@Preamble{""}
@String{ack-nhfb = "Nelson H. F. Beebe,
University of Utah,
Department of Mathematics, 110 LCB,
155 S 1400 E RM 233,
Salt Lake City, UT 84112-0090, USA,
Tel: +1 801 581 5254,
FAX: +1 801 581 4148,
e-mail: \path|beebe@math.utah.edu|,
\path|beebe@acm.org|,
\path|beebe@computer.org| (Internet),
URL: \path|https://www.math.utah.edu/~beebe/|"}
@String{j-SIAM-J-FINANCIAL-MATH = "SIAM Journal on Financial Mathematics"}
@Article{Carmona:2010:MEC,
author = "Ren{\'e} Carmona and Ronnie Sircar",
title = "Message From the {Editors-in-Chief}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "1--1",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Carr:2010:LVE,
author = "Peter Carr and Dilip B. Madan",
title = "Local Volatility Enhanced by a Jump to Default",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "2--15",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090750731",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "91B70 (60J75)",
MRnumber = "MR2592562",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Kardaras:2010:MEM,
author = "Constantinos Kardaras and Eckhard Platen",
title = "Minimizing the expected market time to reach a certain
wealth level",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "16--29",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/080741124",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "91G10 (60H30)",
MRnumber = "MR2592563",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Liang:2010:OCR,
author = "Jin Liang and Bei Hu and Lishang Jiang",
title = "Optimal convergence rate of the binomial tree scheme
for {American} options with jump diffusion and their
free boundaries",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "30--65",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090746239",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "65K15 (35R35 35R60 91G80)",
MRnumber = "MR2592564",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Hamel:2010:DSV,
author = "Andreas H. Hamel and Frank Heyde",
title = "Duality for Set-Valued Measures of Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "66--95",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/080743494",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "91B30 (26E25)",
MRnumber = "MR2592565",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Dai:2010:CTM,
author = "Min Dai and Zuo Quan Xu and Xun Yu Zhou",
title = "Continuous-time {Markowitz}'s model with transaction
costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "96--125",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/080742889",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "93E20 (49L20 91G10)",
MRnumber = "MR2592566",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 21, 2010",
}
@Article{Feng:2010:SMA,
author = "Jin Feng and Martin Forde and Jean-Pierre Fouque",
title = "Short-maturity asymptotics for a fast mean-reverting
{Heston} stochastic volatility model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "126--141",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090745465",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "91B70 (60F10 60H30)",
MRnumber = "MR2592567",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 03, 2010",
}
@Article{Hurd:2010:FTM,
author = "T. R. Hurd and Zhuowei Zhou",
title = "A {Fourier} transform method for spread option
pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "142--157",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090750421",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
MRclass = "65T50 (35K91 91G20)",
MRnumber = "MR2592568",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 03, 2010",
}
@Article{Pennanen:2010:HCP,
author = "Teemu Pennanen and Irina Penner",
title = "Hedging of Claims with Physical Delivery under Convex
Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "158--178",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090754182",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 17, 2010",
}
@Article{Kohatsu-Higa:2010:WKB,
author = "A. Kohatsu-Higa and S. Ortiz-Latorre",
title = "Weak {Kyle}--Back Equilibrium Models for {Max} and
{ArgMax}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "179--211",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/080739768",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 17, 2010",
}
@Article{Goodman:2010:CFR,
author = "Victor Goodman and Kyounghee Kim",
title = "Common Forward Rate Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "212--229",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090750676",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 19, 2010",
}
@Article{Bardi:2010:CVM,
author = "Martino Bardi and Annalisa Cesaroni and Luigi Manca",
title = "Convergence by Viscosity Methods in Multiscale
Financial Models with Stochastic Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "230--265",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090748147",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 19, 2010",
}
@Article{Zariphopoulou:2010:MIR,
author = "Thaleia Zariphopoulou and Gordan {\v{Z}}itkovi{\'c}",
title = "Maturity-Independent Risk Measures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "266--288",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/080739732",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 24, 2010",
}
@Article{Benhamou:2010:TDH,
author = "E. Benhamou and E. Gobet and M. Miri",
title = "Time Dependent {Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "289--325",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090753814",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed May 19 19:11:57 MDT 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "April 21, 2010",
}
@Article{Musiela:2010:PCU,
author = "M. Musiela and T. Zariphopoulou",
title = "Portfolio Choice under Space-Time Monotone Performance
Criteria",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "326--365",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 26, 2010",
}
@Article{BenTahar:2010:MPT,
author = "Imen {Ben Tahar} and H. Mete Soner and Nizar Touzi",
title = "{Merton} Problem with Taxes: Characterization,
Computation, and Approximation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "366--395",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 26, 2010",
}
@Article{Molchanov:2010:MEP,
author = "Ilya Molchanov and Michael Schmutz",
title = "Multivariate Extension of Put-Call Symmetry",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "396--426",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 26, 2010",
}
@Article{Robert:2010:MHE,
author = "Christian Y. Robert and Mathieu Rosenbaum",
title = "On the Microstructural Hedging Error",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "427--453",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "June 03, 2010",
}
@Article{Hepperger:2010:OPH,
author = "Peter Hepperger",
title = "Option Pricing in {Hilbert} Space-Valued
Jump-Diffusion Models Using Partial
Integro-Differential Equations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "454--489",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 01, 2010",
}
@Article{Alfonsi:2010:OTE,
author = "Aur{\'e}lien Alfonsi and Alexander Schied",
title = "Optimal Trade Execution and Absence of Price
Manipulations in Limit Order Book Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "490--522",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 01, 2010",
}
@Article{Filipovic:2010:TSM,
author = "Damir Filipovi{\'c} and Stefan Tappe and Josef
Teichmann",
title = "Term Structure Models Driven by {Wiener} Processes and
{Poisson} Measures: Existence and Positivity",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "523--554",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 01, 2010",
}
@Article{Cont:2010:DII,
author = "Rama Cont and Romain Deguest and Yu Hang Kan",
title = "Default Intensities Implied by {CDO} Spreads:
Inversion Formula and Model Calibration",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "555--585",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 08, 2010",
}
@Article{Avellaneda:2010:PDL,
author = "Marco Avellaneda and Stanley Zhang",
title = "Path-Dependence of Leveraged {ETF} Returns",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "586--603",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 08, 2010",
}
@Article{Rogers:2010:DVH,
author = "L. C. G. Rogers",
title = "Dual Valuation and Hedging of {Bermudan} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "604--608",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 15, 2010",
}
@Article{Gulisashvili:2010:AFE,
author = "Archil Gulisashvili",
title = "Asymptotic Formulas with Error Estimates for Call
Pricing Functions and the Implied Volatility at Extreme
Strikes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "609--641",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 17, 2010",
}
@Article{Errais:2010:APP,
author = "Eymen Errais and Kay Giesecke and Lisa R. Goldberg",
title = "Affine Point Processes and Portfolio Credit Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "642--665",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 16, 2010",
}
@Article{Bensoussan:2010:ROG,
author = "Alain Bensoussan and J. David Diltz and SingRu Hoe",
title = "Real Options Games in Complete and Incomplete Markets
with Several Decision Makers",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "666--728",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 29, 2010",
}
@Article{Hinz:2010:SCC,
author = "Juri Hinz and Max Fehr",
title = "Storage Costs in Commodity Option Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "729--751",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 12, 2010",
}
@Article{Putzig:2010:OAF,
author = "L. Putzig and D. Becherer and I. Horenko",
title = "Optimal Allocation of a Futures Portfolio Utilizing
Numerical Market Phase Detection",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "752--779",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 21, 2010",
}
@Article{Dai:2010:TFT,
author = "M. Dai and Q. Zhang and Q. J. Zhu",
title = "Trend Following Trading under a Regime Switching
Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "780--810",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 21, 2010",
}
@Article{Kratschmer:2010:ROS,
author = "Volker Kr{\"a}tschmer and John Schoenmakers",
title = "Representations for Optimal Stopping under Dynamic
Monetary Utility Functionals",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "811--832",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 21, 2010",
}
@Article{Corielli:2010:PAD,
author = "Francesco Corielli and Paolo Foschi and Andrea
Pascucci",
title = "Parametrix Approximation of Diffusion Transition
Densities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "833--867",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Nov 29 10:09:51 MST 2010",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "November 11, 2010",
}
@Article{Giesecke:2010:EES,
author = "K. Giesecke and H. Kakavand and M. Mousavi and H.
Takada",
title = "Exact and Efficient Simulation of Correlated
Defaults",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "868--896",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090778055",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:07 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p868_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "November 30, 2010",
}
@Article{Kharroubi:2010:OPL,
author = "Idris Kharroubi and Huy{\^e}n Pham",
title = "Optimal Portfolio Liquidation with Execution Cost and
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "897--931",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09076372X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:07 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p897_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "December 07, 2010",
}
@Article{Park:2010:PSU,
author = "Sungwoo Park and Dianne P. O'Leary",
title = "Portfolio Selection Using {Tikhonov} Filtering to
Estimate the Covariance Matrix",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "1",
number = "1",
pages = "932--961",
month = "????",
year = "2010",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090749372",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:07 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p932_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "December 14, 2010",
}
@Article{Arai:2011:GDB,
author = "Takuji Arai",
title = "Good Deal Bounds Induced by Shortfall Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "1--21",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090769120",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 11, 2011",
}
@Article{Davis:2011:JDR,
author = "Mark Davis and S{\'e}bastien Lleo",
title = "Jump-Diffusion Risk-Sensitive Asset Management {I}:
Diffusion Factor Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "22--54",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090760180",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p22_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 13, 2011",
}
@Article{Broden:2011:CHO,
author = "Mats Brod{\'e}n and Magnus Wiktorsson",
title = "On the Convergence of Higher Order Hedging Schemes:
The Delta--Gamma Case",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "55--78",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090779905",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p55_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 20, 2011",
}
@Article{Levendorskii:2011:CPS,
author = "Sergei Levendorskii",
title = "Convergence of Price and Sensitivities in {Carr}'s
Randomization Approximation Globally and Near Barrier",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "79--111",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100788331",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p79_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 20, 2011",
}
@Article{Cont:2011:DHP,
author = "Rama Cont and Yu Hang Kan",
title = "Dynamic Hedging of Portfolio Credit Derivatives",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "112--140",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090750937",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p112_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 01, 2011",
}
@Article{Cox:2011:RHD,
author = "A. M. G. Cox and Jan Obloj",
title = "Robust Hedging of Double Touch Barrier Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "141--182",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090777487",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Mar 4 09:25:10 MST 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p141_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "February 03, 2011",
}
@Article{Predoiu:2011:OEG,
author = "Silviu Predoiu and Gennady Shaikhet and Steven
Shreve",
title = "Optimal Execution in a General One-Sided Limit-Order
Book",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "183--212",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/10078534X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu May 12 18:48:33 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p183_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 09, 2011",
}
@Article{Beiglbock:2011:MVO,
author = "Mathias Beiglb{\"o}ck and Peter Friz and Stephan
Sturm",
title = "Is the Minimum Value of an Option on Variance
Generated by Local Volatility?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "213--220",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100800166",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu May 12 18:48:33 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p213_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 09, 2011",
}
@Article{Fouque:2011:FMR,
author = "Jean-Pierre Fouque and Matthew J. Lorig",
title = "A Fast Mean-Reverting Correction to {Heston}'s
Stochastic Volatility Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "221--254",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090761458",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu May 12 18:48:33 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p221_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 09, 2011",
}
@Article{Grzelak:2011:HMS,
author = "Lech A. Grzelak and Cornelis W. Oosterlee",
title = "On the {Heston} Model with Stochastic Interest Rates",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "255--286",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090756119",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu May 12 18:48:33 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p255_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 15, 2011",
}
@Article{Cont:2011:RBO,
author = "Rama Cont and Nicolas Lantos and Olivier Pironneau",
title = "A Reduced Basis for Option Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "287--316",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/10079851X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu May 12 18:48:33 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p287_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "March 29, 2011",
}
@Article{Jena:2011:AOM,
author = "Rudra P. Jena and Peter Tankov",
title = "Arbitrage Opportunities in Misspecified Stochastic
Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "317--341",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100786678",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p317_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 24, 2011",
}
@Article{Abergel:2011:NLR,
author = "Fr{\'e}d{\'e}ric Abergel and Nicolas Millot",
title = "Nonquadratic Local Risk-Minimization for Hedging
Contingent Claims in Incomplete Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "342--356",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100803079",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p342_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 24, 2011",
}
@Article{Frittelli:2011:DRQ,
author = "Marco Frittelli and Marco Maggis",
title = "Dual Representation of Quasi-convex Conditional Maps",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "357--382",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09078033X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p357_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "May 24, 2011",
}
@Article{Fusai:2011:PDM,
author = "Gianluca Fusai and Daniele Marazzina and Marina
Marena",
title = "Pricing Discretely Monitored {Asian} Options by
Maturity Randomization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "383--403",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09076115X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p383_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "June 07, 2011",
}
@Article{Bouchard:2011:OCT,
author = "Bruno Bouchard and Ngoc-Minh Dang and Charles-Albert
Lehalle",
title = "Optimal Control of Trading Algorithms: a General
Impulse Control Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "404--438",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090777293",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p404_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "June 07, 2011",
}
@Article{Fang:2011:FBV,
author = "Fang Fang and Cornelis W. Oosterlee",
title = "A {Fourier}-Based Valuation Method for {Bermudan} and
Barrier Options under {Heston}'s Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "439--463",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100794158",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Jul 19 12:47:27 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p439_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 19, 2011",
}
@Article{Jaimungal:2011:LBC,
author = "Sebastian Jaimungal and Vladimir Surkov",
title = "{L{\'e}vy}-Based Cross-Commodity Models and Derivative
Valuation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "464--487",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100791609",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Aug 24 15:12:56 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p464_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "July 21, 2011",
}
@Article{Ludkovski:2011:SSG,
author = "Michael Ludkovski",
title = "Stochastic Switching Games and Duopolistic Competition
in Emissions Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "488--511",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100784977",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Aug 24 15:12:56 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p488_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 09, 2011",
}
@Article{Goodman:2011:ORT,
author = "Jonathan Goodman and Daniel N. Ostrov",
title = "An Option to Reduce Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "512--537",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100798053",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Aug 24 15:12:56 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p512_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 09, 2011",
}
@Article{Jourdain:2011:REB,
author = "B. Jourdain and M. H. Vellekoop",
title = "Regularity of the Exercise Boundary for {American} Put
Options on Assets with Discrete Dividends",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "538--561",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100800889",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Aug 24 15:12:56 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p538_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 16, 2011",
}
@Article{Bender:2011:PDP,
author = "Christian Bender",
title = "Primal and Dual Pricing of Multiple Exercise Options
in Continuous Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "562--586",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09077076X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Aug 24 15:12:56 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p562_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 18, 2011",
}
@Article{DelMoral:2011:RSE,
author = "Pierre {Del Moral} and Peng Hu and Nadia Oudjane and
Bruno R{\'e}millard",
title = "On the Robustness of the {Snell} Envelope",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "587--626",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100798016",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p587_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "August 25, 2011",
}
@Article{Bush:2011:SEE,
author = "N. Bush and B. M. Hambly and H. Haworth and L. Jin and
C. Reisinger",
title = "Stochastic Evolution Equations in Portfolio Credit
Modelling",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "627--664",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100796777",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p627_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 15, 2011",
}
@Article{Fouque:2011:SDO,
author = "Jean-Pierre Fouque and Sebastian Jaimungal and Matthew
J. Lorig",
title = "Spectral Decomposition of Option Prices in Fast
Mean-Reverting Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "665--691",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100803614",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p665_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 15, 2011",
}
@Article{Huang:2011:SAE,
author = "Xinzheng Huang and Cornelis W. Oosterlee",
title = "Saddlepoint Approximations for Expectations and an
Application to {CDO} Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "692--714",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100784084",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p692_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 22, 2011",
}
@Article{Wu:2011:MRS,
author = "Zhijian Wu and Chunhui Yu and Xiaohua Zheng",
title = "Managing Risk with Short-Term Futures Contracts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "715--726",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100782437",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p715_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 22, 2011",
}
@Article{Bian:2011:SVF,
author = "Baojun Bian and Sheng Miao and Harry Zheng",
title = "Smooth Value Functions for a Class of Nonsmooth
Utility Maximization Problems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "727--747",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100793396",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p727_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 22, 2011",
}
@Article{Dmitrasinovic-Vidovic:2011:OPM,
author = "Gordana Dmitrasinovi{\'c}-Vidovi{\'c} and Antony
Ware",
title = "Optimal Portfolios of Mean-Reverting Instruments",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "748--767",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100787714",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p748_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "September 29, 2011",
}
@Article{Leung:2011:OTP,
author = "Tim Leung and Mike Ludkovski",
title = "Optimal Timing to Purchase Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "768--793",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100809386",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p768_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 11, 2011",
}
@Article{Carr:2011:SHU,
author = "Peter Carr and Sergey Nadtochiy",
title = "Static Hedging under Time-Homogeneous Diffusions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "794--838",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100818303",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p794_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 11, 2011",
}
@Article{Jarrow:2011:HDA,
author = "Robert Jarrow and Younes Kchia and Philip Protter",
title = "How to Detect an Asset Bubble",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "839--865",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/10079673X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Oct 15 13:11:31 MDT 2011",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p839_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 12, 2011",
}
@Article{Dia:2011:CCB,
author = "El Hadj Aly Dia and Damien Lamberton",
title = "Continuity Correction for Barrier Options in
Jump-Diffusion Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "866--900",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100817553",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p866_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 18, 2011",
}
@Article{Cheng:2011:CFA,
author = "Wen Cheng and Nick Costanzino and John Liechty and
Anna Mazzucato and Victor Nistor",
title = "Closed-Form Asymptotics and Numerical Approximations
of {$1$D} Parabolic Equations with Applications to
Option Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "901--934",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100796832",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p901_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 25, 2011",
}
@Article{Jordan:2011:AAD,
author = "Richard Jordan and Charles Tier",
title = "Asymptotic Approximations to Deterministic and
Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "935--964",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100791890",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p935_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "October 27, 2011",
}
@Article{Johnson:2011:BBA,
author = "Paul V. Johnson and Nicholas J. Sharp and Peter W.
