SIAM Journal on Financial Mathematics

Recent Papers/Articles

Model Uncertainty in Commodity Markets

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Volume: 7

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A Correction Note for Price Dynamics in a Markovian Limit Order Market

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Volume: 7

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Optimal Discretization of Hedging Strategies with Directional Views

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Volume: 7

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A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

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Volume: 7

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Variance Swaps on Defaultable Assets and Market Implied Time-Changes

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Volume: 7

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BSDEs, Càdlàg Martingale Problems, and Orthogonalization under Basis Risk

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Volume: 7

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Optimal Liquidation of an Asset under Drift Uncertainty

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Volume: 7

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Long-Time Behavior of a Hawkes Process--Based Limit Order Book

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Volume: 6

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Sequential Design for Optimal Stopping Problems

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Volume: 6

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Optimal Execution with Dynamic Order Flow Imbalance

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Volume: 6

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Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

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Volume: 6

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Control of Interbank Contagion Under Partial Information

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Volume: 6

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Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

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Volume: 6

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Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration

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Volume: 6

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Dynamic Contracting: Accidents Lead to Nonlinear Contracts

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Volume: 6

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