Paper Review Records
All Paper Review Records
10 valid samples · Newest publication first
Review days = acceptance date − received date. PDF, DOI, and publisher-page sources are retained.
Star-shaped and dynamic return risk measures via BSDEs
AuthorsRoger J. A. Laeven; Emanuela Rosazza Gianin; Marco Zullino
Affiliations1. Dept. of Quantitative Economics, University of Amsterdam, Amsterdam, The Netherlands; 2. Dept. of Statistics and Quantitative Methods, University of Milano-Bicocca, Milan, Italy; 3. Dept. of Mathematics and Applications, University of Milano-Bicocca, Milan, Italy
The support and resistance line method: an analysis via optimal stopping
AuthorsVicky Henderson; Saul Jacka; Ruiqi Liu; Jun Maeda
Affiliations1. Department of Statistics, University of Warwick, Coventry, UK; 2. Mizuho Securities Co., Ltd., Tokyo, Japan
Nash equilibrium between brokers and traders
AuthorsÁlvaro Cartea; Sebastian Jaimungal; Leandro Sánchez-Betancourt
Affiliations1. Mathematical Institute, University of Oxford, Oxford, UK; 2. Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK; 3. Department of Statistical Sciences, University of Toronto, Toronto, Canada
An economic interpretation and mathematical analysis of Epstein–Zin stochastic differential utility for an infinite horizon when \(\theta <0\)
AuthorsYuki Shigeta
Affiliations1. Faculty of Economics, Tokyo Keizai University, Kokubunji-shi, Japan
Portfolios generated by contingent claim functions, with applications to option pricing
AuthorsRicardo T. Fernholz; Robert Fernholz
Affiliations1. Claremont McKenna College, Claremont, USA; 2. Allocation Strategies, LLC, Princeton, USA
Criteria for the absence of arbitrage in one-dimensional general diffusion markets
AuthorsDavid Criens; Mikhail Urusov
Affiliations1. University of Freiburg, Freiburg, Germany; 2. University of Duisburg-Essen, Essen, Germany
Lifetime portfolio and consumption choice with defined contribution plans
AuthorsMin Dai; Shuaijie Qian; Ling Qin; Jing Xu
Affiliations1. Department of Applied Mathematics at Faculty of Computer and Mathematical Sciences and School of Accounting and Finance at Faculty of Business, Hong Kong Polytechnic University, Hong Kong, China; 2. Department of Mathematics, Hong Kong University of Science and Technology, Hong Kong, China; 3. Institute of Mathematical Sciences, ShanghaiTech University, Shanghai, China; 4. School of Finance, Renmin University of China, Beijing, China
Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis
AuthorsBoyu Wang; Xuefeng Gao; Lingfei Li
Affiliations1. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Shatin, Hong Kong SAR
Vulnerable European and American options in a hazard-process model
AuthorsLibo Li; Ruyi Liu; Marek Rutkowski
Affiliations1. School of Mathematics and Statistics, University of New South Wales, Sydney, Australia; 2. School of Mathematics and Statistics, University of Sydney, Sydney, Australia; 3. Faculty of Mathematics and Information Science, Warsaw University of Technology, Warszawa, Poland
Calibration of local volatility models with stochastic interest rates using optimal transport
AuthorsBenjamin Joseph; Grégoire Loeper; Jan Obłój
Affiliations1. Mathematical Institute and Christ Church, University of Oxford, Oxford, UK; 2. BNP Paribas Global Markets, Paris, France; 3. Mathematical Institute and St John’s College, University of Oxford, Oxford, UK
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