| The microstructural foundations of leverage effect and rough volatility |
14 |
| The Jacobi stochastic volatility model |
9 |
| Dynamic programming approach to principal-agent problems |
9 |
| Time-consistent stopping under decreasing impatience |
9 |
| Affine forward variance models |
8 |
| Robust pricing-hedging dualities in continuous time |
7 |
| Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces |
6 |
| Equilibrium returns with transaction costs |
5 |
| Dynamically consistent investment under model uncertainty: the robust forward criteria |
5 |
| Utility maximisation in a factor model with constant and proportional transaction costs |
4 |
| An expansion in the model space in the context of utility maximization |
4 |
| An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior |
4 |
| Stability of Radner equilibria with respect to small frictions |
4 |
| Chebyshev interpolation for parametric option pricing |
4 |
| Sensitivity analysis of the utility maximisation problem with respect to model perturbations |
3 |
| Duality for pathwise superhedging in continuous time |
3 |
| An SPDE model for systemic risk with endogenous contagion |
3 |
| Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs |
3 |
| Incorporating signals into optimal trading |
3 |
| Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach |
3 |
| On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes |
3 |
| A paradox in time-consistency in the mean-variance problem? |
3 |
| An application of fractional differential equations to risk theory |
2 |
| Risk sharing for capital requirements with multidimensional security markets |
2 |
| Optimal liquidation under stochastic liquidity |
2 |
| No-arbitrage under a class of honest times |
2 |
| Replicating portfolio approach to capital calculation |
2 |
| A risk-neutral equilibrium leading to uncertain volatility pricing |
2 |
| Robust utility maximisation in markets with transaction costs |
2 |
| A multi-asset investment and consumption problem with transaction costs |
2 |
| Distributional compatibility for change of measures |
2 |
| Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty |
1 |
| Risk measures based on behavioural economics theory |
1 |
| Perfect hedging under endogenous permanent market impacts |
1 |
| Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations |
1 |
| Financial risk measures for a network of individual agents holding portfolios of light-tailed objects |
1 |
| Extreme at-the-money skew in a local volatility model |
1 |
| Multi-dimensional optimal trade execution under stochastic resilience |
1 |
| Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs |
1 |
| Dual utilities on risk aggregation under dependence uncertainty |
1 |
| Consumption, investment and healthcare with aging |
1 |
| Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices |
0 |
| Robust bounds for the American put |
0 |
| On the free boundary of an annuity purchase |
0 |
| Minimax theorems for American options without time-consistency |
0 |
| A two-dimensional control problem arising from dynamic contracting theory |
0 |
| Finite-horizon optimal investment with transaction costs: construction of the optimal strategies |
0 |
| Forward transition rates |
0 |
| An enlargement of filtration formula with applications to multiple non-ordered default times |
0 |
| Financial equilibrium with asymmetric information and random horizon |
0 |
