
timestamp = {Sat, 09 Apr 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LaruelleLP11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LeungL11,
author = {Tim Leung and
Mike Ludkovski},
title = {Optimal Timing to Purchase Options},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {768--793},
year = {2011},
url = {https://doi.org/10.1137/100809386},
doi = {10.1137/100809386},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/LeungL11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Levendorskii11,
author = {Sergei Levendorskii},
title = {Convergence of Price and Sensitivities in Carr's Randomization Approximation
Globally and Near Barrier},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {79--111},
year = {2011},
url = {https://doi.org/10.1137/100788331},
doi = {10.1137/100788331},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Levendorskii11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Ludkovski11,
author = {Michael Ludkovski},
title = {Stochastic Switching Games and Duopolistic Competition in Emissions
Markets},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {488--511},
year = {2011},
url = {https://doi.org/10.1137/100784977},
doi = {10.1137/100784977},
timestamp = {Sat, 16 Sep 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Ludkovski11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MoralHOR11,
author = {Pierre Del Moral and
Peng Hu and
Nadia Oudjane and
Bruno N. R{\'{e}}millard},
title = {On the Robustness of the Snell Envelope},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {587--626},
year = {2011},
url = {https://doi.org/10.1137/100798016},
doi = {10.1137/100798016},
timestamp = {Thu, 25 Feb 2021 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/MoralHOR11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PredoiuSS11,
author = {Silviu Predoiu and
Gennady Shaikhet and
Steven E. Shreve},
title = {Optimal Execution in a General One-Sided Limit-Order Book},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {183--212},
year = {2011},
url = {https://doi.org/10.1137/10078534X},
doi = {10.1137/10078534X},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PredoiuSS11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/WuYZ11,
author = {Zhijian Wu and
Chunhui Yu and
Xiaohua Zheng},
title = {Managing Risk with Short-Term Futures Contracts},
journal = {{SIAM} J. Financial Math.},
volume = {2},
number = {1},
pages = {715--726},
year = {2011},
url = {https://doi.org/10.1137/100782437},
doi = {10.1137/100782437},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/WuYZ11.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AlfonsiS10,
author = {Aur{\'{e}}lien Alfonsi and
Alexander Schied},
title = {Optimal Trade Execution and Absence of Price Manipulations in Limit
Order Book Models},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {490--522},
year = {2010},
url = {https://doi.org/10.1137/090762786},
doi = {10.1137/090762786},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AlfonsiS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/AvellanedaZ10,
author = {Marco Avellaneda and
Stanley Zhang},
title = {Path-Dependence of Leveraged {ETF} Returns},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {586--603},
year = {2010},
url = {https://doi.org/10.1137/090760805},
doi = {10.1137/090760805},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/AvellanedaZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BardiCM10,
author = {Martino Bardi and
Annalisa Cesaroni and
Luigi Manca},
title = {Convergence by Viscosity Methods in Multiscale Financial Models with
Stochastic Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {230--265},
year = {2010},
url = {https://doi.org/10.1137/090748147},
doi = {10.1137/090748147},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BardiCM10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BenhamouGM10,
author = {Eric Benhamou and
Emmanuel Gobet and
Mohammed Miri},
title = {Time Dependent Heston Model},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {289--325},
year = {2010},
url = {https://doi.org/10.1137/090753814},
doi = {10.1137/090753814},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/BenhamouGM10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/BensoussanDH10,
author = {Alain Bensoussan and
J. David Diltz and
SingRu Celine Hoe},
title = {Real Options Games in Complete and Incomplete Markets with Several
Decision Makers},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {666--728},
year = {2010},
url = {https://doi.org/10.1137/090768060},
doi = {10.1137/090768060},
timestamp = {Tue, 05 Mar 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/BensoussanDH10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarmonaS10,
author = {Ren{\'{e}} Carmona and
Ronnie Sircar},
title = {Message From the Editors-in-Chief},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {1},
year = {2010},
url = {https://doi.org/10.1137/SJFMBJ000001000001000001000001},
doi = {10.1137/SJFMBJ000001000001000001000001},
timestamp = {Thu, 29 Jul 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarmonaS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CarrM10,
author = {Peter Carr and
Dilip B. Madan},
title = {Local Volatility Enhanced by a Jump to Default},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {2--15},
year = {2010},
url = {https://doi.org/10.1137/090750731},
doi = {10.1137/090750731},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CarrM10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ContDK10,
author = {Rama Cont and
Romain Deguest and
Yu Hang Kan},
title = {Default Intensities Implied by {CDO} Spreads: Inversion Formula and
Model Calibration},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {555--585},
year = {2010},
url = {https://doi.org/10.1137/09076800X},
