Entity usage

This page lists pages that use the given entity (e.g. Q42). The list is sorted by descending page ID, so that newer pages are listed first.

Showing below up to 50 results in range #51 to #100.

Equilibrium concepts for time‐inconsistent stopping problems in continuous time: Label: en
Markov chains under nonlinear expectation: Label: en
Mean–field moral hazard for optimal energy demand response management: Label: en
Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework: Label: en
Size matters for OTC market makers: General results and dimensionality reduction techniques: Label: en
The asymptotic expansion of the regular discretization error of Itô integrals: Label: en
Binary funding impacts in derivative valuation: Label: en
Preference robust distortion risk measure and its application: Label: en
Optimal measure preserving derivatives revisited: Label: en
Optimal investment with correlated stochastic volatility factors: Label: en
Pro‐cyclicality beyond business cycle: Label: en
A model‐free approach to continuous‐time finance: Label: en
Reverse stress testing: Scenario design for macroprudential stress tests: Label: en
Limits of semistatic trading strategies: Label: en
Neural network approximation for superhedging prices: Label: en
Deep empirical risk minimization in finance: Looking into the future: Label: en
Optimal dynamic regulation of carbon emissions market: Label: en
Algorithmic market making in dealer markets with hedging and market impact: Label: en
Reconstructing volatility: Pricing of index options under rough volatility: Label: en
Marco Avellaneda: Mathematician and trader: Label: en
In memoriam: Marco Avellaneda (1955–2022): Label: en
Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood: Label: en
The American put with finite‐time maturity and stochastic interest rate: Label: en
Asymptotic analysis of long‐term investment with two illiquid and correlated assets: Label: en
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics: Label: en
Super‐replication with transaction costs under model uncertainty for continuous processes: Label: en
Portfolio liquidation games with self‐exciting order flow: Label: en
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems: Label: en
While stability lasts: A stochastic model of noncustodial stablecoins: Label: en
Consistent time‐homogeneous modeling of SPX and VIX derivatives: Label: en
An infinite‐dimensional affine stochastic volatility model: Label: en
Inter‐temporal mutual‐fund management: Label: en
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets: Label: en
When does portfolio compression reduce systemic risk?: Label: en
Affine term structure models: A time‐change approach with perfect fit to market curves: Label: en
Optimal dividend payout under stochastic discounting: Label: en
Fairness principles for insurance contracts in the presence of default risk: Label: en
Optimal investment for retail investors: Label: en
Equilibrium price in intraday electricity markets: Label: en
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach: Label: en
The Laplace transform of the integrated Volterra Wishart process: Label: en
On buybacks, dilutions, dividends, and the pricing of stock‐based claims: Label: en
Mean‐ portfolio selection and ‐arbitrage for coherent risk measures: Label: en
Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact: Label: en
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints: Label: en
A simple microstructural explanation of the concavity of price impact: Label: en
Calibration of local‐stochastic volatility models by optimal transport: Label: en
Expected median of a shifted Brownian motion: Theory and calculations: Label: en
Option pricing models without probability: a rough paths approach: Label: en
Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets: Label: en