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SIAM J. Financial Math.
2010
2015
2019
2024
2010
2024
Keyphrases
Publications
volume 15, number 1, 2024
Alessandro Doldi
,
Marco Frittelli
,
Emanuela Rosazza Gianin
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
SIAM J. Financial Math.
15 (1) (2024)
Philip Protter
,
Qianfan Wu
,
Shihao Yang
Order Book Queue Hawkes Markovian Modeling.
SIAM J. Financial Math.
15 (1) (2024)
Ryan Donnelly
,
Sebastian Jaimungal
Exploratory Control with Tsallis Entropy for Latent Factor Models.
SIAM J. Financial Math.
15 (1) (2024)
volume 14, number 1, 2023
Godeliva Petrina Marisu
,
Chi Seng Pun
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios.
SIAM J. Financial Math.
14 (1) (2023)
Florian Aichinger
,
Sascha Desmettre
Utility Maximization in Multivariate Volterra Models.
SIAM J. Financial Math.
14 (1) (2023)
Guillermo Angeris
,
Tarun Chitra
,
Alex Evans
,
Matthew Lorig
Short Communication: A Primer on Perpetuals.
SIAM J. Financial Math.
14 (1) (2023)
Zachary Feinstein
,
Thomas R. Hurd
Contingent Convertible Obligations and Financial Stability.
SIAM J. Financial Math.
14 (1) (2023)
Pablo Azcue
,
Xiaoqing Liang
,
Nora Muler
,
Virginia R. Young
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis.
SIAM J. Financial Math.
14 (1) (2023)
Alessandro Gnoatto
,
Athena Picarelli
,
Christoph Reisinger
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework.
SIAM J. Financial Math.
14 (1) (2023)
Claudio Fontana
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates.
SIAM J. Financial Math.
14 (1) (2023)
Diogo Gomes
,
Julian Gutierrez
,
Ricardo Ribeiro
A Random-Supply Mean Field Game Price Model.
SIAM J. Financial Math.
14 (1) (2023)
Piergiacomo Sabino
Normal Tempered Stable Processes and the Pricing of Energy Derivatives.
SIAM J. Financial Math.
14 (1) (2023)
Alexandre Richard
,
Xiaolu Tan
,
Fan Yang
On the Discrete-Time Simulation of the Rough Heston Model.
SIAM J. Financial Math.
14 (1) (2023)
Dörte Kreher
,
Cassandra Milbradt
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model.
SIAM J. Financial Math.
14 (1) (2023)
volume 14, number 2, 2023
Antoine Jacquier
,
Mugad Oumgari
Deep Curve-Dependent PDEs for Affine Rough Volatility.
SIAM J. Financial Math.
14 (2) (2023)
Frank Bosserhoff
,
Mitja Stadje
Robustness of Delta Hedging in a Jump-Diffusion Model.
SIAM J. Financial Math.
14 (2) (2023)
Bahman Angoshtari
,
Erhan Bayraktar
,
Virginia R. Young
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case.
SIAM J. Financial Math.
14 (2) (2023)
Fabrizio Lillo
,
Giulia Livieri
,
Stefano Marmi
,
Anton Solomko
,
Sandro Vaienti
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks.
SIAM J. Financial Math.
14 (2) (2023)
Paul Gassiat
Weak Error Rates of Numerical Schemes for Rough Volatility.
SIAM J. Financial Math.
14 (2) (2023)
Tolulope Fadina
,
Peng Liu
,
Ruodu Wang
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles.
SIAM J. Financial Math.
14 (2) (2023)
Christian Bayer
,
Martin Eigel
,
Leon Sallandt
,
Philipp Trunschke
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats.
SIAM J. Financial Math.
14 (2) (2023)
Orcan Ögetbil
,
Bernhard Hientzsch
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility.
SIAM J. Financial Math.
14 (2) (2023)
Pieter M. van Staden
,
Peter A. Forsyth
,
Yuying Li
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach.
SIAM J. Financial Math.
14 (2) (2023)
Prakash Chakraborty
,
Asaf Cohen
,
Virginia R. Young
Optimal Dividends Under Model Uncertainty.
SIAM J. Financial Math.
14 (2) (2023)
Hou-Duo Qi
Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy.
SIAM J. Financial Math.
14 (2) (2023)
Daniel Bartl
,
Johannes Wiesel
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance.
SIAM J. Financial Math.
