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Publications at "Finance and Stochastics"( http://dblp.L3S.de/Venues/Finance_and_Stochastics )

URL (DBLP): http://dblp.uni-trier.de/db/journals/fs

Publication years (Num. hits)
1996-1997 (20) 1998 (15) 1999 (24) 2000 (24) 2001 (29) 2002 (24) 2003 (28) 2004 (29) 2005 (32) 2006 (28) 2007 (27) 2008 (24) 2009 (23) 2010 (24) 2011 (29) 2012 (30) 2013 (31) 2014 (31) 2015 (31) 2016 (33) 2017 (33) 2018 (31) 2019 (12)
Publication types (Num. hits)
article(612)
Venues (Conferences, Journals, ...)
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The graphs summarize 18 occurrences of 16 keywords

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Found 612 publication records. Showing 612 according to the selection in the facets
Hits ? Authors Title Venue Year Link Author keywords
1Charles-Albert Lehalle, Eyal Neuman Incorporating signals into optimal trading. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1David Hobson, Dominykas Norgilas Robust bounds for the American put. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Elisa Alòs, Kenichiro Shiraya Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Mario Hefter, Arnulf Jentzen On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Paolo Guasoni, Yu-Jui Huang Consumption, investment and healthcare with aging. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Delia Coculescu, Monique Jeanblanc Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Wing Fung Chong, Ying Hu, Gechun Liang, Thaleia Zariphopoulou An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Christoph Belak, Sören Christensen Utility maximisation in a factor model with constant and proportional transaction costs. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Tiziano De Angelis, Gabriele Stabile On the free boundary of an annuity purchase. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Denis Belomestny, Tobias Hübner, Volker Krätschmer, Sascha Nolte Minimax theorems for American options without time-consistency. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Jean-Paul Décamps, Stéphane Villeneuve A two-dimensional control problem arising from dynamic contracting theory. Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Alain Bensoussan 0001, Kwok Chuen Wong, Sheung Chi Phillip Yam A paradox in time-consistency in the mean-variance problem? Search on Bibsonomy Finance and Stochastics The full citation details ... 2019 DBLP  DOI  BibTeX  RDF
1Zdzislaw Brzezniak, Tayfun Kok Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Dirk Becherer, Todor Bilarev, Peter Frentrup Optimal liquidation under stochastic liquidity. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Likuan Qin, Vadim Linetsky Long-term factorization in Heath-Jarrow-Morton models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Martin Herdegen, Johannes Muhle-Karbe Stability of Radner equilibria with respect to small frictions. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum The microstructural foundations of leverage effect and rough volatility. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt, Maximilian Mair Chebyshev interpolation for parametric option pricing. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Dan Pirjol, Lingjiong Zhu Explosion in the quasi-Gaussian HJM model. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc No-arbitrage under a class of honest times. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Damien Ackerer, Damir Filipovic, Sergio Pulido The Jacobi stochastic volatility model. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic An expansion in the model space in the context of utility maximization. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Johannes Muhle-Karbe, Marcel Nutz A risk-neutral equilibrium leading to uncertain volatility pricing. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Bruno Bouchard 0002, Masaaki Fukasawa, Martin Herdegen, Johannes Muhle-Karbe Equilibrium returns with transaction costs. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Monique Jeanblanc, Libo Li, Shiqi Song An enlargement of filtration formula with applications to multiple non-ordered default times. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Masaaki Fukasawa, Mitja Stadje Perfect hedging under endogenous permanent market impacts. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Hyungbin Park Sensitivity analysis of long-term cash flows. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Patrick Beissner, Frank Riedel Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Teemu Pennanen, Ari-Pekka Perkkiö Convex duality in optimal investment and contingent claim valuation in illiquid markets. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Mathieu Cambou, Damir Filipovic Replicating portfolio approach to capital calculation. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Massimo Marinacci, Federico Severino Weak time-derivatives and no-arbitrage pricing. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Tiantian Mao, Jun Cai Risk measures based on behavioural economics theory. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Niushan Gao, Denny Leung, Cosimo Munari, Foivos Xanthos Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Martin Keller-Ressel Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Fred Espen Benth, Paul Krühner Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Stefan Gerhold, Paul Krühner Dynamic trading under integer constraints. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Ulrich Horst, Dörte Kreher Second order approximations for limit order books. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Zhaoxu Hou, Jan Oblój Robust pricing-hedging dualities in continuous time. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Yu-Jui Huang, Adrien Nguyen Huu Time-consistent stopping under decreasing impatience. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Sigrid Källblad, Jan Oblój, Thaleia Zariphopoulou Dynamically consistent investment under model uncertainty: the robust forward criteria. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Umut Çetin Financial equilibrium with asymmetric information and random horizon. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Jaksa Cvitanic, Dylan Possamaï, Nizar Touzi Dynamic programming approach to principal-agent problems. Search on Bibsonomy Finance and Stochastics The full citation details ... 2018 DBLP  DOI  BibTeX  RDF
