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Annals of Finance

Short Title: Ann. Finance
Publisher: Springer, Berlin/Heidelberg
ISSN: 1614-2446; 1614-2454/e
Online: https://link.springer.com/journal/10436/volumes-and-issues
Comments: Journal
Documents Indexed: 359 Publications (since 2005)
References Indexed: 355 Publications with 10,549 References.
all top 5

Latest Issues

20, No. 2 (2024)
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19, No. 4 (2023)
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10, No. 4 (2014)
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9, No. 4 (2013)
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8, No. 4 (2012)
8, No. 2-3 (2012)
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7, No. 4 (2011)
7, No. 3 (2011)
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6, No. 4 (2010)
6, No. 3 (2010)
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5, No. 3-4 (2009)
5, No. 2 (2009)
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3, No. 4 (2007)
3, No. 3 (2007)
3, No. 2 (2007)
3, No. 1 (2007)
2, No. 4 (2006)
2, No. 3 (2006)
2, No. 2 (2006)
2, No. 1 (2006)
1, No. 4 (2005)
1, No. 3 (2005)
1, No. 2 (2005)
1, No. 1 (2005)
all top 5

Authors

12 Madan, Dilip B.
7 Elliott, Robert James
7 Viens, Frederi G.
5 D’Amico, Guglielmo
5 Fernholz, Erhard Robert
5 Leung, Tim
4 Evstigneev, Igor V.
4 Karatzas, Ioannis
4 Schoutens, Wim
4 Siu, Tak Kuen
3 Chan, Leunglung
3 Escobar Anel, Marcos
3 Hainaut, Donatien
3 Haley, M. Ryan
3 Jarrow, Robert Alan
3 Lucchetta, Marcella
3 Protter, Philip Elliott
3 Rásonyi, Miklós
3 Sarantsev, Andrey
3 Tsomocos, Dimitrios P.
3 Vanden, Joel M.
2 Amir, Rabah
2 Angoshtari, Bahman
2 Barnett, William Arnold
2 Barucci, Emilio
2 Bayraktar, Erhan
2 Bernhardt, Dan
2 Bottazzi, Giulio
2 Brogi, Marina
2 Carassus, Laurence
2 Christodoulakis, George A.
2 Chronopoulou, Alexandra
2 Coleman, Thomas F.
2 Cvitanić, Jakša
2 D’Addona, Stefano
2 De Blasis, Riccardo
2 de Castro, Luciano I.
