Frontiers of Mathematical Finance

Title Publication Date Language Citations
On asymptotically arbitrage-free approximations of the implied volatility2022/01/011
Generalized Cox model for default times2022/01/011
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence2023/01/01
Extreme measures in continuous time Conic Finance2024/01/01
Swing contract pricing: With and without neural networks2024/01/01
Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing2022/01/01
$ G $-expectation approach to stochastic ordering2022/01/01
Risk measures under model uncertainty: A Bayesian viewpoint2023/01/01
Backtestability and the ridge backtest2023/01/01
Distributed energy resources flexibility as volumetric options on electricity2023/01/01
Financial activity time2023/01/01
Filtration reduction and incomplete markets2024/01/01
Representation for martingales living after a random time with applications2023/01/01
EMA-type trading strategies maximize utility under partial information2023/01/01
Power laws in market microstructure2023/01/01
Implied price processes anchored in statistical realizations2022/01/01
Asset price bubbles in markets with transaction costs2022/01/01
Optionality as a binary operation2023/01/01
Derivatives risks as costs in a one-period network model2023/01/01
On the universality of the volatility formation process: When machine learning and rough volatility agree2024/01/01
A default system with overspilling contagion2024/01/01
AHEAD: <i>Ad hoc</i> electronic auction design2024/01/01
Supermartingale Brenier's Theorem with full-marginals constraint2023/01/01
Exposure valuations and their capital requirements2023/01/01
Exploiting arbitrage requires short selling2023/01/01
Option returns2023/01/01
Total positivity and relative convexity of option prices2023/01/01
Asset price bubbles, wealth preserving, dominating, and replicating trading strategies2023/01/01
A conditional Version of the second fundamental theorem of asset pricing in discrete time2024/01/01
Short time behavior of the ATM implied skew in the ADO-Heston model2024/01/01