Duck and David P. Newton",
title = "A Bridge between {American} and {European} Options:
The ``{Ameripean}'' Delayed-Exercise Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "965--988",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09077730X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p965_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "November 03, 2011",
}
@Article{Bernhart:2011:FDA,
author = "Marie Bernhart and Peter Tankov and Xavier Warin",
title = "A Finite-Dimensional Approximation for Pricing Moving
Average Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "989--1013",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100815566",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p989_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "November 15, 2011",
}
@Article{Faidi:2011:MRU,
author = "Wahid Faidi and Anis Matoussi and Mohamed Mnif",
title = "Maximization of Recursive Utilities: a Dynamic Maximum
Principle Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "1014--1041",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100814354",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1014_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "November 29, 2011",
}
@Article{Laruelle:2011:OSO,
author = "Sophie Laruelle and Charles-Albert Lehalle and Gilles
Pag{\`e}s",
title = "Optimal Split of Orders Across Liquidity Pools: a
Stochastic Algorithm Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "2",
number = "1",
pages = "1042--1076",
month = "????",
year = "2011",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090780596",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:36 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1042_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "December 20, 2011",
}
@Article{Ekeland:2012:TCP,
author = "Ivar Ekeland and Oumar Mbodji and Traian A. Pirvu",
title = "Time-Consistent Portfolio Management",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "1--32",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100810034",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p1_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 03, 2012",
}
@Article{Figueroa-Lopez:2012:SMS,
author = "Jos{\'e} E. Figueroa-L{\'o}pez and Martin Forde",
title = "The Small-Maturity Smile for Exponential {L{\'e}vy}
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "33--65",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110820658",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p33_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 17, 2012",
}
@Article{Muhle-Karbe:2012:OPM,
author = "Johannes Muhle-Karbe and Oliver Pfaffel and Robert
Stelzer",
title = "Option Pricing in Multivariate Stochastic Volatility
Models of {OU} Type",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "66--94",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100803687",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p66_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 17, 2012",
}
@Article{Takahashi:2012:AEP,
author = "Akihiko Takahashi and Toshihiro Yamada",
title = "An Asymptotic Expansion with Push-Down of {Malliavin}
Weights",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "95--136",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100807624",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p95_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 24, 2012",
}
@Article{Glasserman:2012:QTA,
author = "Paul Glasserman and Sira Suchintabandid",
title = "Quadratic Transform Approximation for {CDO} Pricing in
Multifactor Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "137--162",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110827399",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p137_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 26, 2012",
}
@Article{Almgren:2012:OTS,
author = "Robert Almgren",
title = "Optimal Trading with Stochastic Liquidity and
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "163--181",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090763470",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p163_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 31, 2012",
}
@Article{Carr:2012:ECM,
author = "Peter Carr and Laurent Cousot",
title = "Explicit Constructions of Martingales Calibrated to
Given Implied Volatility Smiles",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "182--214",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100809933",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 9 07:37:42 MST 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p182_s1",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 31, 2012",
}
@Article{Howison:2012:AAA,
author = "Sam Howison",
title = "Asymptotic Approximations for {Asian}, {European}, and
{American} Options with Discrete Averaging or Discrete
Dividend\slash Coupon Payments",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "215--241",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090771636",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Campi:2012:WIT,
author = "L. Campi and M. {Del Vigna}",
title = "Weak Insider Trading and Behavioral Finance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "242--279",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110824693",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Cheridito:2012:PCS,
author = "Patrick Cheridito and Ashkan Nikeghbali and Eckhard
Platen",
title = "Processes of Class Sigma, Last Passage Times, and
Drawdowns",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "280--303",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/09077878X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Bauerle:2012:RIP,
author = "Nicole B{\"a}uerle and Sebastian P. Urban and Luitgard
A. M. Veraart",
title = "The Relaxed Investor with Partial Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "304--327",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100813646",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Cheridito:2012:PHA,
author = "Patrick Cheridito and Alexander Wugalter",
title = "Pricing and Hedging in Affine Models with Possibility
of Default",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "328--350",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100816730",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Bayraktar:2012:VES,
author = "Erhan Bayraktar and Constantinos Kardaras and Hao
Xing",
title = "Valuation Equations for Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "351--373",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110842302",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Rodriguez:2012:EAD,
author = "J. Orozco Rodriguez and F. Santosa",
title = "Estimation of Asset Distributions from Option Prices:
Analysis and Regularization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "374--401",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100813245",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Filipovic:2012:ACR,
author = "Damir Filipovi{\'c} and Michael Kupper and Nicolas
Vogelpoth",
title = "Approaches to Conditional Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "402--432",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090773076",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Bichuch:2012:AAO,
author = "Maxim Bichuch",
title = "Asymptotic Analysis for Optimal Investment in Finite
Time with Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "433--458",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100808046",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Reisinger:2012:UPI,
author = "C. Reisinger and J. H. Witte",
title = "On the Use of Policy Iteration as an Easy Way of
Pricing {American} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "459--478",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110823328",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Abbas-Turki:2012:AOM,
author = "L. A. Abbas-Turki and B. Lapeyre",
title = "{American} Options by {Malliavin} Calculus and
Nonparametric Variance and Bias Reduction Methods",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "479--510",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/11083890X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Alfonsi:2012:OBR,
author = "Aur{\'e}lien Alfonsi and Alexander Schied and Alla
Slynko",
title = "Order Book Resilience, Price Manipulation, and the
Positive Portfolio Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "511--533",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110822098",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Crisan:2012:SBS,
author = "D. Crisan and K. Manolarakis",
title = "Solving Backward Stochastic Differential Equations
Using the Cubature Method: Application to Nonlinear
Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "534--571",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090765766",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Giles:2012:SFD,
author = "Michael B. Giles and Christoph Reisinger",
title = "Stochastic Finite Differences and Multilevel {Monte
Carlo} for a Class of {SPDEs} in Finance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "572--592",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110841916",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Beveridge:2012:ISD,
author = "Christopher Beveridge and Mark Joshi",
title = "Interpolation Schemes in the Displaced-Diffusion
{LIBOR} Market Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "593--604",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100788008",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Capponi:2012:VAC,
author = "Agostino Capponi and Jaksa Cvitani{\'c} and T{\"u}rkay
Yolcu",
title = "A Variational Approach to Contracting under Imperfect
Observations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "605--638",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110859075",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Bauer:2012:MFS,
author = "Daniel Bauer and Fred Espen Benth and R{\"u}diger
Kiesel",
title = "Modeling the Forward Surface of Mortality",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "639--666",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100818261",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Bensoussan:2012:TTP,
author = "Alain Bensoussan and ZhongFeng Yan and G. Yin",
title = "Threshold-Type Policies for Real Options Using
Regime-Switching Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "667--689",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110833300",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Forde:2012:STS,
author = "Martin Forde and Antoine Jacquier and Roger Lee",
title = "The Small-Time Smile and Term Structure of Implied
Volatility under the {Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "690--708",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110830241",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Oct 30 12:03:22 MDT 2012",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Howison:2012:RNP,
author = "Sam Howison and Daniel Schwarz",
title = "Risk-Neutral Pricing of Financial Instruments in
Emission Markets: a Structural Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "709--739",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100815219",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:07:03 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Gueant:2012:OPL,
author = "Olivier Gu{\'e}ant and Charles-Albert Lehalle and
Joaquin Fernandez-Tapia",
title = "Optimal Portfolio Liquidation with Limit Orders",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "3",
number = "1",
pages = "740--764",
month = "????",
year = "2012",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110850475",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:07:03 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2012",
}
@Article{Cont:2013:PDM,
author = "Rama Cont and Adrien de Larrard",
title = "Price Dynamics in a {Markovian} Limit Order Market",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "1--25",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110856605",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Bichuch:2013:UMT,
author = "Maxim Bichuch and Steven Shreve",
title = "Utility Maximization Trading Two Futures with
Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "26--85",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110853649",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Schoenmakers:2013:ODM,
author = "John Schoenmakers and Jianing Zhang and Junbo Huang",
title = "Optimal Dual Martingales, Their Analysis, and
Application to New Algorithms for {Bermudan} Products",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "86--116",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110832513",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Mocha:2013:SCU,
author = "Markus Mocha and Nicholas Westray",
title = "The Stability of the Constrained Utility Maximization
Problem: a {BSDE} Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "117--150",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120862016",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Garnier:2013:LDM,
author = "Josselin Garnier and George Papanicolaou and Tzu-Wei
Yang",
title = "Large Deviations for a Mean Field Model of Systemic
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "151--184",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/12087387X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Carr:2013:WQN,
author = "Peter Carr and Travis Fisher and Johannes Ruf",
title = "Why Are Quadratic Normal Volatility Models
Analytically Tractable?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "185--202",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120871973",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Liu:2013:PSS,
author = "Ren Liu and Johannes Muhle-Karbe",
title = "Portfolio Selection with Small Transaction Costs and
Binding Portfolio Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "203--227",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120885036",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Biagini:2013:BGL,
author = "Sara Biagini and Mustafa {\c{C}}. Pinar",
title = "The Best Gain-Loss Ratio is a Poor Performance
Measure",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "228--242",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120866774",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Biagini:2013:RML,
author = "Francesca Biagini and Irene Schreiber",
title = "Risk-Minimization for Life Insurance Liabilities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "243--264",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110856836",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Pagliarani:2013:AEL,
author = "Stefano Pagliarani and Andrea Pascucci and Candia
Riga",
title = "Adjoint Expansions in Local {L{\'e}vy} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "265--296",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110858732",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Chevalier:2013:ODI,
author = "Etienne Chevalier and Vathana Ly Vath and Simone
Scotti",
title = "An Optimal Dividend and Investment Control Problem
under Debt Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "297--326",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120866816",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Achtsis:2013:CSB,
author = "Nico Achtsis and Ronald Cools and Dirk Nuyens",
title = "Conditional Sampling for Barrier Option Pricing under
the {LT} Method",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "327--352",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110855909",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Apr 1 18:09:13 MDT 2013",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Bernard:2013:PHC,
author = "Carole Bernard and Wenbo V. Li",
title = "Pricing and Hedging of {Cliquet} Options and Locally
Capped Contracts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "353--371",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/100818157",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Feng:2013:IAC,
author = "Liming Feng and Xiong Lin",
title = "Inverting Analytic Characteristic Functions and
Financial Applications",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "372--398",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110830319",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Zhang:2013:EPE,
author = "B. Zhang and C. W. Oosterlee",
title = "Efficient Pricing of {European}-Style {Asian} Options
under Exponential {L{\'e}vy} Processes Based on
{Fourier} Cosine Expansions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "399--426",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110853339",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Ware:2013:ASL,
author = "Antony Ware",
title = "Accurate Semi-{Lagrangian} Time Stepping for
Stochastic Optimal Control Problems with Application to
the Valuation of Natural Gas Storage",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "427--451",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110853546",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Sekine:2013:LTO,
author = "Jun Sekine",
title = "Long-Term Optimal Investment with a Generalized
Drawdown Constraint",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "452--473",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110830101",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Feng:2013:PBO,
author = "Liming Feng and Xiong Lin",
title = "Pricing {Bermudan} Options in {L{\'e}vy} Process
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "474--493",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120881063",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Nadtochiy:2013:ASS,
author = "Sergey Nadtochiy and Thaleia Zariphopoulou",
title = "An Approximation {Scheme} for Solution to the Optimal
Investment Problem in Incomplete Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "494--538",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120869080",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Howison:2013:ENP,
author = "S. D. Howison and C. Reisinger and J. H. Witte",
title = "The Effect of Nonsmooth Payoffs on the Penalty
Approximation of {American} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "539--574",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/12087743X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Dorsek:2013:ESC,
author = "Philipp D{\"o}rsek and Josef Teichmann",
title = "Efficient Simulation and Calibration of General {HJM}
Models by Splitting Schemes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "575--598",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110860173",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Dassios:2013:POP,
author = "Angelos Dassios and Jia Wei Lim",
title = "{Parisian} Option Pricing: a Recursive Solution for
the Density of the {Parisian} Stopping Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "599--615",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120875466",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Eberlein:2013:DTM,
author = "Ernst Eberlein and Zorana Grbac and Thorsten
Schmidt",
title = "Discrete Tenor Models for Credit Risky Portfolios
Driven by Time-Inhomogeneous {L{\'e}vy} Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "616--649",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110827132",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Monnier:2013:RND,
author = "Jean-Baptiste Monnier",
title = "Risk-Neutral Density Recovery via Spectral Analysis",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "650--667",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110840340",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Ankirchner:2013:HFP,
author = "Stefan Ankirchner and Peter Kratz and Thomas Kruse",
title = "Hedging Forward Positions: Basis Risk Versus Liquidity
Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "668--696",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130907045",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Nicole:2013:ECB,
author = "El Karoui Nicole and Mrad Mohamed",
title = "An Exact Connection between Two Solvable {SDEs} and a
Nonlinear Utility Stochastic {PDE}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "697--736",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/10081143X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{ElKaroui:2013:RRH,
author = "Noureddine {El Karoui}",
title = "On the Realized Risk of High-Dimensional {Markowitz}
Portfolios",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "737--783",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/090774926",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Fouque:2013:SMI,
author = "Jean-Pierre Fouque and Tomoyuki Ichiba",
title = "Stability in a Model of Interbank Lending",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "784--803",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110841096",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Jacquier:2013:SCL,
author = "Antoine Jacquier and Matthew Lorig",
title = "The Smile of Certain {L{\'e}vy}-Type Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "804--830",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/12090246X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Jacquier:2013:SMH,
author = "Antoine Jacquier and Patrick Roome",
title = "The Small-Maturity {Heston} Forward Smile",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "831--856",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/13091703X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Chen:2013:COS,
author = "Xinfu Chen and Min Dai",
title = "Characterization of Optimal Strategy for Multiasset
Investment and Consumption with Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "857--883",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120898991",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Monoyios:2013:MCM,
author = "Michael Monoyios",
title = "{Malliavin} Calculus Method for Asymptotic Expansion
of Dual Control Problems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "884--915",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120892441",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Papanicolaou:2013:DRD,
author = "Andrew Papanicolaou",
title = "Dimension Reduction in Discrete Time Portfolio
Optimization with Partial Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "4",
number = "1",
pages = "916--960",
month = "????",
year = "2013",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120897596",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Tue Feb 11 08:01:22 MST 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2013",
}
@Article{Griessler:2014:COD,
author = "Claus Griessler and Martin Keller-Ressel",
title = "Convex Order of Discrete, Continuous, and Predictable
Quadratic Variation and Applications to Options on
Variance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "1--19",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120893690",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Bayraktar:2014:CSP,
author = "Erhan Bayraktar and Zhou Zhou",
title = "On Controller-Stopper Problems with Jumps and Their
Applications to Indifference Pricing of {American}
Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "20--49",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120903336",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Bressan:2014:DBS,
author = "Alberto Bressan and Giancarlo Facchi",
title = "Discrete Bidding Strategies for a Random Incoming
Order",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "50--70",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130917685",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Benth:2014:ALS,
author = "Fred Espen Benth and Heidar Eyjolfsson and Almut E. D.
