SIAM Journal on Financial Mathematics
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443
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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

Short Communication: Robust Market-Adjusted Systemic Risk Measures

2021 ◽  
Vol 12 (3) ◽  
pp. SC70-SC82
Author(s):  
Matteo Burzoni ◽  
Marco Frittelli ◽  
Federico Zorzi
Keyword(s):  
Systemic Risk ◽  
Short Communication ◽  
Risk Measures

scholarly journals Series Expansions and Direct Inversion for the Heston Model

2021 ◽  
Vol 12 (1) ◽  
pp. 487-549
Author(s):  
Simon J. A. Malham ◽  
Jiaqi Shen ◽  
Anke Wiese
Keyword(s):  
Heston Model ◽  
Series Expansions ◽  
Direct Inversion

scholarly journals Optimal Dividend Problem: Asymptotic Analysis

2021 ◽  
Vol 12 (1) ◽  
pp. 29-46
Author(s):  
Asaf Cohen ◽  
Virginia R. Young
Keyword(s):  
Asymptotic Analysis ◽  
Optimal Dividend

Filtering Response Directions

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

The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets

2021 ◽  
Vol 12 (1) ◽  
pp. 254-294
Author(s):  
Álvaro Cartea ◽  
Leandro Sánchez-Betancourt
Keyword(s):  
Foreign Exchange ◽  
Shadow Price ◽  
Foreign Exchange Markets ◽  
Exchange Markets
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