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A structural risk-neutral model for pricing and hedging power derivatives, file dfa8b9a2-cfd0-748b-e053-3a05fe0a3a96
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398
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Equilibrium model with default and dynamic insider information, file dfa8b9a2-b006-748b-e053-3a05fe0a3a96
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321
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Mean field games with controlled jump-diffusion dynamics: Existence results and an illiquid interbank market model, file dfa8b9a2-f5ba-748b-e053-3a05fe0a3a96
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275
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Systematic equity-based credit risk: A CEV model with jump to default, file dfa8b9a2-cd8f-748b-e053-3a05fe0a3a96
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163
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Mean-variance hedging in large financial markets, file dfa8b9a2-b091-748b-e053-3a05fe0a3a96
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150
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Optimal Market Making under Partial Information with General Intensities, file dfa8b9a2-e1f1-748b-e053-3a05fe0a3a96
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136
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Efficient portfolios in financial markets with proportional transaction costs, file dfa8b9a2-eb57-748b-e053-3a05fe0a3a96
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132
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Some results on quadratic hedging with insider trading, file dfa8b9a2-bbc6-748b-e053-3a05fe0a3a96
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120
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Arbitrage and completeness in financial markets with given N-dimensional distributions, file dfa8b9a2-c32c-748b-e053-3a05fe0a3a96
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118
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Multivariate utility maximization with proportional transaction costs and random endowment, file dfa8b9a2-b007-748b-e053-3a05fe0a3a96
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107
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A super-replication theorem in Kabanov's model of transaction costs, file dfa8b9a2-dd81-748b-e053-3a05fe0a3a96
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96
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Explicit construction of a dynamic bessel bridge of dimension 3, file dfa8b9a2-e9ae-748b-e053-3a05fe0a3a96
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90
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On the support of extremal martingale measures with given marginals : the countable case, file dfa8b9a2-ae53-748b-e053-3a05fe0a3a96
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87
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Change of numeraire in the two-marginals martingale transport problem, file dfa8b9a2-ccda-748b-e053-3a05fe0a3a96
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80
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Dynamic Markov bridges motivated by models of insider trading, file dfa8b9a2-a1a7-748b-e053-3a05fe0a3a96
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79
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Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications, file dfa8b9a2-96db-748b-e053-3a05fe0a3a96
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77
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ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps [epsilon-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps], file dfa8b9a2-9a94-748b-e053-3a05fe0a3a96
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75
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Utility indifference pricing and hedging for structured contracts in energy markets, file dfa8b9a2-96da-748b-e053-3a05fe0a3a96
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73
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No–arbitrage commodity option pricing with market manipulation, file dfa8b9a2-9d80-748b-e053-3a05fe0a3a96
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66
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Utility Indifference Valuation for Non-smooth Payoffs with an Application to Power Derivatives, file dfa8b9a2-ccc2-748b-e053-3a05fe0a3a96
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60
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Insider trading in an equilibrium model with default: A passage from reduced-form to structural modelling, file dfa8b9a2-ae4c-748b-e053-3a05fe0a3a96
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57
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An Impulse-Regime Switching Game Model of Vertical Competition, file dfa8b9a2-caf0-748b-e053-3a05fe0a3a96
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56
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Nonzero-sum stochastic differential games between an impulse controller and a stopper, file dfa8b9a5-0f85-748b-e053-3a05fe0a3a96
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56
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A structural risk-neutral model of electricity prices, file dfa8b9a2-9719-748b-e053-3a05fe0a3a96
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53
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On the existence of shadow prices, file dfa8b9a2-c529-748b-e053-3a05fe0a3a96
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53
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A structural risk-neutral model of electricity prices, file dfa8b9a3-6070-748b-e053-3a05fe0a3a96
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50
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A probabilistic numerical method for optimal multiple switching problems in high dimension, file dfa8b9a3-4d9b-748b-e053-3a05fe0a3a96
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42
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Closed-form pricing of Benchmark Equity Default Swaps under the CEV assumption, file dfa8b9a2-b093-748b-e053-3a05fe0a3a96
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38
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Correlated equilibria for mean field games with progressive strategies, file 52bdc7dc-611d-46b0-9c9c-462d313cc463
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20
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MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts, file 901de7f2-045c-4418-8249-19f1bdc8a1b4
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19
