Table of contents for issues of SIAM Journal on Financial Mathematics

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Volume 1, Number 1, 2010
Volume 2, Number 1, 2011
Volume 3, Number 1, 2012
Volume 4, Number 1, 2013
Volume 5, Number 1, 2014
Volume 6, Number 1, 2015
Volume 7, Number 1, 2016
Volume 8, Number 1, 2017
Volume 9, Number 1, 2018
Volume 9, Number 2, 2018
Volume 9, Number 3, 2018
Volume 9, Number 4, 2018
Volume 10, Number 1, 2019
Volume 10, Number 2, 2019
Volume 10, Number 3, 2019
Volume 10, Number 4, 2019
Volume 11, Number 1, 2020
Volume 11, Number 2, 2020
Volume 11, Number 3, 2020
Volume 11, Number 4, 2020
Volume 12, Number 1, 2021
Volume 12, Number 2, 2021
Volume 12, Number 3, 2021
Volume 12, Number 4, 2021
Volume 13, Number 1, 2022
Volume 13, Number 2, 2022
Volume 13, Number 3, 2022
Volume 13, Number 4, 2022
Volume 14, Number 1, 2023
Volume 14, Number 2, 2023
Volume 14, Number 3, 2023
Volume 14, Number 4, 2023


SIAM Journal on Financial Mathematics
Volume 1, Number 1, 2010

        René Carmona and   
                  Ronnie Sircar   Message From the Editors-in-Chief  . . . 1--1
                 Peter Carr and   
                 Dilip B. Madan   Local Volatility Enhanced by a Jump to
                                  Default  . . . . . . . . . . . . . . . . 2--15
      Constantinos Kardaras and   
                 Eckhard Platen   Minimizing the expected market time to
                                  reach a certain wealth level . . . . . . 16--29
                  Jin Liang and   
                     Bei Hu and   
                  Lishang Jiang   Optimal convergence rate of the binomial
                                  tree scheme for American options with
                                  jump diffusion and their free boundaries 30--65
           Andreas H. Hamel and   
                    Frank Heyde   Duality for Set-Valued Measures of Risk  66--95
                    Min Dai and   
                Zuo Quan Xu and   
                    Xun Yu Zhou   Continuous-time Markowitz's model with
                                  transaction costs  . . . . . . . . . . . 96--125
                   Jin Feng and   
               Martin Forde and   
             Jean-Pierre Fouque   Short-maturity asymptotics for a fast
                                  mean-reverting Heston stochastic
                                  volatility model . . . . . . . . . . . . 126--141
                 T. R. Hurd and   
                   Zhuowei Zhou   A Fourier transform method for spread
                                  option pricing . . . . . . . . . . . . . 142--157
             Teemu Pennanen and   
                   Irina Penner   Hedging of Claims with Physical Delivery
                                  under Convex Transaction Costs . . . . . 158--178
            A. Kohatsu-Higa and   
               S. Ortiz-Latorre   Weak Kyle--Back Equilibrium Models for
                                  Max and ArgMax . . . . . . . . . . . . . 179--211
             Victor Goodman and   
                  Kyounghee Kim   Common Forward Rate Volatility . . . . . 212--229
              Martino Bardi and   
          Annalisa Cesaroni and   
                    Luigi Manca   Convergence by Viscosity Methods in
                                  Multiscale Financial Models with
                                  Stochastic Volatility  . . . . . . . . . 230--265
      Thaleia Zariphopoulou and   
            Gordan \vZitkovi\'c   Maturity-Independent Risk Measures . . . 266--288
                E. Benhamou and   
                   E. Gobet and   
                        M. Miri   Time Dependent Heston Model  . . . . . . 289--325
                 M. Musiela and   
               T. Zariphopoulou   Portfolio Choice under Space-Time
                                  Monotone Performance Criteria  . . . . . 326--365
             Imen Ben Tahar and   
              H. Mete Soner and   
                    Nizar Touzi   Merton Problem with Taxes:
                                  Characterization, Computation, and
                                  Approximation  . . . . . . . . . . . . . 366--395
             Ilya Molchanov and   
                Michael Schmutz   Multivariate Extension of Put-Call
                                  Symmetry . . . . . . . . . . . . . . . . 396--426
        Christian Y. Robert and   
              Mathieu Rosenbaum   On the Microstructural Hedging Error . . 427--453
                Peter Hepperger   Option Pricing in Hilbert Space-Valued
                                  Jump-Diffusion Models Using Partial
                                  Integro-Differential Equations . . . . . 454--489
    Aurélien Alfonsi and   
               Alexander Schied   Optimal Trade Execution and Absence of
                                  Price Manipulations in Limit Order Book
                                  Models . . . . . . . . . . . . . . . . . 490--522
          Damir Filipovi\'c and   
               Stefan Tappe and   
                Josef Teichmann   Term Structure Models Driven by Wiener
                                  Processes and Poisson Measures:
                                  Existence and Positivity . . . . . . . . 523--554
                  Rama Cont and   
             Romain Deguest and   
                    Yu Hang Kan   Default Intensities Implied by CDO
                                  Spreads: Inversion Formula and Model
                                  Calibration  . . . . . . . . . . . . . . 555--585
           Marco Avellaneda and   
                  Stanley Zhang   Path-Dependence of Leveraged ETF Returns 586--603
                L. C. G. Rogers   Dual Valuation and Hedging of Bermudan
                                  Options  . . . . . . . . . . . . . . . . 604--608
            Archil Gulisashvili   Asymptotic Formulas with Error Estimates
                                  for Call Pricing Functions and the
                                  Implied Volatility at Extreme Strikes    609--641
               Eymen Errais and   
               Kay Giesecke and   
               Lisa R. Goldberg   Affine Point Processes and Portfolio
                                  Credit Risk  . . . . . . . . . . . . . . 642--665
           Alain Bensoussan and   
             J. David Diltz and   
                     SingRu Hoe   Real Options Games in Complete and
                                  Incomplete Markets with Several Decision
                                  Makers . . . . . . . . . . . . . . . . . 666--728
                  Juri Hinz and   
                       Max Fehr   Storage Costs in Commodity Option
                                  Pricing  . . . . . . . . . . . . . . . . 729--751
                  L. Putzig and   
                D. Becherer and   
                     I. Horenko   Optimal Allocation of a Futures
                                  Portfolio Utilizing Numerical Market
                                  Phase Detection  . . . . . . . . . . . . 752--779
                     M. Dai and   
                   Q. Zhang and   
                      Q. J. Zhu   Trend Following Trading under a Regime
                                  Switching Model  . . . . . . . . . . . . 780--810
     Volker Krätschmer and   
              John Schoenmakers   Representations for Optimal Stopping
                                  under Dynamic Monetary Utility
                                  Functionals  . . . . . . . . . . . . . . 811--832
         Francesco Corielli and   
               Paolo Foschi and   
                Andrea Pascucci   Parametrix Approximation of Diffusion
                                  Transition Densities . . . . . . . . . . 833--867
                K. Giesecke and   
                H. Kakavand and   
                 M. Mousavi and   
                      H. Takada   Exact and Efficient Simulation of
                                  Correlated Defaults  . . . . . . . . . . 868--896
            Idris Kharroubi and   
               Huyên Pham   Optimal Portfolio Liquidation with
                                  Execution Cost and Risk  . . . . . . . . 897--931
               Sungwoo Park and   
              Dianne P. O'Leary   Portfolio Selection Using Tikhonov
                                  Filtering to Estimate the Covariance
                                  Matrix . . . . . . . . . . . . . . . . . 932--961


