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SIAM Journal on Financial Mathematics is a peer-reviewed journal published by SIAM, covering Stochastic processes and financial applications, Financial Risk and Volatility Modeling, Economic theories and models. Over its lifetime it has published 657 papers, which have received 11,042 citations.
| Publisher | SIAM |
|---|---|
| Reference style | Numbered (SIAM) Numbered — [1], [2] in the text [1] A. Smith, B. Jones, and C. Lee, A representative article title, SIAM Journal on Financial Mathematics 12 (2023) 45–58.
Formats any DOI in the closest standard style — SIAM Journal on Financial Mathematics has no published style definition, so this is an approximation. No sign-up. |
| Publishes research in | Stochastic processes and financial applications Financial Risk and Volatility Modeling Economic theories and models Financial Markets and Investment Strategies Risk and Portfolio Optimization |
| ISSN | 1945-497X |
| Citation impact (2-yr) | 1.66 |
| h-index | 53 |
| i10-index | 254 |
| Top institutions publishing here | University of Michigan |
| Journal website | epubs.siam.org |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
This paper analyzes a family of multivariate point process models of correlated event timing whose arrival intensity is driven by an affine jump diffusion. The components of an affine point process are self- and cross-exciting and facilitate the description of complex event dependence structures. ODEs characterize the transform of an affine point process and the…
Spread options are a fundamental class of derivative contracts written on multiple assets and are widely traded in a range of financial markets. There is a long history of approximation methods for computing such products, but as yet there is no preferred approach that is accurate, efficient, and flexible enough to apply in general asset…
We construct an optimal execution strategy for the purchase of a large number of shares of a financial asset over a fixed interval of time. Purchases of the asset have a nonlinear impact on price, and this is moderated over time by resilience in the limit-order book that determines the price. The limit-order book is…
We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process we allow for feedback effects in market buy and sell orders and the shape of the limit order book (LOB). Our…
Extending the approach of Jouini et al. we define set–valued (convex) measures of risk and its acceptance sets. Using a new duality theory for set–valued convex functions we give dual representation theorems. A scalarization concept is introduced that has economical meaning in terms of prices of portfolios of reference instruments. Using primal and dual descriptions,…