Veraart",
title = "Approximating {L{\'e}vy} Semistationary Processes via
{Fourier} Methods in the Context of Power Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "71--98",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130905320",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Zheng:2014:MBA,
author = "Ban Zheng and Fran{\c{c}}ois Roueff and
Fr{\'e}d{\'e}ric Abergel",
title = "Modelling Bid and Ask Prices Using Constrained
{Hawkes} Processes: Ergodicity and Scaling Limit",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "99--136",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130912980",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Bank:2014:OOS,
author = "Peter Bank and Antje Fruth",
title = "Optimal Order Scheduling for Deterministic Liquidity
Patterns",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "137--152",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120897511",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Bensoussan:2014:TCP,
author = "A. Bensoussan and K. C. Wong and S. C. P. Yam and S.
P. Yung",
title = "Time-Consistent Portfolio Selection under
Short-Selling Prohibition: From Discrete to Continuous
Setting",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "153--190",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130914139",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Aid:2014:PNM,
author = "Ren{\'e} A{\"\i}d and Luciano Campi and Nicolas
Langren{\'e} and Huy{\^e}n Pham",
title = "A Probabilistic Numerical Method for Optimal Multiple
Switching Problems in High Dimension",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "191--231",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120897298",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Li:2014:DBS,
author = "Xiao Li and Michael D. Lipkin and Richard B. Sowers",
title = "Dynamics of Bankrupt {Stocks}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "232--257",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120872206",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Czichowsky:2014:TCS,
author = "Christoph Czichowsky and Johannes Muhle-Karbe and
Walter Schachermayer",
title = "Transaction Costs, Shadow Prices, and Duality in
Discrete Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "258--277",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130925864",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Horst:2014:WCS,
author = "Ulrich Horst and Felix Naujokat",
title = "When to Cross the Spread? {Trading} in Two-Sided Limit
Order Books",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "278--315",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110849341",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Haugh:2014:DPE,
author = "Martin Haugh and Chun Wang",
title = "Dynamic Portfolio Execution and Information
Relaxations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "316--359",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120896761",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Fouque:2014:AOP,
author = "Jean-Pierre Fouque and Bin Ren",
title = "Approximation for Option Prices under Uncertain
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "360--383",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130908385",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Frikha:2014:SRM,
author = "N. Frikha",
title = "Shortfall Risk Minimization in Discrete Time Financial
Market Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "384--414",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120903142",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Cartea:2014:BLS,
author = "{\'A}lvaro Cartea and Sebastian Jaimungal and Jason
Ricci",
title = "Buy Low, Sell High: a High Frequency Trading
Perspective",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "415--444",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130911196",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Gueant:2014:VEG,
author = "Olivier Gu{\'e}ant and Guillaume Royer",
title = "{VWAP} Execution and Guaranteed {VWAP}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "445--471",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130924676",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Strong:2014:GFG,
author = "Winslow Strong",
title = "Generalizations of Functionally Generated Portfolios
with Applications to Statistical Arbitrage",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "472--492",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130907458",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Gnoatto:2014:AMM,
author = "Alessandro Gnoatto and Martino Grasselli",
title = "An Affine Multicurrency Model with Stochastic
Volatility and Stochastic Interest Rates",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "493--531",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130922902",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Milstein:2014:CMS,
author = "G. N. Milstein and V. Spokoiny",
title = "Construction of Mean-Self-Financing Strategies for
{European} Options under Regime-Switching",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "532--556",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120896566",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Montes:2014:MCV,
author = "Juan Miguel Montes and Valentina Prezioso and Wolfgang
J. Runggaldier",
title = "{Monte Carlo} Variance Reduction by Conditioning for
Pricing with Underlying a Continuous-Time Finite State
{Markov} Process",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "557--580",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130923221",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Basei:2014:OES,
author = "Matteo Basei and Annalisa Cesaroni and Tiziano
Vargiolu",
title = "Optimal Exercise of Swing Contracts in Energy Markets:
an Integral Constrained Stochastic Optimal Control
Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "581--608",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130928893",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Sat Sep 13 10:28:48 MDT 2014",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Arai:2014:CRM,
author = "Takuji Arai",
title = "Convex Risk Measures for {C{\`a}dl{\`a}g} Processes on
{Orlicz} Hearts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "609--625",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130908427",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Anthropelos:2014:FEP,
author = "Michail Anthropelos",
title = "Forward Exponential Performances: Pricing and Optimal
Risk Sharing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "626--655",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130910087",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Rheinlander:2014:QSD,
author = "Thorsten Rheinl{\"a}nder and Michael Schmutz",
title = "Quasi--Self-Dual Exponential {L{\'e}vy} Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "656--684",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110859555",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Benth:2014:PME,
author = "Fred Espen Benth and Salvador Ortiz-Latorre",
title = "A Pricing Measure to Explain the Risk Premium in Power
Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "685--728",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/13093604X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Aly:2014:OPS,
author = "S. M. Ould Aly",
title = "Option Pricing for Stochastic Volatility Models:
Vol-of-Vol Expansion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "729--752",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/110848682",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{Imkeller:2014:TS,
author = "Nora Imkeller and L. C. G. Rogers",
title = "Trading to Stops",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "5",
number = "1",
pages = "753--781",
month = "????",
year = "2014",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130911706",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Feb 12 08:29:38 MST 2015",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2014",
}
@Article{ElKaroui:2015:DAM,
author = "Nicole {El Karoui} and Monique Jeanblanc and Ying
Jiao",
title = "Density Approach in Modeling Successive Defaults",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1--21",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130939791",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Altmayer:2015:MMC,
author = "Martin Altmayer and Andreas Neuenkirch",
title = "Multilevel {Monte Carlo} Quadrature of Discontinuous
Payoffs in the Generalized {Heston} Model Using
{Malliavin} Integration by Parts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "22--52",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130933629",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Liu:2015:PAV,
author = "Hsuan-Ku Liu",
title = "Properties of {American} Volatility Options in the
Mean-Reverting $ 3 / 2 $ Volatility Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "53--65",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130924573",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Chau:2015:MMO,
author = "Huy N. Chau and Peter Tankov",
title = "Market Models with Optimal Arbitrage",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "66--85",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140953666",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Spiliopoulos:2015:DCL,
author = "Konstantinos Spiliopoulos and Richard B. Sowers",
title = "Default Clustering in Large Pools: Large Deviations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "86--116",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130944060",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Azimzadeh:2015:EOB,
author = "P. Azimzadeh and P. A. Forsyth",
title = "The Existence of Optimal Bang-Bang Controls for {GMxB}
Contracts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "117--139",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140953885",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Kardaras:2015:VPE,
author = "Constantinos Kardaras",
title = "Valuation and Parities for Exchange Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "140--157",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120884973",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Gulisashvili:2015:AAS,
author = "Archil Gulisashvili and Josep Vives",
title = "Asymptotic Analysis of Stock Price Densities and
Implied Volatilities in Mixed Stochastic Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "158--188",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140962255",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Jarrow:2015:LSH,
author = "Robert Jarrow and Philip Protter",
title = "Liquidity Suppliers and High Frequency Trading",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "189--200",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140967702",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Dubois:2015:ODP,
author = "Mathieu S. Dubois and Luitgard A. M. Veraart",
title = "Optimal Diversification in the Presence of Parameter
Uncertainty for a Risk Averse Investor",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "201--241",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130942826",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Li:2015:AGM,
author = "Cheng Li and Hao Xing",
title = "Asymptotic {Glosten--Milgrom} Equilibrium",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "242--280",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130943121",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Guo:2015:OEM,
author = "Xin Guo and Mihail Zervos",
title = "Optimal Execution with Multiplicative Price Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "281--306",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120894622",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Jacquier:2015:AFI,
author = "Antoine Jacquier and Patrick Roome",
title = "Asymptotics of Forward Implied Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "307--351",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140960712",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Kolkiewicz:2015:SDH,
author = "Adam W. Kolkiewicz",
title = "On Suboptimality of Delta Hedging for {Asian}
Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "352--385",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130914760",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Bo:2015:SRI,
author = "Lijun Bo and Agostino Capponi",
title = "Systemic Risk in Interbanking Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "386--424",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130937664",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Bayraktar:2015:HAO,
author = "Erhan Bayraktar and Yu-Jui Huang and Zhou Zhou",
title = "On Hedging {American} Options under Model
Uncertainty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "425--447",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140961869",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Belomestny:2015:PBO,
author = "Denis Belomestny and Fabian Dickmann and Tigran
Nagapetyan",
title = "Pricing {Bermudan} Options via Multilevel
Approximation Methods",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "448--466",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130912426",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Abad:2015:PSM,
author = "Carlos Abad and Garud Iyengar",
title = "Portfolio Selection with Multiple Spectral Risk
Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "467--486",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140967635",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Leung:2015:EVJ,
author = "Tim Leung and Haohua Wan",
title = "{ESO} Valuation with Job Termination Risk and Jumps in
Stock Price",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "487--516",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130937949",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Rasonyi:2015:OIN,
author = "Mikl{\'o}s R{\'a}sonyi",
title = "Optimal Investment with Nonconcave Utilities in
Discrete-Time Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "517--529",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140985184",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Biagini:2015:FFB,
author = "Francesca Biagini and Sorin Nedelcu",
title = "The Formation of Financial Bubbles in Defaultable
Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "530--558",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140960608",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Ahn:2015:CPO,
author = "Andrew Ahn and Martin Haugh and Ashish Jain",
title = "Consistent Pricing of Options on Leveraged {ETFs}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "559--593",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/151003933",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Bielecki:2015:VHC,
author = "Tomasz R. Bielecki and Marek Rutkowski",
title = "Valuation and Hedging of Contracts with Funding Costs
and Collateralization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "594--655",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/130928819",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Fodra:2015:HFT,
author = "Pietro Fodra and Huy{\^e}n Pham",
title = "High Frequency Trading and Asymptotics for Small Risk
Aversion in a {Markov} Renewal Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "656--684",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140976005",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Burkovska:2015:RBM,
author = "O. Burkovska and B. Haasdonk and J. Salomon and B.
Wohlmuth",
title = "Reduced Basis Methods for Pricing Options with the
{Black--Scholes} and {Heston} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "685--712",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140981216",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Kirkby:2015:EOP,
author = "J. Lars Kirkby",
title = "Efficient Option Pricing by Frame Duality with the
{Fast Fourier Transform}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "713--747",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140989480",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Gramacy:2015:SDO,
author = "Robert B. Gramacy and Michael Ludkovski",
title = "Sequential Design for Optimal Stopping Problems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "748--775",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140980089",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Wang:2015:HSC,
author = "Ruodu Wang and Valeria Bignozzi and Andreas
Tsanakas",
title = "How Superadditive Can a Risk Measure Be?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "776--803",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140981046",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Jarrow:2015:IEU,
author = "Robert A. Jarrow and Martin Larsson",
title = "Informational Efficiency under Short Sale
Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "804--824",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140963522",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Benth:2015:DPE,
author = "Fred Espen Benth and Paul Kr{\"u}hner",
title = "Derivatives Pricing in Energy Markets: an
Infinite-Dimensional Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "825--869",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15100268X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Chan:2015:FMF,
author = "Patrick Chan and Ronnie Sircar and Michael V. Stein",
title = "A Feedback Model for the Financialization of Commodity
Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "870--899",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140995349",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Forzani:2015:LSC,
author = "Liliana Forzani and Carlos F. Tolmasky",
title = "On the Level-Slope-Curvature Effect in Yield Curves
and Eventual Total Positivity",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "900--918",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140998354",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Gobet:2015:AAB,
author = "Emmanuel Gobet and Stefano Pagliarani",
title = "Analytical Approximations of {BSDEs} with Nonsmooth
Driver",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "919--958",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/14100021X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Capponi:2015:DCA,
author = "Agostino Capponi and Christoph Frei",
title = "Dynamic Contracting: Accidents Lead to Nonlinear
Contracts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "959--983",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140986864",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Grbac:2015:ALM,
author = "Zorana Grbac and Antonis Papapantoleon and John
Schoenmakers and David Skovmand",
title = "Affine {LIBOR} Models with Multiple Curves: Theory,
Examples and Calibration",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "984--1025",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1011731",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Abergel:2015:LTB,
author = "Fr{\'e}d{\'e}ric Abergel and Aymen Jedidi",
title = "Long-Time Behavior of a {Hawkes} Process-Based Limit
Order Book",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1026--1043",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1011469",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Schoneborn:2015:OTE,
author = "Torsten Sch{\"o}neborn",
title = "Optimal Trade Execution for Time-Inconsistent
Mean-Variance Criteria and Risk Functions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1044--1067",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1007537",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Bielecki:2015:DCF,
author = "Tomasz R. Bielecki and Igor Cialenco and Tao Chen",
title = "Dynamic Conic Finance via Backward Stochastic
Difference Equations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1068--1122",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/141002013",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Bechler:2015:OED,
author = "Kyle Bechler and Michael Ludkovski",
title = "Optimal Execution with Dynamic Order Flow Imbalance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1123--1151",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140992254",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Trevinno-Aguilar:2015:DPS,
author = "Erick Trevin{\~n}o-Aguilar",
title = "Duality in a Problem of Static Partial Hedging under
Convex Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1152--1170",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140959614",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{DeMarco:2015:LVV,
author = "Stefano {De Marco} and Pierre Henry-Labord{\`e}re",
title = "Linking Vanillas and {VIX} Options: a Constrained
Martingale Optimal Transport Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1171--1194",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140960724",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Amini:2015:CIC,
author = "Hamed Amini and Andreea Minca and Agn{\`e}s Sulem",
title = "Control of Interbank Contagion Under Partial
Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1195--1219",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140981538",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Ho:2015:WEN,
author = "Michael Ho and Zheng Sun and Jack Xin",
title = "Weighted Elastic Net Penalized Mean-Variance Portfolio
Design and Computation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "6",
number = "1",
pages = "1220--1244",
month = "????",
year = "2015",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1007872",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Mon Feb 8 12:34:00 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2015",
}
@Article{Cartea:2016:MUC,
author = "{\'A}lvaro Cartea and Sebastian Jaimungal and Zhen
Qin",
title = "Model Uncertainty in Commodity Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "1--33",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1027243",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Cai:2016:ODH,
author = "Jiatu Cai and Masaaki Fukasawa and Mathieu Rosenbaum
and Peter Tankov",
title = "Optimal Discretization of Hedging Strategies with
Directional Views",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "34--69",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/151004306",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Veraguas:2016:RUM,
author = "Julio D. Backhoff Veraguas and Joaqu{\'\i}n
Fontbona",
title = "Robust Utility Maximization without Model
Compactness",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "70--103",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140985718",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Lepinette:2016:RNA,
author = "Emmanuel Lepinette",
title = "Robust No Arbitrage of the Second Kind with a
Continuum of Assets and Proportional Transaction
Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "104--123",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/14099752X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Hou:2016:RMM,
author = "Danlin Hou and Zuo Quan Xu",
title = "A Robust {Markowitz} Mean-Variance Portfolio Selection
Model with an Intractable Claim",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "124--151",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1016357",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Zhang:2016:CNP,
author = "Geliang Zhang and Hugh Christensen and Guolong Li and
Simon Godsill",
title = "A Correction Note for Price Dynamics in a {Markovian}
Limit Order Market",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "152--158",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1057437",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Henry-Labordere:2016:DAS,
author = "Pierre Henry-Labord{\`e}re and Christian Litterer and
Zhenjie Ren",
title = "A Dual Algorithm for Stochastic Control Problems:
Applications to Uncertain Volatility Models and {CVA}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "159--182",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1019945",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Bayraktar:2016:PTL,
author = "Erhan Bayraktar and S. David Promislow and Virginia R.