SIAM Journal on Financial Mathematics
Volume 2, Number 1, 2011

                    Takuji Arai   Good Deal Bounds Induced by Shortfall
                                  Risk . . . . . . . . . . . . . . . . . . 1--21
                 Mark Davis and   
          Sébastien Lleo   Jump-Diffusion Risk-Sensitive Asset
                                  Management I: Diffusion Factor Model . . 22--54
         Mats Brodén and   
              Magnus Wiktorsson   On the Convergence of Higher Order
                                  Hedging Schemes: The Delta--Gamma Case   55--78
            Sergei Levendorskii   Convergence of Price and Sensitivities
                                  in Carr's Randomization Approximation
                                  Globally and Near Barrier  . . . . . . . 79--111
                  Rama Cont and   
                    Yu Hang Kan   Dynamic Hedging of Portfolio Credit
                                  Derivatives  . . . . . . . . . . . . . . 112--140
               A. M. G. Cox and   
                      Jan Obloj   Robust Hedging of Double Touch Barrier
                                  Options  . . . . . . . . . . . . . . . . 141--182
             Silviu Predoiu and   
           Gennady Shaikhet and   
                  Steven Shreve   Optimal Execution in a General One-Sided
                                  Limit-Order Book . . . . . . . . . . . . 183--212
     Mathias Beiglböck and   
                 Peter Friz and   
                  Stephan Sturm   Is the Minimum Value of an Option on
                                  Variance Generated by Local Volatility?  213--220
         Jean-Pierre Fouque and   
               Matthew J. Lorig   A Fast Mean-Reverting Correction to
                                  Heston's Stochastic Volatility Model . . 221--254
            Lech A. Grzelak and   
          Cornelis W. Oosterlee   On the Heston Model with Stochastic
                                  Interest Rates . . . . . . . . . . . . . 255--286
                  Rama Cont and   
             Nicolas Lantos and   
              Olivier Pironneau   A Reduced Basis for Option Pricing . . . 287--316
              Rudra P. Jena and   
                   Peter Tankov   Arbitrage Opportunities in Misspecified
                                  Stochastic Volatility Models . . . . . . 317--341
Frédéric Abergel and   
                 Nicolas Millot   Nonquadratic Local Risk-Minimization for
                                  Hedging Contingent Claims in Incomplete
                                  Markets  . . . . . . . . . . . . . . . . 342--356
            Marco Frittelli and   
                   Marco Maggis   Dual Representation of Quasi-convex
                                  Conditional Maps . . . . . . . . . . . . 357--382
             Gianluca Fusai and   
          Daniele Marazzina and   
                  Marina Marena   Pricing Discretely Monitored Asian
                                  Options by Maturity Randomization  . . . 383--403
             Bruno Bouchard and   
             Ngoc-Minh Dang and   
         Charles-Albert Lehalle   Optimal Control of Trading Algorithms: a
                                  General Impulse Control Approach . . . . 404--438
                  Fang Fang and   
          Cornelis W. Oosterlee   A Fourier-Based Valuation Method for
                                  Bermudan and Barrier Options under
                                  Heston's Model . . . . . . . . . . . . . 439--463
        Sebastian Jaimungal and   
                Vladimir Surkov   Lévy-Based Cross-Commodity Models and
                                  Derivative Valuation . . . . . . . . . . 464--487
              Michael Ludkovski   Stochastic Switching Games and
                                  Duopolistic Competition in Emissions
                                  Markets  . . . . . . . . . . . . . . . . 488--511
           Jonathan Goodman and   
               Daniel N. Ostrov   An Option to Reduce Transaction Costs    512--537
                B. Jourdain and   
                M. H. Vellekoop   Regularity of the Exercise Boundary for
                                  American Put Options on Assets with
                                  Discrete Dividends . . . . . . . . . . . 538--561
               Christian Bender   Primal and Dual Pricing of Multiple
                                  Exercise Options in Continuous Time  . . 562--586
           Pierre Del Moral and   
                    Peng Hu and   
              Nadia Oudjane and   
         Bruno Rémillard   On the Robustness of the Snell Envelope  587--626
                    N. Bush and   
               B. M. Hambly and   
                 H. Haworth and   
                     L. Jin and   
                   C. Reisinger   Stochastic Evolution Equations in
                                  Portfolio Credit Modelling . . . . . . . 627--664
         Jean-Pierre Fouque and   
        Sebastian Jaimungal and   
               Matthew J. Lorig   Spectral Decomposition of Option Prices
                                  in Fast Mean-Reverting Stochastic
                                  Volatility Models  . . . . . . . . . . . 665--691
             Xinzheng Huang and   
          Cornelis W. Oosterlee   Saddlepoint Approximations for
                                  Expectations and an Application to CDO
                                  Pricing  . . . . . . . . . . . . . . . . 692--714
                 Zhijian Wu and   
                 Chunhui Yu and   
                  Xiaohua Zheng   Managing Risk with Short-Term Futures
                                  Contracts  . . . . . . . . . . . . . . . 715--726
                Baojun Bian and   
                 Sheng Miao and   
                    Harry Zheng   Smooth Value Functions for a Class of
                                  Nonsmooth Utility Maximization Problems  727--747
Gordana Dmitrasinovi\'c-Vidovi\'c and   
                    Antony Ware   Optimal Portfolios of Mean-Reverting
                                  Instruments  . . . . . . . . . . . . . . 748--767
                  Tim Leung and   
                 Mike Ludkovski   Optimal Timing to Purchase Options . . . 768--793
                 Peter Carr and   
               Sergey Nadtochiy   Static Hedging under Time-Homogeneous
                                  Diffusions . . . . . . . . . . . . . . . 794--838
              Robert Jarrow and   
               Younes Kchia and   
                 Philip Protter   How to Detect an Asset Bubble  . . . . . 839--865
            El Hadj Aly Dia and   
               Damien Lamberton   Continuity Correction for Barrier
                                  Options in Jump-Diffusion Models . . . . 866--900
                  Wen Cheng and   
            Nick Costanzino and   
               John Liechty and   
             Anna Mazzucato and   
                  Victor Nistor   Closed-Form Asymptotics and Numerical
                                  Approximations of $1$D Parabolic
                                  Equations with Applications to Option
                                  Pricing  . . . . . . . . . . . . . . . . 901--934
             Richard Jordan and   
                   Charles Tier   Asymptotic Approximations to
                                  Deterministic and Stochastic Volatility
                                  Models . . . . . . . . . . . . . . . . . 935--964
            Paul V. Johnson and   
          Nicholas J. Sharp and   
              Peter W. Duck and   
                David P. Newton   A Bridge between American and European
                                  Options: The ``Ameripean''
                                  Delayed-Exercise Model . . . . . . . . . 965--988
             Marie Bernhart and   
               Peter Tankov and   
                   Xavier Warin   A Finite-Dimensional Approximation for
                                  Pricing Moving Average Options . . . . . 989--1013
                Wahid Faidi and   
              Anis Matoussi and   
                   Mohamed Mnif   Maximization of Recursive Utilities: a
                                  Dynamic Maximum Principle Approach . . . 1014--1041
            Sophie Laruelle and   
     Charles-Albert Lehalle and   
                 Gilles Pag\`es   Optimal Split of Orders Across Liquidity
                                  Pools: a Stochastic Algorithm Approach   1042--1076


