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A mean field game approach to relative investment–consumption games with habit formation Zongxia LiangKeyu Zhang OriginalPaper 02 May 2024
Optimal bubble riding with price-dependent entry: a mean field game of controls with common noise Ludovic TangpiShichun Wang OriginalPaper 27 March 2024
Mean-field ranking games with diffusion control S. AnkirchnerN. Kazi-TaniC. Zhou OriginalPaper Open access 26 March 2024
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The perturbation method applied to a robust optimization problem with constraint Peng LuoAlexander SchiedXiaole Xue OriginalPaper 18 March 2024
Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction Man LiYing HuangJieming Zhou OriginalPaper 18 March 2024
Opinion dynamics in communities with major influencers and implicit social influence via mean-field approximation Delia CoculescuMédéric MotteHuyên Pham OriginalPaper 18 March 2024
Nash equilibria for relative investors with (non)linear price impact Nicole BäuerleTamara Göll OriginalPaper Open access 28 February 2024
Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model Claudia CeciMichele BufaloGiuseppe Orlando OriginalPaper Open access 10 February 2024
Countercyclical unemployment benefits: a general equilibrium analysis of transition dynamics Erhan BayraktarIndrajit MitraJingjie Zhang OriginalPaper 01 February 2024
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise Roxana DumitrescuMarcos LeutscherPeter Tankov OriginalPaper 24 January 2024
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Optimal insurance design under belief-dependent utility and ambiguity Yulian Fan OriginalPaper 20 November 2023 Pages: 721 - 748
An elementary proof of the dual representation of Expected Shortfall Martin HerdegenCosimo Munari OriginalPaper Open access 16 November 2023 Pages: 655 - 662
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Moral hazard with excess returns Matthias BlonskiUlf von Lilienfeld-Toal OriginalPaper Open access 22 August 2023 Pages: 537 - 572
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Traditional and digital currencies in over-the-counter markets Christoph FreiQianhong Huang OriginalPaper 22 July 2023 Pages: 457 - 497
Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment Panhong ChengZhihong XuZexing Dai OriginalPaper 10 July 2023 Pages: 429 - 455
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Consumption-investment decisions with endogenous reference point and drawdown constraint Zongxia LiangXiaodong LuoFengyi Yuan OriginalPaper 23 May 2023 Pages: 285 - 334
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A mean field model for the interactions between firms on the markets of their inputs Yves AchdouGuillaume CarlierDaniela Tonon OriginalPaper 11 March 2023
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A pricing formula for delayed claims: appreciating the past to value the future Enrico BiffisBeniamin GoldysMargherita Zanella OriginalPaper Open access 30 January 2023 Pages: 175 - 202
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Systemic cascades on inhomogeneous random financial networks T. R. Hurd OriginalPaper Open access 10 January 2023 Pages: 1 - 21
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Dynamic Cournot-Nash equilibrium: the non-potential case Julio Backhoff-VeraguasXin Zhang OriginalPaper Open access 26 October 2022 Pages: 153 - 174
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Multivariate tempered stable additive subordination for financial models Patrizia Semeraro OriginalPaper Open access 13 July 2022 Pages: 685 - 712
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The implications of tax loss carryforwards on investment policy Hervé Roche OriginalPaper 18 April 2022 Pages: 587 - 613
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk Bolorsuvd BatboldKentaro KikuchiKoji Kusuda OriginalPaper 13 April 2022 Pages: 509 - 537
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity Felix-Benedikt LiebrichCosimo Munari OriginalPaper Open access 28 March 2022 Pages: 447 - 480
Information and dynamic trading with the Gambler’s fallacy Si Chen OriginalPaper 25 March 2022 Pages: 399 - 446