Sharing the value‐at‐risk under distributional ambiguity.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 531, doi. 10.1111/mafi.12296
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2021 AND VI 31 AND IP 1
Results: 15
1
2
Optimal make–take fees for market making regulation.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 109, doi. 10.1111/mafi.12295
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- Article
3
Equilibrium concepts for time‐inconsistent stopping problems in continuous time.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 508, doi. 10.1111/mafi.12293
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- Article
4
The asymptotic expansion of the regular discretization error of Itô integrals.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 323, doi. 10.1111/mafi.12292
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- Article
5
Mean–field moral hazard for optimal energy demand response management.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 399, doi. 10.1111/mafi.12291
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- Publication type:
- Article
6
Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 203, doi. 10.1111/mafi.12290
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- Publication type:
- Article
7
Markov chains under nonlinear expectation.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 474, doi. 10.1111/mafi.12289
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- Publication type:
- Article
8
Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 366, doi. 10.1111/mafi.12288
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- Article
9
Binary funding impacts in derivative valuation.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 242, doi. 10.1111/mafi.12287
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- Article
10
Size matters for OTC market makers: General results and dimensionality reduction techniques.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 279, doi. 10.1111/mafi.12286
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- Article
11
Model risk in credit risk.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 176, doi. 10.1111/mafi.12285
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- Article
12
On utility maximization under model uncertainty in discrete‐time markets.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 149, doi. 10.1111/mafi.12284
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- Publication type:
- Article
13
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case.
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- Mathematical Finance, 2021, v. 31, n. 1, p. 36, doi. 10.1111/mafi.12283
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- Publication type:
- Article
14
Optimal investment, derivative demand, and arbitrage under price impact.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 3, doi. 10.1111/mafi.12282
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- Publication type:
- Article
15
Issue Information.
- Published in:
- Mathematical Finance, 2021, v. 31, n. 1, p. 1, doi. 10.1111/mafi.12273
- Publication type:
- Article