SIAM Journal on Financial Mathematics
Volume 3, Number 1, 2012

               Ivar Ekeland and   
               Oumar Mbodji and   
                Traian A. Pirvu   Time-Consistent Portfolio Management . . 1--32
José E. Figueroa-López and   
                   Martin Forde   The Small-Maturity Smile for Exponential
                                  Lévy Models . . . . . . . . . . . . . . . 33--65
       Johannes Muhle-Karbe and   
             Oliver Pfaffel and   
                 Robert Stelzer   Option Pricing in Multivariate
                                  Stochastic Volatility Models of OU Type  66--94
          Akihiko Takahashi and   
               Toshihiro Yamada   An Asymptotic Expansion with Push-Down
                                  of Malliavin Weights . . . . . . . . . . 95--136
            Paul Glasserman and   
            Sira Suchintabandid   Quadratic Transform Approximation for
                                  CDO Pricing in Multifactor Models  . . . 137--162
                 Robert Almgren   Optimal Trading with Stochastic
                                  Liquidity and Volatility . . . . . . . . 163--181
                 Peter Carr and   
                 Laurent Cousot   Explicit Constructions of Martingales
                                  Calibrated to Given Implied Volatility
                                  Smiles . . . . . . . . . . . . . . . . . 182--214
                    Sam Howison   Asymptotic Approximations for Asian,
                                  European, and American Options with
                                  Discrete Averaging or Discrete
                                  Dividend/Coupon Payments . . . . . . . . 215--241
                   L. Campi and   
                   M. Del Vigna   Weak Insider Trading and Behavioral
                                  Finance  . . . . . . . . . . . . . . . . 242--279
          Patrick Cheridito and   
          Ashkan Nikeghbali and   
                 Eckhard Platen   Processes of Class Sigma, Last Passage
                                  Times, and Drawdowns . . . . . . . . . . 280--303
        Nicole Bäuerle and   
         Sebastian P. Urban and   
         Luitgard A. M. Veraart   The Relaxed Investor with Partial
                                  Information  . . . . . . . . . . . . . . 304--327
          Patrick Cheridito and   
             Alexander Wugalter   Pricing and Hedging in Affine Models
                                  with Possibility of Default  . . . . . . 328--350
            Erhan Bayraktar and   
      Constantinos Kardaras and   
                       Hao Xing   Valuation Equations for Stochastic
                                  Volatility Models  . . . . . . . . . . . 351--373
        J. Orozco Rodriguez and   
                     F. Santosa   Estimation of Asset Distributions from
                                  Option Prices: Analysis and
                                  Regularization . . . . . . . . . . . . . 374--401
          Damir Filipovi\'c and   
             Michael Kupper and   
              Nicolas Vogelpoth   Approaches to Conditional Risk . . . . . 402--432
                  Maxim Bichuch   Asymptotic Analysis for Optimal
                                  Investment in Finite Time with
                                  Transaction Costs  . . . . . . . . . . . 433--458
               C. Reisinger and   
                    J. H. Witte   On the Use of Policy Iteration as an
                                  Easy Way of Pricing American Options . . 459--478
          L. A. Abbas-Turki and   
                     B. Lapeyre   American Options by Malliavin Calculus
                                  and Nonparametric Variance and Bias
                                  Reduction Methods  . . . . . . . . . . . 479--510
    Aurélien Alfonsi and   
           Alexander Schied and   
                    Alla Slynko   Order Book Resilience, Price
                                  Manipulation, and the Positive Portfolio
                                  Problem  . . . . . . . . . . . . . . . . 511--533
                  D. Crisan and   
                 K. Manolarakis   Solving Backward Stochastic Differential
                                  Equations Using the Cubature Method:
                                  Application to Nonlinear Pricing . . . . 534--571
           Michael B. Giles and   
            Christoph Reisinger   Stochastic Finite Differences and
                                  Multilevel Monte Carlo for a Class of
                                  SPDEs in Finance . . . . . . . . . . . . 572--592
      Christopher Beveridge and   
                     Mark Joshi   Interpolation Schemes in the
                                  Displaced-Diffusion LIBOR Market Model   593--604
           Agostino Capponi and   
           Jaksa Cvitani\'c and   
              Türkay Yolcu   A Variational Approach to Contracting
                                  under Imperfect Observations . . . . . . 605--638
               Daniel Bauer and   
           Fred Espen Benth and   
            Rüdiger Kiesel   Modeling the Forward Surface of
                                  Mortality  . . . . . . . . . . . . . . . 639--666
           Alain Bensoussan and   
              ZhongFeng Yan and   
                         G. Yin   Threshold-Type Policies for Real Options
                                  Using Regime-Switching Models  . . . . . 667--689
               Martin Forde and   
           Antoine Jacquier and   
                      Roger Lee   The Small-Time Smile and Term Structure
                                  of Implied Volatility under the Heston
                                  Model  . . . . . . . . . . . . . . . . . 690--708
                Sam Howison and   
                 Daniel Schwarz   Risk-Neutral Pricing of Financial
                                  Instruments in Emission Markets: a
                                  Structural Approach  . . . . . . . . . . 709--739
      Olivier Guéant and   
     Charles-Albert Lehalle and   
        Joaquin Fernandez-Tapia   Optimal Portfolio Liquidation with Limit
                                  Orders . . . . . . . . . . . . . . . . . 740--764


SIAM Journal on Financial Mathematics
Volume 4, Number 1, 2013

                  Rama Cont and   
              Adrien de Larrard   Price Dynamics in a Markovian Limit
                                  Order Market . . . . . . . . . . . . . . 1--25
              Maxim Bichuch and   
                  Steven Shreve   Utility Maximization Trading Two Futures
                                  with Transaction Costs . . . . . . . . . 26--85
          John Schoenmakers and   
              Jianing Zhang and   
                    Junbo Huang   Optimal Dual Martingales, Their
                                  Analysis, and Application to New
                                  Algorithms for Bermudan Products . . . . 86--116
               Markus Mocha and   
               Nicholas Westray   The Stability of the Constrained Utility
                                  Maximization Problem: a BSDE Approach    117--150
           Josselin Garnier and   
        George Papanicolaou and   
                   Tzu-Wei Yang   Large Deviations for a Mean Field Model
                                  of Systemic Risk . . . . . . . . . . . . 151--184
                 Peter Carr and   
              Travis Fisher and   
                   Johannes Ruf   Why Are Quadratic Normal Volatility
                                  Models Analytically Tractable? . . . . . 185--202
                    Ren Liu and   
           Johannes Muhle-Karbe   Portfolio Selection with Small
                                  Transaction Costs and Binding Portfolio
                                  Constraints  . . . . . . . . . . . . . . 203--227
               Sara Biagini and   
        Mustafa Ç. Pinar   The Best Gain-Loss Ratio is a Poor
                                  Performance Measure  . . . . . . . . . . 228--242
          Francesca Biagini and   
                Irene Schreiber   Risk-Minimization for Life Insurance
                                  Liabilities  . . . . . . . . . . . . . . 243--264
         Stefano Pagliarani and   
            Andrea Pascucci and   
                    Candia Riga   Adjoint Expansions in Local Lévy Models   265--296
          Etienne Chevalier and   
            Vathana Ly Vath and   
                  Simone Scotti   An Optimal Dividend and Investment
                                  Control Problem under Debt Constraints   297--326
               Nico Achtsis and   
               Ronald Cools and   
                    Dirk Nuyens   Conditional Sampling for Barrier Option
                                  Pricing under the LT Method  . . . . . . 327--352
             Carole Bernard and   
                    Wenbo V. Li   Pricing and Hedging of Cliquet Options
                                  and Locally Capped Contracts . . . . . . 353--371
                Liming Feng and   
                      Xiong Lin   Inverting Analytic Characteristic
                                  Functions and Financial Applications . . 372--398
                   B. Zhang and   
                C. W. Oosterlee   Efficient Pricing of European-Style
                                  Asian Options under Exponential Lévy
                                  Processes Based on Fourier Cosine
                                  Expansions . . . . . . . . . . . . . . . 399--426
                    Antony Ware   Accurate Semi-Lagrangian Time Stepping
                                  for Stochastic Optimal Control Problems
                                  with Application to the Valuation of
                                  Natural Gas Storage  . . . . . . . . . . 427--451
                     Jun Sekine   Long-Term Optimal Investment with a
                                  Generalized Drawdown Constraint  . . . . 452--473
                Liming Feng and   
                      Xiong Lin   Pricing Bermudan Options in Lévy Process
                                  Models . . . . . . . . . . . . . . . . . 474--493
           Sergey Nadtochiy and   
          Thaleia Zariphopoulou   An Approximation Scheme for Solution to
                                  the Optimal Investment Problem in
                                  Incomplete Markets . . . . . . . . . . . 494--538
              S. D. Howison and   
               C. Reisinger and   
                    J. H. Witte   The Effect of Nonsmooth Payoffs on the
                                  Penalty Approximation of American
                                  Options  . . . . . . . . . . . . . . . . 539--574
        Philipp Dörsek and   
                Josef Teichmann   Efficient Simulation and Calibration of
                                  General HJM Models by Splitting Schemes  575--598
            Angelos Dassios and   
                    Jia Wei Lim   Parisian Option Pricing: a Recursive
                                  Solution for the Density of the Parisian
                                  Stopping Time  . . . . . . . . . . . . . 599--615
             Ernst Eberlein and   
               Zorana Grbac and   
               Thorsten Schmidt   Discrete Tenor Models for Credit Risky
                                  Portfolios Driven by Time-Inhomogeneous
                                  Lévy Processes  . . . . . . . . . . . . . 616--649
          Jean-Baptiste Monnier   Risk-Neutral Density Recovery via
                                  Spectral Analysis  . . . . . . . . . . . 650--667
          Stefan Ankirchner and   
                Peter Kratz and   
                   Thomas Kruse   Hedging Forward Positions: Basis Risk
                                  Versus Liquidity Costs . . . . . . . . . 668--696
           El Karoui Nicole and   
                   Mrad Mohamed   An Exact Connection between Two Solvable
                                  SDEs and a Nonlinear Utility Stochastic
                                  PDE  . . . . . . . . . . . . . . . . . . 697--736
           Noureddine El Karoui   On the Realized Risk of High-Dimensional
                                  Markowitz Portfolios . . . . . . . . . . 737--783
         Jean-Pierre Fouque and   
                Tomoyuki Ichiba   Stability in a Model of Interbank
                                  Lending  . . . . . . . . . . . . . . . . 784--803
           Antoine Jacquier and   
                  Matthew Lorig   The Smile of Certain Lévy-Type Models . . 804--830
           Antoine Jacquier and   
                  Patrick Roome   The Small-Maturity Heston Forward Smile  831--856
                 Xinfu Chen and   
                        Min Dai   Characterization of Optimal Strategy for
                                  Multiasset Investment and Consumption
                                  with Transaction Costs . . . . . . . . . 857--883
               Michael Monoyios   Malliavin Calculus Method for Asymptotic
                                  Expansion of Dual Control Problems . . . 884--915
            Andrew Papanicolaou   Dimension Reduction in Discrete Time
                                  Portfolio Optimization with Partial
                                  Information  . . . . . . . . . . . . . . 916--960


