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Stochastic Finance
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Stochastic Finance (2011)Stochastic FinanceA Theory for Measures of Tail Risk (2021)A Theory for Measures of Tail…How Should a Robot Assess Risk? Towards an Axiomatic Theory of Risk in Robotics (2019)How Should a Robot Assess Ris…Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)Characterization, Robustness …Mean Field Games of Timing and Models for Bank Runs (2017)Mean Field Games of Timing an…Leveraging the network: A stress-test framework based on DebtRank (2016)Leveraging the network: A str…Joint Mixability (2016)Joint MixabilityGini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)Gini-Type Measures of Risk an…Risk management with expectiles (2015)Risk management with expectil…Aggregation-robustness and model uncertainty of regulatory risk measures (2015)Aggregation-robustness and mo…Statistics and Quantitative Risk Management for Banking and Insurance (2014)Statistics and Quantitative R…Comparative and qualitative robustness for law-invariant risk measures (2014)Comparative and qualitative r…COHERENCE AND ELICITABILITY (2014)COHERENCE AND ELICITABILITYARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES (2014)ARROW–DEBREU EQUILIBRIA FOR R…Utility maximization with a given pricing measure when the utility is not necessarily concave (2013)Utility maximization with a g…Continuous-time trading and the emergence of probability (2012)Continuous-time trading and t…OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)OPTIMAL TRADE EXECUTION UNDER…Coherent Measures of Risk (1999)Robust Optimization (2009)Making and Evaluating Point Forecasts (2011)Quantile-Based Risk Sharing (2018)An Axiomatic Foundation for the Expected Shortfall (2019)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A discussion on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Ranking, by W. Ehm, T. Gneiting, A. Jordan, and A. Krueger (2016)Elicitability and backtesting: Perspectives for banking regulation (2017)Estimation of Tail Risk Based on Extreme Expectiles (2017)The Dual Theory of Choice under Risk (1987)Convex measures of risk and trading constraints (2002)On the coherence of expected shortfall (2002)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Generalized quantiles as risk measures (2013)An Academic Response to Basel 3.5 (2014)What is the best risk measure in practice? A comparison of standard measures (2015)Bank Runs, Deposit Insurance, and Liquidity (1983)Stochastic Integration and Differential Equations (2005)Mean field games (2007)A Mean Field Game of Optimal Stopping (2018)Some remarks on mean field games (2019)An Introduction to Mean Field Game Theory (2020)Portfolio Selection: Efficient Diversification of Investments. (1962)A simulation comparison of risk measures for portfolio optimization (2017)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Optimal trade execution: A mean quadratic variation approach (2012)Dynamical Models of Market Impact and Algorithms for Order Execution (2013)Dynamic portfolio choice with frictions (2016)Prospect theory: An analysis of decision under risk (1988)Theory of games and economic behavior (2019)Peril, prudence and planning as risk, avoidance and worry (2021)Two steps to risk sensitivity (2021)Risk-aware Decision-making in Human-multi-robot Collaborative Search: A Regret Theory Approach (2022)Advances in prospect theory: Cumulative representation of uncertainty (1992)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Constrained non-concave utility maximization: An application to life insurance contracts with guarantees (2018)Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance (2018)Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan (2019)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Systemic Risk and Stability in Financial Networks (2015)Network Valuation in Financial Systems (2016)Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach (2017)Spatial spillover effects and risk contagion around G20 stock markets based on volatility network (2019)
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  • 2014COHERENCE AND ELICITABILITY357 cited
  • 2015Risk management with expectiles223 cited
  • 2011OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK204 cited
  • 2019How Should a Robot Assess Risk? Towards an Axiomatic Theory of Risk in Robotics193 cited
  • 2015Aggregation-robustness and model uncertainty of regulatory risk measures159 cited
  • 2014Comparative and qualitative robustness for law-invariant risk measures159 cited
  • 2016Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks109 cited
  • 2016Leveraging the network: A stress-test framework based on DebtRank81 cited
  • 2017Mean Field Games of Timing and Models for Bank Runs76 cited
  • 2013Utility maximization with a given pricing measure when the utility is not necessarily concave75 cited
  • 2018Characterization, Robustness and Aggregation of Signed Choquet Integrals75 cited
  • 2016Joint Mixability71 cited
  • 2014ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES71 cited
  • 2021A Theory for Measures of Tail Risk70 cited
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Statistics and Quantitative Risk Management for Banking and Insurance
66 cited
  • 2012Continuous-time trading and the emergence of probability64 cited