2 Fabozzi, Frank J.
2 Fajardo, José
2 Fard, Farzad Alavi
2 Flor, Christian Riis
2 Fouque, Jean-Pierre
2 Gersbach, Hans
2 Gietzmann, Miles B.
2 Heunis, Andrew J.
2 Ibragimov, Rustam
2 Ichiba, Tomoyuki
2 Instefjord, Norvald
2 Jalles, João Tovar
2 Jensen, Bjarne Astrup
2 Junike, Gero
2 Kojima, Naoki
2 Kwon, Oh Kang
2 Lagasio, Valentina
2 LaPlante, Alex
2 Levendorskiĭ, Sergeĭ Zakharovich
2 Mandelbrot, Benoit B.
2 Marinelli, Carlo
2 Martin, Antoine
2 Martins-da-Rocha, V. Filipe
2 Nielsen, Jørgen Aase
2 Olmo, Jose
2 Ostaszewski, Adam J.
2 Petroni, Filippo
2 Pinheiro, Marcelo
2 Rossetto, Silvia
2 Rubtsov, Alexey
2 Sadefo Kamdem, Jules
2 Sasaki, Kouji
2 Sayit, Hasanjan
2 Schenk-Hoppé, Klaus Reiner
2 Severini, Thomas A.
2 Shen, Jia
2 Shorish, Jamsheed
2 Shubik, Martin
2 Sussman, Oren
2 Takayama, Shino
2 Taub, Bart
2 Thijssen, Jacco J. J.
2 Tian, Weidong
2 Ventre, Viviana
2 Villani, Giovanni
2 Walden, Johan
2 Wang, King-Hang
2 Yannelis, Nicholas Constantine
2 Yor, Marc
2 Young, Virginia R.
2 Ziemba, William T.
2 Žitković, Gordan
1 Acciaio, Beatrice
1 Agosto, Arianna
1 Al-Zoubi, Haitham A.
1 Alaminos, David
1 Alekseev, Aleksandr G.
1 Alghalith, Moawia
1 Alvarez, Luis H. R.
1 Alwathnani, Abdulaziz M.
1 Andreev, Mikhail
1 Andruszkiewicz, Grzegorz
1 Anthropelos, Michail
...and 441 more Authors
all top 5

Fields

359 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
82 Probability theory and stochastic processes (60-XX)
49 Statistics (62-XX)
7 Systems theory; control (93-XX)
5 Operations research, mathematical programming (90-XX)
3 General and overarching topics; collections (00-XX)
3 Numerical analysis (65-XX)
1 History and biography (01-XX)
1 Real functions (26-XX)
1 Special functions (33-XX)
1 Partial differential equations (35-XX)
1 Integral equations (45-XX)
1 Functional analysis (46-XX)
1 Calculus of variations and optimal control; optimization (49-XX)

Publications by Year

all cited Publications top 5 cited Publications

Citations contained in zbMATH Open

233 Publications have been cited 1,562 times in 1,224 Documents Cited by ▼ Year ▼
Option pricing and Esscher transform under regime switching. Zbl 1233.91270
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen
204
2005
Affine fractional stochastic volatility models. Zbl 1298.60067
Comte, F.; Coutin, L.; Renault, E.
63
2012
The fundamental theorem of asset pricing for continuous processes under small transaction costs. Zbl 1239.91190
Guasoni, Paolo; Rásonyi, Miklós; Schachermayer, Walter
51
2010
Estimation and pricing under long-memory stochastic volatility. Zbl 1298.91160
Chronopoulou, Alexandra; Viens, Frederi G.
49
2012
Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244
Fernholz, Robert; Karatzas, Ioannis
47
2005
Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris
40
2014
Robust consumption and portfolio choice for time varying investment opportunities. Zbl 1233.91248
Liu, Hening
38
2010
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy
28
2020
Risk measure pricing and hedging in incomplete markets. Zbl 1233.91291
Xu, Mingxin
28
2006
Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey
26
2014
Maximum likelihood estimation of the double exponential jump-diffusion process. Zbl 1233.91330
Ramezani, Cyrus A.; Zeng, Yong
25
2007
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
22
2015
Optimal portfolio allocation with higher moments. Zbl 1233.91238
Cvitanić, Jakša; Polimenis, Vassilis; Zapatero, Fernando
21
2008
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil
21
2017
Asset market games of survival: a synthesis of evolutionary and dynamic games. Zbl 1298.91198
Amir, Rabah; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner
19
2013
Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model. Zbl 1233.91117
Dempster, M. A. H.; Evstigneev, I. V.; Taksar, M. I.
19
2006
An evolutionary CAPM under heterogeneous beliefs. Zbl 1298.91132
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai
18
2013
American options: the EPV pricing model. Zbl 1233.91258
Boyarchenko, Svetlana; Levendorskii, Sergei
18
2005
A two price theory of financial equilibrium with risk management implications. Zbl 1298.91205
Madan, Dilip B.
17
2012
Pricing options in incomplete equity markets via the instantaneous Sharpe ratio. Zbl 1233.91256
Bayraktar, Erhan; Young, Virginia
16
2008
Short-term relative arbitrage in volatility-stabilized markets. Zbl 1233.91234
Banner, Adrian D.; Fernholz, Daniel
16
2008
Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei
15
2015
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis
15
2013
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
15
2014
Prospect and Markowitz stochastic dominance. Zbl 1233.91098
Wong, W.-K.; Chan, R. H.
15
2008
Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien
15
2015
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin
14
2019
Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard
13
2015
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
12
2019
Optimal portfolio choice for a behavioural investor in continuous-time markets. Zbl 1298.91147
Rásonyi, Miklós; Rodrigues, Andrea M.
12
2013
A PDE approach for risk measures for derivatives with regime switching. Zbl 1233.91271
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung
12
2008
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki
11
2017
Stochastic volatility and stochastic leverage. Zbl 1298.60070
Veraart, Almut E. D.; Veraart, Luitgard A. M.
