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SIAM Journal on Financial Mathematics, Volume 12
Volume 12, Number 1, 2021
- Martin Redmann, Christian Bayer
, Pawan Goyal
Low-Dimensional Approximations of High-Dimensional Asset Price Models. 1-28 - Asaf Cohen
Optimal Dividend Problem: Asymptotic Analysis. 29-46 - Zhou Zhou:
Utility Maximization When Shorting American Options. 47-78 - Ning Ning
Well-Posedness and Stability Analysis of Two Classes of Generalized Stochastic Volatility Models. 79-109 - Cyril Bénézet
A Numerical Scheme for the Quantile Hedging Problem. 110-157 - Stephan Eckstein
Robust Pricing and Hedging of Options on Multiple Assets and Its Numerics. 158-188 - Nicole El Karoui, Mrad Mohamed:
Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium. 189-225 - Fernanda Cipriano
Optimal Portfolio for the α-Hypergeometric Stochastic Volatility Model. 226-253 - Álvaro Cartea
The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets. 254-294 - Peter Cotton
Inferring Relative Ability from Winning Probability in Multientrant Contests. 295-317 - Fabio Bellini
Law-Invariant Functionals on General Spaces of Random Variables. 318-341 - Sergey V. Lototsky, Austin Pollok:
Kelly Criterion: From a Simple Random Walk to Lévy Processes. 342-368 - Eduardo Abi Jaber, Enzo Miller, Huyên Pham
Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models. 369-409 - Chi Seng Pun
A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. 410-445 - Bastien Baldacci, Dylan Possamaï
Optimal Make-Take Fees in a Multi Market-Maker Environment. 446-486 - Simon J. A. Malham
Series Expansions and Direct Inversion for the Heston Model. 487-549
Volume 12, Number 2, 2021
- Stefano De Marco:
On the Harmonic Mean Representation of the Implied Volatility. 551-565 - Pieter M. van Staden
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. 566-603 - Hitoshi Ishii, Alexandre F. Roch
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing. 604-640 - Oleksii Mostovyi
Stability of the Indirect Utility Process. 641-671 - Peter Carr, Roger Lee, Matthew Lorig:
Pricing Variance Swaps on Time-Changed Markov Processes. 672-689 - Elisa Alòs, Frido Rolloos, Kenichiro Shiraya:
On the Difference Between the Volatility Swap Strike and the Zero Vanna Implied Volatility. 690-723 - Jamie Fox, Giray Ökten:
Brownian Path Generation and Polynomial Chaos. 724-743 - Rama Cont
A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics. 744-787 - Julia Ackermann
Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters. 788-822 - Cheng Cai, Tiziano De Angelis
Optimal Hedging of a Perpetual American Put with a Single Trade. 823-866
- Mehdi El Amrani, Antoine Jacquier
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles. - Paolo Guasoni
Short Communication: American Student Loans: Repayment and Valuation. - Peter Bank, Yan Dolinsky:
Short Communication: A Note on Utility Indifference Pricing with Delayed Information. - Benjamin M. Bolker, Matheus R. Grasselli
Short Communication: Sensitivity Analysis of an Integrated Climate-Economic Model.
Volume 12, Number 3, 2021
- Juan Li, Wenqiang Li, Gechun Liang
A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models. 867-897 - Djaffar Lessy, Nahla Dhib
May Microcredit Lead to Inclusion? 898-911 - Yuri F. Saporito
Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations. 912-940 - Xinfu Chen, Jin Liang
A Free Boundary Problem for Corporate Bond Pricing and Credit Rating Under Different Upgrade and Downgrade Thresholds. 941-966 - Alessandro Gnoatto
Cross Currency Valuation and Hedging in the Multiple Curve Framework. 967-1012 - Francesca Biagini
A Unified Approach to xVA with CSA Discounting and Initial Margin. 1013-1053 - Xiangyu Wang, Jianming Xia
Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets. 1054-1111 - Dante Mata López
Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models. 1112-1149 - Paul Jusselin:
Optimal Market Making with Persistent Order Flow. 1150-1200 - Christian Bayer
Randomized Optimal Stopping Algorithms and Their Convergence Analysis. 1201-1225 - Tao Chen, Michael Ludkovski
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. 1226-1256 - Christian Bayer
Log-Modulated Rough Stochastic Volatility Models. 1257-1284 - Robert J. Elliott
Filtering Response Directions. 1285-1306
- Marc Chataigner, Areski Cousin, Stéphane Crépey
Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints. - Matteo Burzoni
Short Communication: Robust Market-Adjusted Systemic Risk Measures.
Volume 12, Number 4, 2021
- Ariel Neufeld
Model-Free Price Bounds Under Dynamic Option Trading. 1307-1339 - Cheng-Der Fuh, Chu-Lan Michael Kao
Credit Risk Propagation in Structural-Form Models. 1340-1373 - Fred Espen Benth, Silvia Lavagnini
Correlators of Polynomial Processes. 1374-1415 - Lorenzo Mercuri
Finite Mixture Approximation of CARMA(p, q) Models. 1416-1458 - Alessandro Doldi
Conditional Systemic Risk Measures. 1459-1507 - Subas Acharya
Real Options Problem with Nonsmooth Obstacle. 1508-1552 - Bingyan Han
Time-Inconsistency with Rough Volatility. 1553-1595 - Minglian Lin, Indranil Sengupta
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model. 1596-1624
- Zachary Feinstein
Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems. - Filipe Fontanela, Antoine Jacquier
Short Communication: A Quantum Algorithm for Linear PDEs Arising in Finance. - Erhan Bayraktar
Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios.
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