SIAM J. Financial Math.

Publications

volume 15, number 1, 2024

Jianming Xia
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures. SIAM J. Financial Math. 15 (1) (2024)
Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
Deep Signature Algorithm for Multidimensional Path-Dependent Options. SIAM J. Financial Math. 15 (1) (2024)
Damiano Brigo, Federico Graceffa, Alexander Kalinin
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. SIAM J. Financial Math. 15 (1) (2024)
Shreya Bose, Ibrahim Ekren
Multidimensional Kyle-Back Model with a Risk Averse Informed Trader. SIAM J. Financial Math. 15 (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)
Qinyu Wu, Tiantian Mao, Taizhong Hu
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model. SIAM J. Financial Math. 15 (1) (2024)
Cosimo Munari, Justin Plückebaum, Stefan Weber
Robust Portfolio Selection under Recovery Average Value at Risk. SIAM J. Financial Math. 15 (1) (2024)
Jin Hyuk Choi, Jetlir Duraj, Kim Weston
A Multi-agent Targeted Trading Equilibrium with Transaction Costs. 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)
Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional. SIAM J. Financial Math. 15 (1) (2024)
Xun Li, Xiang Yu, Qinyi Zhang
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. 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)

volume 15, number 2, 2024

volume 15, number 3, 2024

volume 14, number 3, 2023

volume 14, number 4, 2023