yusuke1997/dblp-id-title huggingface dataset:
Applications of Malliavin calculus to Monte Carlo methods in finance
Towards a general theory of bond markets
A solution approach to valuation with unhedgeable risks
On time-inconsistent stochastic control in continuous time
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Watermark options
A risk-neutral equilibrium leading to uncertain volatility pricing
Static hedging under maturity mismatch
Robust bounds for the American put
A multicurrency extension of the lognormal interest rate Market Models
When do creditors with heterogeneous beliefs agree to run?
In the insurance business risky investments are dangerous
Long-term factorization in Heath-Jarrow-Morton models
A link between complete models with stochastic volatility and ARCH models
An example of indifference prices under exponential preferences
The existence of dominating local martingale measures
Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering
Optimal lifetime consumption and investment under a drawdown constraint
Hedging variance options on continuous semimartingales
Call Completeness Implies Completeness in the n -period Model of a Financial Market
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Invariant measures for the Musiela equation with deterministic diffusion term
Optimal consumption policies in illiquid markets
On Leland's strategy of option pricing with transactions costs
Option pricing with quadratic volatility: a revisit
On perpetual American put valuation and first-passage in a regime-switching model with jumps
A generalization of the Hull and White formula with applications to option pricing approximation
Liquidity management with decreasing returns to scale and secured credit line
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Optimal risk control for a large corporation in the presence of returns on investments
Optimal investment and contingent claim valuation in illiquid markets
Utility maximization in incomplete markets for unbounded processes
Asymptotic arbitrage in large financial markets
Robust pricing and hedging under trading restrictions and the emergence of local martingale models
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
Optimal consumption and investment for markets with random coefficients
A note on calculating the optimal risky portfolio
Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Continuous auctions and insider trading: uniqueness and risk aversion
Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
Robust pricing-hedging dualities in continuous time
Equity portfolios generated by functions of ranked market weights
Inf-convolution of risk measures and optimal risk transfer
Drift dependence of optimal trade execution strategies under transient price impact
Optimal portfolio of low liquid assets with a log-utility function
Trading strategies generated by Lyapunov functions
Modelling of stock price changes: A real analysis approach
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
Dilatation monotone risk measures are law invariant
On the free boundary of an annuity purchase
How non-arbitrage, viability and numéraire portfolio are related
Comparison results for stochastic volatility models via coupling
Optimal capital and risk allocations for law- and cash-invariant convex functions
A pure martingale dual for multiple stopping
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
Pricing derivatives of American and game type in incomplete markets
Bounds for VIX futures given S&P 500 smiles
Optimal investment for investors with state dependent income, and for insurers
Exponential moments for HJM models with jumps
Multivariate utility maximization with proportional transaction costs
Portfolio optimisation with strictly positive transaction costs and impulse control
Pathwise superreplication via Vovk's outer measure
Stochastic mortality models: an infinite-dimensional approach
Time-consistent mean-variance portfolio selection in discrete and continuous time
The rate of convergence of the binomial tree scheme
Multilevel Monte Carlo for exponential Lévy models
Optimal portfolios in commodity futures markets
On irregular functionals of SDEs and the Euler scheme
Irreversible investment problems
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Arbitrage in fractional Brownian motion models
Optimization of consumption with labor income
Pricing vulnerable claims in a Lévy-driven model
The dual optimizer for the growth-optimal portfolio under transaction costs
The critical price for the American put in an exponential Lévy model
Convergence of discrete time option pricing models under stochastic interest rates
Analytical value-at-risk with jumps and credit risk
Risk bounds for factor models
Pricing options under stochastic volatility: a power series approach
Spot volatility estimation using delta sequences
Local time and the pricing of time-dependent barrier options
Efficient discretization of stochastic integrals
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Asymptotics for fixed transaction costs
A note on the existence of the power investor's optimizer
The dynamics of strategic information flows in stock markets
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
Utility maximization on the real line under proportional transaction costs
On the construction of finite dimensional realizations for nonlinear forward rate models
Optimal portfolio liquidation in target zone models and catalytic superprocesses
