Chen, Zhi; Xie, Weijun Sharing the value-at-risk under distributional ambiguity. (English) Zbl 1522.91317 Math. Finance 31, No. 1, 531-559 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91A12 × Cite Format Result Cite Review PDF Full Text: DOI
Bayraktar, Erhan; Zhang, Jingjie; Zhou, Zhou Equilibrium concepts for time-inconsistent stopping problems in continuous time. (English) Zbl 1522.91260 Math. Finance 31, No. 1, 508-530 (2021). MSC: 91G20 60G40 60J28 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Nendel, Max Markov chains under nonlinear expectation. (English) Zbl 1522.91281 Math. Finance 31, No. 1, 474-507 (2021). MSC: 91G20 60J28 34A34 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Élie, Romuald; Hubert, Emma; Mastrolia, Thibaut; Possamaï, Dylan Mean-field moral hazard for optimal energy demand response management. (English) Zbl 1522.91170 Math. Finance 31, No. 1, 399-473 (2021). MSC: 91B74 91B42 91B43 91A16 91A80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Blanchard, Romain; Carassus, Laurence Convergence of utility indifference prices to the superreplication price in a multiple-priors framework. (English) Zbl 1522.91239 Math. Finance 31, No. 1, 366-398 (2021). MSC: 91G15 91G20 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Alòs, Elisa; Fukasawa, Masaaki The asymptotic expansion of the regular discretization error of Itô integrals. (English) Zbl 1522.91257 Math. Finance 31, No. 1, 323-365 (2021). MSC: 91G20 60F05 35C20 60H07 60H05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bergault, Philippe; Guéant, Olivier Size matters for OTC market makers: general results and dimensionality reduction techniques. (English) Zbl 1522.91238 Math. Finance 31, No. 1, 279-322 (2021). MSC: 91G15 45K05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv HAL
Lee, Junbeom; Zhou, Chao Binary funding impacts in derivative valuation. (English) Zbl 1522.91279 Math. Finance 31, No. 1, 242-278 (2021). MSC: 91G20 60H07 35Q91 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Forde, Martin; Gerhold, Stefan; Smith, Benjamin Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. (English) Zbl 1522.91243 Math. Finance 31, No. 1, 203-241 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G20 91B70 60G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Fontana, Roberto; Luciano, Elisa; Semeraro, Patrizia Model risk in credit risk. (English) Zbl 1529.91070 Math. Finance 31, No. 1, 176-202 (2021). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G40 91G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Rásonyi, Miklós; Meireles-Rodrigues, Andrea On utility maximization under model uncertainty in discrete-time markets. (English) Zbl 1522.91234 Math. Finance 31, No. 1, 149-175 (2021). MSC: 91G10 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
El Euch, Omar; Mastrolia, Thibaut; Rosenbaum, Mathieu; Touzi, Nizar Optimal make-take fees for market making regulation. (English) Zbl 1522.91242 Math. Finance 31, No. 1, 109-148 (2021). MSC: 91G15 91B03 91B43 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Bayraktar, Erhan; Cayé, Thomas; Ekren, Ibrahim Asymptotics for small nonlinear price impact: a PDE approach to the multidimensional case. (English) Zbl 1522.91205 Math. Finance 31, No. 1, 36-108 (2021). MSC: 91G10 35C20 49L25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Anthropelos, Michail; Robertson, Scott; Spiliopoulos, Konstantinos Optimal investment, derivative demand, and arbitrage under price impact. (English) Zbl 1522.91204 Math. Finance 31, No. 1, 3-35 (2021). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv