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SIAM Journal on Financial Mathematics, Volume 13
Volume 13, Number 1, March 2022
- Ivan Guo, Grégoire Loeper, Jan Oblój
, Shiyi Wang
Joint Modeling and Calibration of SPX and VIX by Optimal Transport. 1-31 - Toshihiro Yamada:
Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs. 1- - Yan Dolinsky, Shir Moshe:
Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact. 12- - Fabio Bellini
Short Communication: An Axiomatization of $\Lambda$-Quantiles. 26- - Elisa Alòs, David García-Lorite, Aitor Muguruza Gonzalez:
On Smile Properties of Volatility Derivatives: Understanding the VIX Skew. 32-69 - Nils Detering
Suffocating Fire Sales. 70-108 - Jean-Pierre Fouque
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets. 109-128 - Marcel Nutz, Yuchong Zhang
Reward Design in Risk-Taking Contests. 129-146 - Yunzhang Li
A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance. 147-178 - Christian Bayer
Pricing Options under Rough Volatility with Backward SPDEs. 179-212 - Sebastian Jaimungal
Robust Risk-Aware Reinforcement Learning. 213-226 - Claude Martini
No Arbitrage SVI. 227-261 - Álvaro Cartea
Optimal Cross-Border Electricity Trading. 262-294 - Elena Vigna:
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems. 295-320 - Bahman Angoshtari
Optimal Investment and Consumption under a Habit-Formation Constraint. 321-352 - Philippe Bergault, Fayçal Drissi, Olivier Guéant:
Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein-Uhlenbeck Dynamics. 353-390
Volume 13, Number 2, June 2022
- Mauricio Elizalde
Short Communication: Chances for the Honest in Honest versus Insider Trading. 39- - Romain Blanchard, Laurence Carassus
Short Communication: Super-Replication Prices with Multiple Priors in Discrete Time. 53- - Christian Bayer, Masaaki Fukasawa
Short Communication: On the Weak Convergence Rate in the Discretization of Rough Volatility Models. 66- - Yang Shen
Mean-Variance Portfolio Selection in Contagious Markets. 391-425 - Etienne Chevalier, Sergio Pulido, Elizabeth Zúniga
American Options in the Volterra Heston Model. 426-458 - Masaaki Fujii
Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium. 459-490 - Michel Vellekoop, Marcellino Gaudenzi:
Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices. 491-520 - Lisa R. Goldberg
The Dispersion Bias. 521-550 - Eyal Neuman, Moritz Voß
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact. 551-575 - Steven Campbell, Ting-Kam Leonard Wong
Functional Portfolio Optimization in Stochastic Portfolio Theory. 576-618 - Gu Wang
Performance Fees with Stochastic Benchmark. 619-652 - Valentin Tissot-Daguette
Short Communication: Projection of Functionals and Fast Pricing of Exotic Options. 74- - Laurence Carassus
Erratum: The Robust Superreplication Problem: A Dynamic Approach. 653-655
Volume 13, Number 3, September 2022
- Hansjörg Albrecher
Optimal Ratcheting of Dividends in a Brownian Risk Model. 657-701 - Marco Avellaneda, Brian Healy, Andrew Papanicolaou
Principal Eigenportfolios for U.S. Equities. 702-744 - Xiangyu Wang, Jianming Xia
Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints. 87- - Julio D. Backhoff Veraguas, A. Max Reppen
Stochastic Control of Optimized Certainty Equivalents. 745-772 - Pavel V. Gapeev
Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information. 773-801 - Kyunghyun Park
Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity. 802-843 - Gonçalo Dos Reis, Vadim Platonov:
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players. 844-876 - Delia Coculescu
Insiders and Their Free Lunches: The Role of Short Positions. 877-902 - Hui Meng, Pengyu Wei
Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility. 903-943 - Jean-Pierre Fouque, Sebastian Jaimungal
Optimal Trading with Signals and Stochastic Price Impact. 944-968 - Christoph Belak
Optimal Investment with Time-Varying Stochastic Endowments. 969-1003 - Sara Biagini, Fausto Gozzi
Robust Portfolio Choice with Sticky Wages. 1004-1039 - Levon Avanesyan, Ronnie Sircar:
Power Mixture Forward Performance Processes. 1040-1062 - Linghui Kong, Cong Qin
Realization Utility with Path-Dependent Reference Points. 1063-1111 - Hubeyb Gurdogan, Alec N. Kercheval
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix. 1112-1143 - Gongqiu Zhang, Lingfei Li
Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients. 1144-1190 - Steven E. Shreve
Escrow and Clawback. 1191-1229 - Felix-Benedikt Liebrich
Model Uncertainty: A Reverse Approach. 1230-1269
Volume 13, Number 4, December 2022
- Yang Shen, Bin Zou
Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models. 99- - Zachary Feinstein
Short Communication: Clearing Prices under Margin Calls and the Short Squeeze. 113- - Michail Anthropelos
Competition in Fund Management and Forward Relative Performance Criteria. 1271-1301 - Peter Bank, Laura Körber:
Merton's Optimal Investment Problem with Jump Signals. 1302-1325 - Jin Hyuk Choi
Endogenous Noise Trackers in a Radner Equilibrium. 1326-1343 - Erhan Bayraktar
Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions. 123- - Felix-Benedikt Liebrich
Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives. 1344-1378 - Álvaro Cartea
Double-Execution Strategies Using Path Signatures. 1379-1417 - Julien Guyon:
The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew. 1418-1485
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