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices
Exercise regions of American options on several assets
Bachelier and his times: A conversation with Bernard Bru
The cumulant process and Esscher's change of measure
Arbitrage and investment opportunities
Consumption-investment optimization with Epstein-Zin utility in incomplete markets
The role of measurability in game-theoretic probability
A direct solution method for pricing options involving the maximum process
Moment explosions in stochastic volatility models
Optimal dividend distribution under Markov regime switching
Discrete time hedging errors for options with irregular payoffs
On the law of one price
The optimal-drift model: an accelerated binomial scheme
Lévy processes in finance: a remedy to the non-stationarity of continuous martingales
Co-monotonicity of optimal investments and the design of structured financial products
Portfolio optimization with insider's initial information and counterparty risk
Asymptotics of implied volatility to arbitrary order
Local martingales, bubbles and option prices
Strict local martingale deflators and valuing American call-type options
Optimal consumption and investment with Epstein-Zin recursive utility
An extension of mean-variance hedging to the discontinuous case
Model-independent bounds for option prices - a mass transport approach
On the range of options prices
Stein's method and zero bias transformation for CDO tranche pricing
Numerical solution of jump-diffusion LIBOR market models
The numéraire portfolio in semimartingale financial models
On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Robust utility maximization for a diffusion market model with misspecified coefficients
No-arbitrage under a class of honest times
Quantile hedging
Hazard rate for credit risk and hedging defaultable contingent claims
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
Implied interest rate pricing models
Hedge and mutual funds' fees and the separation of private investments
Diversity and relative arbitrage in equity markets
Exponential growth of fixed-mix strategies in stationary asset markets
Confidence sets in nonparametric calibration of exponential Lévy models
Market selection with learning and catching up with the Joneses
On the closedness of sums of convex cones in L 0 and the robust no-arbitrage property
A general characterization of one factor affine term structure models
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
On the Malliavin approach to Monte Carlo approximation of conditional expectations
Weighted V@R and its Properties
Small transaction costs, absence of arbitrage and consistent price systems
Existence of an endogenously complete equilibrium driven by a diffusion
Existence of Lévy term structure models
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
A note on the existence of unique equivalent martingale measures in a Markovian setting
On irreversible investment
Irreversible investment in oligopoly
Transaction costs, trading volume, and the liquidity premium
A note on the large homogeneous portfolio approximation with the Student-t copula
Superreplication under model uncertainty in discrete time
Consumption-portfolio optimization with recursive utility in incomplete markets
On measuring nonlinear risk with scarce observations
Discretely sampled variance and volatility swaps versus their continuous approximations
Double-sided Parisian option pricing
Liquidity risk, price impacts and the replication problem
Model uncertainty and the pricing of American options
Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
American and European options in multi-factor jump-diffusion models, near expiry
Equilibrium in risk-sharing games
The distribution of the maximum of a variance gamma process and path-dependent option pricing
Consumption, investment and healthcare with aging
Hedging and liquidation under transaction costs in currency markets
Cross hedging with stochastic correlation
Asymptotic arbitrage with small transaction costs
Minimax and minimal distance martingale measures and their relationship to portfolio optimization
Aggregation-robustness and model uncertainty of regulatory risk measures
Risk measures with the CxLS property
On dynamic measures of risk
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Polynomial processes and their applications to mathematical finance
A theory of Markovian time-inconsistent stochastic control in discrete time
Universal arbitrage aggregator in discrete-time markets under uncertainty
Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
Iterative construction of the optimal Bermudan stopping time
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
A note on invariant measures for HJM models
Applications of Malliavin calculus to Monte-Carlo methods in finance. II
Markov-functional interest rate models
Consistent price systems under model uncertainty
Robust representation of convex risk measures by probability measures
Optimal dynamic reinsurance policies for large insurance portfolios
Large portfolio losses
Pension funds with a minimum guarantee: a stochastic control approach
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
Adjoint-based Monte Carlo calibration of financial market models
Option pricing in the presence of natural boundaries and a quadratic diffusion term
Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Continuous-time term structure models: Forward measure approach
