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 #1 to #50.

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY: Label: en
Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets: Label: en
Mean‐field games with differing beliefs for algorithmic trading: Label: en
Dividend policy and capital structure of a defaultable firm: Label: en
Static and semistatic hedging as contrarian or conformist bets: Label: en
Shortfall aversion: Label: en
Hedging nontradable risks with transaction costs and price impact: Label: en
A regularity structure for rough volatility: Label: en
Robust XVA: Label: en
Distress and default contagion in financial networks: Label: en
Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm: Label: en
Effective risk aversion in thin risk‐sharing markets: Label: en
A martingale representation theorem and valuation of defaultable securities: Label: en
Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds: Label: en
A term structure model for dividends and interest rates: Label: en
When to sell an asset amid anxiety about drawdowns: Label: en
Asset pricing with heterogeneous beliefs and illiquidity: Label: en
Self‐similarity in long‐horizon returns: Label: en
Risk functionals with convex level sets: Label: en
No‐arbitrage implies power‐law market impact and rough volatility: Label: en
Continuous‐time mean–variance portfolio selection: A reinforcement learning framework: Label: en
Robust risk aggregation with neural networks: Label: en
Convergence of optimal expected utility for a sequence of discrete‐time markets: Label: en
Network valuation in financial systems: Label: en
Semimartingale theory of monotone mean–variance portfolio allocation: Label: en
Lifetime investment and consumption with recursive preferences and small transaction costs: Label: en
Optimal equilibria for time‐inconsistent stopping problems in continuous time: Label: en
Dynamically consistent alpha‐maxmin expected utility: Label: en
Distribution‐constrained optimal stopping: Label: en
A unified approach to systemic risk measures via acceptance sets: Label: en
Strict local martingales and optimal investment in a Black–Scholes model with a bubble: Label: en
The limits of leverage: Label: en
Backward SDEs for control with partial information: Label: en
Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix: Label: en
Credit portfolio selection with decaying contagion intensities: Label: en
Financial models with defaultable numéraires: Label: en
Corporate security prices in structural credit risk models with incomplete information: Label: en
Option pricing under fast‐varying long‐memory stochastic volatility: Label: en
The characteristic function of rough Heston models: Label: en
GAMBLING IN CONTESTS WITH REGRET: Label: en
MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION: Label: en
BENCHMARKED RISK MINIMIZATION: Label: en
DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?: Label: en
A NOTE ON THE QUANTILE FORMULATION: Label: en
ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES: Label: en
HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS: Label: en
VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY: Label: en
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: Label: en
A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES: Label: en
LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION: Label: en