%%% -*-BibTeX-*- %%% ==================================================================== %%% BibTeX-file{ %%% author = "Nelson H. F. Beebe", %%% version = "1.29", %%% date = "17 October 2025", %%% time = "08:59:04 MDT", %%% filename = "siamjfinancialmath.bib", %%% address = "University of Utah %%% Department of Mathematics, 110 LCB %%% 155 S 1400 E RM 233 %%% Salt Lake City, UT 84112-0090 %%% USA", %%% telephone = "+1 801 581 5254", %%% URL = "https://www.math.utah.edu/~beebe", %%% checksum = "38324 13664 49389 530772", %%% email = "beebe at math.utah.edu, beebe at acm.org, %%% beebe at computer.org (Internet)", %%% codetable = "ISO/ASCII", %%% keywords = "BibTeX; bibliography; SIAM Journal on Financial %%% Mathematics; SIFIN", %%% license = "public domain", %%% supported = "yes", %%% docstring = "This is a COMPLETE bibliography of publications %%% in the SIAM Journal on Financial Mathematics (CODEN %%% SJFMBJ, ISSN 1945-497X) which began publishing in %%% 2010 only in online electronic form. %%% %%% The journal has a World Wide Web site at %%% %%% http://epubs.siam.org/sifin %%% http://epubs.siam.org/loi/sjfmbj %%% http://www.siam.org/journals/sifin.php %%% http://scitation.aip.org/journals/doc/SIAMDL-home/jrnls/top.jsp?key=SJFMBJ %%% %%% with editorial and publication information, %%% and pointers to tables of contents of recent %%% issues (2010--date) at %%% %%% http://siamdl.aip.org/dbt/dbt.jsp?KEY=SJFMBJ %%% %%% Bibliography entries below include World-Wide %%% Web URLs to the publisher's Web site whenever %%% possible. %%% %%% At version 1.29, the COMPLETE year coverage %%% looked like this: %%% %%% 2010 ( 35) 2015 ( 43) 2020 ( 41) %%% 2011 ( 39) 2016 ( 33) 2021 ( 56) %%% 2012 ( 28) 2017 ( 31) 2022 ( 56) %%% 2013 ( 33) 2018 ( 42) 2023 ( 47) %%% 2014 ( 27) 2019 ( 32) 2024 ( 28) %%% %%% Article: 571 %%% %%% Total entries: 571 %%% %%% This bibliography has been derived primarily %%% from information at the publisher Web site. %%% %%% Spelling has been verified with the UNIX %%% spell and GNU ispell programs using the %%% exception dictionary stored in the companion %%% file with extension .sok. %%% %%% BibTeX citation tags are uniformly chosen %%% as name:year:abbrev, where name is the %%% family name of the first author or editor, %%% year is a 4-digit number, and abbrev is a %%% 3-letter condensation of important title %%% words. Citation tags were automatically %%% generated by software developed for the %%% BibNet Project. %%% %%% In this bibliography, entries are sorted in %%% publication order within each journal, %%% using bibsort -byvolume. %%% %%% The checksum field above contains a CRC-16 %%% checksum as the first value, followed by the %%% equivalent of the standard UNIX wc (word %%% count) utility output of lines, words, and %%% characters. This is produced by Robert %%% Solovay's checksum utility.", %%% } %%% ==================================================================== @Preamble{""} %%% ==================================================================== %%% Acknowledgement abbreviations: @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, e-mail: \path|beebe@math.utah.edu|, \path|beebe@acm.org|, \path|beebe@computer.org| (Internet), URL: \path|https://www.math.utah.edu/~beebe/|"} %%% ==================================================================== %%% Journal abbreviations: @String{j-SIAM-J-FINANCIAL-MATH = "SIAM Journal on Financial Mathematics"} %%% ==================================================================== %%% Bibliography entries. @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{AbiJaber:2024:RRV, author = "Eduardo {Abi Jaber} and Nathan {De Carvalho}", title = "Reconciling Rough Volatility with Jumps", journal = j-SIAM-J-FINANCIAL-MATH, volume = "15", number = "3", pages = "785--823", month = "????", year = "2024", CODEN = "SJFMBJ", DOI = "https://doi.org/10.1137/23M1558847", ISSN = "1945-497X", bibdate = "Fri Oct 17 08:40:34 MDT 2025", 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/10.1137/23M1558847", acknowledgement = ack-nhfb, fjournal = "SIAM Journal on Financial Mathematics", journal-URL = "http://epubs.siam.org/sifin", } @Article{DiNunno:2024:OPS, author = "Giulia {Di Nunno} and Yuliya Mishura and Anton Yurchenko-Tytarenko", title = "Option Pricing in Sandwiched {Volterra} Volatility Model", journal = j-SIAM-J-FINANCIAL-MATH, volume = "15", number = "3", pages = "824--882", month = "????", year = "2024", CODEN = "SJFMBJ", DOI = "https://doi.org/10.1137/22M1521328", ISSN = "1945-497X", bibdate = "Fri Oct 17 08:40:34 MDT 2025", 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/10.1137/22M1521328", acknowledgement = ack-nhfb, fjournal = "SIAM Journal on Financial Mathematics", journal-URL = "http://epubs.siam.org/sifin", } @Article{Jeon:2024:TPZ, author = "Junkee Jeon and Hyeng Keun Koo and Minsuk Kwak", title = "A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints", journal = j-SIAM-J-FINANCIAL-MATH, volume = "15", number = "3", pages = "883--930", month = "????", year = "2024", CODEN = "SJFMBJ", DOI = "https://doi.org/10.1137/22M1528124", ISSN = "1945-497X", bibdate = "Fri Oct 17 08:40:34 MDT 2025", 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/10.1137/22M1528124", acknowledgement = ack-nhfb, fjournal = "SIAM Journal on Financial Mathematics", journal-URL = "http://epubs.siam.org/sifin", } @Article{Cartea:2024:DFA, author = "{\'A}lvaro Cartea and Fay{\c{c}}al Drissi and Marcello Monga", title = "Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision", journal = j-SIAM-J-FINANCIAL-MATH, volume = "15", number = "3", pages = "931--959", month = "????", year = "2024", CODEN = "SJFMBJ", DOI = "https://doi.org/10.1137/23M1602103", ISSN = "1945-497X", bibdate = "Fri Oct 17 08:40:34 MDT 2025", 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/10.1137/23M1602103", acknowledgement = ack-nhfb, fjournal = "SIAM Journal on Financial Mathematics", journal-URL = "http://epubs.siam.org/sifin", } @Article{Bertucci:2024:MFG, author = "Charles Bertucci and Louis Bertucci and Jean-Michel Lasry and Pierre-Louis Lions", title = "A Mean Field Game Approach to Bitcoin Mining", journal = j-SIAM-J-FINANCIAL-MATH, volume = "15", number = "3", pages = "960--987", month = "????", year = "2024", CODEN = "SJFMBJ", DOI = "https://doi.org/10.1137/23M1617813", ISSN = "1945-497X", bibdate = "Fri Oct 17 08:40:34 MDT 2025", bibsource = "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3; https://www.math.utah.edu/pub/tex/bib/bitcoin.bib; https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib", URL = "https://epubs.siam.org/doi/10.1137/23M1617813", acknowledgement = ack-nhfb, 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", } %%% [30-May-2024] TO DO: Check for duplicate DOI because of lettercase changes %%% [30-May-2024] TO DO: Check for incomplete volume contents in last entry because of rolling-release publication %%% [17-Oct-2023] TO DO: Run get-doi-pages.sh to recover page ranges!