Fourier series method for measurement of multivariate volatilities
Coherent and convex monetary risk measures for unbounded càdlàg processes
Bilateral credit valuation adjustment for large credit derivatives portfolios
Random step functions model for interest rates
An expansion in the model space in the context of utility maximization
Additional utility of insiders with imperfect dynamical information
On the use of measure-valued strategies in bond markets
On the existence of shadow prices
FTAP in finite discrete time with transaction costs by utility maximization
On the forward rate concept in multi-state life insurance
Black and Scholes pricing and markets with transaction costs: An example
A class of risk neutral densities with heavy tails
The relaxed investor and parameter uncertainty
A simple model for credit migration and spread curves
Pricing options on realized variance
Indifference pricing of insurance contracts in a product space model
The supermartingale property of the optimal wealth process for general semimartingales
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
Optimal investment with derivative securities
Semimartingale representation of fractional Riesz-Bessel motion
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
Worst case portfolio vectors and diversification effects
The interpolation of options
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model
The microstructural foundations of leverage effect and rough volatility
Risk measures for processes and BSDEs
Gamma expansion of the Heston stochastic volatility model
Pricing by hedging and no-arbitrage beyond semimartingales
Stability of Radner equilibria with respect to small frictions
Weak time-derivatives and no-arbitrage pricing
Option Pricing for Pure Jump Processes with Markov Switching Compensators
A large deviations approach to optimal long term investment
LIBOR and swap market models and measures
Optional decomposition and Lagrange multipliers
Robust price bounds for the forward starting straddle
On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Portfolio optimization under convex incentive schemes
Correction note for 'The large-maturity smile for the Heston model'
A note on the forward measure
Exploding hedging errors for digital options
Option hedging for small investors under liquidity costs
Option pricing with transaction costs and a nonlinear Black-Scholes equation
In discrete time a local martingale is a martingale under an equivalent probability measure
Stochastic orders in dynamic reinsurance markets
On the duality principle in option pricing: semimartingale setting
Smart expansion and fast calibration for jump diffusions
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Shifting martingale measures and the birth of a bubble as a submartingale
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
On the pricing of forward starting options in Heston's model on stochastic volatility
Pseudo linear pricing rule for utility indifference valuation
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
Minimal Hellinger martingale measures of order q
A general HJM framework for multiple yield curve modelling
Asset price bubbles from heterogeneous beliefs about mean reversion rates
Singular risk-neutral valuation equations
Model-independent hedging strategies for variance swaps
Optimal time to invest when the price processes are geometric Brownian motions
Valuation of American options in the presence of event risk
Optimal investment in derivative securities
Financial equilibrium with asymmetric information and random horizon
A semimartingale BSDE related to the minimal entropy martingale measure
On q -optimal martingale measures in exponential Lévy models
Dynamic risk measures: Time consistency and risk measures from BMO martingales
The Lévy LIBOR model
A short term interest rate model
The large-maturity smile for the Heston model
Valuation of exotic options under shortselling constraints
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Endogenous current coupons
On a Heath-Jarrow-Morton approach for stock options
Editorial: 20th anniversary of Finance and Stochastics
The fundamental theorem of asset pricing under transaction costs
Local martingales and the fundamental asset pricing theorems in the discrete-time case
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
Replicating portfolio approach to capital calculation
Market completion with derivative securities
Comparison of Option Prices in Semimartingale Models
Hybrid scheme for Brownian semistationary processes
Fragility of arbitrage and bubbles in local martingale diffusion models
Satisfying convex risk limits by trading
A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Exercise boundary of the American put near maturity in an exponential Lévy model
Asymptotic and exact pricing of options on variance
Liquidity risk and arbitrage pricing theory
Conditional and dynamic convex risk measures
Asymmetric information and imperfect competition in a continuous time multivariate security model
Utility maximization under increasing risk aversion in one-period models
Introduction to a theory of value coherent with the no-arbitrage principle
Arbitrage and deflators in illiquid markets
The Russian option: Finite horizon
When terminal facelift enforces delta constraints
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