SIAM Journal on Financial Mathematics
Volume 5, Number 1, 2014

            Claus Griessler and   
           Martin Keller-Ressel   Convex Order of Discrete, Continuous,
                                  and Predictable Quadratic Variation and
                                  Applications to Options on Variance  . . 1--19
            Erhan Bayraktar and   
                      Zhou Zhou   On Controller-Stopper Problems with
                                  Jumps and Their Applications to
                                  Indifference Pricing of American Options 20--49
            Alberto Bressan and   
               Giancarlo Facchi   Discrete Bidding Strategies for a Random
                                  Incoming Order . . . . . . . . . . . . . 50--70
           Fred Espen Benth and   
          Heidar Eyjolfsson and   
            Almut E. D. Veraart   Approximating Lévy Semistationary
                                  Processes via Fourier Methods in the
                                  Context of Power Markets . . . . . . . . 71--98
                  Ban Zheng and   
     François Roueff and   
 Frédéric Abergel   Modelling Bid and Ask Prices Using
                                  Constrained Hawkes Processes: Ergodicity
                                  and Scaling Limit  . . . . . . . . . . . 99--136
                 Peter Bank and   
                    Antje Fruth   Optimal Order Scheduling for
                                  Deterministic Liquidity Patterns . . . . 137--152
              A. Bensoussan and   
                 K. C. Wong and   
               S. C. P. Yam and   
                     S. P. Yung   Time-Consistent Portfolio Selection
                                  under Short-Selling Prohibition: From
                                  Discrete to Continuous Setting . . . . . 153--190
         René A\"\id and   
              Luciano Campi and   
    Nicolas Langrené and   
               Huyên Pham   A Probabilistic Numerical Method for
                                  Optimal Multiple Switching Problems in
                                  High Dimension . . . . . . . . . . . . . 191--231
                    Xiao Li and   
          Michael D. Lipkin and   
              Richard B. Sowers   Dynamics of Bankrupt Stocks  . . . . . . 232--257
       Christoph Czichowsky and   
       Johannes Muhle-Karbe and   
           Walter Schachermayer   Transaction Costs, Shadow Prices, and
                                  Duality in Discrete Time . . . . . . . . 258--277
               Ulrich Horst and   
                 Felix Naujokat   When to Cross the Spread? Trading in
                                  Two-Sided Limit Order Books  . . . . . . 278--315
               Martin Haugh and   
                      Chun Wang   Dynamic Portfolio Execution and
                                  Information Relaxations  . . . . . . . . 316--359
         Jean-Pierre Fouque and   
                        Bin Ren   Approximation for Option Prices under
                                  Uncertain Volatility . . . . . . . . . . 360--383
                      N. Frikha   Shortfall Risk Minimization in Discrete
                                  Time Financial Market Models . . . . . . 384--414
       Álvaro Cartea and   
        Sebastian Jaimungal and   
                    Jason Ricci   Buy Low, Sell High: a High Frequency
                                  Trading Perspective  . . . . . . . . . . 415--444
      Olivier Guéant and   
                Guillaume Royer   VWAP Execution and Guaranteed VWAP . . . 445--471
                 Winslow Strong   Generalizations of Functionally
                                  Generated Portfolios with Applications
                                  to Statistical Arbitrage . . . . . . . . 472--492
         Alessandro Gnoatto and   
              Martino Grasselli   An Affine Multicurrency Model with
                                  Stochastic Volatility and Stochastic
                                  Interest Rates . . . . . . . . . . . . . 493--531
             G. N. Milstein and   
                    V. Spokoiny   Construction of Mean-Self-Financing
                                  Strategies for European Options under
                                  Regime-Switching . . . . . . . . . . . . 532--556
         Juan Miguel Montes and   
         Valentina Prezioso and   
        Wolfgang J. Runggaldier   Monte Carlo Variance Reduction by
                                  Conditioning for Pricing with Underlying
                                  a Continuous-Time Finite State Markov
                                  Process  . . . . . . . . . . . . . . . . 557--580
               Matteo Basei and   
          Annalisa Cesaroni and   
               Tiziano Vargiolu   Optimal Exercise of Swing Contracts in
                                  Energy Markets: an Integral Constrained
                                  Stochastic Optimal Control Problem . . . 581--608
                    Takuji Arai   Convex Risk Measures for C\`adl\`ag
                                  Processes on Orlicz Hearts . . . . . . . 609--625
            Michail Anthropelos   Forward Exponential Performances:
                                  Pricing and Optimal Risk Sharing . . . . 626--655
  Thorsten Rheinländer and   
                Michael Schmutz   Quasi--Self-Dual Exponential Lévy
                                  Processes  . . . . . . . . . . . . . . . 656--684
           Fred Espen Benth and   
         Salvador Ortiz-Latorre   A Pricing Measure to Explain the Risk
                                  Premium in Power Markets . . . . . . . . 685--728
                 S. M. Ould Aly   Option Pricing for Stochastic Volatility
                                  Models: Vol-of-Vol Expansion . . . . . . 729--752
              Nora Imkeller and   
                L. C. G. Rogers   Trading to Stops . . . . . . . . . . . . 753--781