Young",
title = "Purchasing Term Life Insurance to Reach a Bequest Goal
while Consuming",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "183--214",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1017855",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Bouchard:2016:BDR,
author = "Bruno Bouchard and G{\'e}raldine Bouveret and
Jean-Fran{\c{c}}ois Chassagneux",
title = "A Backward Dual Representation for the Quantile
Hedging of {Bermudan} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "215--235",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1029461",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Bouselmi:2016:CPA,
author = "Aych Bouselmi and Damien Lamberton",
title = "The Critical Price of the {American} Put Near Maturity
in the Jump Diffusion Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "236--272",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140965910",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Lorig:2016:VSD,
author = "Matthew Lorig and Oriol Lozano-Carbass{\'e} and Rafael
Mendoza-Arriaga",
title = "Variance Swaps on Defaultable Assets and Market
Implied Time-Changes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "273--307",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140955380",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Laachir:2016:BCM,
author = "Ismail Laachir and Francesco Russo",
title = "{BSDEs}, {C{\`a}dl{\`a}g} Martingale Problems, and
Orthogonalization under Basis Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "308--356",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140996239",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Ekstrom:2016:OLA,
author = "Erik Ekstr{\"o}m and Juozas Vaicenavicius",
title = "Optimal Liquidation of an Asset under Drift
Uncertainty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "357--381",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1033265",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Granelli:2016:MVR,
author = "Andrea Granelli and Almut E. D. Veraart",
title = "Modeling the Variance Risk Premium of Equity Indices:
The Role of Dependence and Contagion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "382--417",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1011822",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Lorig:2016:POU,
author = "Matthew Lorig and Ronnie Sircar",
title = "Portfolio Optimization under Local-Stochastic
Volatility: Coefficient {Taylor} Series Approximations
and Implied {Sharpe} Ratio",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "418--447",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1027073",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Forde:2016:STA,
author = "Martin Forde and Hongzhong Zhang",
title = "Small-Time Asymptotics for Basket Options --- the
Bivariate {SABR} Model and the Hyperbolic Heat Kernel
on {$ \mathbb {H}^3 $}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "448--476",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1029795",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Backhoff:2016:CAP,
author = "Julio Backhoff and Ulrich Horst",
title = "Conditional Analysis and a Principal-Agent Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "477--507",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/14100066X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Bouchard:2016:HUE,
author = "Bruno Bouchard and Ludovic Moreau and H. Mete Soner",
title = "Hedging Under an Expected Loss Constraint with Small
Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "508--551",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1006787",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Jones:2016:OMP,
author = "Chris Jones and Xinfu Chen",
title = "Optimal Mortgage Prepayment Under the
{Cox--Ingersoll--Ross} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "552--566",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1066555",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Kramkov:2016:SAE,
author = "Dmitry Kramkov and Sergio Pulido",
title = "Stability and Analytic Expansions of Local Solutions
of Systems of Quadratic {BSDEs} with Applications to a
Price Impact Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "567--587",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1035859",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Shkolnikov:2016:AAF,
author = "Mykhaylo Shkolnikov and Ronnie Sircar and Thaleia
Zariphopoulou",
title = "Asymptotic Analysis of Forward Performance Processes
in Incomplete Markets and Their Ill-Posed {HJB}
Equations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "588--618",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1016059",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Guo:2016:GAF,
author = "Gaoyue Guo and Antoine Jacquier and Claude Martini and
Leo Neufcourt",
title = "Generalized Arbitrage-Free {SVI} Volatility Surfaces",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "619--641",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/120900320",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Garreau:2016:SJT,
author = "Pierre Garreau and Alec Kercheval",
title = "A Structural Jump Threshold Framework for Credit
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "642--673",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140993892",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Hobson:2016:OCS,
author = "David Hobson and Yeqi Zhu",
title = "Optimal Consumption and Sale Strategies for a Risk
Averse Agent",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "674--719",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140982738",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Caravenna:2016:GSA,
author = "Francesco Caravenna and Jacopo Corbetta",
title = "General Smile Asymptotics with Bounded Maturity",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "720--759",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1031102",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Cartea:2016:CFE,
author = "{\'A}lvaro Cartea and Sebastian Jaimungal",
title = "A Closed-Form Execution Strategy to Target Volume
Weighted Average Price",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "760--785",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1058406",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Pun:2016:RDM,
author = "Chi Seng Pun and Hoi Ying Wong",
title = "Resolution of Degeneracy in {Merton}'s Portfolio
Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "786--811",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1065021",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Burzoni:2016:AHM,
author = "Matteo Burzoni",
title = "Arbitrage and Hedging in Model-Independent Markets
with Frictions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "812--844",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1053013",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Kirkby:2016:ETM,
author = "J. Lars Kirkby",
title = "An Efficient Transform Method for {Asian} Option
Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "845--892",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1057127",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Tehranchi:2016:UBB,
author = "Michael R. Tehranchi",
title = "Uniform Bounds for {Black--Scholes} Implied
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "893--916",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/14095248X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Baltean-Lugojan:2016:RNC,
author = "Radu Baltean-Lugojan and Panos Parpas",
title = "Robust Numerical Calibration for Implied Volatility
Expansion Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "917--946",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1035215",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Pirjol:2016:SMA,
author = "Dan Pirjol and Lingjiong Zhu",
title = "Short Maturity {Asian} Options in Local Volatility
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "947--992",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1047568",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Chassagneux:2016:EES,
author = "Jean-Fran{\c{c}}ois Chassagneux and Antoine Jacquier
and Ivo Mihaylov",
title = "An Explicit {Euler} Scheme with Strong Rate of
Convergence for Financial {SDEs} with Non-{Lipschitz}
Coefficients",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "7",
number = "1",
pages = "993--1021",
month = "????",
year = "2016",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1017788",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Thu Dec 22 07:24:40 MST 2016",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2016",
}
@Article{Huang:2017:WCP,
author = "Yao Tung Huang and Qingshuo Song and Harry Zheng",
title = "Weak Convergence of Path-Dependent {SDEs} in Basket
Credit Default Swap Pricing with Contagion Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "1--27",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1052329",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Nicolato:2017:IJD,
author = "E. Nicolato and C. Pisani and D. Sloth",
title = "The Impact of Jump Distributions on the Implied
Volatility of Variance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "28--53",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1059072",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Pierre:2017:NAC,
author = "Erwan Pierre and St{\'e}phane Villeneuve and Xavier
Warin",
title = "Numerical Approximation of a Cash-Constrained Firm
Value with Investment Opportunities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "54--81",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1068323",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Armstrong:2017:STA,
author = "John Armstrong and Martin Forde and Matthew Lorig and
Hongzhong Zhang",
title = "Small-Time Asymptotics under Local-Stochastic
Volatility with a Jump-to-Default: Curvature and the
Heat Kernel Expansion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "82--113",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/140971397",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Forde:2017:ARS,
author = "Martin Forde and Hongzhong Zhang",
title = "Asymptotics for Rough Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "114--145",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1009330",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Campolieti:2017:SDM,
author = "Giuseppe Campolieti and Roman N. Makarov",
title = "Solvable Diffusion Models with Linear and
Mean-Reverting Nonlinear Drifts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "146--170",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1033502",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Carmona:2017:SIV,
author = "Rene Carmona and Yi Ma and Sergey Nadtochiy",
title = "Simulation of Implied Volatility Surfaces via Tangent
{L{\'e}vy} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "171--213",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1015510",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{He:2017:RDU,
author = "Xue Dong He and Roy Kouwenberg and Xun Yu Zhou",
title = "Rank-Dependent Utility and Risk Taking in Complete
Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "214--239",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1072516",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Swishchuk:2017:SMM,
author = "Anatoliy Swishchuk and Nelson Vadori",
title = "A Semi-{Markovian} Modeling of Limit Order Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "240--273",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1015406",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Armenti:2017:CCV,
author = "Yannick Armenti and St{\'e}phane Cr{\'e}pey",
title = "Central Clearing Valuation Adjustment",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "274--313",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1028170",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Horst:2017:WLL,
author = "Ulrich Horst and D{\"o}rte Kreher",
title = "A Weak Law of Large Numbers for a Limit Order Book
Model with Fully State Dependent Order Dynamics",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "314--343",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1024226",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Liang:2017:RHF,
author = "Gechun Liang and Thaleia Zariphopoulou",
title = "Representation of Homothetic Forward Performance
Processes in Stochastic Factor Models via Ergodic and
Infinite Horizon {BSDE}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "344--372",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1048847",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Alos:2017:CSS,
author = "Elisa Al{\`o}s and Jorge A. Le{\'o}n",
title = "On the Curvature of the Smile in Stochastic Volatility
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "373--399",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1086315",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Robertson:2017:LTO,
author = "Scott Robertson and Hao Xing",
title = "Long-Term Optimal Investment in Matrix Valued Factor
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "400--434",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1030625",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Bielagk:2017:EPU,
author = "Jana Bielagk and Arnaud Lionnet and Gon{\c{c}}alo {Dos
Reis}",
title = "Equilibrium Pricing Under Relative Performance
Concerns",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "435--482",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1082536",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Mania:2017:RPD,
author = "Michael Mania and Revaz Tevzadze",
title = "On Regularity of Primal and Dual Dynamic Value
Functions Related to Investment Problems and Their
Representations as Backward Stochastic {PDE}
Solutions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "483--503",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1060558",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Richter:2017:DTT,
author = "Anja Richter and Josef Teichmann",
title = "Discrete Time Term Structure Theory and Consistent
Recalibration Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "504--531",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1007434",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Dumitrescu:2017:GOI,
author = "Roxana Dumitrescu and Marie-Claire Quenez and
Agn{\`e}s Sulem",
title = "Game Options in an Imperfect Market with Default",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "532--559",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1109102",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Garnier:2017:CBS,
author = "Josselin Garnier and Knut S{\o}lna",
title = "Correction to {Black--Scholes} Formula Due to
Fractional Stochastic Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "560--588",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/15M1036749",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Schied:2017:HFL,
author = "Alexander Schied and Elias Strehle and Tao Zhang",
title = "High-Frequency Limit of {Nash} Equilibria in a Market
Impact Game with Transient Price Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "589--634",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M107030X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Cartea:2017:ATM,
author = "{\'A}lvaro Cartea and Ryan Donnelly and Sebastian
Jaimungal",
title = "Algorithmic Trading with Model Uncertainty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "635--671",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M106282X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Feinstein:2017:MSR,
author = "Zachary Feinstein and Birgit Rudloff and Stefan
Weber",
title = "Measures of Systemic Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "672--708",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1066087",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{DeMarco:2017:SIV,
author = "S. {De Marco} and C. Hillairet and A. Jacquier",
title = "Shapes of Implied Volatility with Positive Mass at
Zero",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "709--737",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/14098065X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Cheridito:2017:DFR,
author = "Patrick Cheridito and Michael Kupper and Ludovic
Tangpi",
title = "Duality Formulas for Robust Pricing and Hedging in
Discrete Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "738--765",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1064088",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Gass:2017:MPF,
author = "Maximilian Ga{\ss} and Kathrin Glau and Maximilian
Mair",
title = "Magic Points in Finance: Empirical Integration for
Parametric Option Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "766--803",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1101301",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Huang:2017:OIG,
author = "Yao Tung Huang and Pingping Zeng and Yue Kuen Kwok",
title = "Optimal Initiation of Guaranteed Lifelong Withdrawal
Benefit with Dynamic Withdrawals",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "804--840",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1089575",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Bressan:2017:SMO,
author = "Alberto Bressan and Antonio Marigonda and Khai T.
Nguyen and Michele Palladino",
title = "A Stochastic Model of Optimal Debt Management and
Bankruptcy",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "841--873",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1095019",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Huang:2017:EDM,
author = "Weibing Huang and Mathieu Rosenbaum",
title = "Ergodicity and Diffusivity of {Markovian} Order Book
Models: a General Framework",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "874--900",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1064337",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Shinozaki:2017:CTO,
author = "Yuji Shinozaki",
title = "Construction of a Third-Order {$K$}-Scheme and Its
Application to Financial Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "901--932",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1067986",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Sirignano:2017:SGD,
author = "Justin Sirignano and Konstantinos Spiliopoulos",
title = "Stochastic Gradient Descent in Continuous Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "933--961",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1126825",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Hambly:2017:SEE,
author = "Ben Hambly and Nikolaos Kolliopoulos",
title = "Stochastic Evolution Equations for Large Portfolios of
Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "8",
number = "1",
pages = "962--1014",
month = "????",
year = "2017",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M111715X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Fri Jan 12 06:24:13 MST 2018",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
note = "See erratum \cite{Hambly:2019:ESE}.",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2017",
}
@Article{Levendorskii:2018:PAA,
author = "Sergei Levendorskii",
title = "Pricing Arithmetic {Asian} Options Under {L{\'e}vy}
Models by Backward Induction in the Dual Space",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "1--27",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1108133",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Chong:2018:CFS,
author = "Carsten Chong and Claudia Kl{\"u}ppelberg",
title = "Contagion in Financial Systems: a {Bayesian} Network
Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "28--53",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1116659",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Kwak:2018:CPT,
author = "Minsuk Kwak and Traian A. Pirvu",
title = "Cumulative Prospect Theory with Generalized Hyperbolic
Skewed $t$ Distribution",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "54--89",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1093550",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Armenti:2018:MSR,
author = "Yannick Armenti and St{\'e}phane Cr{\'e}pey and Samuel
Drapeau and Antonis Papapantoleon",
title = "Multivariate Shortfall Risk Allocation and Systemic
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "90--126",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1087357",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Cozma:2018:CES,
author = "Andrei Cozma and Matthieu Mariapragassam and Christoph
Reisinger",
title = "Convergence of an {Euler} Scheme for a Hybrid
Stochastic-Local Volatility Model with Stochastic Rates
in Foreign Exchange Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "127--170",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1114569",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Jacquier:2018:IVS,
author = "Antoine Jacquier and Martin Keller-Ressel",
title = "Implied Volatility in Strict Local Martingale Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "171--189",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1069651",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Li:2018:WCR,
author = "Lujun Li and Hui Shao and Ruodu Wang and Jingping
Yang",
title = "Worst-Case Range Value-at-Risk with Partial
Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "190--218",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1126138",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Detemple:2018:AOD,
author = "Jerome Detemple and Yerkin Kitapbayev",
title = "{American} Options with Discontinuous Two-Level Caps",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "219--250",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1110791",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Borovykh:2018:ECV,
author = "Anastasia Borovykh and Andrea Pascucci and Cornelis W.
