| Robust return risk measures | 2017/06/01 | English | 17 |
| Accounting for risk aversion in derivatives purchase timing | 2012/02/24 | English | 17 |
| Optimal placement in a limit order book: an analytical approach | 2016/07/26 | English | 16 |
| Curve following in illiquid markets | 2011/05/01 | English | 16 |
| An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit | 2015/08/08 | English | 15 |
| Dual representations for systemic risk measures | 2019/11/05 | English | 15 |
| Existence of a Radner equilibrium in a model with transaction costs | 2018/02/27 | English | 15 |
| Acceptability indexes via $$g$$ -expectations: an application to liquidity risk | 2013/02/27 | English | 15 |
| Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework | 2019/02/13 | English | 14 |
| The super-replication theorem under proportional transaction costs revisited | 2014/09/01 | English | 14 |
| Fractional risk process in insurance | 2019/06/15 | English | 14 |
| Equilibrium effects of intraday order-splitting benchmarks | 2020/09/04 | English | 14 |
| On securitization, market completion and equilibrium risk transfer | 2010/01/28 | English | 14 |
| Optimal derivatives design for mean–variance agents under adverse selection | 2007/03/15 | English | 14 |
| Diversification, protection of liability holders and regulatory arbitrage | 2016/04/13 | English | 14 |
| Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset | 2011/10/01 | English | 13 |
| Risk-minimization for life insurance liabilities with basis risk | 2015/09/05 | English | 13 |
| An analytical study of norms and Banach spaces induced by the entropic value-at-risk | 2017/09/01 | English | 13 |
| An explicit analytic formula for pricing barrier options with regime switching | 2014/07/27 | English | 13 |
| Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty | 2019/04/04 | English | 13 |
| Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs | 2018/12/26 | English | 13 |
| Modeling and estimating commodity prices: copper prices | 2015/01/23 | English | 13 |
| Government spending and growth in a neoclassical model | 2011/05/01 | English | 12 |
| Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility | 2020/06/08 | English | 12 |
| A Gamma Ornstein–Uhlenbeck model driven by a Hawkes process | 2021/03/24 | English | 12 |
| Time consistency for set-valued dynamic risk measures for bounded discrete-time processes | 2017/11/30 | English | 12 |
| Optimal investment in markets with over and under-reaction to information | 2016/11/07 | English | 12 |
| Partially informed noise traders | 2012/05/01 | English | 12 |
| Arbitrage and the tax code | 2011/03/18 | English | 11 |
| Simplified mean-variance portfolio optimisation | 2012/04/03 | English | 11 |