11
2012
Statistical estimation of Lévy-type stochastic volatility models. Zbl 1298.62146
Figueroa-López, José E.
11
2012
A Gaussian calculus for inference from high frequency data. Zbl 1298.91196
Mykland, Per A.
10
2012
Arbitrage opportunities in diverse markets via a non-equivalent measure change. Zbl 1233.91342
Osterrieder, Jörg R.; Rheinländer, Thorsten
10
2006
Capital market equilibrium without riskless assets: heterogeneous expectations. Zbl 1233.91123
Won, D.; Hahn, G.; Yannelis, N. C.
9
2008
Irreversible investment and discounting: an arbitrage pricing approach. Zbl 1233.91312
Thijssen, Jacco J. J.
9
2010
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis
8
2015
On user costs of risky monetary assets. Zbl 1233.91114
Barnett, William A.; Wu, Shu
8
2005
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
7
2016
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa
7
2014
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław
7
2015
Implied and realized volatility: empirical model selection. Zbl 1298.91197
Zhang, Lan
7
2012
Dynamic capital structure and the contingent capital option. Zbl 1298.91181
Barucci, Emilio; Del Viva, Luca
7
2013
Determinants of stock market volatility and risk premia. Zbl 1233.91326
Kurz, Mordecai; Jin, Hehui; Motolese, Maurizio
7
2005
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S.
7
2008
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang
7
2008
Robust portfolio optimization with a generalized expected utility model under ambiguity. Zbl 1233.91249
Ma, Xiaoxian; Zhao, Qingzhen; Qu, Jilin
7
2008
Short note on inf-convolution preserving the Fatou property. Zbl 1233.91138
Acciaio, Beatrice
7
2009
No arbitrage conditions for simple trading strategies. Zbl 1233.91303
Bayraktar, Erhan; Sayit, Hasanjan
7
2010
Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J.
7
2015
Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico
7
2015
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C.
6
2020
Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170
Brignone, Riccardo; Sgarra, Carlo
6
2020
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia
6
2015
Strategic asset allocation with switching dependence. Zbl 1298.91138
Hainaut, Donatien; MacGilchrist, Renaud
6
2012
Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. Zbl 1298.91163
Fard, Farzad Alavi; Siu, Tak Kuen
6
2013
A semi-Markov approach to the stock valuation problem. Zbl 1298.91161
D’Amico, Guglielmo
6
2013
Negative call prices. Zbl 1298.91168
Ruf, Johannes
6
2013
Heterogeneous beliefs, the term structure and time-varying risk premia. Zbl 1233.91144
Fan, Min
6
2006
Balance, growth and diversity of financial markets. Zbl 1233.91339
Kardaras, Constantinos
6
2008
A dynamic model of entrepreneurship with borrowing constraints: theory and evidence. Zbl 1233.91191
Buera, Francisco J.
6
2009
Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume
6
2015
Momentum and reversal in financial markets with persistent heterogeneity. Zbl 1431.91375
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele
5
2019
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail
5
2020
Diversity and arbitrage in a regulatory breakup model. Zbl 1219.91161
Strong, Winslow; Fouque, Jean-Pierre
5
2011
How suboptimal are linear sharing rules? Zbl 1398.91528
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase
5
2016
Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514
Garnier, Josselin; Sølna, Knut
5
2018
Optimal dynamic basis trading. Zbl 1426.91260
Angoshtari, Bahman; Leung, Tim
5
2019
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael
5
2016
The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices. Zbl 1298.91089
Faria, Gonçalo; Correia-da-Silva, João
5
2012
On the necessity of five risk measures. Zbl 1298.91193
Guégan, Dominique; Tarrant, Wayne
5
2012
Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps. Zbl 1233.91295
Levendorskiĭ, Sergei
5
2006
Switching to a poor business activity: optimal capital structure, agency costs and covenant rules. Zbl 1233.91304
Décamps, Jean-Paul; Djembissi, Bertrand
5
2007
Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks. Zbl 1233.91116
Chen, Yu; Cosimano, Thomas F.; Himonas, Alex A.
