Mathematical finance

Keyphrases

Publications

volume 33, number 3, 2023

Andrew L Allan, Christa Cuchiero, Chong Liu, David J Prömel
Model-free portfolio theory: A rough path approach. Mathematical finance 33 (3) (2023)
Sascha Desmettre, Mogens Steffensen
Equilibrium investment with random risk aversion. Mathematical finance 33 (3) (2023)
Andrew L Allan, Christa Cuchiero, Chong Liu, David J Prömel
Model-free portfolio theory: A rough path approach. Mathematical finance 33 (3) (2023)

volume 31, number 4, 2021

Friedrich Hubalek, Walter Schachermayer
Convergence of optimal expected utility for a sequence of binomial models. Mathematical finance 31 (4) (2021)

volume 30, number 4, 2020

David M Kreps, Walter Schachermayer
Convergence of optimal expected utility for a sequence of discrete-time markets. Mathematical finance 30 (4) (2020)
Stephan Eckstein, Michael Kupper, Mathias Pohl
Robust risk aggregation with neural networks. Mathematical finance 30 (4) (2020)

volume 30, number 2, 2019

Stefan Gerhold, Ismail Cetin Gülüm
Consistency of option prices under bid-ask spreads. Mathematical finance 30 (2) (2019)

volume 29, number 3, 2018

Christa Cuchiero, Walter Schachermayer, Ting-Kam Leonard Wong
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio. Mathematical finance 29 (3) (2018)

volume 28, number 3, 2017

Peter Friz, Stefan Gerhold, Arpad Pinter
Option pricing in the moderate deviations regime. Mathematical finance 28 (3) (2017)