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SIAM Journal on Financial Mathematics, Volume 8
Volume 8, Number 1, 2017
- Yao Tung Huang, Qingshuo Song
, Harry Zheng:
Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk. 1-27 - Elisa Nicolato, Camilla Pisani, David Sloth:
The Impact of Jump Distributions on the Implied Volatility of Variance. 28-53 - Erwan Pierre, Stéphane Villeneuve, Xavier Warin:
Numerical Approximation of a Cash-Constrained Firm Value with Investment Opportunities. 54-81 - John Armstrong
Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion. 82-113 - Martin Forde, Hongzhong Zhang:
Asymptotics for Rough Stochastic Volatility Models. 114-145 - Giuseppe Campolieti
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts. 146-170 - René Carmona, Yi Ma, Sergey Nadtochiy
Simulation of Implied Volatility Surfaces via Tangent Lévy Models. 171-213 - Xue Dong He, Roy Kouwenberg
Rank-Dependent Utility and Risk Taking in Complete Markets. 214-239 - Anatoliy Swishchuk, Nelson Vadori:
A Semi-Markovian Modeling of Limit Order Markets. 240-273 - Yannick Armenti, Stéphane Crépey:
Central Clearing Valuation Adjustment. 274-313 - Ulrich Horst, Dörte Kreher:
A Weak Law of Large Numbers for a Limit Order Book Model with Fully State Dependent Order Dynamics. 314-343 - Gechun Liang
Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE. 344-372 - Elisa Alòs, Jorge A. León:
On the Curvature of the Smile in Stochastic Volatility Models. 373-399 - Scott Robertson
Long-Term Optimal Investment in Matrix Valued Factor Models. 400-434 - Jana Bielagk, Arnaud Lionnet, Gonçalo Dos Reis
Equilibrium Pricing Under Relative Performance Concerns. 435-482 - Michael Mania, Revaz Tevzadze
On Regularity of Primal and Dual Dynamic Value Functions Related to Investment Problems and Their Representations as Backward Stochastic PDE Solutions. 483-503 - Anja Richter, Josef Teichmann:
Discrete Time Term Structure Theory and Consistent Recalibration Models. 504-531 - Roxana Dumitrescu, Marie Claire Quenez, Agnès Sulem:
Game Options in an Imperfect Market with Default. 532-559 - Josselin Garnier, Knut Sølna:
Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility. 560-588 - Alexander Schied, Elias Strehle
High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact. 589-634 - Álvaro Cartea
Algorithmic Trading with Model Uncertainty. 635-671 - Zachary Feinstein
Measures of Systemic Risk. 672-708 - Stefano De Marco, Caroline Hillairet, Antoine Jacquier
Shapes of Implied Volatility with Positive Mass at Zero. 709-737 - Patrick Cheridito, Michael Kupper, Ludovic Tangpi
Duality Formulas for Robust Pricing and Hedging in Discrete Time. 738-765 - Maximilian Gaß, Kathrin Glau, Maximilian Mair:
Magic Points in Finance: Empirical Integration for Parametric Option Pricing. 766-803 - Yao Tung Huang, Pingping Zeng, Yue Kuen Kwok:
Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals. 804-840 - Alberto Bressan
A Stochastic Model of Optimal Debt Management and Bankruptcy. 841-873 - Weibing Huang, Mathieu Rosenbaum:
Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework. 874-900 - Yuji Shinozaki:
Construction of a Third-Order K-Scheme and Its Application to Financial Models. 901-932 - Justin A. Sirignano, Konstantinos Spiliopoulos:
Stochastic Gradient Descent in Continuous Time. 933-961 - Ben M. Hambly, Nikolaos Kolliopoulos
Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models. 962-1014
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