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ORCIDSIAM Journal on Financial Mathematics, Volume 14
Volume 14, Number 1, March 2023
- Dörte Kreher, Cassandra Milbradt:
Jump Diffusion Approximation for the Price Dynamics of a Fully State Dependent Limit Order Book Model. 1-51 - Florian Aichinger
, Sascha Desmettre:
Utility Maximization in Multivariate Volterra Models. 52-98 - Piergiacomo Sabino:
Normal Tempered Stable Processes and the Pricing of Energy Derivatives. 99-126 - Godeliva Petrina Marisu, Chi Seng Pun:
Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios. 127-157 - Zachary Feinstein, Thomas R. Hurd:
Contingent Convertible Obligations and Financial Stability. 158-187 - Claudio Fontana:
Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates. 1- - Guillermo Angeris, Tarun Chitra, Alex Evans, Matthew Lorig:
Short Communication: A Primer on Perpetuals. 17- - Diogo Gomes, Julian Gutierrez, Ricardo Ribeiro:
A Random-Supply Mean Field Game Price Model. 188-222 - Alexandre Richard, Xiaolu Tan, Fan Yang:
On the Discrete-Time Simulation of the Rough Heston Model. 223-249 - Dejian Tian:
Pricing Principle via Tsallis Relative Entropy in Incomplete Markets. 250-278 - Pablo Azcue, Xiaoqing Liang, Nora Muler, Virginia R. Young:
Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis. 279-313 - Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger:
Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework. 314-352
Volume 14, Number 2, June 2023
- Antoine Jacquier, Mugad Oumgari:
Deep Curve-Dependent PDEs for Affine Rough Volatility. 353-382 - Christian Bayer, Martin Eigel, Leon Sallandt, Philipp Trunschke:
Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats. 383-406 - Pieter M. van Staden, Peter A. Forsyth, Yuying Li:
Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach. 407-451 - Orcan Ögetbil, Bernhard Hientzsch:
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility. 452-474 - Paul Gassiat:
Weak Error Rates of Numerical Schemes for Rough Volatility. 475-496 - Prakash Chakraborty, Asaf Cohen, Virginia R. Young:
Optimal Dividends Under Model Uncertainty. 497-524 - Hou-Duo Qi:
Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy. 525-556 - Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young:
Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case. 557-597 - Fabrizio Lillo, Giulia Livieri, Stefano Marmi, Anton Solomko, Sandro Vaienti:
Analysis of Bank Leverage via Dynamical Systems and Deep Neural Networks. 598-643 - Tolulope Fadina, Peng Liu, Ruodu Wang:
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles. 644-662 - Frank Bosserhoff, Mitja Stadje:
Robustness of Delta Hedging in a Jump-Diffusion Model. 663-703 - Daniel Bartl, Johannes Wiesel:
Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance. 704-720
Volume 14, Number 3, September 2023
- Zhou Yang, Jing Zhang, Chao Zhou:
Robust Control Problems of BSDEs Coupled with Value Functions. 721-750 - René Carmona, Laura Leal:
Optimal Execution with Quadratic Variation Inventories. 751-776 - David Landriault, Bin Li, José M. Pedraza:
Optimal Stopping for Exponential Lévy Models with Weighted Discounting. 777-811 - Mikhail Zhitlukhin:
Capital Growth and Survival Strategies in a Market with Endogenous Prices. 812-837 - Ying Hu, Xiaomin Shi, Zuo Quan Xu:
Constrained Monotone Mean-Variance Problem with Random Coefficients. 838-854 - Guillermo Alonso Alvarez, Sergey Nadtochiy, Kevin Webster:
Optimal Brokerage Contracts in Almgren-Chriss Model with Multiple Clients. 855-878 - Luu H. Duc, Jürgen Jost:
How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost. 879-909 - Christa Cuchiero, Guido Gazzani, Sara Svaluto-Ferro:
Signature-Based Models: Theory and Calibration. 910-957 - Yan Dolinsky, Or Zuk:
Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework. SC31-SC41
Volume 14, Number 4, December 2023
- Jianfeng Zhang:
Short Communication: Is a Sophisticated Agent Always a Wise One? 42- - Qi Feng, Jianfeng Zhang:
Cubature Method for Stochastic Volterra Integral Equations. 959-1003 - Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron:
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders. 1004-1027 - Erhan Bayraktar, Asaf Cohen, April Nellis:
A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets. 1028-1061 - Guillaume Bernis, Matthieu Garcin, Simone Scotti, Carlo Sgarra:
Interest Rates Term Structure Models Driven by Hawkes Processes. 1062-1079 - Bastien Baldacci, Philippe Bergault, Dylan Possamaï:
A Mean-Field Game of Market-Making against Strategic Traders. 1080-1112 - Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong:
Pricing Bermudan Options Using Regression Trees/Random Forests. 1113-1139 - Jing Peng, Pengyu Wei, Zuo Quan Xu:
Relative Growth Rate Optimization Under Behavioral Criterion. 1140-1174 - Marco Maggis:
Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti's Early Contributions. 49- - Silvana M. Pesenti, Sebastian Jaimungal:
Portfolio Optimization within a Wasserstein Ball. 1175-1214 - Bastien Baldacci, Philippe Bergault, Joffrey Derchu, Mathieu Rosenbaum:
On Bid and Ask Side-Specific Tick Sizes. 1215-1248 - Anthony Coache, Sebastian Jaimungal, Álvaro Cartea:
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning. 1249-1289 - Erhan Bayraktar, Bingyan Han:
Short Communication: Existence of Markov Equilibrium Control in Discrete Time. 60- - Chengfan Gao, Siping Gao, Ruimeng Hu, Zimu Zhu:
Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems. 1290-1303 - Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis, Katharina Oberpriller:
Liquidity Based Modeling of Asset Price Bubbles via Random Matching. 1304-1342
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