5
2008
On the neutrality of debt in investment intensity. Zbl 1233.91313
Wong, Kit Pong
5
2010
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia
5
2015
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
5
2017
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks. Zbl 1219.91127
Ibragimov, Rustam; Walden, Johan
4
2011
Real options with unknown-date events. Zbl 1225.91066
Gutiérrez, Oscar; Ruiz-Aliseda, Francisco
4
2011
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
4
2019
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441
Roberts, Michael; SenGupta, Indranil
4
2020
The pricing kernel puzzle: survey and outlook. Zbl 1398.91576
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
4
2018
Relative performance concerns among investment managers. Zbl 1417.91485
Whitmeyer, Mark
4
2019
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. Zbl 1480.91293
Salmon, Nicholas; SenGupta, Indranil
4
2021
Benchmark-based evaluation of portfolio performance: a characterization. Zbl 1398.91497
Alekseev, Aleksandr G.; Sokolov, Mikhail V.
4
2016
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas. Zbl 1298.91206
Peng, Yue; Ng, Wing Lon
4
2012
Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility. Zbl 1298.91141
Kim, Ha-Young; Viens, Frederi G.
4
2012
Technological advances and the decision to invest. Zbl 1298.91183
Flor, Christian Riis; Hansen, Simon Lysbjerg
4
2013
Generalized volatility-stabilized processes. Zbl 1298.91146
Picková, Radka
4
2014
On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey
4
2014
The inescapable need for fractal tools in finance. Zbl 1233.91345
Mandelbrot, Benoit B.
4
2005
The non-neutrality of debt in investment timing: a new NPV rule. Zbl 1233.91301
Sabarwal, Tarun
4
2005
Financial distress, bankruptcy law and the business cycle. Zbl 1233.91198
Suarez, Javier; Sussman, Oren
4
2007
Correlation and the pricing of risks. Zbl 1233.91320
Atlan, Marc; Geman, Hélyette; Madan, Dilip B.; Yor, Marc
4
2007
Who controls Allianz? Measuring the separation of dividend and control rights under cross-ownership among firms. Zbl 1233.91068
Dorofeenko, Victor; Lang, Larry H. P.; Ritzberger, Klaus; Shorish, Jamsheed
4
2008
Technology driven organizational structure of the firm. Zbl 1233.91167
van den Brink, René; Ruys, Pieter H. M.
4
2008
Valuation before and after tax in the discrete time, finite state no arbitrage model. Zbl 1233.91193
Jensen, Bjarne Astrup
4
2009
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim
4
2017
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies. Zbl 1520.91384
Cherif, Dorsaf; Lépinette, Emmanuel
1
2023
A behavioral approach to inconsistencies in intertemporal choices with the analytic hierarchy process methodology. Zbl 1520.91396
Ventre, Viviana; Rambaud Salvador, Cruz; Martino, Roberta; Maturo, Fabrizio
1
2023
Nonparametric estimates of option prices via Hermite basis functions. Zbl 1530.91571
Marinelli, Carlo; d’Addona, Stefano
1
2023
Portfolio selection in quantile decision models. Zbl 1492.91322
de Castro, Luciano; Galvao, Antonio F.; Montes-Rojas, Gabriel; Olmo, Jose
1
2022
Options on bonds: implied volatilities from affine short-rate dynamics. Zbl 1492.91382
Lorig, Matthew; Suaysom, Natchanon
1
2022
Derivatives-based portfolio decisions: an expected utility insight. Zbl 1492.91323
Escobar-Anel, Marcos; Davison, Matt; Zhu, Yichen
1
2022
Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate. Zbl 1492.91412
Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni
1
2022
Optimal group size in microlending. Zbl 1509.91041
Protter, Philip; Quintos, Alejandra
1
2022
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging. Zbl 1480.91293
Salmon, Nicholas; SenGupta, Indranil
4
2021
Valuation of R&D compound option using Markov chain approach. Zbl 1473.91028
D’Amico, Guglielmo; Villani, Giovanni
2
2021
Equilibrium asset pricing and the cross section of expected returns. Zbl 1470.91298
Vanden, Joel M.