Oosterlee",
title = "Efficient Computation of Various Valuation Adjustments
Under Local {L{\'e}vy} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "251--273",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1099005",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Chen:2018:ODS,
author = "Shumin Chen and Zhongfei Li and Yan Zeng",
title = "Optimal Dividend Strategy for a General Diffusion
Process with Time-Inconsistent Preferences and Ruin
Penalty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "274--314",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1088983",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Tan:2018:OTP,
author = "Zongjun Tan and Peter Tankov",
title = "Optimal Trading Policies for Wind Energy Producer",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "315--346",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1093069",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Figueroa-Lopez:2018:STE,
author = "Jos{\'e} E. Figueroa-L{\'o}pez and Ruoting Gong and
Matthew Lorig",
title = "Short-Time Expansions for Call Options on Leveraged
{ETFs} Under Exponential {L{\'e}vy} Models with Local
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "347--380",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1111292",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Beissner:2018:DGE,
author = "Patrick Beissner and Laurent Denis",
title = "Duality and General Equilibrium Theory Under
{Knightian} Uncertainty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "1",
pages = "381--400",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1120877",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:39:58 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Papanicolaou:2018:ESC,
author = "A. Papanicolaou",
title = "Extreme-Strike Comparisons and Structural Bounds for
{SPX} and {VIX} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "401--434",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/141001615",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Agarwal:2018:PBU,
author = "Ankush Agarwal and Ronnie Sircar",
title = "Portfolio Benchmarking Under Drawdown Constraint and
Stochastic {Sharpe} Ratio",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "435--464",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1100861",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Bonnans:2018:VAO,
author = "J. Fr{\'e}d{\'e}ric Bonnans and Axel Kr{\"o}ner",
title = "Variational Analysis for Options with Stochastic
Volatility and Multiple Factors",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "465--492",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1130836",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Lelong:2018:DPA,
author = "J{\'e}r{\^o}me Lelong",
title = "Dual Pricing of {American} Options by {Wiener} Chaos
Expansion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "493--519",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1102161",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Cui:2018:GVF,
author = "Zhenyu Cui and J. Lars Kirkby and Duy Nguyen",
title = "A General Valuation Framework for {SABR} and
Stochastic Local Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "520--563",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1106572",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Fouque:2018:OPU,
author = "Jean-Pierre Fouque and Ruimeng Hu",
title = "Optimal Portfolio under Fast Mean-Reverting Fractional
Stochastic Environment",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "564--601",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1134068",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Bayraktar:2018:RTA,
author = "Erhan Bayraktar and Yan Dolinsky and Jia Guo",
title = "Recombining Tree Approximations for Optimal Stopping
for Diffusions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "602--633",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1118865",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Chazal:2018:OPO,
author = "M. Chazal and R. Loeffen and P. Patie",
title = "Option Pricing in a One-Dimensional Affine Term
Structure Model via Spectral Representations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "634--664",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1098267",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Belomestny:2018:RBC,
author = "Denis Belomestny and Stefan H{\"a}fner and Mikhail
Urusov",
title = "Regression-Based Complexity Reduction of the Nested
{Monte Carlo} Methods",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "665--689",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M114577X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Dentcheva:2018:TCR,
author = "Darinka Dentcheva and Andrzej Ruszczy{\'n}ski",
title = "Time-Coherent Risk Measures for Continuous-Time
{Markov} Chains",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "690--715",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1063794",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Horvath:2018:DFF,
author = "Blanka Horvath and Oleg Reichmann",
title = "{Dirichlet} Forms and Finite Element Methods for the
{SABR} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "716--754",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1066117",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Kumar:2018:AAO,
author = "Rohini Kumar and Hussein Nasralah",
title = "Asymptotic Approximation of Optimal Portfolio for
Small Time Horizons",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "755--774",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1111371",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Mastrolia:2018:PAP,
author = "Thibaut Mastrolia and Zhenjie Ren",
title = "Principal-Agent Problem with Common Agency Without
Communication",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "775--799",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1133609",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Biagini:2018:LIA,
author = "Francesca Biagini and Andrea Mazzon and Thilo
Meyer-Brandis",
title = "Liquidity Induced Asset Bubbles via Flows of {ELMMs}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "800--834",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1107097",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{DeMarco:2018:LVC,
author = "Stefano {De Marco} and Peter K. Friz",
title = "Local Volatility, Conditioned Diffusions, and
{Varadhan}'s Formula",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "2",
pages = "835--874",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1092313",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:01 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Jacquier:2018:OLL,
author = "Antoine Jacquier and Hao Liu",
title = "Optimal Liquidation in a Level-{I} Limit Order Book
for Large-Tick {Stocks}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "875--906",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1117860",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Filipovic:2018:EST,
author = "Damir Filipovi{\'c} and Sander Willems",
title = "Exact Smooth Term-Structure Estimation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "907--929",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1080276",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Gass:2018:FGS,
author = "Maximilian Ga{\ss} and Kathrin Glau",
title = "A Flexible {Galerkin} Scheme for Option Pricing in
{L{\'e}vy} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "930--965",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1070438",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Pages:2018:PAA,
author = "Gilles Pag{\`e}s and Olivier Pironneau and Guillaume
Sall",
title = "The Parareal Algorithm for {American} Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "966--993",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1138832",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Armstrong:2018:MC,
author = "John Armstrong",
title = "The {Markowitz} Category",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "994--1016",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1155727",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Guennoun:2018:ABF,
author = "Hamza Guennoun and Antoine Jacquier and Patrick Roome
and Fangwei Shi",
title = "Asymptotic Behavior of the Fractional {Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "1017--1045",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1142892",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Landriault:2018:ESM,
author = "David Landriault and Bin Li and Danping Li and
Virginia R. Young",
title = "Equilibrium Strategies for the Mean-Variance
Investment Problem over a Random Horizon",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "1046--1073",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1153479",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Schied:2018:MFP,
author = "Alexander Schied and Leo Speiser and Iryna
Voloshchenko",
title = "Model-Free Portfolio Theory and Its Functional Master
Formula",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "1074--1101",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/16M1079828",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Gulisashvili:2018:LDP,
author = "Archil Gulisashvili",
title = "Large Deviation Principle for {Volterra} Type
Fractional Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "3",
pages = "1102--1136",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M116344X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:03 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Risk:2018:SDS,
author = "Jimmy Risk and Michael Ludkovski",
title = "Sequential Design and Spatial Modeling for Portfolio
Tail Risk Measurement",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "4",
pages = "1137--1174",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1158380",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:05 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Fouque:2018:UVM,
author = "Jean-Pierre Fouque and Ning Ning",
title = "Uncertain Volatility Models with Stochastic Bounds",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "4",
pages = "1175--1207",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1116908",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:05 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Hayashi:2018:WBM,
author = "Takaki Hayashi and Yuta Koike",
title = "Wavelet-Based Methods for High-Frequency Lead-Lag
Analysis",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "4",
pages = "1208--1248",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1166079",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:05 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Marchenko:2018:TCT,
author = "Ganna Marchenko and Patrick Gagliardini and Illia
Horenko",
title = "Towards a Computationally Tractable Maximum Entropy
Principle for Nonstationary Financial Time Series",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "4",
pages = "1249--1285",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1142600",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:05 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Feinstein:2018:SEN,
author = "Zachary Feinstein and Weijie Pang and Birgit Rudloff
and Eric Schaanning and Stephan Sturm and Mackenzie
Wildman",
title = "Sensitivity of the {Eisenberg--Noe} Clearing Vector to
Individual Interbank Liabilities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "9",
number = "4",
pages = "1286--1325",
month = "????",
year = "2018",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1171060",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:05 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2018",
}
@Article{Jia:2019:DPO,
author = "Longjie Jia and Martijn Pistorius and Harry Zheng",
title = "Dynamic Portfolio Optimization with Looping Contagion
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "1--36",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1154424",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Kusnetsov:2019:ICF,
author = "Michael Kusnetsov and Luitgard Anna Maria Veraart",
title = "Interbank Clearing in Financial Networks with Multiple
Maturities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "37--67",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1180542",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Bichuch:2019:OFS,
author = "Maxim Bichuch and Zachary Feinstein",
title = "Optimization of Fire Sales and Borrowing in Systemic
Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "68--88",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1195425",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Jacquier:2019:RHM,
author = "Antoine Jacquier and Fangwei Shi",
title = "The Randomized {Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "89--129",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1166420",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Qin:2019:BGP,
author = "Cong Qin and Xinfu Chen",
title = "On Balanced Growth Path Solutions of a Knowledge
Diffusion and Growth Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "130--155",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1213531",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Bensoussan:2019:MVA,
author = "Alain Bensoussan and SingRu Celine Hoe and Zhongfeng
Yan",
title = "A Mean-Variance Approach to Capital Investment
Optimization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "156--180",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1176439",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Cozma:2019:CHL,
author = "Andrei Cozma and Matthieu Mariapragassam and Christoph
Reisinger",
title = "Calibration of a Hybrid Local-Stochastic Volatility
Stochastic Rates Model with a Control Variate Particle
Method",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "181--213",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1114570",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Zeng:2019:MMC,
author = "Ailing Zeng and Jungong Xue",
title = "Multilevel {Monte Carlo} Method for Path-Dependent
Barrier Interest Rate Derivatives",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "214--242",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1149171",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Bian:2019:UMU,
author = "Baojun Bian and Xinfu Chen and Zuo Quan Xu",
title = "Utility Maximization Under Trading Constraints with
Discontinuous Utility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "243--260",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1174659",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Lamberton:2019:VFA,
author = "Damien Lamberton and Giulia Terenzi",
title = "Variational Formulation of {American} Option Prices in
the {Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "1",
pages = "261--308",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1158872",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:07 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{AbiJaber:2019:MAR,
author = "Eduardo {Abi Jaber} and Omar {El Euch}",
title = "Multifactor Approximation of Rough Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "309--349",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1170236",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Horst:2019:SLL,
author = "Ulrich Horst and Wei Xu",
title = "A Scaling Limit for Limit Order Books Driven by
{Hawkes} Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "350--393",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1148682",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Li:2019:ESA,
author = "Bin Li and Peng Luo and Dewen Xiong",
title = "Equilibrium Strategies for Alpha-Maxmin Expected
Utility Maximization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "394--429",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1178542",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Biagini:2019:FAB,
author = "Francesca Biagini and Andrea Mazzon and Thilo
Meyer-Brandis",
title = "Financial Asset Bubbles in Banking Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "430--465",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1193189",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Guasoni:2019:SCI,
author = "Paolo Guasoni and Antonella Tolomeo and Gu Wang",
title = "Should Commodity Investors Follow Commodities'
Prices?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "466--490",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1198284",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{ElEuch:2019:STM,
author = "Omar {El Euch} and Masaaki Fukasawa and Jim Gatheral
and Mathieu Rosenbaum",
title = "Short-Term At-the-Money Asymptotics under Stochastic
Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "491--511",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1167565",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Altay:2019:POL,
author = "S{\"u}han Altay and Katia Colaneri and Zehra Eksi",
title = "Portfolio Optimization for a Large Investor
Controlling Market Sentiment Under Partial
Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "512--546",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1134317",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Angoshtari:2019:ODD,
author = "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
Young",
title = "Optimal Dividend Distribution Under Drawdown and
Ratcheting Constraints on Dividend Rates",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "547--577",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M119567X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Detering:2019:MDC,
author = "Nils Detering and Thilo Meyer-Brandis and Konstantinos
Panagiotou and Daniel Ritter",
title = "Managing Default Contagion in Inhomogeneous Financial
Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "578--614",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1156046",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Schatz:2019:NIM,
author = "Michael Schatz and Didier Sornette",
title = "A Nonuniformly Integrable Martingale Bubble with a
Crash",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "615--631",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1215190",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Chen:2019:TCM,
author = "Kexin Chen and Mei Choi Chiu and Hoi Ying Wong",
title = "Time-Consistent Mean-Variance Pairs-Trading Under
Regime-Switching Cointegration",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "2",
pages = "632--665",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1209611",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:09 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Bayraktar:2019:TCS,
author = "Erhan Bayraktar and Jingjie Zhang and Zhou Zhou",
title = "Time Consistent Stopping for the Mean-Standard
Deviation Problem --- The Discrete Time Case",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "667--697",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1216432",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Nadtochiy:2019:OCF,
author = "Sergey Nadtochiy and Thaleia Zariphopoulou",
title = "Optimal Contract for a Fund Manager with Capital
Injections and Endogenous Trading Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "698--722",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1172867",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Bank:2019:OIT,
author = "Peter Bank and Moritz Vo{\ss}",
title = "Optimal Investment with Transient Price Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "723--768",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1182267",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Guasoni:2019:TFB,
author = "Paolo Guasoni and Zsolt Nika and Mikl{\'o}s
R{\'a}sonyi",
title = "Trading Fractional {Brownian} Motion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "769--789",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M113592X",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Cartea:2019:HSR,
author = "{\'A}lvaro Cartea and Luhui Gan and Sebastian
Jaimungal",
title = "Hedge and Speculate: Replicating Option Payoffs with
Limit and Market Orders",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "790--814",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1192706",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{vanStaden:2019:MQV,
author = "Pieter M. van Staden and Duy-Minh Dang and Peter A.
Forsyth",
title = "Mean-Quadratic Variation Portfolio Optimization: a
Desirable Alternative to Time-Consistent Mean-Variance
Optimization?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "815--856",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1222570",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Hambly:2019:ESE,
author = "Ben Hambly and Nikolaos Kolliopoulos",
title = "Erratum: {Stochastic Evolution Equations for Large
Portfolios of Stochastic Volatility Models}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "3",
pages = "857--876",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1260980",
ISSN = "1945-497X",
ISSN-L = "1945-497X",
bibdate = "Wed Oct 9 18:40:12 MDT 2019",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
note = "See \cite{Hambly:2017:SEE}.",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Feinstein:2019:OPD,
author = "Zachary Feinstein",
title = "Obligations with Physical Delivery in a Multilayered
Financial Network",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "4",
pages = "877--906",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1194729",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:09 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Carassus:2019:RSP,
author = "Laurence Carassus and Jan Ob{\l}{\'o}j and Johannes
Wiesel",
title = "The Robust Superreplication Problem: a Dynamic
Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "4",
pages = "907--941",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1235934",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:09 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Alfonsi:2019:LTL,
author = "Aur{\'e}lien Alfonsi and David Krief and Peter
Tankov",
title = "Long-Time Large Deviations for the Multiasset
{Wishart} Stochastic Volatility Model and Option
Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "4",
pages = "942--976",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1197588",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:09 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Chen:2019:SVA,
author = "Kexin Chen and Mei Choi Chiu and Yong Hyun Shin and
Hoi Ying Wong",
title = "Stochastic Volatility Asymptotics for Optimal
Subsistence Consumption and Investment with
Bankruptcy",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "10",
number = "4",
pages = "977--1005",
month = "????",
year = "2019",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M124681X",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:09 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2019",
}
@Article{Herrmann:2020:IMH,
author = "Sebastian Herrmann and Johannes Muhle-Karbe and Dapeng
Shang and Chen Yang",
title = "Inventory Management for High-Frequency Trading with
Imperfect Competition",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "1--26",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1207776",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Aksamit:2020:RFQ,
author = "Anna Aksamit and Zhaoxu Hou and Jan Ob{\l}{\'o}j",
title = "Robust Framework for Quantifying the Value of
Information in Pricing and Hedging",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "27--59",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1177597",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Amini:2020:SRN,
author = "Hamed Amini and Damir Filipovi{\'c} and Andreea
Minca",
title = "Systemic Risk in Networks with a Central Node",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "60--98",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1184667",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Crepey:2020:WCF,
author = "St{\'e}phane Cr{\'e}pey and Wissal Sabbagh and Shiqi
Song",
title = "When Capital Is a Funding Source: The Anticipated
Backward Stochastic Differential Equations of
{$X$}-Value Adjustments",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "99--130",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1242781",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Barski:2020:CEG,
author = "Micha{\l} Barski and Jerzy Zabczyk",
title = "On {CIR} Equations with General Factors",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "131--147",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1292771",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Brody:2020:TCI,
author = "Dorje Brody and Lane Hughston and Bernhard Meister",
title = "Theory of Cryptocurrency Interest Rates",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "148--168",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1263042",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/bitcoin.bib;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Mao:2020:RAR,
author = "Tiantian Mao and Ruodu Wang",
title = "Risk Aversion in Regulatory Capital Principles",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "169--200",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M121842X",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Farahany:2020:MLP,
author = "David Farahany and Kenneth R. Jackson and Sebastian
Jaimungal",
title = "Mixing {LSMC} and {PDE} Methods to Price {Bermudan}
Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "201--239",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1249035",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Bauerle:2020:POF,
author = "Nicole B{\"a}uerle and Sascha Desmettre",
title = "Portfolio Optimization in Fractional and Rough
{Heston} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "240--273",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1217243",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Garnier:2020:OHU,
author = "Josselin Garnier and Knut S{\o}lna",
title = "Optimal Hedging Under Fast-Varying Stochastic
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "274--325",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1221655",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Acciaio:2020:SCI,
author = "Beatrice Acciaio and Julien Guyon",
title = "Short Communication: {Inversion} of Convex Ordering:
Local Volatility Does Not Maximize the Price of {VIX}
Futures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "1",
pages = "SC1--SC13",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M129303X",
ISSN = "1945-497X",
bibdate = "Thu May 28 10:38:11 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{GarciadelMolino:2020:MKM,
author = "Luis Carlos {Garcia del Molino} and Iacopo
Mastromatteo and Michael Benzaquen and Jean-Philippe
Bouchaud",
title = "The Multivariate {Kyle} Model: More is Different",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "327--357",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1231997",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Forsyth:2020:MMC,
author = "Peter A. Forsyth",
title = "Multiperiod Mean Conditional Value at Risk Asset
Allocation: Is It Advantageous to Be Time Consistent?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "358--384",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M124650X",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Lee:2020:RSF,
author = "Junbeom Lee and Stephan Sturm and Chao Zhou",
title = "A Risk-Sharing Framework of Bilateral Contracts",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "385--410",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1246365",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Guan:2020:OIP,
author = "Chonghu Guan and Xun Li and Wenxin Zhou",
title = "An Optimal Investment Problem with Nonsmooth and
Nonconcave Utility over a Finite Time Horizon",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "411--436",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1273086",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Horvath:2020:VOR,
author = "Blanka Horvath and Antoine Jacquier and Peter
Tankov",
