Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)
- Review Paper. A survey of mathematical finance
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
- scientific article; zbMATH DE number 1163406 (Why is no real title available?)
- scientific article; zbMATH DE number 1104309 (Why is no real title available?)
- The term structure of implied correlations between S\&P and VIX markets
- The fundamental theorem of asset pricing with and without transaction costs
- A value-at-risk approach to futures hedge
- Mean-variance hedging in the presence of estimation risk
- A multiple curve Lévy swap market model
- Mathematical methods for financial markets.
- scientific article; zbMATH DE number 7127342 (Why is no real title available?)
- Stochastic calculus of variations for jump processes
- Theoretical Foundations for Quantitative Finance
- Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
- Ranked masses in two-parameter Fleming–Viot diffusions
- Diffusion processes, jump processes, and stochastic differential equations
- Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. 3
- From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 -- June 9, 2017
- scientific article; zbMATH DE number 847292 (Why is no real title available?)
- Mathematical Asset Management
- Optimal investment and consumption for financial markets with jumps under transaction costs
- scientific article; zbMATH DE number 5181830 (Why is no real title available?)
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- Modern Problems of Financial Mathematics
- Financial Modelling with Jump Processes
- Fourier based methods for the management of complex life insurance products
- Handbooks in operations research and management science: Financial engineering
- The bilateral Gamma motion: calibration and option pricing
- Semimartingale price systems in models with transaction costs beyond efficient friction
- A general multivariate lifetime model with a multivariate additive process as conditional hazard rate increment process
- Ruin probabilities for a Sparre Andersen model with investments
- Finance, economics, and mathematics. With a foreword by Robert C. Merton
- ETF basket-adjusted covariance estimation
- Smiles \& smirks: volatility and leverage by jumps
- Asset Pricing, Financial Markets, and Linear Algebra
- A stochastic representation theorem for sublinear semigroups with non-local generators
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Lévy-Ito models in finance
- On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
- Financial mathematics in discrete time
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