14 (2) (2023)
volume 14, number 3, 2023
David Landriault
,
Bin Li
,
José M. Pedraza
Optimal Stopping for Exponential Lévy Models with Weighted Discounting.
SIAM J. Financial Math.
14 (3) (2023)
Christa Cuchiero
,
Guido Gazzani
,
Sara Svaluto-Ferro
Signature-Based Models: Theory and Calibration.
SIAM J. Financial Math.
14 (3) (2023)
Luu H. Duc
,
Jürgen Jost
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost.
SIAM J. Financial Math.
14 (3) (2023)
Yan Dolinsky
,
Or Zuk
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework.
SIAM J. Financial Math.
14 (3) (2023)
Mikhail Zhitlukhin
Capital Growth and Survival Strategies in a Market with Endogenous Prices.
SIAM J. Financial Math.
14 (3) (2023)
Zhou Yang
,
Jing Zhang
,
Chao Zhou
Robust Control Problems of BSDEs Coupled with Value Functions.
SIAM J. Financial Math.
14 (3) (2023)
Guillermo Alonso Alvarez
,
Sergey Nadtochiy
,
Kevin Webster
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients.
SIAM J. Financial Math.
14 (3) (2023)
René Carmona
,
Laura Leal
Optimal Execution with Quadratic Variation Inventories.
SIAM J. Financial Math.
14 (3) (2023)
Ying Hu
,
Xiaomin Shi
,
Zuo Quan Xu
Constrained Monotone Mean-Variance Problem with Random Coefficients.
SIAM J. Financial Math.
14 (3) (2023)
volume 14, number 4, 2023
Jianfeng Zhang
Short Communication: Is a Sophisticated Agent Always a Wise One?
SIAM J. Financial Math.
14 (4) (2023)
Erhan Bayraktar
,
Bingyan Han
Short Communication: Existence of Markov Equilibrium Control in Discrete Time.
SIAM J. Financial Math.
14 (4) (2023)
Jing Peng
,
Pengyu Wei
,
Zuo Quan Xu
Relative Growth Rate Optimization Under Behavioral Criterion.
SIAM J. Financial Math.
14 (4) (2023)
Zineb El Filali Ech-Chafiq
,
Pierre Henry-Labordère
,
Jérôme Lelong
Pricing Bermudan Options Using Regression Trees/Random Forests.
SIAM J. Financial Math.
14 (4) (2023)
Marco Maggis
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions.
SIAM J. Financial Math.
14 (4) (2023)
Bastien Baldacci
,
Philippe Bergault
,
Dylan Possamaï
A Mean-Field Game of Market-Making against Strategic Traders.
SIAM J. Financial Math.
14 (4) (2023)
Guillaume Bernis
,
Matthieu Garcin
,
Simone Scotti
,
Carlo Sgarra
Interest Rates Term Structure Models Driven by Hawkes Processes.
SIAM J. Financial Math.
14 (4) (2023)
Anthony Coache
,
Sebastian Jaimungal
,
Álvaro Cartea
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning.
SIAM J. Financial Math.
14 (4) (2023)
Bastien Baldacci
,
Philippe Bergault
,
Joffrey Derchu
,
Mathieu Rosenbaum
On Bid and Ask Side-Specific Tick Sizes.
SIAM J. Financial Math.
14 (4) (2023)
Erhan Bayraktar
,
Asaf Cohen
,
April Nellis
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets.
SIAM J. Financial Math.
14 (4) (2023)
Silvana M. Pesenti
,
Sebastian Jaimungal
Portfolio Optimization within a Wasserstein Ball.
SIAM J. Financial Math.
14 (4) (2023)
Brian Ning
,
Sebastian Jaimungal
,
Xiaorong Zhang
,
Maxime Bergeron
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders.
SIAM J. Financial Math.
14 (4) (2023)
Qi Feng
,
Jianfeng Zhang
Cubature Method for Stochastic Volterra Integral Equations.
SIAM J. Financial Math.
14 (4) (2023)
Chengfan Gao
,
Siping Gao
,
Ruimeng Hu
,
Zimu Zhu
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems.
SIAM J. Financial Math.
14 (4) (2023)
Francesca Biagini
,
Andrea Mazzon
,
Thilo Meyer-Brandis
,
Katharina Oberpriller
Liquidity Based Modeling of Asset Price Bubbles via Random Matching.
SIAM J. Financial Math.
14 (4) (2023)