title = "Volatility Options in Rough Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "437--469",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1169242",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Kalsi:2020:OER,
author = "Jasdeep Kalsi and Terry Lyons and Imanol Perez
Arribas",
title = "Optimal Execution with Rough Path Signatures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "470--493",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1259778",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Kallblad:2020:BII,
author = "Sigrid K{\"a}llblad",
title = "{Black}'s Inverse Investment Problem and Forward
Criteria with Consumption",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "494--525",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/17M1143812",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Bartesaghi:2020:RDC,
author = "Paolo Bartesaghi and Michele Benzi and Gian Paolo
Clemente and Rosanna Grassi and Ernesto Estrada",
title = "Risk-Dependent Centrality in Economic and Financial
Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "526--565",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1302041",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Fries:2020:AVF,
author = "Christian Fries and Lorenzo Torricelli",
title = "An Analytical Valuation Framework for Financial Assets
with Trading Suspensions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "566--592",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1229821",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Tsang:2020:DLS,
author = "Ka Ho Tsang and Hoi Ying Wong",
title = "Deep-Learning Solution to Portfolio Selection with
Serially Dependent Returns",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "593--619",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1274924",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Bion-Nadal:2020:FDR,
author = "Jocelyne Bion-Nadal and Giulia {Di Nunno}",
title = "Fully-Dynamic Risk-Indifference Pricing and
No-Good-Deal Bounds",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "2",
pages = "620--658",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M120436X",
ISSN = "1945-497X",
bibdate = "Thu Jul 23 15:47:39 MDT 2020",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Londono:2020:DEH,
author = "Jaime A. Londo{\~n}o",
title = "{Duesenberry} Equilibrium and Heterogeneous Agents",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "659--689",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1236174",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Cartea:2020:TFE,
author = "{\'A}lvaro Cartea and Sebastian Jaimungal and Tianyi
Jia",
title = "Trading Foreign Exchange Triplets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "690--719",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1172089",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Jeanblanc:2020:CCD,
author = "Monique Jeanblanc and Libo Li",
title = "Characteristics and Constructions of Default Times",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "720--749",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1274912",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Janecek:2020:OIH,
author = "Karel Janecek and Zheng Li and Mihai S{\^\i}rbu",
title = "Optimal Investment with High-Watermark Fee in a
Multidimensional Jump Diffusion Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "750--787",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1205066",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Ceci:2020:VAD,
author = "Claudia Ceci and Katia Colaneri and R{\"u}diger Frey
and Verena K{\"o}ck",
title = "Value Adjustments and Dynamic Hedging of Reinsurance
Counterparty Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "788--814",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1283045",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Calvia:2020:RMP,
author = "Alessandro Calvia and Emanuela Rosazza Gianin",
title = "Risk Measures and Progressive Enlargement of
Filtration: a {BSDE} Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "815--848",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1259134",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Grigorova:2020:EON,
author = "Miryana Grigorova and Marie-Claire Quenez and
Agn{\`e}s Sulem",
title = "{European} Options in a Nonlinear Incomplete Market
Model with Default",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "849--880",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1318018",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Ruf:2020:IPT,
author = "Johannes Ruf and Kangjianan Xie",
title = "The Impact of Proportional Transaction Costs on
Systematically Generated Portfolios",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "881--896",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1282313",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Glau:2020:LRT,
author = "Kathrin Glau and Daniel Kressner and Francesco
Statti",
title = "Low-Rank Tensor Approximation for {Chebyshev}
Interpolation in Parametric Option Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "897--927",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1244172",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Kleisinger-Yu:2020:MPF,
author = "Xi Kleisinger-Yu and Vlatka Komaric and Martin Larsson
and Markus Regez",
title = "A Multifactor Polynomial Framework for Long-Term
Electricity Forwards with Delivery Period",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "928--957",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1283264",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Saporito:2020:SCP,
author = "Yuri F. Saporito",
title = "Short Communication: Pricing Path-Dependent
Derivatives under Multiscale Stochastic Volatility
Models: a {Malliavin} Representation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "SC-14--SC-25",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1347334",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Dixon:2020:SCD,
author = "Matthew Dixon and Nick Polson",
title = "Short Communication: Deep Fundamental Factor Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "3",
pages = "SC-26--SC-37",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1330518",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:35 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Jarrow:2020:IET,
author = "Robert Jarrow and Martin Larsson",
title = "Informational Efficiency with Trading Constraints: a
Characterization",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "959--973",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1318948",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Dam:2020:RMI,
author = "Henrik T. Dam and Andrea Macrina and David Skovmand
and David Sloth",
title = "Rational Models for Inflation-Linked Derivatives",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "974--1006",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1235764",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Henderson:2020:ESO,
author = "Vicky Henderson and Kamil Klad{\'\i}vko and Michael
Monoyios and Christoph Reisinger",
title = "Executive Stock Option Exercise with Full and Partial
Information on a Drift Change Point",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "1007--1062",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1222909",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Dastgerdi:2020:SPF,
author = "Maryam Vahid Dastgerdi and Ali Foroush Bastani",
title = "Solving Parametric Fractional Differential Equations
Arising from the Rough {Heston} Model Using
Quasi-Linearization and Spectral Collocation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "1063--1097",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1269324",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Bourgey:2020:MLC,
author = "Florian Bourgey and Emmanuel Gobet and Cl{\'e}ment
Rey",
title = "Metamodel of a Large Credit Risk Portfolio in the
{Gaussian} Copula Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "1098--1136",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1292084",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Jacquier:2020:ADO,
author = "Antoine Jacquier and Lorenzo Torricelli",
title = "Anomalous Diffusions in Option Prices: Connecting
Trade Duration and the Volatility Term Structure",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "1137--1167",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1289832",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Begin:2020:EJD,
author = "Jean-Fran{\c{c}}ois B{\'e}gin and Diego Amaya and
Genevi{\`e}ve Gauthier and Marie-{\`E}ve Malette",
title = "On the Estimation of Jump-Diffusion Models Using
Intraday Data: a Filtering-Based Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "11",
number = "4",
pages = "1168--1208",
month = "????",
year = "2020",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1266915",
ISSN = "1945-497X",
bibdate = "Fri Mar 12 12:09:37 MST 2021",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2020",
}
@Article{Redmann:2021:LDA,
author = "Martin Redmann and Christian Bayer and Pawan Goyal",
title = "Low-Dimensional Approximations of High-Dimensional
Asset Price Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "1--28",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1325666",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cohen:2021:ODP,
author = "Asaf Cohen and Virginia R. Young",
title = "Optimal Dividend Problem: Asymptotic Analysis",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "29--46",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1354738",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Zhou:2021:UMW,
author = "Zhou Zhou",
title = "Utility Maximization When Shorting {American}
Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "47--78",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1320584",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Ning:2021:WPS,
author = "Ning Ning and Jing Wu",
title = "Well-Posedness and Stability Analysis of Two Classes
of Generalized Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "79--109",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1336199",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Benezet:2021:NSQ,
author = "Cyril B{\'e}n{\'e}zet and Jean-Fran{\c{c}}ois
Chassagneux and Christoph Reisinger",
title = "A Numerical Scheme for the Quantile Hedging Problem",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "110--157",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1267477",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Eckstein:2021:RPH,
author = "Stephan Eckstein and Gaoyue Guo and Tongseok Lim and
Jan Ob{\l}{\'o}j",
title = "Robust Pricing and Hedging of Options on Multiple
Assets and Its Numerics",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "158--188",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1286256",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{ElKaroui:2021:RDU,
author = "Nicole {El Karoui} and Mohamed Mrad",
title = "Recover Dynamic Utility from Observable Process:
Application to the Economic Equilibrium",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "189--225",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/18M1235843",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cipriano:2021:OPH,
author = "Fernanda Cipriano and Nuno F. M. Martins and Diogo
Pereira",
title = "Optimal Portfolio for the $ \alpha $-Hypergeometric
Stochastic Volatility Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "226--253",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1299165",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cartea:2021:SPL,
author = "{\'A}lvaro Cartea and Leandro S{\'a}nchez-Betancourt",
title = "The Shadow Price of Latency: Improving Intraday Fill
Ratios in Foreign Exchange Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "254--294",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1258888",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cotton:2021:IRA,
author = "Peter Cotton",
title = "Inferring Relative Ability from Winning Probability in
Multientrant Contests",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "295--317",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1276261",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bellini:2021:LIF,
author = "Fabio Bellini and Pablo Koch-Medina and Cosimo Munari
and Gregor Svindland",
title = "Law-Invariant Functionals on General Spaces of Random
Variables",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "318--341",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1341258",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Lototsky:2021:KCS,
author = "Sergey Lototsky and Austin Pollok",
title = "{Kelly} Criterion: From a Simple Random Walk to
{L{\'e}vy} Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "342--368",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1330488",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Jaber:2021:MPS,
author = "Eduardo Abi Jaber and Enzo Miller and Huy{\^e}n Pham",
title = "{Markowitz} Portfolio Selection for Multivariate
Affine and Quadratic {Volterra} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "369--409",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1347449",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Pun:2021:SLA,
author = "Chi Seng Pun",
title = "A Sparse Learning Approach to
Relative-Volatility-Managed Portfolio Selection",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "410--445",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1291674",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Baldacci:2021:OMT,
author = "Bastien Baldacci and Dylan Possama{\"\i} and Mathieu
Rosenbaum",
title = "Optimal Make-Take Fees in a Multi Market-Maker
Environment",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "446--486",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1277412",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Malham:2021:SED,
author = "Simon J. A. Malham and Jiaqi Shen and Anke Wiese",
title = "Series Expansions and Direct Inversion for the
{Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "1",
pages = "487--549",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M126791X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:44 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{DeMarco:2021:HMR,
author = "Stefano {De Marco}",
title = "On the Harmonic Mean Representation of the Implied
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "551--565",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1352120",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{vanStaden:2021:DTW,
author = "Pieter M. van Staden and Duy-Minh Dang and Peter A.
Forsyth",
title = "On the Distribution of Terminal Wealth under Dynamic
Mean-Variance Optimal Investment Strategies",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "566--603",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1338241",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Ishii:2021:EUV,
author = "Hitoshi Ishii and Alexandre Roch",
title = "Existence and Uniqueness of Viscosity Solutions of an
Integro-differential Equation Arising in Option
Pricing",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "604--640",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1341441",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Mostovyi:2021:SIU,
author = "Oleksii Mostovyi",
title = "Stability of the Indirect Utility Process",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "641--671",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1260359",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Carr:2021:PVS,
author = "Peter Carr and Roger Lee and Matthew Lorig",
title = "Pricing Variance Swaps on Time-Changed {Markov}
Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "672--689",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1344597",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Alos:2021:DBV,
author = "Elisa Al{\`o}s and Frido Rolloos and Kenichiro
Shiraya",
title = "On the Difference Between the Volatility Swap Strike
and the Zero Vanna Implied Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "690--723",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M134722X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Fox:2021:BPG,
author = "Jamie Fox and Giray {\"O}kten",
title = "{Brownian} Path Generation and Polynomial Chaos",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "724--743",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1343154",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cont:2021:SPD,
author = "Rama Cont and Marvin S. M{\"u}ller",
title = "A Stochastic Partial Differential Equation Model for
Limit Order Book Dynamics",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "744--787",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1254489",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Ackermann:2021:OTE,
author = "Julia Ackermann and Thomas Kruse and Mikhail Urusov",
title = "Optimal Trade Execution in an Order Book Model with
Stochastic Liquidity Parameters",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "788--822",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M135409X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Cai:2021:OHP,
author = "Cheng Cai and Tiziano {De Angelis} and Jan
Palczewski",
title = "Optimal Hedging of a Perpetual {American} Put with a
Single Trade",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "823--866",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1325265",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{ElAmrani:2021:SCD,
author = "Mehdi {El Amrani} and Antoine Jacquier and Claude
Martini",
title = "Short Communication: Dynamics of Symmetric {SSVI}
Smiles and Implied Volatility Bubbles",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "SC1--SC15",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M136089X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Guasoni:2021:SCA,
author = "Paolo Guasoni and Yu-Jui Huang and Saeed Khalili",
title = "Short Communication: {American} Student Loans:
Repayment and Valuation",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "SC16--SC30",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1392267",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bank:2021:SCN,
author = "Peter Bank and Yan Dolinsky",
title = "Short Communication: a Note on Utility Indifference
Pricing with Delayed Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "SC31--SC43",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1379630",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bolker:2021:SCS,
author = "Benjamin M. Bolker and Matheus R. Grasselli and Emma
Holmes",
title = "Short Communication: Sensitivity Analysis of an
Integrated Climate-Economic Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "2",
pages = "SC44--SC57",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1404120",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:46 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Li:2021:GTA,
author = "Juan Li and Wenqiang Li and Gechun Liang",
title = "A Game Theoretical Approach to Homothetic Robust
Forward Investment Performance Processes in Stochastic
Factor Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "867--897",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1334280",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Lessy:2021:MML,
author = "Djaffar Lessy and Nahla Dhib and Francine Diener and
Marc Diener",
title = "{May} Microcredit Lead to Inclusion?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "898--911",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1342811",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Saporito:2021:PDD,
author = "Yuri F. Saporito and Zhaoyu Zhang",
title = "Path-Dependent Deep {Galerkin} Method: a Neural
Network Approach to Solve Path-Dependent Partial
Differential Equations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "912--940",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1329597",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Chen:2021:FBP,
author = "Xinfu Chen and Jin Liang",
title = "A Free Boundary Problem for Corporate Bond Pricing and
Credit Rating Under Different Upgrade and Downgrade
Thresholds",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "941--966",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1343592",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Gnoatto:2021:CCV,
author = "Alessandro Gnoatto and Nicole Seiffert",
title = "Cross Currency Valuation and Hedging in the Multiple
Curve Framework",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "967--1012",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1324375",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Biagini:2021:UAX,
author = "Francesca Biagini and Alessandro Gnoatto and
Immacolata Oliva",
title = "A Unified Approach to {xVA} with {CSA} Discounting and
Initial Margin",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1013--1053",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1332153",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Wang:2021:EUM,
author = "Xiangyu Wang and Jianming Xia",
title = "Expected Utility Maximization with Stochastic
Dominance Constraints in Complete Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1054--1111",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1338447",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Lopez:2021:EPJ,
author = "Dante Mata L{\'o}pez and Jos{\'e} Luis P{\'e}rez and
Kazutoshi Yamazaki",
title = "Effects of Positive Jumps of Assets on Endogenous
Bankruptcy and Optimal Capital Structure: Continuous-
and Periodic-Observation Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1112--1149",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1362127",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Jusselin:2021:OMM,
author = "Paul Jusselin",
title = "Optimal Market Making with Persistent Order Flow",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1150--1200",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1376054",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bayer:2021:ROS,
author = "Christian Bayer and Denis Belomestny and Paul Hager
and Paolo Pigato and John Schoenmakers",
title = "Randomized Optimal Stopping Algorithms and Their
Convergence Analysis",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1201--1225",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1373876",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Chen:2021:MLA,
author = "Tao Chen and Michael Ludkovski",
title = "A Machine Learning Approach to Adaptive Robust Utility
Maximization and Hedging",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1226--1256",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1336023",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bayer:2021:LMR,
author = "Christian Bayer and Fabian A. Harang and Paolo
Pigato",
title = "Log-Modulated Rough Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1257--1284",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M135902X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Elliott:2021:FRD,
author = "Robert J. Elliott and Dilip B. Madan and King Wang",
title = "Filtering Response Directions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "1285--1306",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1339830",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Chataigner:2021:SCB,
author = "Marc Chataigner and Areski Cousin and St{\'e}phane
Cr{\'e}pey and Matthew Dixon and Djibril Gueye",
title = "Short Communication: Beyond Surrogate Modeling:
Learning the Local Volatility via Shape Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "SC58--SC69",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1381538",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Burzoni:2021:SCR,
author = "Matteo Burzoni and Marco Frittelli and Federico
Zorzi",
title = "Short Communication: Robust Market-Adjusted Systemic
Risk Measures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "3",
pages = "SC70--SC82",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1401723",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:48 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Neufeld:2021:MFP,
author = "Ariel Neufeld and Julian Sester",
title = "Model-Free Price Bounds Under Dynamic Option Trading",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1307--1339",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1390013",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Fuh:2021:CRP,
author = "Cheng-Der Fuh and Chu-Lan Michael Kao",
title = "Credit Risk Propagation in Structural-Form Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1340--1373",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M135340X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Benth:2021:CPP,
author = "Fred Espen Benth and Silvia Lavagnini",
title = "Correlators of Polynomial Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1374--1415",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M141556X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Mercuri:2021:FMA,
author = "Lorenzo Mercuri and Andrea Perchiazzo and Edit Rroji",
title = "Finite Mixture Approximation of {$ {\rm CARMA}(p, q)
$} Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1416--1458",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1363248",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Doldi:2021:CSR,
author = "Alessandro Doldi and Marco Frittelli",
title = "Conditional Systemic Risk Measures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1459--1507",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1370616",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Acharya:2021:ROP,
author = "Subas Acharya and Alain Bensoussan and Dmitrii
Rachinskii and Alejandro Rivera",
title = "Real Options Problem with Nonsmooth Obstacle",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1508--1552",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1386815",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Han:2021:TIR,
author = "Bingyan Han and Hoi Ying Wong",
title = "Time-Inconsistency with Rough Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1553--1595",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M136654X",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Lin:2021:AOP,
author = "Minglian Lin and Indranil SenGupta",
title = "Analysis of Optimal Portfolio on Finite and Small-Time
Horizons for a Stochastic Volatility Market Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "1596--1624",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1412281",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Feinstein:2021:SCD,
author = "Zachary Feinstein and Andreas S{\o}jmark",
title = "Short Communication: Dynamic Default Contagion in
Heterogeneous Interbank Systems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "SC83--SC97",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1376765",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Fontanela:2021:SCQ,
author = "Filipe Fontanela and Antoine Jacquier and Mugad
Oumgari",
title = "Short Communication: a Quantum Algorithm for Linear
{PDEs} Arising in Finance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "SC98--SC114",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1397878",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Bayraktar:2021:SCN,
author = "Erhan Bayraktar and Christoph Czichowsky and Leonid
Dolinskyi and Yan Dolinsky",
title = "Short Communication: a Note on Utility Maximization
with Proportional Transaction Costs and Stability of
Optimal Portfolios",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "12",
number = "4",
pages = "SC115--SC125",
month = "????",
year = "2021",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1431382",
ISSN = "1945-497X",
bibdate = "Wed Jan 19 08:40:50 MST 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
onlinedate = "January 2021",
}
@Article{Guo:2022:JMC,
author = "Ivan Guo and Gr{\'e}goire Loeper and Jan Ob{\l}{\'o}j
and Shiyi Wang",
title = "Joint Modeling and Calibration of {SPX} and {VIX} by
Optimal Transport",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "1--31",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1375905",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1375905",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Alos:2022:SPV,