SIAM Journal on Financial Mathematics
Volume 6, Number 1, 2015

           Nicole El Karoui and   
          Monique Jeanblanc and   
                      Ying Jiao   Density Approach in Modeling Successive
                                  Defaults . . . . . . . . . . . . . . . . 1--21
            Martin Altmayer and   
             Andreas Neuenkirch   Multilevel Monte Carlo Quadrature of
                                  Discontinuous Payoffs in the Generalized
                                  Heston Model Using Malliavin Integration
                                  by Parts . . . . . . . . . . . . . . . . 22--52
                   Hsuan-Ku Liu   Properties of American Volatility
                                  Options in the Mean-Reverting $ 3 / 2 $
                                  Volatility Model . . . . . . . . . . . . 53--65
                Huy N. Chau and   
                   Peter Tankov   Market Models with Optimal Arbitrage . . 66--85
  Konstantinos Spiliopoulos and   
              Richard B. Sowers   Default Clustering in Large Pools: Large
                                  Deviations . . . . . . . . . . . . . . . 86--116
               P. Azimzadeh and   
                  P. A. Forsyth   The Existence of Optimal Bang-Bang
                                  Controls for GMxB Contracts  . . . . . . 117--139
          Constantinos Kardaras   Valuation and Parities for Exchange
                                  Options  . . . . . . . . . . . . . . . . 140--157
        Archil Gulisashvili and   
                    Josep Vives   Asymptotic Analysis of Stock Price
                                  Densities and Implied Volatilities in
                                  Mixed Stochastic Models  . . . . . . . . 158--188
              Robert Jarrow and   
                 Philip Protter   Liquidity Suppliers and High Frequency
                                  Trading  . . . . . . . . . . . . . . . . 189--200
          Mathieu S. Dubois and   
         Luitgard A. M. Veraart   Optimal Diversification in the Presence
                                  of Parameter Uncertainty for a Risk
                                  Averse Investor  . . . . . . . . . . . . 201--241
                   Cheng Li and   
                       Hao Xing   Asymptotic Glosten--Milgrom Equilibrium  242--280
                    Xin Guo and   
                  Mihail Zervos   Optimal Execution with Multiplicative
                                  Price Impact . . . . . . . . . . . . . . 281--306
           Antoine Jacquier and   
                  Patrick Roome   Asymptotics of Forward Implied
                                  Volatility . . . . . . . . . . . . . . . 307--351
             Adam W. Kolkiewicz   On Suboptimality of Delta Hedging for
                                  Asian Options  . . . . . . . . . . . . . 352--385
                   Lijun Bo and   
               Agostino Capponi   Systemic Risk in Interbanking Networks   386--424
            Erhan Bayraktar and   
               Yu-Jui Huang and   
                      Zhou Zhou   On Hedging American Options under Model
                                  Uncertainty  . . . . . . . . . . . . . . 425--447
           Denis Belomestny and   
            Fabian Dickmann and   
              Tigran Nagapetyan   Pricing Bermudan Options via Multilevel
                                  Approximation Methods  . . . . . . . . . 448--466
                Carlos Abad and   
                  Garud Iyengar   Portfolio Selection with Multiple
                                  Spectral Risk Constraints  . . . . . . . 467--486
                  Tim Leung and   
                     Haohua Wan   ESO Valuation with Job Termination Risk
                                  and Jumps in Stock Price . . . . . . . . 487--516
   Miklós Rásonyi   Optimal Investment with Nonconcave
                                  Utilities in Discrete-Time Markets . . . 517--529
          Francesca Biagini and   
                  Sorin Nedelcu   The Formation of Financial Bubbles in
                                  Defaultable Markets  . . . . . . . . . . 530--558
                 Andrew Ahn and   
               Martin Haugh and   
                    Ashish Jain   Consistent Pricing of Options on
                                  Leveraged ETFs . . . . . . . . . . . . . 559--593
         Tomasz R. Bielecki and   
                Marek Rutkowski   Valuation and Hedging of Contracts with
                                  Funding Costs and Collateralization  . . 594--655
               Pietro Fodra and   
               Huyên Pham   High Frequency Trading and Asymptotics
                                  for Small Risk Aversion in a Markov
                                  Renewal Model  . . . . . . . . . . . . . 656--684
               O. Burkovska and   
                B. Haasdonk and   
                 J. Salomon and   
                    B. Wohlmuth   Reduced Basis Methods for Pricing
                                  Options with the Black--Scholes and
                                  Heston Models  . . . . . . . . . . . . . 685--712
                 J. Lars Kirkby   Efficient Option Pricing by Frame
                                  Duality with the Fast Fourier Transform  713--747
          Robert B. Gramacy and   
              Michael Ludkovski   Sequential Design for Optimal Stopping
                                  Problems . . . . . . . . . . . . . . . . 748--775
                 Ruodu Wang and   
           Valeria Bignozzi and   
               Andreas Tsanakas   How Superadditive Can a Risk Measure Be? 776--803
           Robert A. Jarrow and   
                 Martin Larsson   Informational Efficiency under Short
                                  Sale Constraints . . . . . . . . . . . . 804--824
           Fred Espen Benth and   
              Paul Krühner   Derivatives Pricing in Energy Markets:
                                  an Infinite-Dimensional Approach . . . . 825--869
               Patrick Chan and   
              Ronnie Sircar and   
               Michael V. Stein   A Feedback Model for the
                                  Financialization of Commodity Markets    870--899
            Liliana Forzani and   
             Carlos F. Tolmasky   On the Level-Slope-Curvature Effect in
                                  Yield Curves and Eventual Total
                                  Positivity . . . . . . . . . . . . . . . 900--918
             Emmanuel Gobet and   
             Stefano Pagliarani   Analytical Approximations of BSDEs with
                                  Nonsmooth Driver . . . . . . . . . . . . 919--958
           Agostino Capponi and   
                 Christoph Frei   Dynamic Contracting: Accidents Lead to
                                  Nonlinear Contracts  . . . . . . . . . . 959--983
               Zorana Grbac and   
      Antonis Papapantoleon and   
          John Schoenmakers and   
                 David Skovmand   Affine LIBOR Models with Multiple
                                  Curves: Theory, Examples and Calibration 984--1025
Frédéric Abergel and   
                   Aymen Jedidi   Long-Time Behavior of a Hawkes
                                  Process-Based Limit Order Book . . . . . 1026--1043
        Torsten Schöneborn   Optimal Trade Execution for
                                  Time-Inconsistent Mean-Variance Criteria
                                  and Risk Functions . . . . . . . . . . . 1044--1067
         Tomasz R. Bielecki and   
              Igor Cialenco and   
                       Tao Chen   Dynamic Conic Finance via Backward
                                  Stochastic Difference Equations  . . . . 1068--1122
               Kyle Bechler and   
              Michael Ludkovski   Optimal Execution with Dynamic Order
                                  Flow Imbalance . . . . . . . . . . . . . 1123--1151
  Erick Trevinño-Aguilar   Duality in a Problem of Static Partial
                                  Hedging under Convex Constraints . . . . 1152--1170
           Stefano De Marco and   
       Pierre Henry-Labord\`ere   Linking Vanillas and VIX Options: a
                                  Constrained Martingale Optimal Transport
                                  Problem  . . . . . . . . . . . . . . . . 1171--1194
                Hamed Amini and   
              Andreea Minca and   
                  Agn\`es Sulem   Control of Interbank Contagion Under
                                  Partial Information  . . . . . . . . . . 1195--1219
                 Michael Ho and   
                  Zheng Sun and   
                       Jack Xin   Weighted Elastic Net Penalized
                                  Mean-Variance Portfolio Design and
                                  Computation  . . . . . . . . . . . . . . 1220--1244