1
2021
On modifications of the Bachelier model. Zbl 1470.91262
Melnikov, Alexander; Wan, Hongxi
1
2021
On the money creation approach to banking. Zbl 1476.91097
Faure, Salomon; Gersbach, Hans
1
2021
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models. Zbl 1461.91315
Kirkby, J. Lars; Nguyen, Duy
28
2020
A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility. Zbl 1433.91088
de Castro, Luciano I.; Pesce, Marialaura; Yannelis, Nicholas C.
6
2020
Asian options pricing in Hawkes-type jump-diffusion models. Zbl 1433.91170
Brignone, Riccardo; Sgarra, Carlo
6
2020
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail
5
2020
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing. Zbl 1437.91441
Roberts, Michael; SenGupta, Indranil
4
2020
The price leadership share: a new measure of price discovery in financial markets. Zbl 1461.91295
De Blasis, Riccardo
3
2020
Fundamental theorem of asset pricing under fixed and proportional transaction costs. Zbl 1461.91325
Brown, Martin; Zastawniak, Tomasz
2
2020
Optimal trading of a basket of futures contracts. Zbl 1443.91282
Angoshtari, Bahman; Leung, Tim
2
2020
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. Zbl 1437.91435
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; Fabozzi, Frank J.
2
2020
Development banking under weak institutions and imperfect credit markets. Zbl 1461.91306
Senra Hodelin, Reynaldo
1
2020
Forecasting volatility in bitcoin market. Zbl 1461.91305
Segnon, Mawuli; Bekiros, Stelios
1
2020
Proper measures of connectedness. Zbl 1461.91341
Maggi, Mario; Torrente, Maria-Laura; Uberti, Pierpaolo
1
2020
Leakage of rank-dependent functionally generated trading strategies. Zbl 1461.91285
Xie, Kangjianan
1
2020
An evolutionary finance model with a risk-free asset. Zbl 1461.91268
Belkov, Sergei; Evstigneev, Igor V.; Hens, Thorsten
1
2020
Extreme-strike asymptotics for general Gaussian stochastic volatility models. Zbl 1410.91450
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin
14
2019
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
12
2019
Momentum and reversal in financial markets with persistent heterogeneity. Zbl 1431.91375
Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele
5
2019
Optimal dynamic basis trading. Zbl 1426.91260
Angoshtari, Bahman; Leung, Tim
5
2019
Conic asset pricing and the costs of price fluctuations. Zbl 1410.91500
Madan, Dilip B.; Schoutens, Wim
4
2019
Relative performance concerns among investment managers. Zbl 1417.91485
Whitmeyer, Mark
4
2019
Implied liquidity risk premia in option markets. Zbl 07075028
Guillaume, Florence; Junike, Gero; Leoni, Peter; Schoutens, Wim
3
2019
Dynamic contagion in a banking system with births and defaults. Zbl 1431.91421
Ichiba, Tomoyuki; Ludkovski, Michael; Sarantsev, Andrey
2
2019
Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics. Zbl 1410.91499
Leung, Tim; Wang, Zheng
2
2019
Endogenous heterogeneity in duopoly with deterministic one-way spillovers. Zbl 1410.91317
Gama, Adriana; Maret, Isabelle; Masson, Virginie
2
2019
Change point dynamics for financial data: an indexed Markov chain approach. Zbl 1417.91564
D’Amico, Guglielmo; Lika, Ada; Petroni, Filippo
2
2019
Vanishing central bank intervention in stochastic impulse control. Zbl 1410.91343
Gagnon, Gregory
1
2019
Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy. Zbl 1426.91302
Buckley, Winston; Perera, Sandun
1
2019
Option pricing under fast-varying and rough stochastic volatility. Zbl 1418.91514
Garnier, Josselin; Sølna, Knut
5
2018
The pricing kernel puzzle: survey and outlook. Zbl 1398.91576
Cuesdeanu, Horatio; Jackwerth, Jens Carsten
4
2018
On relative performance, remuneration and risk taking of asset managers. Zbl 1418.91450
Barucci, Emilio; La Bua, Gaetano; Marazzina, Daniele
3
2018
Systemic risk in Europe: deciphering leading measures, common patterns and real effects. Zbl 1462.62643
Stolbov, Mikhail; Shchepeleva, Maria
2
2018
What determines the share of non-resident public debt ownership? Evidence from Euro area countries. Zbl 1398.91442
Jalles, João Tovar
2
2018
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes. Zbl 1397.91572
Krasin, Vladislav; Smirnov, Ivan; Melnikov, Alexander
2
2018
Financial equilibrium with non-linear valuations. Zbl 1397.91228
Madan, Dilip B.