author = "Elisa Al{\`o}s and David Garc{\'\i}a-Lorite and Aitor
Muguruza Gonzalez",
title = "On Smile Properties of Volatility Derivatives:
Understanding the {VIX} Skew",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "32--69",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1269981",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/19M1269981",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Detering:2022:SFS,
author = "Nils Detering and Thilo Meyer-Brandis and Konstantinos
Panagiotou and Daniel Ritter",
title = "Suffocating Fire Sales",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "70--108",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1379800",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1379800",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Fouque:2022:SSA,
author = "Jean-Pierre Fouque and Ruimeng Hu and Ronnie Sircar",
title = "Sub- and Supersolution Approach to Accuracy Analysis
of Portfolio Optimization Asymptotics in Multiscale
Stochastic Factor Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "109--128",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1428625",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1428625",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Nutz:2022:RDR,
author = "Marcel Nutz and Yuchong Zhang",
title = "Reward Design in Risk-Taking Contests",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "129--146",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1397386",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1397386",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Li:2022:HON,
author = "Yunzhang Li",
title = "A High-Order Numerical Method for {BSPDEs} with
Applications to Mathematical Finance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "147--178",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1383252",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1383252",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayer:2022:POU,
author = "Christian Bayer and Jinniao Qiu and Yao Yao",
title = "Pricing Options under Rough Volatility with Backward
{SPDEs}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "179--212",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1357639",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1357639",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Jaimungal:2022:RRA,
author = "Sebastian Jaimungal and Silvana M. Pesenti and Ye
Sheng Wang and Hariom Tatsat",
title = "Robust Risk-Aware Reinforcement Learning",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "213--226",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M144640X",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M144640X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Martini:2022:NAS,
author = "Claude Martini and Arianna Mingone",
title = "No Arbitrage {SVI}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "227--261",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1351060",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1351060",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Cartea:2022:OCB,
author = "{\'A}lvaro Cartea and Maria Flora and Tiziano Vargiolu
and Georgi Slavov",
title = "Optimal Cross-Border Electricity Trading",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "262--294",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1398537",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1398537",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Vigna:2022:TOP,
author = "Elena Vigna",
title = "Tail Optimality and Preferences Consistency for
Intertemporal Optimization Problems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "295--320",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1435422",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1435422",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Angoshtari:2022:OIC,
author = "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
Young",
title = "Optimal Investment and Consumption under a
Habit-Formation Constraint",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "321--352",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1397891",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1397891",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bergault:2022:MAO,
author = "Philippe Bergault and Fay{\c{c}}al Drissi and Olivier
Gu{\'e}ant",
title = "Multi-asset Optimal Execution and Statistical
Arbitrage Strategies under {Ornstein--Uhlenbeck}
Dynamics",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "353--390",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1407756",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1407756",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Yamada:2022:SCG,
author = "Toshihiro Yamada",
title = "Short Communication: A {Gaussian} {Kusuoka}
Approximation without Solving Random {ODEs}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "SC1--SC11",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1433915",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1433915",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Dolinsky:2022:SCU,
author = "Yan Dolinsky and Shir Moshe",
title = "Short Communication: Utility Indifference Pricing with
High Risk Aversion and Small Linear Price Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "SC12--SC25",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1456431",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1456431",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bellini:2022:SCA,
author = "Fabio Bellini and Ilaria Peri",
title = "Short Communication: An Axiomatization of {$ \Lambda
$}-Quantiles",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "1",
pages = "SC26--SC38",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1444278",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:26 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1444278",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Shen:2022:MVP,
author = "Yang Shen and Bin Zou",
title = "Mean-Variance Portfolio Selection in Contagious
Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "391--425",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1320560",
ISSN = "1945-497X",
bibdate = "Thu Apr 14 08:28:28 MDT 2022",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1320560",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Chevalier:2022:AOV,
author = "Etienne Chevalier and Sergio Pulido and Elizabeth
Z{\'u}{\~n}iga",
title = "{American} Options in the {Volterra Heston} Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "426--458",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M140674X",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M140674X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Fujii:2022:SCM,
author = "Masaaki Fujii and Akihiko Takahashi",
title = "Strong Convergence to the Mean Field Limit of a Finite
Agent Equilibrium",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "459--490",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1441055",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1441055",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Vellekoop:2022:ESA,
author = "Michel Vellekoop and Marcellino Gaudenzi",
title = "Exact Solutions and Approximations for Optimal
Investment Strategies and Indifference Prices",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "491--520",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1393303",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1393303",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Goldberg:2022:DB,
author = "Lisa R. Goldberg and Alex Papanicolaou and Alex
Shkolnik",
title = "The Dispersion Bias",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "521--550",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M144058X",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M144058X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Neuman:2022:OSA,
author = "Eyal Neuman and Moritz Vo{\ss}",
title = "Optimal Signal-Adaptive Trading with Temporary and
Transient Price Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "551--575",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1375486",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1375486",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Campbell:2022:FPO,
author = "Steven Campbell and Ting-Kam Leonard Wong",
title = "Functional Portfolio Optimization in Stochastic
Portfolio Theory",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "576--618",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1417715",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1417715",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Wang:2022:PFS,
author = "Gu Wang",
title = "Performance Fees with Stochastic Benchmark",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "619--652",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1401826",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1401826",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Carassus:2022:ERS,
author = "Laurence Carassus and Jan Ob{\l}{\'o}j and Johannes
Wiesel",
title = "Erratum: The Robust Superreplication Problem: a
Dynamic Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "653--655",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1447040",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1447040",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Elizalde:2022:SCC,
author = "Mauricio Elizalde and Carlos Escudero",
title = "Short Communication: Chances for the Honest in Honest
versus Insider Trading",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "SC39--SC52",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1439547",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1439547",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Blanchard:2022:SCS,
author = "Romain Blanchard and Laurence Carassus",
title = "Short Communication: Super-Replication Prices with
Multiple Priors in Discrete Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "SC53--SC65",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1470013",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1470013",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayer:2022:SCW,
author = "Christian Bayer and Masaaki Fukasawa and Shonosuke
Nakahara",
title = "Short Communication: On the Weak Convergence Rate in
the Discretization of Rough Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "SC66--SC73",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1482871",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1482871",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Tissot-Daguette:2022:SCP,
author = "Valentin Tissot-Daguette",
title = "Short Communication: Projection of Functionals and
Fast Pricing of Exotic Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "2",
pages = "SC74--SC86",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1451439",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:35 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1451439",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Albrecher:2022:ORD,
author = "Hansj{\"o}rg Albrecher and Pablo Azcue and Nora
Muler",
title = "Optimal Ratcheting of Dividends in a {Brownian} Risk
Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "657--701",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1387171",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1387171",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Avellaneda:2022:PEU,
author = "Marco Avellaneda and Brian Healy and Andrew
Papanicolaou and George Papanicolaou",
title = "Principal Eigenportfolios for {U.S.} Equities",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "702--744",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1383501",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1383501",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Veraguas:2022:SCO,
author = "Julio Backhoff Veraguas and A. Max Reppen and Ludovic
Tangpi",
title = "Stochastic Control of Optimized Certainty
Equivalents",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "745--772",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1407732",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1407732",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Gapeev:2022:PAS,
author = "Pavel V. Gapeev and Libo Li",
title = "Perpetual {American} Standard and Lookback Options
with Event Risk and Asymmetric Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "773--801",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1396848",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1396848",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Park:2022:RCI,
author = "Kyunghyun Park and Hoi Ying Wong",
title = "Robust Consumption-Investment with Return Ambiguity: a
Dual Approach with Volatility Ambiguity",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "802--843",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1440189",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1440189",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{dosReis:2022:FUM,
author = "Gon{\c{c}}alo dos Reis and Vadim Platonov",
title = "Forward Utility and Market Adjustments in Relative
Investment-Consumption Games of Many Players",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "844--876",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M138421X",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M138421X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Coculescu:2022:ITF,
author = "Delia Coculescu and Aditi Dandapani",
title = "Insiders and Their Free Lunches: The Role of Short
Positions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "877--902",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1375826",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1375826",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Meng:2022:ODR,
author = "Hui Meng and Pengyu Wei and Wanlu Zhang and Sheng Chao
Zhuang",
title = "Optimal Dynamic Reinsurance Under Heterogeneous
Beliefs and {CARA} Utility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "903--943",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1411093",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1411093",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Fouque:2022:OTS,
author = "Jean-Pierre Fouque and Sebastian Jaimungal and Yuri F.
Saporito",
title = "Optimal Trading with Signals and Stochastic Price
Impact",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "944--968",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1394473",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1394473",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Belak:2022:OIT,
author = "Christoph Belak and An Chen and Carla Mereu and Robert
Stelzer",
title = "Optimal Investment with Time-Varying Stochastic
Endowments",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "969--1003",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1453402",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1453402",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Biagini:2022:RPC,
author = "Sara Biagini and Fausto Gozzi and Margherita
Zanella",
title = "Robust Portfolio Choice with Sticky Wages",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1004--1039",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1429722",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1429722",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Avanesyan:2022:PMF,
author = "Levon Avanesyan and Ronnie Sircar",
title = "Power Mixture Forward Performance Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1040--1062",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1385500",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1385500",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Kong:2022:RUP,
author = "Linghui Kong and Cong Qin and Xingye Yue",
title = "Realization Utility with Path-Dependent Reference
Points",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1063--1111",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1411457",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1411457",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Gurdogan:2022:MAP,
author = "Hubeyb Gurdogan and Alec Kercheval",
title = "Multiple Anchor Point Shrinkage for the Sample
Covariance Matrix",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1112--1143",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1446411",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1446411",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Zhang:2022:AMC,
author = "Gongqiu Zhang and Lingfei Li",
title = "Analysis of {Markov} Chain Approximation for Diffusion
Models with Nonsmooth Coefficients",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1144--1190",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1440098",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1440098",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Shreve:2022:EC,
author = "Steven Shreve and Jing Wang",
title = "Escrow and Clawback",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1191--1229",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1455619",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1455619",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Liebrich:2022:MUR,
author = "Felix-Benedikt Liebrich and Marco Maggis and Gregor
Svindland",
title = "Model Uncertainty: a Reverse Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "1230--1269",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1425463",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1425463",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Wang:2022:SCM,
author = "Xiangyu Wang and Jianming Xia and Zuo Quan Xu and Zhou
Yang",
title = "Short Communication: Minimal Quantile Functions
Subject to Stochastic Dominance Constraints",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "3",
pages = "SC87--SC98",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1488557",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:38 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1488557",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Anthropelos:2022:CFM,
author = "Michail Anthropelos and Tianran Geng and Thaleia
Zariphopoulou",
title = "Competition in Fund Management and Forward Relative
Performance Criteria",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1271--1301",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1376169",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1376169",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bank:2022:MOI,
author = "Peter Bank and Laura K{\"o}rber",
title = "{Merton}'s Optimal Investment Problem with Jump
Signals",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1302--1325",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1450161",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1450161",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Choi:2022:ENT,
author = "Jin Hyuk Choi and Kim Weston",
title = "Endogenous Noise Trackers in a Radner Equilibrium",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1326--1343",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1483384",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1483384",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Liebrich:2022:SVR,
author = "Felix-Benedikt Liebrich and Max Nendel",
title = "Separability Versus Robustness of {Orlicz} Spaces:
Financial and Economic Perspectives",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1344--1378",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1418794",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1418794",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Cartea:2022:DES,
author = "{\'A}lvaro Cartea and Imanol P{\'e}rez Arribas and
Leandro S{\'a}nchez-Betancourt",
title = "Double-Execution Strategies Using Path Signatures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1379--1417",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1456467",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1456467",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Guyon:2022:VFB,
author = "Julien Guyon",
title = "The {VIX} Future in {Bergomi} Models: Fast
Approximation Formulas and Joint Calibration with {S\&P
500} Skew",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "1418--1485",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1437408",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1437408",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Shen:2022:SCC,
author = "Yang Shen and Bin Zou",
title = "Short Communication: Cone-Constrained Monotone
Mean-Variance Portfolio Selection under Diffusion
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "SC99--SC112",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1487527",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1487527",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Feinstein:2022:SCC,
author = "Zachary Feinstein",
title = "Short Communication: Clearing Prices under Margin
Calls and the Short Squeeze",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "SC113--SC122",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M147877X",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M147877X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayraktar:2022:SCS,
author = "Erhan Bayraktar and Zhenhua Wang and Zhou Zhou",
title = "Short Communication: Stability of Time-Inconsistent
Stopping for One-Dimensional Diffusions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "13",
number = "4",
pages = "SC123--SC135",
month = "????",
year = "2022",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1510005",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:40 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1510005",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Kreher:2023:JDA,
author = "D{\"o}rte Kreher and Cassandra Milbradt",
title = "Jump Diffusion Approximation for the Price Dynamics of
a Fully State Dependent Limit Order Book Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "1--51",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1380922",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1380922",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Aichinger:2023:UMM,
author = "Florian Aichinger and Sascha Desmettre",
title = "Utility Maximization in Multivariate {Volterra}
Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "52--98",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1464543",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1464543",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Sabino:2023:NTS,
author = "Piergiacomo Sabino",
title = "Normal Tempered Stable Processes and the Pricing of
Energy Derivatives",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "99--126",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1425207",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1425207",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Marisu:2023:BEO,
author = "Godeliva Petrina Marisu and Chi Seng Pun",
title = "{Bayesian} Estimation and Optimization for Learning
Sequential Regularized Portfolios",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "127--157",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1427176",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1427176",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Feinstein:2023:CCO,
author = "Zachary Feinstein and Thomas R. Hurd",
title = "Contingent Convertible Obligations and Financial
Stability",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "158--187",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1498954",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1498954",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Gomes:2023:RSM,
author = "Diogo Gomes and Julian Gutierrez and Ricardo
Ribeiro",
title = "A Random-Supply Mean Field Game Price Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "188--222",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1443923",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1443923",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Richard:2023:DTS,
author = "Alexandre Richard and Xiaolu Tan and Fan Yang",
title = "On the Discrete-Time Simulation of the Rough {Heston}
Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "223--249",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1443807",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1443807",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Tian:2023:PPT,
author = "Dejian Tian",
title = "Pricing Principle via {Tsallis} Relative Entropy in
Incomplete Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "250--278",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1471614",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1471614",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Azcue:2023:ORM,
author = "Pablo Azcue and Xiaoqing Liang and Nora Muler and
Virginia R. Young",
title = "Optimal Reinsurance to Minimize the Probability of
Drawdown under the Mean-Variance Premium Principle:
Asymptotic Analysis",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "279--313",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1461666",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1461666",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Fontana:2023:SCC,
author = "Claudio Fontana",
title = "Short Communication: Caplet Pricing in Affine Models
for Alternative Risk-Free Rates",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "SC1--SC16",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1513691",
ISSN = "1945-497X",
bibdate = "Thu Mar 23 08:48:43 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1513691",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Angeris:2023:SCP,
author = "Guillermo Angeris and Tarun Chitra and Alex Evans and
Matthew Lorig",
title = "Short Communication: {A} Primer on Perpetuals",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "1",
pages = "SC17--SC30",
month = mar,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1520931",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:55:10 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Jacquier:2023:DCD,
author = "Antoine Jacquier and Mugad Oumgari",
title = "Deep Curve-Dependent {PDEs} for Affine Rough
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "353--382",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/19M1267805",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/19M1267805",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayer:2023:PHD,
author = "Christian Bayer and Martin Eigel and Leon Sallandt and
Philipp Trunschke",
title = "Pricing High-Dimensional {Bermudan} Options with
Hierarchical Tensor Formats",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "383--406",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1402170",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1402170",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Staden:2023:BBD,
author = "Pieter M. {Van Staden} and Peter A. Forsyth and Yuying
Li",
title = "Beating a Benchmark: Dynamic Programming May Not Be
the Right Numerical Approach",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "407--451",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1530070",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1530070",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Ogetbil:2023:EDF,
author = "Orcan {\"O}getbil and Bernhard Hientzsch",
title = "Extensions of Dupire Formula: Stochastic Interest
Rates and Stochastic Local Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "452--474",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1390906",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1390906",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Gassiat:2023:WER,
author = "Paul Gassiat",
title = "Weak Error Rates of Numerical Schemes for Rough
Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "475--496",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1485760",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1485760",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Chakraborty:2023:ODU,
author = "Prakash Chakraborty and Asaf Cohen and Virginia R.