SIAM Journal on Financial Mathematics
Volume 7, Number 1, 2016

       Álvaro Cartea and   
        Sebastian Jaimungal and   
                       Zhen Qin   Model Uncertainty in Commodity Markets   1--33
                  Jiatu Cai and   
           Masaaki Fukasawa and   
          Mathieu Rosenbaum and   
                   Peter Tankov   Optimal Discretization of Hedging
                                  Strategies with Directional Views  . . . 34--69
 Julio D. Backhoff Veraguas and   
        Joaquín Fontbona   Robust Utility Maximization without
                                  Model Compactness  . . . . . . . . . . . 70--103
             Emmanuel Lepinette   Robust No Arbitrage of the Second Kind
                                  with a Continuum of Assets and
                                  Proportional Transaction Costs . . . . . 104--123
                 Danlin Hou and   
                    Zuo Quan Xu   A Robust Markowitz Mean-Variance
                                  Portfolio Selection Model with an
                                  Intractable Claim  . . . . . . . . . . . 124--151
              Geliang Zhang and   
           Hugh Christensen and   
                 Guolong Li and   
                  Simon Godsill   A Correction Note for Price Dynamics in
                                  a Markovian Limit Order Market . . . . . 152--158
   Pierre Henry-Labord\`ere and   
         Christian Litterer and   
                    Zhenjie Ren   A Dual Algorithm for Stochastic Control
                                  Problems: Applications to Uncertain
                                  Volatility Models and CVA  . . . . . . . 159--182
            Erhan Bayraktar and   
         S. David Promislow and   
              Virginia R. Young   Purchasing Term Life Insurance to Reach
                                  a Bequest Goal while Consuming . . . . . 183--214
             Bruno Bouchard and   
  Géraldine Bouveret and   
Jean-François Chassagneux   A Backward Dual Representation for the
                                  Quantile Hedging of Bermudan Options . . 215--235
              Aych Bouselmi and   
               Damien Lamberton   The Critical Price of the American Put
                                  Near Maturity in the Jump Diffusion
                                  Model  . . . . . . . . . . . . . . . . . 236--272
              Matthew Lorig and   
Oriol Lozano-Carbassé and   
         Rafael Mendoza-Arriaga   Variance Swaps on Defaultable Assets and
                                  Market Implied Time-Changes  . . . . . . 273--307
             Ismail Laachir and   
                Francesco Russo   BSDEs, C\`adl\`ag Martingale Problems,
                                  and Orthogonalization under Basis Risk   308--356
          Erik Ekström and   
           Juozas Vaicenavicius   Optimal Liquidation of an Asset under
                                  Drift Uncertainty  . . . . . . . . . . . 357--381
            Andrea Granelli and   
            Almut E. D. Veraart   Modeling the Variance Risk Premium of
                                  Equity Indices: The Role of Dependence
                                  and Contagion  . . . . . . . . . . . . . 382--417
              Matthew Lorig and   
                  Ronnie Sircar   Portfolio Optimization under
                                  Local-Stochastic Volatility: Coefficient
                                  Taylor Series Approximations and Implied
                                  Sharpe Ratio . . . . . . . . . . . . . . 418--447
               Martin Forde and   
                Hongzhong Zhang   Small-Time Asymptotics for Basket
                                  Options --- the Bivariate SABR Model and
                                  the Hyperbolic Heat Kernel on $ \mathbb
                                  {H}^3 $  . . . . . . . . . . . . . . . . 448--476
             Julio Backhoff and   
                   Ulrich Horst   Conditional Analysis and a
                                  Principal-Agent Problem  . . . . . . . . 477--507
             Bruno Bouchard and   
             Ludovic Moreau and   
                  H. Mete Soner   Hedging Under an Expected Loss
                                  Constraint with Small Transaction Costs  508--551
                Chris Jones and   
                     Xinfu Chen   Optimal Mortgage Prepayment Under the
                                  Cox--Ingersoll--Ross Model . . . . . . . 552--566
             Dmitry Kramkov and   
                  Sergio Pulido   Stability and Analytic Expansions of
                                  Local Solutions of Systems of Quadratic
                                  BSDEs with Applications to a Price
                                  Impact Model . . . . . . . . . . . . . . 567--587
        Mykhaylo Shkolnikov and   
              Ronnie Sircar and   
          Thaleia Zariphopoulou   Asymptotic Analysis of Forward
                                  Performance Processes in Incomplete
                                  Markets and Their Ill-Posed HJB
                                  Equations  . . . . . . . . . . . . . . . 588--618
                 Gaoyue Guo and   
           Antoine Jacquier and   
             Claude Martini and   
                  Leo Neufcourt   Generalized Arbitrage-Free SVI
                                  Volatility Surfaces  . . . . . . . . . . 619--641
             Pierre Garreau and   
                 Alec Kercheval   A Structural Jump Threshold Framework
                                  for Credit Risk  . . . . . . . . . . . . 642--673
               David Hobson and   
                       Yeqi Zhu   Optimal Consumption and Sale Strategies
                                  for a Risk Averse Agent  . . . . . . . . 674--719
        Francesco Caravenna and   
                Jacopo Corbetta   General Smile Asymptotics with Bounded
                                  Maturity . . . . . . . . . . . . . . . . 720--759
       Álvaro Cartea and   
            Sebastian Jaimungal   A Closed-Form Execution Strategy to
                                  Target Volume Weighted Average Price . . 760--785
               Chi Seng Pun and   
                  Hoi Ying Wong   Resolution of Degeneracy in Merton's
                                  Portfolio Problem  . . . . . . . . . . . 786--811
                 Matteo Burzoni   Arbitrage and Hedging in
                                  Model-Independent Markets with Frictions 812--844
                 J. Lars Kirkby   An Efficient Transform Method for Asian
                                  Option Pricing . . . . . . . . . . . . . 845--892
           Michael R. Tehranchi   Uniform Bounds for Black--Scholes
                                  Implied Volatility . . . . . . . . . . . 893--916
       Radu Baltean-Lugojan and   
                   Panos Parpas   Robust Numerical Calibration for Implied
                                  Volatility Expansion Models  . . . . . . 917--946
                 Dan Pirjol and   
                  Lingjiong Zhu   Short Maturity Asian Options in Local
                                  Volatility Models  . . . . . . . . . . . 947--992
Jean-François Chassagneux and   
           Antoine Jacquier and   
                   Ivo Mihaylov   An Explicit Euler Scheme with Strong
                                  Rate of Convergence for Financial SDEs
                                  with Non-Lipschitz Coefficients  . . . . 993--1021