A variational inequality approach to financial valuation of retirement benefits based on salary
Complete markets with discontinuous security price
Arbitrage-free discretization of lognormal forward Libor and swap rate models
A note on Wick products and the fractional Black-Scholes model
Superreplication when trading at market indifference prices
Convergence of strategies: An approach using Clark-Haussmann's formula
Hedging American contingent claims with constrained portfolios
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain
Multivariate risks and depth-trimmed regions
Free boundary and optimal stopping problems for American Asian options
Utility maximization and risk minimization in life and pension insurance
Optimal portfolio choice in the bond market
Perturbed Brownian motion and its application to Parisian option pricing
Mean-variance hedging with oil futures
Existence and structure of stochastic equilibria with intertemporal substitution
Optimal investment with counterparty risk: a default-density model approach
Optimal dividend payouts for diffusions with solvency constraints
Arbitrage-free pricing of multi-person game claims in discrete time
Efficient hedging: Cost versus shortfall risk
Consistent Variance Curve Models
Risk sensitive asset management with transaction costs
Robust pricing and hedging of double no-touch options
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
The financial value of a weak information on a financial market
Functional convergence of Snell envelopes: Applications to American options approximations
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure
Convergence of utility functions and convergence of optimal strategies
Pricing double barrier options using Laplace transforms
Quasi-Monte Carlo methods with applications in finance
Additive and multiplicative duals for American option pricing
Irreversible investment and industry equilibrium
Local volatility dynamic models
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
A super-replication theorem in Kabanov's model of transaction costs
Scenario Simulation: Theory and methodology
Fractional Brownian motion, random walks and binary market models
Optimal exercise of executive stock options
Optimal investments for risk- and ambiguity-averse preferences: a duality approach
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
A stochastic control problem with delay arising in a pension fund model
Utility maximisation in a factor model with constant and proportional transaction costs
An entropy approach to the Stein and Stein model with correlation
Valuation of credit default swaps and swaptions
An explicit martingale version of the one-dimensional Brenier theorem
Optimal stopping for a diffusion with jumps
On option pricing in binomial market with transaction costs
Dynamic programming and mean-variance hedging
An optimal consumption model with stochastic volatility
A valuation algorithm for indifference prices in incomplete markets
Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark
Default times, no-arbitrage conditions and changes of probability measures
Additive subordination and its applications in finance
Universal bounds for asset prices in heterogeneous economies
Implied savings accounts are unique
No-arbitrage criteria for financial markets with transaction costs and incomplete information
Erratum to: Utility maximization in incomplete markets with random endowment
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Representation formulas for Malliavin derivatives of diffusion processes
Change of numeraire in the two-marginals martingale transport problem
Optimal investment and price dependence in a semi-static market
Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
The exact Taylor formula of the implied volatility
Perfect hedging under endogenous permanent market impacts
Minimal q -entropy martingale measures for exponential time-changed Lévy processes
Consumption-investment problem with transaction costs for Lévy-driven price processes
Generic market models
Perfect option hedging for a large trader
Conditional Gaussian models of the term structure of interest rates
An analysis of a least squares regression method for American option pricing
Processes of normal inverse Gaussian type
Incompleteness of markets driven by a mixed diffusion
A monetary value for initial information in portfolio optimization
A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns
Robust utility maximization for complete and incomplete market models
In the insurance business risky investments are dangerous: the case of negative risk sums
Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
Efficient estimation of drift parameters in stochastic volatility models
No arbitrage and closure results for trading cones with transaction costs
Hedging contingent claims on semimartingales
Fast and accurate pricing of barrier options under Lévy processes
Forward equations for option prices in semimartingale models
Dynamic trading under integer constraints
On arbitrages arising with honest times
Wealth-path dependent utility maximization in incomplete markets
Basket CDS pricing with interacting intensities
On Kolmogorov equations for anisotropic multivariate Lévy processes
Utility maximization in incomplete markets with random endowment
On a general class of one-factor models for the term structure of interest rates
An approximation pricing algorithm in an incomplete market: A differential geometric approach