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Applied Mathematical Finance

Taylor & Francis

AJG 2ABDC B
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
Statistical Applications of the 20/60/20 Rule in Risk Management and Portfolio Optimization
Kewin Pączek et al.
20260 citations
Statistical Modeling of SOFR Term Structure
Teemu Pennanen & Waleed Taoum
20250 citations
Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
Ying Chen et al.
20250 citations
Control Charts and Multifactor Affine Term Structure Models
Konstantinos Bisiotis et al.
20250 citations
Robust Detection of Lead-Lag Relationships in Lagged Multi-Factor Models
Yichi Zhang et al.
20250 citations
Indifference Pricing of Pure Endowments in a Regime-Switching Market Model
Alessandra Cretarola & Benedetta Salterini
20250 citations
Event-Based Limit Order Book Simulation under a Neural Hawkes Process: Application in Market-Making
Luca Lalor & Anatoliy Swishchuk
20250 citations
Dynamic Inventory Management with Mean-Field Competition
Ryan Donnelly & Li Zi
20250 citations
Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor
Emmanuel Coffie
20250 citations
Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
Patrick Chan et al.
20250 citations
VolGAN: A Generative Model for Arbitrage-Free Implied Volatility Surfaces
Milena Vuletić & Rama Cont
20247 citations
A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
Pieter M. van Staden et al.
20246 citations
Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
Andrea Macrì & Fabrizio Lillo
20244 citations
Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees
Masaaki Fukasawa et al.
20243 citations
Multi-period Mean–Variance Hedging Problem with Model Risk
Koichi Matsumoto & Takahiro Suyama
20241 citations
Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
Yannick Limmer & Blanka Horvath
20241 citations
Trade Execution Games in a Markovian Environment
Masamitsu Ohnishi & Makoto Shimoshimizu
20240 citations
Weak Approximation for a Black-Scholes Type Regime Switching Model
Arturo Kohatsu‐Higa & Akihiro Tanaka
20240 citations
A Weak MLMC Scheme for Lévy-Copula-Driven SDEs with Applications to the Pricing of Credit, Equity and Interest Rate Derivatives
Aleksandar Mijatović & Romain Palfray
20240 citations
Dynamic Risk Factors and An Intertemporal Capital Asset Pricing
Bruce Q. Swan et al.
20240 citations

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