SIAM Journal on Financial Mathematics
Volume 8, Number 1, 2017

             Yao Tung Huang and   
              Qingshuo Song and   
                    Harry Zheng   Weak Convergence of Path-Dependent SDEs
                                  in Basket Credit Default Swap Pricing
                                  with Contagion Risk  . . . . . . . . . . 1--27
                E. Nicolato and   
                  C. Pisani and   
                       D. Sloth   The Impact of Jump Distributions on the
                                  Implied Volatility of Variance . . . . . 28--53
               Erwan Pierre and   
 Stéphane Villeneuve and   
                   Xavier Warin   Numerical Approximation of a
                                  Cash-Constrained Firm Value with
                                  Investment Opportunities . . . . . . . . 54--81
             John Armstrong and   
               Martin Forde and   
              Matthew Lorig and   
                Hongzhong Zhang   Small-Time Asymptotics under
                                  Local-Stochastic Volatility with a
                                  Jump-to-Default: Curvature and the Heat
                                  Kernel Expansion . . . . . . . . . . . . 82--113
               Martin Forde and   
                Hongzhong Zhang   Asymptotics for Rough Stochastic
                                  Volatility Models  . . . . . . . . . . . 114--145
        Giuseppe Campolieti and   
               Roman N. Makarov   Solvable Diffusion Models with Linear
                                  and Mean-Reverting Nonlinear Drifts  . . 146--170
               Rene Carmona and   
                      Yi Ma and   
               Sergey Nadtochiy   Simulation of Implied Volatility
                                  Surfaces via Tangent Lévy Models  . . . . 171--213
                Xue Dong He and   
             Roy Kouwenberg and   
                    Xun Yu Zhou   Rank-Dependent Utility and Risk Taking
                                  in Complete Markets  . . . . . . . . . . 214--239
         Anatoliy Swishchuk and   
                  Nelson Vadori   A Semi-Markovian Modeling of Limit Order
                                  Markets  . . . . . . . . . . . . . . . . 240--273
            Yannick Armenti and   
  Stéphane Crépey   Central Clearing Valuation Adjustment    274--313
               Ulrich Horst and   
              Dörte Kreher   A Weak Law of Large Numbers for a Limit
                                  Order Book Model with Fully State
                                  Dependent Order Dynamics . . . . . . . . 314--343
               Gechun Liang and   
          Thaleia Zariphopoulou   Representation of Homothetic Forward
                                  Performance Processes in Stochastic
                                  Factor Models via Ergodic and Infinite
                                  Horizon BSDE . . . . . . . . . . . . . . 344--372
               Elisa Al\`os and   
           Jorge A. León   On the Curvature of the Smile in
                                  Stochastic Volatility Models . . . . . . 373--399
            Scott Robertson and   
                       Hao Xing   Long-Term Optimal Investment in Matrix
                                  Valued Factor Models . . . . . . . . . . 400--434
               Jana Bielagk and   
             Arnaud Lionnet and   
        Gonçalo Dos Reis   Equilibrium Pricing Under Relative
                                  Performance Concerns . . . . . . . . . . 435--482
              Michael Mania and   
                 Revaz Tevzadze   On Regularity of Primal and Dual Dynamic
                                  Value Functions Related to Investment
                                  Problems and Their Representations as
                                  Backward Stochastic PDE Solutions  . . . 483--503
               Anja Richter and   
                Josef Teichmann   Discrete Time Term Structure Theory and
                                  Consistent Recalibration Models  . . . . 504--531
          Roxana Dumitrescu and   
        Marie-Claire Quenez and   
                  Agn\`es Sulem   Game Options in an Imperfect Market with
                                  Default  . . . . . . . . . . . . . . . . 532--559
           Josselin Garnier and   
              Knut Sòlna   Correction to Black--Scholes Formula Due
                                  to Fractional Stochastic Volatility  . . 560--588
           Alexander Schied and   
              Elias Strehle and   
                      Tao Zhang   High-Frequency Limit of Nash Equilibria
                                  in a Market Impact Game with Transient
                                  Price Impact . . . . . . . . . . . . . . 589--634
       Álvaro Cartea and   
              Ryan Donnelly and   
            Sebastian Jaimungal   Algorithmic Trading with Model
                                  Uncertainty  . . . . . . . . . . . . . . 635--671
          Zachary Feinstein and   
             Birgit Rudloff and   
                   Stefan Weber   Measures of Systemic Risk  . . . . . . . 672--708
                S. De Marco and   
               C. Hillairet and   
                    A. Jacquier   Shapes of Implied Volatility with
                                  Positive Mass at Zero  . . . . . . . . . 709--737
          Patrick Cheridito and   
             Michael Kupper and   
                 Ludovic Tangpi   Duality Formulas for Robust Pricing and
                                  Hedging in Discrete Time . . . . . . . . 738--765
       Maximilian Gaß and   
               Kathrin Glau and   
                Maximilian Mair   Magic Points in Finance: Empirical
                                  Integration for Parametric Option
                                  Pricing  . . . . . . . . . . . . . . . . 766--803
             Yao Tung Huang and   
              Pingping Zeng and   
                  Yue Kuen Kwok   Optimal Initiation of Guaranteed
                                  Lifelong Withdrawal Benefit with Dynamic
                                  Withdrawals  . . . . . . . . . . . . . . 804--840
            Alberto Bressan and   
          Antonio Marigonda and   
             Khai T. Nguyen and   
              Michele Palladino   A Stochastic Model of Optimal Debt
                                  Management and Bankruptcy  . . . . . . . 841--873
              Weibing Huang and   
              Mathieu Rosenbaum   Ergodicity and Diffusivity of Markovian
                                  Order Book Models: a General Framework   874--900
                 Yuji Shinozaki   Construction of a Third-Order $K$-Scheme
                                  and Its Application to Financial Models  901--932
           Justin Sirignano and   
      Konstantinos Spiliopoulos   Stochastic Gradient Descent in
                                  Continuous Time  . . . . . . . . . . . . 933--961
                 Ben Hambly and   
          Nikolaos Kolliopoulos   Stochastic Evolution Equations for Large
                                  Portfolios of Stochastic Volatility
                                  Models . . . . . . . . . . . . . . . . . 962--1014


SIAM Journal on Financial Mathematics
Volume 9, Number 1, 2018

            Sergei Levendorskii   Pricing Arithmetic Asian Options Under
                                  Lévy Models by Backward Induction in the
                                  Dual Space . . . . . . . . . . . . . . . 1--27
              Carsten Chong and   
       Claudia Klüppelberg   Contagion in Financial Systems: a
                                  Bayesian Network Approach  . . . . . . . 28--53
                Minsuk Kwak and   
                Traian A. Pirvu   Cumulative Prospect Theory with
                                  Generalized Hyperbolic Skewed $t$
                                  Distribution . . . . . . . . . . . . . . 54--89
            Yannick Armenti and   
Stéphane Crépey and   
             Samuel Drapeau and   
          Antonis Papapantoleon   Multivariate Shortfall Risk Allocation
                                  and Systemic Risk  . . . . . . . . . . . 90--126
               Andrei Cozma and   
    Matthieu Mariapragassam and   
            Christoph Reisinger   Convergence of an Euler Scheme for a
                                  Hybrid Stochastic-Local Volatility Model
                                  with Stochastic Rates in Foreign
                                  Exchange Markets . . . . . . . . . . . . 127--170
           Antoine Jacquier and   
           Martin Keller-Ressel   Implied Volatility in Strict Local
                                  Martingale Models  . . . . . . . . . . . 171--189
                   Lujun Li and   
                   Hui Shao and   
                 Ruodu Wang and   
                  Jingping Yang   Worst-Case Range Value-at-Risk with
                                  Partial Information  . . . . . . . . . . 190--218
            Jerome Detemple and   
              Yerkin Kitapbayev   American Options with Discontinuous
                                  Two-Level Caps . . . . . . . . . . . . . 219--250
         Anastasia Borovykh and   
            Andrea Pascucci and   
          Cornelis W. Oosterlee   Efficient Computation of Various
                                  Valuation Adjustments Under Local Lévy
                                  Models . . . . . . . . . . . . . . . . . 251--273
                Shumin Chen and   
                Zhongfei Li and   
                       Yan Zeng   Optimal Dividend Strategy for a General
                                  Diffusion Process with Time-Inconsistent
                                  Preferences and Ruin Penalty . . . . . . 274--314
                Zongjun Tan and   
                   Peter Tankov   Optimal Trading Policies for Wind Energy
                                  Producer . . . . . . . . . . . . . . . . 315--346
José E. Figueroa-López and   
               Ruoting Gong and   
                  Matthew Lorig   Short-Time Expansions for Call Options
                                  on Leveraged ETFs Under Exponential Lévy
                                  Models with Local Volatility . . . . . . 347--380
           Patrick Beissner and   
                  Laurent Denis   Duality and General Equilibrium Theory
                                  Under Knightian Uncertainty  . . . . . . 381--400