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No–arbitrage commodity option pricing with market manipulation, file dfa8b9a2-aff6-748b-e053-3a05fe0a3a96
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18
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Weak insider trading and behavioral finance, file dfa8b9a2-c527-748b-e053-3a05fe0a3a96
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17
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Dynamic Markov bridges motivated by models of insider trading, file dfa8b9a3-3ca5-748b-e053-3a05fe0a3a96
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17
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Multivariate utility maximization with proportional transaction costs, file dfa8b9a2-9a88-748b-e053-3a05fe0a3a96
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16
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Weak insider trading and behavioral finance, file dfa8b9a3-3d73-748b-e053-3a05fe0a3a96
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16
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N-Player games and mean-field games with smooth dependence on past absorptions, file dfa8b9a9-6670-748b-e053-3a05fe0a3a96
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16
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Mean-Field Games of Finite-Fuel Capacity Expansion with Singular Controls, file 13908b0e-0714-4e9f-9b2e-b20c4df3fed3
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15
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Mean field games with absorption and common noise with a model of bank run, file 4705719f-f48b-4613-bf3f-99c9fe9a2491
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14
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An Impulse-Regime Switching Game Model of Vertical Competition, file dfa8b9a8-29bf-748b-e053-3a05fe0a3a96
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14
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Change of numeraire in the two-marginals martingale transport problem, file dfa8b9a3-c803-748b-e053-3a05fe0a3a96
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13
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Utility indifference pricing and hedging for structured contracts in energy markets, file dfa8b9a3-183d-748b-e053-3a05fe0a3a96
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12
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Correlated equilibria and mean field games: a simple model, file fb392195-6266-4ce0-9a05-dcc157827cce
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12
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Mean field games with absorption and common noise with a model of bank run, file 9e77913b-572e-4937-9c9b-843c7910e838
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11
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A McKean-Vlasov game of commodity production, consumption and trading, file 5bb9bceb-961d-4914-adf3-edb3f227c382
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10
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Nonzero-sum stochastic differential games between an impulse controller and a stopper, file dfa8b9a4-cf45-748b-e053-3a05fe0a3a96
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9
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On the support of extremal martingale measures with given marginals : the countable case, file dfa8b9a3-36a4-748b-e053-3a05fe0a3a96
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6
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Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game, file f3b6cf6c-d5eb-499d-b865-a0367509ef32
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6
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Coarse correlated equilibria for continuous time mean field games in open loop strategies, file 2acc1cde-a7cb-4cb3-88df-ec1d7b9a761f
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5
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An Impulse-Regime Switching Game Model of Vertical Competition, file dfa8b9a8-4e13-748b-e053-3a05fe0a3a96
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4
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N-player games and mean-field games with absorption, file dfa8b9a2-9713-748b-e053-3a05fe0a3a96
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3
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Utility Indifference Valuation for Non-smooth Payoffs with an Application to Power Derivatives, file dfa8b9a3-36a5-748b-e053-3a05fe0a3a96
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3
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Nonzero-sum stochastic differential games with impulse controls : a verification theorem with applications, file dfa8b9a2-aff7-748b-e053-3a05fe0a3a96
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2
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Coarse correlated equilibria in linear quadratic mean field games and application to an emission abatement game, file a60dff28-46d1-4831-a89b-87858d8d2187
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1
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A probabilistic numerical method for optimal multiple switching problems in high dimension, file dfa8b9a2-96de-748b-e053-3a05fe0a3a96
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1
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On the spot-futures no-arbitrage relations in commodity markets, file dfa8b9a2-c0b8-748b-e053-3a05fe0a3a96
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1
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Superhedging, file dfa8b9a2-c0bb-748b-e053-3a05fe0a3a96
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1
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A note on extremality and completeness in financial markets with infinitely many risky assets, file dfa8b9a2-c32b-748b-e053-3a05fe0a3a96
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1
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A note on market completeness with American put options, file dfa8b9a2-cfd6-748b-e053-3a05fe0a3a96
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1
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ε-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps [epsilon-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps], file dfa8b9a3-188d-748b-e053-3a05fe0a3a96
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1
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A structural risk-neutral model for pricing and hedging power derivatives, file dfa8b9a3-19cd-748b-e053-3a05fe0a3a96
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1
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| Totale |
3.394 |