doi = {10.1137/09076800X},
timestamp = {Wed, 14 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ContDK10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/CorielliFP10,
author = {Francesco Corielli and
Paolo Foschi and
Andrea Pascucci},
title = {Parametrix Approximation of Diffusion Transition Densities},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {833--867},
year = {2010},
url = {https://doi.org/10.1137/080742336},
doi = {10.1137/080742336},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/CorielliFP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DaiXZ10,
author = {Min Dai and
Zuo Quan Xu and
Xun Yu Zhou},
title = {Continuous-Time Markowitz's Model with Transaction Costs},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {96--125},
year = {2010},
url = {https://doi.org/10.1137/080742889},
doi = {10.1137/080742889},
timestamp = {Thu, 08 Jun 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/DaiXZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/DaiZZ10,
author = {Min Dai and
Qing Zhang and
Qiji Jim Zhu},
title = {Trend Following Trading under a Regime Switching Model},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {780--810},
year = {2010},
url = {https://doi.org/10.1137/090770552},
doi = {10.1137/090770552},
timestamp = {Thu, 31 Oct 2019 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/DaiZZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ErraisGG10,
author = {Eymen Errais and
Kay Giesecke and
Lisa R. Goldberg},
title = {Affine Point Processes and Portfolio Credit Risk},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {642--665},
year = {2010},
url = {https://doi.org/10.1137/090771272},
doi = {10.1137/090771272},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ErraisGG10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FengFF10,
author = {Jin Feng and
Martin Forde and
Jean{-}Pierre Fouque},
title = {Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic
Volatility Model},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {126--141},
year = {2010},
url = {https://doi.org/10.1137/090745465},
doi = {10.1137/090745465},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FengFF10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/FilipovicTT10,
author = {Damir Filipovic and
Stefan Tappe and
Josef Teichmann},
title = {Term Structure Models Driven by Wiener Processes and Poisson Measures:
Existence and Positivity},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {523--554},
year = {2010},
url = {https://doi.org/10.1137/090758593},
doi = {10.1137/090758593},
timestamp = {Sun, 06 Oct 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/FilipovicTT10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GieseckeKMT10,
author = {Kay Giesecke and
Hossein Kakavand and
Mohammad Mousavi and
Hideyuki Takada},
title = {Exact and Efficient Simulation of Correlated Defaults},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {868--896},
year = {2010},
url = {https://doi.org/10.1137/090778055},
doi = {10.1137/090778055},
timestamp = {Tue, 07 May 2024 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GieseckeKMT10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/GoodmanK10,
author = {Victor Goodman and
Kyounghee Kim},
title = {Common Forward Rate Volatility},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {212--229},
year = {2010},
url = {https://doi.org/10.1137/090750676},
doi = {10.1137/090750676},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/GoodmanK10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Gulisashvili10,
author = {Archil Gulisashvili},
title = {Asymptotic Formulas with Error Estimates for Call Pricing Functions
and the Implied Volatility at Extreme Strikes},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {609--641},
year = {2010},
url = {https://doi.org/10.1137/090762713},
doi = {10.1137/090762713},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Gulisashvili10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HamelH10,
author = {Andreas H. Hamel and
Frank Heyde},
title = {Duality for Set-Valued Measures of Risk},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {66--95},
year = {2010},
url = {https://doi.org/10.1137/080743494},
doi = {10.1137/080743494},
timestamp = {Wed, 14 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/HamelH10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Hepperger10,
author = {Peter Hepperger},
title = {Option Pricing in Hilbert Space-Valued Jump-Diffusion Models Using
Partial Integro-Differential Equations},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {454--489},
year = {2010},
url = {https://doi.org/10.1137/09077271X},
doi = {10.1137/09077271X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Hepperger10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HinzF10,
author = {Juri Hinz and
Max Fehr},
title = {Storage Costs in Commodity Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {729--751},
year = {2010},
url = {https://doi.org/10.1137/090746586},
doi = {10.1137/090746586},
timestamp = {Thu, 14 Oct 2021 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HinzF10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/HurdZ10,
author = {Thomas R. Hurd and
Zhuowei Zhou},
title = {A Fourier Transform Method for Spread Option Pricing},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {142--157},
year = {2010},
url = {https://doi.org/10.1137/090750421},
doi = {10.1137/090750421},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/HurdZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KardarasP10,
author = {Constantinos Kardaras and
Eckhard Platen},
title = {Minimizing the Expected Market Time to Reach a Certain Wealth Level},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {16--29},
year = {2010},
url = {https://doi.org/10.1137/080741124},
