Works matching IS 09601627 AND DT 2020 AND VI 30 AND IP 3

Results: 14

Robust XVA.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 738, doi. 10.1111/mafi.12260

By:

Bichuch, Maxim;
Capponi, Agostino;
Sturm, Stephan

Publication type:

Article

Hedging nontradable risks with transaction costs and price impact.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 833, doi. 10.1111/mafi.12259

By:

Cartea, Álvaro;
Donnelly, Ryan;
Jaimungal, Sebastian

Publication type:

Article

Distress and default contagion in financial networks.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 705, doi. 10.1111/mafi.12247

By:

Veraart, Luitgard Anna Maria

Publication type:

Article

Lifetime investment and consumption with recursive preferences and small transaction costs.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 1135, doi. 10.1111/mafi.12245

By:

Melnyk, Yaroslav;
Muhle‐Karbe, Johannes;
Seifried, Frank Thomas

Publication type:

Article

Semimartingale theory of monotone mean–variance portfolio allocation.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 1168, doi. 10.1111/mafi.12241

By:

Černý, Aleš

Publication type:

Article

Static and semistatic hedging as contrarian or conformist bets.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 921, doi. 10.1111/mafi.12240

By:

Boyarchenko, Svetlana;
Levendorskiĭ, Sergei

Publication type:

Article

Shortfall aversion.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 869, doi. 10.1111/mafi.12239

By:

Guasoni, Paolo;
Huberman, Gur;
Ren, Dan

Publication type:

Article

Dividend policy and capital structure of a defaultable firm.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 961, doi. 10.1111/mafi.12238

By:

Tse, Alex S. L.

Publication type:

Article

Mean‐field games with differing beliefs for algorithmic trading.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 995, doi. 10.1111/mafi.12237

By:

Casgrain, Philippe;
Jaimungal, Sebastian

Publication type:

Article

A regularity structure for rough volatility.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 782, doi. 10.1111/mafi.12233

By:

Bayer, Christian;
Friz, Peter K.;
Gassiat, Paul;
Martin, Jorg;
Stemper, Benjamin

Publication type:

Article

Dynamically consistent alpha‐maxmin expected utility.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 1073, doi. 10.1111/mafi.12232

By:

Beissner, Patrick;
Lin, Qian;
Riedel, Frank

Publication type:

Article

Optimal equilibria for time‐inconsistent stopping problems in continuous time.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 1103, doi. 10.1111/mafi.12229

By:

Huang, Yu‐Jui;
Zhou, Zhou

Publication type:

Article

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets.

Published in:

Mathematical Finance, 2020, v. 30, n. 3, p. 1035, doi. 10.1111/mafi.12217

By:

Liang, Zongxia;
Ma, Ming

Publication type:

Article

Issue Information.

Published in:: Mathematical Finance, 2020, v. 30, n. 3, p. 703, doi. 10.1111/mafi.12215
Publication type:: Article