1Ying Jiao, Olivier Klopfenstein, Peter Tankov Hedging under multiple risk constraints. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Ruodu Wang Risk bounds for factor models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1David Hobson, Anthony Neuberger Model uncertainty and the pricing of American options. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Jaksa Cvitanic, Walter Schachermayer, Hui Wang Erratum to: Utility maximization in incomplete markets with random endowment. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Tomas Björk, Mariana Khapko, Agatha Murgoci On time-inconsistent stochastic control in continuous time. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Zhi Liu 0005 Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Neofytos Rodosthenous, Mihail Zervos Watermark options. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Optimal consumption and investment with Epstein-Zin recursive utility. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Zhe Cheng, Scott Robertson Endogenous current coupons. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski, David J. Prömel Pathwise superreplication via Vovk's outer measure. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Delip Madan, Martijn Pistorius, Mitra Stadje On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Ivan Guo, Marek Rutkowski Arbitrage-free pricing of multi-person game claims in discrete time. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Daniel C. Schwarz Market completion with derivative securities. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Hao Xing Consumption-investment optimization with Epstein-Zin utility in incomplete markets. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Takuji Arai, Yuto Imai, Ryoichi Suzuki Local risk-minimization for Barndorff-Nielsen and Shephard models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Beatrice Acciaio, Martin Larsson, Walter Schachermayer The space of outcomes of semi-static trading strategies need not be closed. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Masahiko Egami, Tadao Oryu A direct solution method for pricing options involving the maximum process. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Peter Bank, Yan Dolinsky, Ari-Pekka Perkkiö The scaling limit of superreplication prices with small transaction costs in the multivariate case. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Sebastian Herrmann, Johannes Muhle-Karbe Model uncertainty, recalibration, and the emergence of delta-vega hedging. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Ying Jiao, Chunhua Ma, Simone Scotti Alpha-CIR model with branching processes in sovereign interest rate modeling. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Ioannis Karatzas, Johannes Ruf Trading strategies generated by Lyapunov functions. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Anna Aksamit, Tahir Choulli, Jun Deng, Monique Jeanblanc No-arbitrage up to random horizon for quasi-left-continuous models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Stefano Pagliarani, Andrea Pascucci The exact Taylor formula of the implied volatility. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Sebastian Herrmann, Johannes Muhle-Karbe, Frank Thomas Seifried Hedging with small uncertainty aversion. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Constantinos Kardaras, Scott Robertson Continuous-time perpetuities and time reversal of diffusions. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Vladimir Vovk The role of measurability in game-theoretic probability. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Michael B. Giles, Yuan Xia Multilevel Monte Carlo for exponential Lévy models. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1D. Baños, Thilo Meyer-Brandis, F. Proske, S. Duedahl Computing deltas without derivatives. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Michail Anthropelos, Constantinos Kardaras Equilibrium in risk-sharing games. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Julien Guyon, Romain Menegaux, Marcel Nutz Bounds for VIX futures given S&P 500 smiles. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen Hybrid scheme for Brownian semistationary processes. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Sigrid Källblad Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Luciano Campi, Ismail Laachir, Claude Martini Change of numeraire in the two-marginals martingale transport problem. Search on Bibsonomy Finance and Stochastics The full citation details ... 2017 DBLP  DOI  BibTeX  RDF
1Martin Schweizer, Dieter Sondermann Editorial: 20th anniversary of Finance and Stochastics. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Pierre Henry-Labordère, Nizar Touzi An explicit martingale version of the one-dimensional Brenier theorem. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Jiatu Cai, Masaaki Fukasawa Asymptotic replication with modified volatility under small transaction costs. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Laurens de Haan, Cécile Mercadier, Chen Zhou Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Andrew Lyasoff Another look at the integral of exponential Brownian motion and the pricing of Asian options. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Matteo Burzoni, Marco Frittelli, Marco Maggis Universal arbitrage aggregator in discrete-time markets under uncertainty. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1José E. Figueroa-López, Sveinn Ólafsson Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Jean-Pierre Fouque, Matthew J. Lorig, Ronnie Sircar Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Torsten Schöneborn Adaptive basket liquidation. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Berend Roorda, Johannes Schumacher Weakly time consistent concave valuations and their dual representations. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Arash Fahim, Yu-Jui Huang Model-independent superhedging under portfolio constraints. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Tianyang Nie, Marek Rutkowski A BSDE approach to fair bilateral pricing under endogenous collateralization. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Kathrin Glau A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Peter Bank, Selim Gökay Superreplication when trading at market indifference prices. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Christa Cuchiero, Claudio Fontana, Alessandro Gnoatto A general HJM framework for multiple yield curve modelling. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Kim Weston Stability of utility maximization in nonequivalent markets. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel Risk measures with the CxLS property. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Damir Filipovic, Martin Larsson Polynomial diffusions and applications in finance. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Erwan Pierre, Stéphane Villeneuve, Xavier Warin Liquidity management with decreasing returns to scale and secured credit line. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1José E. Figueroa-López, Sveinn Ólafsson Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette Consumption-investment problem with transaction costs for Lévy-driven price processes. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Kasper Larsen, Halil Mete Soner, Gordan Zitkovic Facelifting in utility maximization. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1 Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
1Bruno Bouchard 0002, Marcel Nutz Consistent price systems under model uncertainty. Search on Bibsonomy Finance and Stochastics The full citation details ... 2016 DBLP  DOI  BibTeX  RDF
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