doi = {10.1137/080741124},
timestamp = {Mon, 26 Oct 2020 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/KardarasP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KharroubiP10,
author = {Idris Kharroubi and
Huy{\^{e}}n Pham},
title = {Optimal Portfolio Liquidation with Execution Cost and Risk},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {897--931},
year = {2010},
url = {https://doi.org/10.1137/09076372X},
doi = {10.1137/09076372X},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KharroubiP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Kohatsu-HigaO10,
author = {Arturo Kohatsu{-}Higa and
Salvador Ortiz{-}Latorre},
title = {Weak Kyle-Back Equilibrium Models for Max and ArgMax},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {179--211},
year = {2010},
url = {https://doi.org/10.1137/080739768},
doi = {10.1137/080739768},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/Kohatsu-HigaO10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/KratschmerS10,
author = {Volker Kr{\"{a}}tschmer and
John Schoenmakers},
title = {Representations for Optimal Stopping under Dynamic Monetary Utility
Functionals},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {811--832},
year = {2010},
url = {https://doi.org/10.1137/090775841},
doi = {10.1137/090775841},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/KratschmerS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/LiangHJ10,
author = {Jin Liang and
Bei Hu and
Lishang Jiang},
title = {Optimal Convergence Rate of the Binomial Tree Scheme for American
Options with Jump Diffusion and Their Free Boundaries},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {30--65},
year = {2010},
url = {https://doi.org/10.1137/090746239},
doi = {10.1137/090746239},
timestamp = {Mon, 28 Aug 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/LiangHJ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MolchanovS10,
author = {Ilya S. Molchanov and
Michael Schmutz},
title = {Multivariate Extension of Put-Call Symmetry},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {396--426},
year = {2010},
url = {https://doi.org/10.1137/090754194},
doi = {10.1137/090754194},
timestamp = {Sat, 19 Oct 2019 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MolchanovS10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/MusielaZ10,
author = {Marek Musiela and
Thaleia Zariphopoulou},
title = {Portfolio Choice under Space-Time Monotone Performance Criteria},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {326--365},
year = {2010},
url = {https://doi.org/10.1137/080745250},
doi = {10.1137/080745250},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/MusielaZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ParkO10,
author = {Sungwoo Park and
Dianne P. O'Leary},
title = {Portfolio Selection Using Tikhonov Filtering to Estimate the Covariance
Matrix},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {932--961},
year = {2010},
url = {https://doi.org/10.1137/090749372},
doi = {10.1137/090749372},
timestamp = {Sun, 02 Oct 2022 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ParkO10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PennanenP10,
author = {Teemu Pennanen and
Irina Penner},
title = {Hedging of Claims with Physical Delivery under Convex Transaction
Costs},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {158--178},
year = {2010},
url = {https://doi.org/10.1137/090754182},
doi = {10.1137/090754182},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/PennanenP10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/PutzigBH10,
author = {Lars Putzig and
Dirk Becherer and
Illia Horenko},
title = {Optimal Allocation of a Futures Portfolio Utilizing Numerical Market
Phase Detection},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {752--779},
year = {2010},
url = {https://doi.org/10.1137/090754029},
doi = {10.1137/090754029},
timestamp = {Fri, 02 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/PutzigBH10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/RobertR10,
author = {Christian Y. Robert and
Mathieu Rosenbaum},
title = {On the Microstructural Hedging Error},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {427--453},
year = {2010},
url = {https://doi.org/10.1137/090764578},
doi = {10.1137/090764578},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/RobertR10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/Rogers10,
author = {L. C. G. Rogers},
title = {Dual Valuation and Hedging of Bermudan Options},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {604--608},
year = {2010},
url = {https://doi.org/10.1137/090772198},
doi = {10.1137/090772198},
timestamp = {Wed, 17 May 2017 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/Rogers10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/TaharST10,
author = {Imen Ben Tahar and
H. Mete Soner and
Nizar Touzi},
title = {Merton Problem with Taxes: Characterization, Computation, and Approximation},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {366--395},
year = {2010},
url = {https://doi.org/10.1137/080742178},
doi = {10.1137/080742178},
timestamp = {Wed, 14 Nov 2018 00:00:00 +0100},
biburl = {https://dblp.org/rec/journals/siamfm/TaharST10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
@article{DBLP:journals/siamfm/ZariphopoulouZ10,
author = {Thaleia Zariphopoulou and
Gordan Zitkovic},
title = {Maturity-Independent Risk Measures},
journal = {{SIAM} J. Financial Math.},
volume = {1},
number = {1},
pages = {266--288},
year = {2010},
url = {https://doi.org/10.1137/080739732},
doi = {10.1137/080739732},
timestamp = {Mon, 26 Jun 2023 01:00:00 +0200},
biburl = {https://dblp.org/rec/journals/siamfm/ZariphopoulouZ10.bib},
bibsource = {dblp computer science bibliography, https://dblp.org}
}
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