SIAM Journal on Financial Mathematics
Latest Publications

TOTAL DOCUMENTS

443
(FIVE YEARS 132)

H-INDEX

35
(FIVE YEARS 5)

Published By Society For Industrial And Applied Mathematics

1945-497x, 1945-497x
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

On Smile Properties of Volatility Derivatives: Understanding the VIX Skew

2022 ◽  
Vol 13 (1) ◽  
pp. 32-69
Author(s):  
Elisa Alòs ◽  
David García-Lorite ◽  
Aitor Muguruza Gonzalez
Keyword(s):  
Volatility Derivatives

Joint Modeling and Calibration of SPX and VIX by Optimal Transport

2022 ◽  
Vol 13 (1) ◽  
pp. 1-31
Author(s):  
Ivan Guo ◽  
Grégoire Loeper ◽  
Jan Obłój ◽  
Shiyi Wang
Keyword(s):  
Optimal Transport ◽  
Joint Modeling

Filtering Response Directions

2021 ◽  
Vol 12 (3) ◽  
pp. 1285-1306
Author(s):  
Robert J. Elliott ◽  
Dilip B. Madan ◽  
King Wang

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

2021 ◽  
Vol 12 (2) ◽  
pp. 566-603
Author(s):  
Pieter M. van Staden ◽  
Duy-Minh Dang ◽  
Peter A. Forsyth
Keyword(s):  
Optimal Investment ◽  
Investment Strategies ◽  
Terminal Wealth ◽  
Mean Variance

scholarly journals Stability of the Indirect Utility Process

2021 ◽  
Vol 12 (2) ◽  
pp. 641-671
Author(s):  
Oleksii Mostovyi
Keyword(s):  
Indirect Utility
Load More ...
Sign in / Sign up

Export Citation Format

Share Document