| Mean field game of controls and an application to trade crowding |
8 |
| Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option |
6 |
| Arbitrage and utility maximization in market models with an insider |
4 |
| Sensitivity analysis for expected utility maximization in incomplete Brownian market models |
3 |
| Robust return risk measures |
3 |
| Irreversible investment with fixed adjustment costs: a stochastic impulse control approach |
3 |
| Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs |
2 |
| A switching microstructure model for stock prices |
2 |
| Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework |
2 |
| Multidimensional investment problem |
2 |
| Increasing risk aversion and life-cycle investing |
2 |
| Existence of a Radner equilibrium in a model with transaction costs |
2 |
| Asymptotic asset pricing and bubbles |
1 |
| Chisini means and rational decision making: equivalence of investment criteria |
1 |
| Martingale problem under nonlinear expectations |
1 |
| Optimal rebalancing frequencies for multidimensional portfolios |
1 |
| Sensitivity analysis for marked Hawkes processes: application to CLO pricing |
1 |
| A scaled version of the double-mean-reverting model for VIX derivatives |
1 |
| Time consistency for set-valued dynamic risk measures for bounded discrete-time processes |
1 |
| Bubbles in assets with finite life |
1 |
| Minskyan classical growth cycles: stability analysis of a stock-flow consistent macrodynamic model |
1 |
| Golden options in financial mathematics |
1 |
| Impact of contingent payments on systemic risk in financial networks |
1 |
| Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty |
1 |
| Asset prices in an ambiguous economy |
1 |
| Borrowing constraints, effective flexibility in labor supply, and portfolio selection |
1 |
| Optimal investment with random endowments and transaction costs: duality theory and shadow prices |
1 |
| Characterizations of risk aversion in cumulative prospect theory |
1 |
| Nonlinear equity valuation using conic finance and its regulatory implications |
1 |
| Cointegration in continuous time for factor models |
0 |
| Optimal credit investment and risk control for an insurer with regime-switching |
0 |
| Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles |
0 |
| The financial market: not as big as you think |
0 |
| Foreign exchange markets with Last Look |
0 |
| Turnpike property and convergence rate for an investment and consumption model |
0 |
| Backward nonlinear expectation equations |
0 |
| Combining different models |
0 |
| Symmetry axioms and perceived ambiguity |
0 |
| Consumption-investment problem with pathwise ambiguity under logarithmic utility |
0 |
| A macroscopic portfolio model: from rational agents to bounded rationality |
0 |
| How local in time is the no-arbitrage property under capital gains taxes? |
0 |
| An integral representation of elasticity and sensitivity for stochastic volatility models |
0 |
| Disentangling price, risk and model risk: V&R measures |
0 |
| Dynamic asset allocation with event risk, transaction costs and predictable returns |
0 |
| Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances |
0 |
| Black-Scholes in a CEV random environment |
0 |
| Strongly consistent multivariate conditional risk measures |
0 |
| A Neyman-Pearson problem with ambiguity and nonlinear pricing |
0 |