2
2018
Asset market equilibrium with liquidity risk. Zbl 1397.91557
Jarrow, Robert
2
2018
Barrier style contracts under Lévy processes once again. Zbl 1388.91141
Fajardo, José
1
2018
Bubbles, growth and imperfection of credit market in a two-country model. Zbl 1398.91432
Shimizu, Ryosuke
1
2018
Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension. Zbl 1398.91170
Cruz Rambaud, Salvador; González Fernández, Isabel; Ventre, Viviana
1
2018
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index. Zbl 1411.91560
Issaka, Aziz; SenGupta, Indranil
21
2017
Does the Hurst index matter for option prices under fractional volatility? Zbl 1398.91588
Funahashi, Hideharu; Kijima, Masaaki
11
2017
Novel advancements in the Markov chain stock model: analysis and inference. Zbl 1458.62230
Barbu, Vlad Stefan; D’Amico, Guglielmo; De Blasis, Riccardo
5
2017
Optimal mean-reverting spread trading: nonlinear integral equation approach. Zbl 1388.91145
Kitapbayev, Yerkin; Leung, Tim
4
2017
Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise. Zbl 1411.91647
Pederzoli, Chiara; Torricelli, Costanza
3
2017
Quadratic minimization with portfolio and intertemporal wealth constraints. Zbl 1411.91533
Zhu, Dian; Heunis, Andrew J.
3
2017
Counterparty risk, central counterparty clearing and aggregate risk. Zbl 1411.91551
Deng, Binbin
2
2017
Threat of termination and firm innovation. Zbl 1398.91372
Sheikh, Shahbaz
1
2017
Portfolio selections under mean-variance preference with multiple priors for means and variances. Zbl 1398.91546
Shigeta, Yuki
1
2017
Financial market globalization, nonconvergence and credit cycles. Zbl 1388.91131
Ho, Wai-Hong
1
2017
Investment, agency conflicts, debt maturity, and loan guarantees by negotiation. Zbl 1411.91607
Gan, Liu; Yang, Zhaojun
1
2017
\(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? Zbl 1411.91505
Haley, M. Ryan
1
2017
The dampening effect of iceberg orders on small traders’ welfare, a real options perspective. Zbl 1411.91604
Delaney, Laura; Kovaleva, Polina
1
2017
Benchmarking in two price financial markets. Zbl 1398.91279
Madan, Dilip B.
7
2016
How suboptimal are linear sharing rules? Zbl 1398.91528
Jensen, Bjarne Astrup; Nielsen, Jørgen Aase
5
2016
Intragroup transfers, intragroup diversification and their risk assessment. Zbl 1398.91330
Haier, Andreas; Molchanov, Ilya; Schmutz, Michael
5
2016
Benchmark-based evaluation of portfolio performance: a characterization. Zbl 1398.91497
Alekseev, Aleksandr G.; Sokolov, Mikhail V.
4
2016
Adapted hedging. Zbl 1398.91608
Madan, Dilip B.
3
2016
Saddlepoint approximations to option price in a regime-switching model. Zbl 1398.91622
Zhang, Mengzhe; Chan, Leunglung
2
2016
Risk premia in option markets. Zbl 1398.91607
Madan, Dilip B.
2
2016
The skewness risk premium in equilibrium and stock return predictability. Zbl 1398.91692
Sasaki, Hiroshi
2
2016
Relative asset price bubbles. Zbl 1398.91565
Bilina Falafala, Roseline; Jarrow, Robert A.; Protter, Philip
1
2016
Monetary policy games, financial instability and incomplete information. Zbl 1398.91435
Barrett, Charles Richard; Kokores, Ioanna; Sen, Somnath
1
2016
Optimal capital structures for private firms. Zbl 1398.91660
Vanden, Joel M.
