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ORCIDSIAM Journal on Financial Mathematics, Volume 10
Volume 10, Number 1, 2019
- Longjie Jia, Martijn Pistorius, Harry Zheng
:
Dynamic Portfolio Optimization with Looping Contagion Risk. 1-36 - Michael Kusnetsov, Luitgard Anna Maria Veraart:
Interbank Clearing in Financial Networks with Multiple Maturities. 37-67 - Maxim Bichuch, Zachary Feinstein:
Optimization of Fire Sales and Borrowing in Systemic Risk. 68-88 - Antoine Jacquier, Fangwei Shi:
The Randomized Heston Model. 89-129 - Cong Qin, Xinfu Chen:
On Balanced Growth Path Solutions of a Knowledge Diffusion and Growth Model. 130-155 - Alain Bensoussan, SingRu Celine Hoe, Zhongfeng Yan:
A Mean-Variance Approach to Capital Investment Optimization. 156-180 - Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger:
Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method. 181-213 - Ailing Zeng, Jungong Xue:
Multilevel Monte Carlo Method for Path-Dependent Barrier Interest Rate Derivatives. 214-242 - Baojun Bian, Xinfu Chen, Zuo Quan Xu:
Utility Maximization Under Trading Constraints with Discontinuous Utility. 243-260 - Damien Lamberton, Giulia Terenzi:
Variational Formulation of American Option Prices in the Heston Model. 261-308
Volume 10, Number 2, 2019
- Eduardo Abi Jaber, Omar El Euch:
Multifactor Approximation of Rough Volatility Models. 309-349 - Ulrich Horst, Wei Xu:
A Scaling Limit for Limit Order Books Driven by Hawkes Processes. 350-393 - Bin Li, Peng Luo, Dewen Xiong:
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization. 394-429 - Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis:
Financial Asset Bubbles in Banking Networks. 430-465 - Paolo Guasoni, Antonella Tolomeo, Gu Wang:
Should Commodity Investors Follow Commodities' Prices? 466-490 - Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum:
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models. 491-511 - Sühan Altay, Katia Colaneri, Zehra Eksi:
Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information. 512-546 - Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young:
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates. 547-577 - Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter:
Managing Default Contagion in Inhomogeneous Financial Networks. 578-614 - Michael Schatz, Didier Sornette:
A Nonuniformly Integrable Martingale Bubble with a Crash. 615-631 - Kexin Chen, Mei Choi Chiu, Hoi Ying Wong:
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration. 632-665
Volume 10, Number 3, 2019
- Erhan Bayraktar, Jingjie Zhang, Zhou Zhou:
Time Consistent Stopping for the Mean-Standard Deviation Problem - The Discrete Time Case. 667-697 - Sergey Nadtochiy, Thaleia Zariphopoulou:
Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints. 698-722 - Peter Bank, Moritz Voß:
Optimal Investment with Transient Price Impact. 723-768 - Paolo Guasoni, Zsolt Nika, Miklós Rásonyi:
Trading Fractional Brownian Motion. 769-789 - Álvaro Cartea, Luhui Gan, Sebastian Jaimungal:
Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. 790-814 - Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? 815-856 - Ben M. Hambly, Nikolaos Kolliopoulos:
Erratum: Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models. 857-876
Volume 10, Number 4, 2019
- Zachary Feinstein:
Obligations with Physical Delivery in a Multilayered Financial Network. 877-906 - Laurence Carassus, Jan Oblój, Johannes Wiesel:
The Robust Superreplication Problem: A Dynamic Approach. 907-941 - Aurélien Alfonsi, David Krief, Peter Tankov:
Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing. 942-976 - Kexin Chen, Mei Choi Chiu, Yong Hyun Shin, Hoi Ying Wong:
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy. 977-1005
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