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Stochastic Finance
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Stochastic Finance (2002)Stochastic FinanceFuzzy Portfolio Optimization of Power Generation Assets (2018)Fuzzy Portfolio Optimization …Arbitrage-free SVI volatility surfaces (2013)Arbitrage-free SVI volatility…The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)The Skorokhod Embedding Probl…Representation results for law invariant time consistent functions (2009)Representation results for la…CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2009)CASH SUBADDITIVE RISK MEASURE…VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007)VALUATIONS AND DYNAMIC CONVEX…Optimal Financial Portfolios (2007)Optimal Financial PortfoliosDynamic risk measures: Time consistency and risk measures from BMO martingales (2007)Dynamic risk measures: Time c…Optimality conditions in portfolio analysis with general deviation measures (2006)Optimality conditions in port…Convexity, translation invariance and subadditivity for g-expectations and related risk measures (2006)Convexity, translation invari…Coherent and convex monetary risk measures for unbounded càdlàg processes (2006)Coherent and convex monetary …Risk measure pricing and hedging in incomplete markets (2005)Risk measure pricing and hedg…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Master funds in portfolio analysis with general deviation measures (2005)Master funds in portfolio ana…Dynamic exponential utility indifference valuation (2005)Dynamic exponential utility i…Fundamental Theorems of Asset Pricing for Good Deal Bounds (2004)Fundamental Theorems of Asset…Prices of State-Contingent Claims Implicit in Option Prices (1978)Continuous Martingales and Brownian Motion (1999)Stochastic Finance: An Introduction in Discrete Time (2002)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Martingale optimal transport and robust hedging in continuous time (2013)Optimal transportation under controlled stochastic dynamics (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Weighted V@R and its Properties (2006)Spectral risk measures and portfolio selection (2008)Convex measures of risk and trading constraints (2002)Stochastic Integration and Differential Equations (2005)Dynamic Risk Measures (2011)Markov Decision Processes with Average-Value-at-Risk criteria (2011)Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective (2015)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Solvability of backward stochastic differential equations with quadratic growth (2007)OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS (2013)Conditional value-at-risk for general loss distributions (2002)Robust Preferences and Robust Portfolio Choice (2009)Stochastic Programming (2010)Evaluating policies in risk-averse multi-stage stochastic programming (2014)Risk, Ambiguity, and the Savage Axioms (1961)RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals (2016)Theory of games and economic behavior (2019)Adapted solution of a backward stochastic differential equation (1990)Backward Stochastic Differential Equations in Finance (1997)Liquidity risk theory and coherent measures of risk (2008)Risk Preferences and Their Robust Representation (2012)Maxmin expected utility with non-unique prior (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Liquidity Risk Measurement and Management (2006)A general theory of finite state Backward Stochastic Difference Equations (2010)TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (2011)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Brownian Motion and Stochastic Calculus (2007)BENCHOP – The BENCHmarking project in option pricing (2015)Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Properties of Distortion Risk Measures (2008)Capital Asset Pricing Model (CAPM) with drawdown measure (2013)
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  • 2010The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices224 cited
  • 2013Arbitrage-free SVI volatility surfaces224 cited
  • 2005Dynamic exponential utility indifference valuation192 cited
  • 2009CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY144 cited
  • 2005Master funds in portfolio analysis with general deviation measures135 cited
  • 2007Dynamic risk measures: Time consistency and risk measures from BMO martingales130 cited
  • 2009Representation results for law invariant time consistent functions127 cited
  • 2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES122 cited
  • 2006Optimality conditions in portfolio analysis with general deviation measures120 cited
  • 2005Polyhedral Risk Measures in Stochastic Programming119 cited
  • 2018Fuzzy Portfolio Optimization of Power Generation Assets113 cited
  • 2006Coherent and convex monetary risk measures for unbounded càdlàg processes113 cited
  • 2007Optimal Financial Portfolios109 cited
  • 2006Convexity, translation invariance and subadditivity for g-expectations and related risk measures99 cited
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Fundamental Theorems of Asset Pricing for Good Deal Bounds
94 cited
  • 2005Risk measure pricing and hedging in incomplete markets91 cited