| The characteristic function of rough Heston models |
21 |
| A unified approach to systemic risk measures via acceptance sets |
12 |
| Optimal insurance under rank-dependent utility and incentive compatibility |
8 |
| Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix |
8 |
| PROFIT SHARING IN HEDGE FUNDS |
8 |
| Affine multiple yield curve models |
7 |
| Arbitrage-free XVA |
6 |
| Option pricing in the moderate deviations regime |
6 |
| On American VIX options under the generalized 3/2 and 1/2 models |
5 |
| On the C-property and w*-representations of risk measures |
5 |
| CONVERGENCE OF A LEAST-SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA |
5 |
| Error analysis of finite difference and Markov chain approximations for option pricing |
5 |
| Optimal portfolio under fractional stochastic environment |
5 |
| Risk management with weighted VaR |
4 |
| Static hedging and pricing of exotic options with payoff frames |
4 |
| The robust pricing-hedging duality for American options in discrete time financial markets |
4 |
| Option pricing under fast-varying long-memory stochastic volatility |
4 |
| Super-replication in fully incomplete markets |
3 |
| Trading co-integrated assets with price impact |
3 |
| Credit portfolio selection with decaying contagion intensities |
3 |
| ROBUST UTILITY MAXIMIZATION WITH LEVY PROCESSES |
3 |
| INVESTING WITH LIQUID AND ILLIQUID ASSETS |
3 |
| An efficient approach to quantile capital allocation and sensitivity analysis |
3 |
| DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM |
3 |
| SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST |
3 |
| Consistent recalibration of yield curve models |
3 |
| Liquidity effects of trading frequency |
3 |
| Trading algorithms with learning in latent alpha models |
2 |
| Cover's universal portfolio, stochastic portfolio theory, and the numeraire portfolio |
2 |
| Arrow-Debreu equilibria for rank-dependent utilities with heterogeneous probability weighting |
2 |
| Superreplication with proportional transaction cost under model uncertainty |
2 |
| Realization utility with adaptive reference points |
2 |
| Backward SDEs for control with partial information |
2 |
| MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH |
2 |
| BOUNDING WRONG-WAY RISK IN CVA CALCULATION |
2 |
| On the market viability under proportional transaction costs |
1 |
| INTERNATIONAL RESERVE MANAGEMENT: A DRIFT-SWITCHING REFLECTED JUMP-DIFFUSION MODEL |
1 |
| INDIFFERENCE PRICES AND IMPLIED VOLATILITIES |
1 |
| Distribution-constrained optimal stopping |
1 |
| ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY |
1 |
| UTILITY MAXIMIZATION IN A LARGE MARKET |
1 |
| Mean field and n-agent games for optimal investment under relative performance criteria |
1 |
| Portfolio choice with small temporary and transient price impact |
1 |
| Strict local martingales and optimal investment in a Black-Scholes model with a bubble |
1 |
| Optimal consumption and investment under transaction costs* |
1 |
| Small-cost asymptotics for long-term growth rates in incomplete markets |
1 |
| Optimal cash holdings under heterogeneous beliefs |
1 |
| Fair bilateral pricing under funding costs and exogenous collateralization |
1 |
| Conic martingales from stochastic integrals |
1 |
| On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales |
1 |