1
2016
Impact of risk aversion and countervailing tax in oligopoly. Zbl 1398.91403
Jin, Jim Y.; Kobayashi, Shinji
1
2016
Credit risk analysis with creditor’s option to extend maturities. Zbl 1398.91644
Ikeda, Ryoichi; Igarashi, Yoske
1
2016
On the impact of macroeconomic news surprises on treasury-bond returns. Zbl 1398.91581
El Ouadghiri, Imane; Mignon, Valérie; Boitout, Nicolas
1
2016
Asset pricing theory for two price economies. Zbl 1311.91107
Madan, Dilip B.
22
2015
Dynamic portfolio selection with mispricing and model ambiguity. Zbl 1311.91176
Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei
15
2015
Capital distribution and portfolio performance in the mean-field Atlas model. Zbl 1319.91145
Jourdain, Benjamin; Reygner, Julien
15
2015
Optimization of relative arbitrage. Zbl 1369.91168
Wong, Ting-Kam Leonard
13
2015
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis
8
2015
Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account. Zbl 1369.91203
Rola, Przemysław
7
2015
Quadratic minimization with portfolio and terminal wealth constraints. Zbl 1315.91077
Heunis, Andrew J.
7
2015
Variance matters (in stochastic dividend discount models). Zbl 1314.91203
Agosto, Arianna; Moretto, Enrico
7
2015
Credit risk and contagion via self-exciting default intensity. Zbl 1369.91188
Elliott, Robert J.; Shen, Jia
6
2015
Diversified minimum-variance portfolios. Zbl 1315.91057
Coqueret, Guillaume
6
2015
Dynamic optimal capital structure with regime switching. Zbl 1403.91367
Elliott, Robert J.; Shen, Jia
5
2015
Robustness of equilibrium in the Kyle model of informed speculation. Zbl 1369.91064
Boulatov, Alex; Bernhardt, Dan
2
2015
Optimal investment in multidimensional Markov-modulated affine models. Zbl 1371.91162
Neykova, Daniela; Escobar, Marcos; Zagst, Rudi
1
2015
Robust portfolio choice with stochastic interest rates. Zbl 1298.91137
Flor, Christian Riis; Larsen, Linda Sandris
40
2014
Portfolio management with stochastic interest rates and inflation ambiguity. Zbl 1336.91070
