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ORCIDSIAM Journal on Financial Mathematics, Volume 15
Volume 15, Number 1, March 2024
- Alessandro Doldi
, Marco Frittelli, Emanuela Rosazza Gianin:
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? 1- - Philip Protter, Qianfan Wu, Shihao Yang:
Order Book Queue Hawkes Markovian Modeling. 1-25 - Ryan Donnelly, Sebastian Jaimungal:
Exploratory Control with Tsallis Entropy for Latent Factor Models. 26-53 - Jingyi Cao, Dongchen Li, Virginia R. Young, Bin Zou:
Short Communication: Optimal Insurance to Maximize Exponential Utility When Premium Is Computed by a Convex Functional. 15- - Jianming Xia:
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures. 54-92 - Shreya Bose, Ibrahim Ekren:
Multidimensional Kyle-Back Model with a Risk Averse Informed Trader. 93-120 - Xun Li, Xiang Yu, Qinyi Zhang:
Optimal Consumption with Loss Aversion and Reference to Past Spending Maximum. 121-160 - Jin Hyuk Choi, Jetlir Duraj, Kim Weston:
A Multi-agent Targeted Trading Equilibrium with Transaction Costs. 161-193 - Erhan Bayraktar, Qi Feng, Zhaoyu Zhang:
Deep Signature Algorithm for Multidimensional Path-Dependent Options. 194-214 - Damiano Brigo, Federico Graceffa, Alexander Kalinin:
Mild to Classical Solutions for XVA Equations under Stochastic Volatility. 215-254 - Qinyu Wu, Tiantian Mao, Taizhong Hu:
Generalized Optimized Certainty Equivalent with Applications in the Rank-Dependent Utility Model. 255-294 - Cosimo Munari, Justin Plückebaum, Stefan Weber:
Robust Portfolio Selection under Recovery Average Value at Risk. 295-314
Volume 15, Number 2, 2024
- Yerkin Kitapbayev, Scott Robertson:
Mortgage Contracts and Underwater Default. 315-359 - Chao Deng, Xizhi Su, Chao Zhou:
Relative Wealth Concerns with Partial Information and Heterogeneous Priors. 360-398 - Raino A. E. Mäkinen, Jari Toivanen:
Short Communication: Monte Carlo Expected Wealth and Risk Measure Trade-Off Portfolio Optimization. 41- - Marcin Pitera, Miklós Rásonyi:
Short Communication: Utility-Based Acceptability Indices. 28- - Giulia Di Nunno, Emanuela Rosazza Gianin:
Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs. 399-435 - Ariel Neufeld, Julian Sester, Daiying Yin:
Detecting Data-Driven Robust Statistical Arbitrage Strategies with Deep Neural Networks. 436-472 - Giuseppe Carlo Calafiore, Giulia Fracastoro, Anton V. Proskurnikov:
Optimal Clearing Payments in a Financial Contagion Model. 473-502 - Jiarui Chu, Ludovic Tangpi:
Nonasymptotic Estimation of Risk Measures Using Stochastic Gradient Langevin Dynamics. 503-536 - Maria Arduca, Cosimo Munari:
Risk Measures beyond Frictionless Markets. 537-570
Volume 15, Number 3, 2024
- Huy N. Chau:
On Robust Fundamental Theorems of Asset Pricing in Discrete Time. 571-600 - Edouard Motte, Donatien Hainaut:
Partial Hedging in Rough Volatility Models. 601-652 - Sebastian Jaimungal, Xiaofei Shi:
Short Communication: The Price of Information. 54- - Jonathan A. Chávez Casillas, José E. Figueroa-López, Chuyi Yu, Yi Zhang:
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost. 653-699 - Sarah Kaakaï, Anis Matoussi, Achraf Tamtalini:
Estimation of Systemic Shortfall Risk Measure Using Stochastic Algorithms. 700-733 - Francesca Biagini, Lukas Gonon, Niklas Walter:
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models. 734-784 - Eduardo Abi Jaber, Nathan De Carvalho:
Reconciling Rough Volatility with Jumps. 785-823 - Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko:
Option Pricing in Sandwiched Volterra Volatility Model. 824-882 - Junkee Jeon, Hyeng Keun Koo, Minsuk Kwak:
A Two-Person Zero-Sum Game Approach for a Retirement Decision with Borrowing Constraints. 883-930 - Álvaro Cartea, Fayçal Drissi, Marcello Monga:
Decentralized Finance and Automated Market Making: Predictable Loss and Optimal Liquidity Provision. 931-959 - Charles Bertucci, Louis Bertucci, Jean-Michel Lasry, Pierre-Louis Lions:
A Mean Field Game Approach to Bitcoin Mining. 960-987
Volume 15, Number 4, 2024
- Yiyun Wang, Jiaqin Wei, Jianming Xia:
Short Communication: Mean-Stochastic-Dominance Portfolio Selection in Continuous Time. 80- - Çagin Ararat, Zachary Feinstein:
Short Communication: On the Separability of Vector-Valued Risk Measures. 68- - Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu:
Gaussian Volterra Processes as Models of Electricity Markets. 989-1019 - Hui Meng, Yeshunying Wang, Ming Zhou:
Optimal Reinsurance Arrangement Under Heterogeneous Beliefs: A Unified Method with Piecewise Modification. 1020-1046 - Zongxia Liang, Keyu Zhang:
Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria. 1047-1082 - David Hobson, Gechun Liang, Edward Wang:
Callable Convertible Bonds Under Liquidity Constraints and Hybrid Priorities. 1083-1123
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