| Dynamic Portfolio Optimization with Looping Contagion Risk |
9 |
| Asymptotic Behavior of the Fractional Heston Model |
8 |
| Multivariate Shortfall Risk Allocation and Systemic Risk |
8 |
| Multifactor Approximation of Rough Volatility Models |
7 |
| Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment |
5 |
| Model-Free Portfolio Theory and Its Functional Master Formula |
4 |
| Contagion in Financial Systems: A Bayesian Network Approach |
4 |
| Worst-Case Range Value-at-Risk with Partial Information |
4 |
| Managing Default Contagion in Inhomogeneous Financial Networks |
4 |
| A General Valuation Framework for SABR and Stochastic Local Volatility Models |
4 |
| Short-Term At-the-Money Asymptotics under Stochastic Volatility Models |
3 |
| Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration |
3 |
| Dual Pricing of American Options by Wiener Chaos Expansion |
3 |
| Time-Coherent Risk Measures for Continuous-Time Markov Chains |
3 |
| Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty |
3 |
| Interbank Clearing in Financial Networks with Multiple Maturities |
3 |
| Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models |
3 |
| Equilibrium Strategies for the Moan-Variance Investment Problem over a Ransom Horizon |
3 |
| Time Consistent Stopping for the Mean-Standard Deviation Problem-The Discrete Time Case |
3 |
| Optimal Investment with Transient Price Impact |
2 |
| Exact Smooth Term-Structure Estimation |
2 |
| Optimization of Fire Sales and Borrowing in Systemic Risk |
2 |
| A Mean-Variance Approach to Capital Investment Optimization |
2 |
| The Randomized Heston Model |
2 |
| American Options with Discontinuous Two-Level Caps |
2 |
| Efficient Computation of Various Valuation Adjustments Under Local Levy Models |
2 |
| Uncertain Volatility Models with Stochastic Bounds |
2 |
| Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio |
2 |
| Principal-Agent Problem with Common Agency Without Communication |
2 |
| The Robust Superreplication Problem: A Dynamic Approach |
2 |
| Obligations with Physical Delivery in a Multilayered Financial Network |
1 |
| Dirichlet Forms and Finite Element Methods for the SABR Model |
1 |
| Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations |
1 |
| Regression-Based Complexity Reduction of the Nested Monte Carlo Methods |
1 |
| Recombining Tree Approximations for Optimal Stopping for Diffusions |
1 |
| A Nonuniformly Integrable Martingale Bubble with a Crash |
1 |
| Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information |
1 |
| Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates |
1 |
| Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization |
1 |
| Financial Asset Bubbles in Banking Networks |
1 |
| Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks |
1 |
| The Markowitz Category |
1 |
| Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method |
1 |
| Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-variance Optimization? |
1 |
| Pricing Arithmetic Asian Options Under Levy Models by Backward Induction in the Dual Space |
1 |
| Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets |
1 |
| Implied Volatility in Strict Local Martingale Models |
1 |
| Cumulative Prospect Theory with Generalized Hyperbolic Skewed t Distribution |
1 |
| Optimal Trading Policies for Wind Energy Producer |
1 |
| Duality and General Equilibrium Theory Under Knightian Uncertainty |
1 |