Munk, Claus; Rubtsov, Alexey
26
2014
Two price economies in continuous time. Zbl 1298.91086
Eberlein, Ernst; Madan, Dilip; Pistorius, Martijn; Schoutens, Wim; Yor, Marc
15
2014
Pricing of discount bonds with a Markov switching regime. Zbl 1319.91147
Elliott, Robert J.; Nishide, Katsumasa
7
2014
Generalized volatility-stabilized processes. Zbl 1298.91146
Picková, Radka
4
2014
On a class of diverse market models. Zbl 1298.91150
Sarantsev, Andrey
4
2014
Stability of marketable payoffs with long-term assets. Zbl 1318.91140
Bonnisseau, Jean-Marc; Chery, Achis
3
2014
Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. Zbl 1298.91096
Fard, Farzad Alavi; Rong, Ning
3
2014
Gaussian and logistic adaptations of smoothed safety first. Zbl 1298.91139
Haley, M. Ryan
3
2014
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31 Elliott, Robert James
26 Madan, Dilip B.
15 Evstigneev, Igor V.
13 Karatzas, Ioannis
13 Lépinette, Emmanuel
13 Rásonyi, Miklós
12 Hainaut, Donatien
12 Wang, Guojing
12 Yang, Hailiang
11 Sarantsev, Andrey
11 Schoutens, Wim
11 Viens, Frederi G.
11 Wong, Wing-Keung
11 Zhitlukhin, Mikhail V.
10 Dong, Yinghui
10 Wong, Ting-Kam Leonard
10 Zhang, Zhimin
9 Chan, Leunglung
9 D’Amico, Guglielmo
9 Larsson, Martin
8 Figueroa-López, José E.
8 Leung, Tim
8 Li, Zhongfei
8 Schenk-Hoppé, Klaus Reiner
8 Sgarra, Carlo
8 Wang, Wei
8 Zagst, Rudi
7 Bayraktar, Erhan
7 Ching, Wai-Ki
7 Fernholz, Erhard Robert
7 Forsyth, Peter A.
7 Mehrdoust, Farshid
7 Pal, Soumik
7 Ruf, Johannes
7 Shen, Yang
7 Thijssen, Jacco J. J.
7 Yannelis, Nicholas Constantine
7 Zeng, Yan
6 Babaei, Esmaeil
6 De Blasis, Riccardo
6 Deelstra, Griselda
6 Es-Sebaiy, Khalifa
6 Escobar Anel, Marcos
6 Funahashi, Hideharu
6 Hieber, Peter
6 Khaliq, Abdul Qayyum Masud
6 Kudryavtsev, Oleg
6 Levendorskiĭ, Sergeĭ Zakharovich
6 Mykland, Per Aslak
6 Sayit, Hasanjan
6 Schachermayer, Walter
6 Tsomocos, Dimitrios P.
6 Zhu, Songping
5 Ai, Meiqiao
5 Barnett, William Arnold
5 Brignone, Riccardo
5 Cuchiero, Christa
5 Godin, Frédéric
5 Gu, Ailing
5 Han, Miao
5 Huang, Ya
5 Jiang, Hui
5 Li, Danping
5 Li, Kai
5 Pennanen, Teemu
5 Qian, Linyi
5 Wang, Rongming
5 Zhong, Wei
5 Zhou, Jieming
4 Arai, Takuji
4 Biagini, Francesca
4 Bo, Lijun
4 Bottazzi, Giulio
4 Bouchard, Bruno
4 Carassus, Laurence
4 Chau, Huy N.
4 Chronopoulou, Alexandra
4 Cui, Zhenyu
4 Delaney, Laura
4 Escobar, Marcos
4 Fard, Farzad Alavi
4 Garcin, Matthieu
4 Garnier, Josselin
4 Giachini, Daniele
4 Guasoni, Paolo
4 Gulisashvili, Archil
4 He, Xuezhong
4 Hens, Thorsten
4 Ichiba, Tomoyuki
4 Jacquier, Antoine
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4 Kijima, Masaaki
4 Li, Xun
4 Liang, Xue
4 Mishura, Yuliya Stepanivna
4 Momeya, Romuald Hervé
4 Noorani, Idin
4 Perez-Ostafe, Lavinia
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134 Annals of Finance
63 Quantitative Finance
59 Insurance Mathematics & Economics
44 International Journal of Theoretical and Applied Finance
41 Journal of Economic Dynamics & Control
37 European Journal of Operational Research
33 Mathematics and Financial Economics
32 Finance and Stochastics
31 SIAM Journal on Financial Mathematics
30 Mathematical Finance
23 The Annals of Applied Probability
22 Economic Theory
21 Journal of Computational and Applied Mathematics
21 Communications in Statistics. Theory and Methods
21 Stochastic Processes and their Applications
19 Journal of Mathematical Economics
19 Stochastic Analysis and Applications
17 Annals of Operations Research
17 Applied Mathematical Finance
16 Journal of Econometrics
15 Journal of Industrial and Management Optimization
13 Journal of Mathematical Analysis and Applications
13 Methodology and Computing in Applied Probability
13 Decisions in Economics and Finance
13 Stochastics
11 Scandinavian Actuarial Journal
11 Review of Derivatives Research
10 North American Actuarial Journal
9 Physica A
9 Journal of Applied Probability
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9 Mathematics and Computers in Simulation
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6 Discrete Dynamics in Nature and Society
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6 Probability, Uncertainty and Quantitative Risk
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5 Acta Mathematicae Applicatae Sinica. English Series
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5 ASTIN Bulletin
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4 Lithuanian Mathematical Journal
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4 Chaos, Solitons and Fractals
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4 Statistics & Probability Letters
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4 Applied Stochastic Models in Business and Industry
4 The ANZIAM Journal
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4 Frontiers of Mathematical Finance
3 Advances in Applied Probability
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3 Systems & Control Letters
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3 Numerical Methods for Partial Differential Equations
3 Games and Economic Behavior
3 Bernoulli
3 Mathematical Problems in Engineering
3 Chaos
3 Discrete and Continuous Dynamical Systems. Series B
3 Stochastic Models
3 Journal of the Korean Statistical Society
3 Electronic Journal of Statistics
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2 Journal of the Franklin Institute
2 The Annals of Statistics
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1,049 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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