Young",
title = "Optimal Dividends Under Model Uncertainty",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "497--524",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1447453",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1447453",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Qi:2023:GCM,
author = "Hou-Duo Qi",
title = "Geometric Characterization of Maximum Diversification
Return Portfolio via {Rao}'s Quadratic Entropy",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "525--556",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1492313",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1492313",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Angoshtari:2023:OCU,
author = "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
Young",
title = "Optimal Consumption Under a Habit-Formation
Constraint: The Deterministic Case",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "557--597",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1471560",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1471560",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Lillo:2023:ABL,
author = "Fabrizio Lillo and Giulia Livieri and Stefano Marmi
and Anton Solomko and Sandro Vaienti",
title = "Analysis of Bank Leverage via Dynamical Systems and
Deep Neural Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "598--643",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1412517",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1412517",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Fadina:2023:OAR,
author = "Tolulope Fadina and Peng Liu and Ruodu Wang",
title = "One Axiom to Rule Them All: a Minimalist
Axiomatization of Quantiles",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "644--662",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1531567",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1531567",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bosserhoff:2023:RDH,
author = "Frank Bosserhoff and Mitja Stadje",
title = "Robustness of Delta Hedging in a Jump-Diffusion
Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "663--703",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M149435X",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M149435X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bartl:2023:SMO,
author = "Daniel Bartl and Johannes Wiesel",
title = "Sensitivity of Multiperiod Optimization Problems with
Respect to the Adapted {Wasserstein} Distance",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "2",
pages = "704--720",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1537746",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:53:59 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1537746",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Yang:2023:RCP,
author = "Zhou Yang and Jing Zhang and Chao Zhou",
title = "Robust Control Problems of {BSDEs} Coupled with Value
Functions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "721--750",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1511977",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1511977",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Carmona:2023:OEQ,
author = "Rene Carmona and Laura Leal",
title = "Optimal Execution with Quadratic Variation
Inventories",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "751--776",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1416564",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1416564",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Landriault:2023:OSE,
author = "David Landriault and Bin Li and Jos{\'e} M. Pedraza",
title = "Optimal Stopping for Exponential {L{\'e}vy} Models
with Weighted Discounting",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "777--811",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1513538",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1513538",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Zhitlukhin:2023:CGS,
author = "Mikhail Zhitlukhin",
title = "Capital Growth and Survival Strategies in a Market
with Endogenous Prices",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "812--837",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1394370",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1394370",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Hu:2023:CMM,
author = "Ying Hu and Xiaomin Shi and Zuo Quan Xu",
title = "Constrained Monotone Mean-Variance Problem with Random
Coefficients",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "838--854",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M154418X",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M154418X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Alvarez:2023:OBC,
author = "Guillermo Alonso Alvarez and Sergey Nadtochiy and
Kevin Webster",
title = "Optimal Brokerage Contracts in Almgren-Chriss Model
with Multiple Clients",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "855--878",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1490156",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1490156",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Duc:2023:HRP,
author = "Luu H. Duc and J{\"u}rgen Jost",
title = "How Rough Path Lifts Affect Expected Return and
Volatility: a Rough Model under Transaction Cost",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "879--909",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/20M1358670",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/20M1358670",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Cuchiero:2023:SBM,
author = "Christa Cuchiero and Guido Gazzani and Sara
Svaluto-Ferro",
title = "Signature-Based Models: Theory and Calibration",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "910--957",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1512338",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1512338",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Dolinsky:2023:SCE,
author = "Yan Dolinsky and Or Zuk",
title = "Short Communication: {Exponential} Utility
Maximization in a Discrete Time {Gaussian} Framework",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "3",
pages = "SC31--SC41",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M1576074",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:01 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M1576074",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Feng:2023:CMS,
author = "Qi Feng and Jianfeng Zhang",
title = "Cubature Method for Stochastic {Volterra} Integral
Equations",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "959--1003",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M146889X",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:04 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M146889X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Ning:2023:AFI,
author = "Brian (Xin) Ning and Sebastian Jaimungal and Xiaorong
Zhang and Maxime Bergeron",
title = "Arbitrage-Free Implied Volatility Surface Generation
with Variational Autoencoders",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1004--1027",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21M1443546",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:04 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/21M1443546",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayraktar:2023:NNA,
author = "Erhan Bayraktar and Asaf Cohen and April Nellis",
title = "A Neural Network Approach to High-Dimensional Optimal
Switching Problems with Jumps in Energy Markets",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1028--1061",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1527246",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:04 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1527246",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bernis:2023:IRT,
author = "Guillaume Bernis and Matthieu Garcin and Simone Scotti
and Carlo Sgarra",
title = "Interest Rates Term Structure Models Driven by
{Hawkes} Processes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1062--1079",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1502604",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:04 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1502604",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Baldacci:2023:MFG,
author = "Bastien Baldacci and Philippe Bergault and Dylan
Possama{\"\i}",
title = "A Mean-Field Game of Market-Making against Strategic
Traders",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1080--1112",
month = oct,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1486492",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Ech-Chafiq:2023:PBO,
author = "Zineb El Filali Ech-Chafiq and Pierre Henry
Labord{\`e}re and J{\'e}r{\^o}me Lelong",
title = "Pricing {Bermudan} Options Using Regression
Trees\slash Random Forests",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1113--1139",
month = oct,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21m1460648",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Peng:2023:RGR,
author = "Jing Peng and Pengyu Wei and Zuo Quan Xu",
title = "Relative Growth Rate Optimization Under Behavioral
Criterion",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1140--1174",
month = oct,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1496943",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Pesenti:2023:POW,
author = "Silvana M. Pesenti and Sebastian Jaimungal",
title = "Portfolio Optimization within a {Wasserstein} Ball",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1175--1214",
month = nov,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1496803",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Baldacci:2023:BAS,
author = "Bastien Baldacci and Philippe Bergault and Joffrey
Derchu and Mathieu Rosenbaum",
title = "On Bid and Ask Side-Specific Tick Sizes",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1215--1248",
month = nov,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21m146065x",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Coache:2023:CED,
author = "Anthony Coache and Sebastian Jaimungal and {\'A}lvaro
Cartea",
title = "Conditionally Elicitable Dynamic Risk Measures for
Deep Reinforcement Learning",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1249--1289",
month = nov,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1527209",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Gao:2023:CBD,
author = "Chengfan Gao and Siping Gao and Ruimeng Hu and Zimu
Zhu",
title = "Convergence of the Backward Deep {BSDE} Method with
Applications to Optimal Stopping Problems",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1290--1303",
month = dec,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1539952",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Biagini:2023:LBM,
author = "Francesca Biagini and Andrea Mazzon and Thilo
Meyer-Brandis and Katharina Oberpriller",
title = "Liquidity Based Modeling of Asset Price Bubbles via
Random Matching",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "1304--1342",
month = dec,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1531580",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Zhang:2023:SCS,
author = "Jianfeng Zhang",
title = "Short Communication: {Is} a Sophisticated Agent Always
a Wise One?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "SC42--SC48",
month = "????",
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M1569137",
ISSN = "1945-497X",
bibdate = "Tue Oct 17 13:54:04 MDT 2023",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M1569137",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Maggis:2023:SCB,
author = "Marco Maggis",
title = "Short Communication: {The} Birth of (a Robust)
Arbitrage Theory in {de Finetti}'s Early
Contributions",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "SC49--SC59",
month = nov,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1604096",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayraktar:2023:SCE,
author = "Erhan Bayraktar and Bingyan Han",
title = "Short Communication: {Existence} of {Markov}
Equilibrium Control in Discrete Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "14",
number = "4",
pages = "SC60--SC71",
month = dec,
year = "2023",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1594121",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Protter:2024:OBQ,
author = "Philip E. Protter and Qianfan Wu and Shihao Yang",
title = "Order Book Queue {Hawkes Markovian} Modeling",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "1--25",
month = jan,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1470815",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Donnelly:2024:ECT,
author = "Ryan Donnelly and Sebastian Jaimungal",
title = "Exploratory Control with {Tsallis} Entropy for Latent
Factor Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "26--53",
month = feb,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m153505x",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Xia:2024:OIR,
author = "Jianming Xia",
title = "Optimal Investment with Risk Controlled by Weighted
Entropic Risk Measures",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "54--92",
month = feb,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m152894x",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bose:2024:MKB,
author = "Shreya Bose and Ibrahim Ekren",
title = "Multidimensional {Kyle--Back} Model with a Risk Averse
Informed Trader",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "93--120",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21m1457059",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Li:2024:OCL,
author = "Xun Li and Xiang Yu and Qinyi Zhang",
title = "Optimal Consumption with Loss Aversion and Reference
to Past Spending Maximum",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "121--160",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m149212x",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Choi:2024:MAT,
author = "Jin Hyuk Choi and Jetlir Duraj and Kim Weston",
title = "A Multi-agent Targeted Trading Equilibrium with
Transaction Costs",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "161--193",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1542982",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Bayraktar:2024:DSA,
author = "Erhan Bayraktar and Qi Feng and Zhaoyu Zhang",
title = "Deep Signature Algorithm for Multidimensional
Path-Dependent Options",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "194--214",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1571563",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Brigo:2024:MCS,
author = "Damiano Brigo and Federico Graceffa and Alexander
Kalinin",
title = "Mild to Classical Solutions for {XVA} Equations under
Stochastic Volatility",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "215--254",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1506882",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Wu:2024:GOC,
author = "Qinyu Wu and Tiantian Mao and Taizhong Hu",
title = "Generalized Optimized Certainty Equivalent with
Applications in the Rank-Dependent Utility Model",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "255--294",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/21m1448276",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Munari:2024:RPS,
author = "Cosimo Munari and Justin Pl{\"u}ckebaum and Stefan
Weber",
title = "Robust Portfolio Selection under Recovery Average
Value at Risk",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "295--314",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1555491",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Doldi:2024:SCS,
author = "Alessandro Doldi and Marco Frittelli and Emanuela
Rosazza Gianin",
title = "Short Communication: {Are} Shortfall Systemic Risk
Measures One Dimensional?",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "SC1--SC14",
month = jan,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1580413",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Cao:2024:SCO,
author = "Jingyi Cao and Dongchen Li and Virginia R. Young and
Bin Zou",
title = "Short Communication: {Optimal} Insurance to Maximize
Exponential Utility When Premium Is Computed by a
Convex Functional",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "1",
pages = "SC15--SC27",
month = mar,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1601237",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Kitapbayev:2024:MCU,
author = "Yerkin Kitapbayev and Scott Robertson",
title = "Mortgage Contracts and Underwater Default",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "2",
pages = "315--359",
month = apr,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1498590",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Deng:2024:RWC,
author = "Chao Deng and Xizhi Su and Chao Zhou",
title = "Relative Wealth Concerns with Partial Information and
Heterogeneous Priors",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "2",
pages = "360--398",
month = apr,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1508625",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{DiNunno:2024:FDR,
author = "Giulia {Di Nunno} and Emanuela Rosazza Gianin",
title = "Fully Dynamic Risk Measures: Horizon Risk,
Time-Consistency, and Relations with {BSDEs} and
{BSVIEs}",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "2",
pages = "399--435",
month = may,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23m1546804",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Neufeld:2024:DDD,
author = "Ariel Neufeld and Julian Sester and Daiying Yin",
title = "Detecting Data-Driven Robust Statistical Arbitrage
Strategies with Deep Neural Networks",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "2",
pages = "436--472",
month = may,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22m1487928",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Pitera:2024:SCU,
author = "Marcin Pitera and Mikl{\'o}s R{\'a}sonyi",
title = "Short Communication: {Utility}-Based Acceptability
Indices",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "2",
pages = "SC28--SC40",
month = may,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/24m1632486",
ISSN = "1945-497X",
bibdate = "Fri May 31 06:26:55 2024",
bibsource = "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Chau:2024:RFT,
author = "Huy N. Chau",
title = "On Robust Fundamental Theorems of Asset Pricing in
Discrete Time",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "571--600",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M156032X",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M156032X",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Motte:2024:PHR,
author = "Edouard Motte and Donatien Hainaut",
title = "Partial Hedging in Rough Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "601--652",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M1583090",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M1583090",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Chavez-Casillas:2024:AOM,
author = "Jonathan Ch{\'a}vez-Casillas and Jos{\'e} E.
Figueroa-L{\'o}pez and Chuyi Yu and Yi Zhang",
title = "Adaptive Optimal Market Making Strategies with
Inventory Liquidation Cost",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "653--699",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M1571058",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M1571058",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Kaakai:2024:ESS,
author = "Sarah Kaaka{\"\i} and Anis Matoussi and Achraf
Tamtalini",
title = "Estimation of Systemic Shortfall Risk Measure Using
Stochastic Algorithms",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "700--733",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/22M1539344",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/22M1539344",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Biagini:2024:ARD,
author = "Francesca Biagini and Lukas Gonon and Niklas Walter",
title = "Approximation Rates for Deep Calibration of (Rough)
Stochastic Volatility Models",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "734--784",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/23M1606769",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/23M1606769",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
@Article{Jaimungal:2024:SCP,
author = "Sebastian Jaimungal and Xiaofei Shi",
title = "Short Communication: The Price of Information",
journal = j-SIAM-J-FINANCIAL-MATH,
volume = "15",
number = "3",
pages = "SC54--SC67",
month = sep,
year = "2024",
CODEN = "SJFMBJ",
DOI = "https://doi.org/10.1137/24M1644791",
ISSN = "1945-497X",
bibdate = "Mon Aug 26 08:50:20 MDT 2024",
bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
URL = "https://epubs.siam.org/doi/10.1137/24M1644791",
acknowledgement = ack-nhfb,
ajournal = "SIAM J. Financial Math.",
fjournal = "SIAM Journal on Financial Mathematics",
journal-URL = "http://epubs.siam.org/sifin",
}