SIAM Journal on Financial Mathematics
Volume 9, Number 2, 2018

                A. Papanicolaou   Extreme-Strike Comparisons and
                                  Structural Bounds for SPX and VIX
                                  Options  . . . . . . . . . . . . . . . . 401--434
             Ankush Agarwal and   
                  Ronnie Sircar   Portfolio Benchmarking Under Drawdown
                                  Constraint and Stochastic Sharpe Ratio   435--464
J. Frédéric Bonnans and   
               Axel Kröner   Variational Analysis for Options with
                                  Stochastic Volatility and Multiple
                                  Factors  . . . . . . . . . . . . . . . . 465--492
     Jérôme Lelong   Dual Pricing of American Options by
                                  Wiener Chaos Expansion . . . . . . . . . 493--519
                 Zhenyu Cui and   
             J. Lars Kirkby and   
                     Duy Nguyen   A General Valuation Framework for SABR
                                  and Stochastic Local Volatility Models   520--563
         Jean-Pierre Fouque and   
                     Ruimeng Hu   Optimal Portfolio under Fast
                                  Mean-Reverting Fractional Stochastic
                                  Environment  . . . . . . . . . . . . . . 564--601
            Erhan Bayraktar and   
               Yan Dolinsky and   
                        Jia Guo   Recombining Tree Approximations for
                                  Optimal Stopping for Diffusions  . . . . 602--633
                  M. Chazal and   
                 R. Loeffen and   
                       P. Patie   Option Pricing in a One-Dimensional
                                  Affine Term Structure Model via Spectral
                                  Representations  . . . . . . . . . . . . 634--664
           Denis Belomestny and   
         Stefan Häfner and   
                 Mikhail Urusov   Regression-Based Complexity Reduction of
                                  the Nested Monte Carlo Methods . . . . . 665--689
          Darinka Dentcheva and   
          Andrzej Ruszczy\'nski   Time-Coherent Risk Measures for
                                  Continuous-Time Markov Chains  . . . . . 690--715
             Blanka Horvath and   
                 Oleg Reichmann   Dirichlet Forms and Finite Element
                                  Methods for the SABR Model . . . . . . . 716--754
               Rohini Kumar and   
               Hussein Nasralah   Asymptotic Approximation of Optimal
                                  Portfolio for Small Time Horizons  . . . 755--774
          Thibaut Mastrolia and   
                    Zhenjie Ren   Principal-Agent Problem with Common
                                  Agency Without Communication . . . . . . 775--799
          Francesca Biagini and   
              Andrea Mazzon and   
            Thilo Meyer-Brandis   Liquidity Induced Asset Bubbles via
                                  Flows of ELMMs . . . . . . . . . . . . . 800--834
           Stefano De Marco and   
                  Peter K. Friz   Local Volatility, Conditioned
                                  Diffusions, and Varadhan's Formula . . . 835--874

SIAM Journal on Financial Mathematics
Volume 9, Number 3, 2018

           Antoine Jacquier and   
                        Hao Liu   Optimal Liquidation in a Level-I Limit
                                  Order Book for Large-Tick Stocks . . . . 875--906
          Damir Filipovi\'c and   
                 Sander Willems   Exact Smooth Term-Structure Estimation   907--929
       Maximilian Gaß and   
                   Kathrin Glau   A Flexible Galerkin Scheme for Option
                                  Pricing in Lévy Models  . . . . . . . . . 930--965
             Gilles Pag\`es and   
          Olivier Pironneau and   
                 Guillaume Sall   The Parareal Algorithm for American
                                  Options  . . . . . . . . . . . . . . . . 966--993
                 John Armstrong   The Markowitz Category . . . . . . . . . 994--1016
             Hamza Guennoun and   
           Antoine Jacquier and   
              Patrick Roome and   
                    Fangwei Shi   Asymptotic Behavior of the Fractional
                                  Heston Model . . . . . . . . . . . . . . 1017--1045
           David Landriault and   
                     Bin Li and   
                 Danping Li and   
              Virginia R. Young   Equilibrium Strategies for the
                                  Mean-Variance Investment Problem over a
                                  Random Horizon . . . . . . . . . . . . . 1046--1073
           Alexander Schied and   
                Leo Speiser and   
             Iryna Voloshchenko   Model-Free Portfolio Theory and Its
                                  Functional Master Formula  . . . . . . . 1074--1101
            Archil Gulisashvili   Large Deviation Principle for Volterra
                                  Type Fractional Stochastic Volatility
                                  Models . . . . . . . . . . . . . . . . . 1102--1136

SIAM Journal on Financial Mathematics
Volume 9, Number 4, 2018

                 Jimmy Risk and   
              Michael Ludkovski   Sequential Design and Spatial Modeling
                                  for Portfolio Tail Risk Measurement  . . 1137--1174
         Jean-Pierre Fouque and   
                      Ning Ning   Uncertain Volatility Models with
                                  Stochastic Bounds  . . . . . . . . . . . 1175--1207
             Takaki Hayashi and   
                     Yuta Koike   Wavelet-Based Methods for High-Frequency
                                  Lead-Lag Analysis  . . . . . . . . . . . 1208--1248
            Ganna Marchenko and   
        Patrick Gagliardini and   
                  Illia Horenko   Towards a Computationally Tractable
                                  Maximum Entropy Principle for
                                  Nonstationary Financial Time Series  . . 1249--1285
          Zachary Feinstein and   
                Weijie Pang and   
             Birgit Rudloff and   
            Eric Schaanning and   
              Stephan Sturm and   
              Mackenzie Wildman   Sensitivity of the Eisenberg--Noe
                                  Clearing Vector to Individual Interbank
                                  Liabilities  . . . . . . . . . . . . . . 1286--1325


SIAM Journal on Financial Mathematics
Volume 10, Number 1, 2019

                Longjie Jia and   
          Martijn Pistorius and   
                    Harry Zheng   Dynamic Portfolio Optimization with
                                  Looping Contagion Risk . . . . . . . . . 1--36
          Michael Kusnetsov and   
    Luitgard Anna Maria Veraart   Interbank Clearing in Financial Networks
                                  with Multiple Maturities . . . . . . . . 37--67
              Maxim Bichuch and   
              Zachary Feinstein   Optimization of Fire Sales and Borrowing
                                  in Systemic Risk . . . . . . . . . . . . 68--88
           Antoine Jacquier and   
                    Fangwei Shi   The Randomized Heston Model  . . . . . . 89--129
                   Cong Qin and   
                     Xinfu Chen   On Balanced Growth Path Solutions of a
                                  Knowledge Diffusion and Growth Model . . 130--155
           Alain Bensoussan and   
          SingRu Celine Hoe and   
                  Zhongfeng Yan   A Mean-Variance Approach to Capital
                                  Investment Optimization  . . . . . . . . 156--180
               Andrei Cozma and   
    Matthieu Mariapragassam and   
            Christoph Reisinger   Calibration of a Hybrid Local-Stochastic
                                  Volatility Stochastic Rates Model with a
                                  Control Variate Particle Method  . . . . 181--213
                Ailing Zeng and   
                    Jungong Xue   Multilevel Monte Carlo Method for
                                  Path-Dependent Barrier Interest Rate
                                  Derivatives  . . . . . . . . . . . . . . 214--242
                Baojun Bian and   
                 Xinfu Chen and   
                    Zuo Quan Xu   Utility Maximization Under Trading
                                  Constraints with Discontinuous Utility   243--260
           Damien Lamberton and   
                 Giulia Terenzi   Variational Formulation of American
                                  Option Prices in the Heston Model  . . . 261--308

SIAM Journal on Financial Mathematics
Volume 10, Number 2, 2019

          Eduardo Abi Jaber and   
                   Omar El Euch   Multifactor Approximation of Rough
                                  Volatility Models  . . . . . . . . . . . 309--349
               Ulrich Horst and   
                         Wei Xu   A Scaling Limit for Limit Order Books
                                  Driven by Hawkes Processes . . . . . . . 350--393
                     Bin Li and   
                   Peng Luo and   
                    Dewen Xiong   Equilibrium Strategies for Alpha-Maxmin
                                  Expected Utility Maximization  . . . . . 394--429
          Francesca Biagini and   
              Andrea Mazzon and   
            Thilo Meyer-Brandis   Financial Asset Bubbles in Banking
                                  Networks . . . . . . . . . . . . . . . . 430--465
              Paolo Guasoni and   
          Antonella Tolomeo and   
                        Gu Wang   Should Commodity Investors Follow
                                  Commodities' Prices? . . . . . . . . . . 466--490
               Omar El Euch and   
           Masaaki Fukasawa and   
               Jim Gatheral and   
              Mathieu Rosenbaum   Short-Term At-the-Money Asymptotics
                                  under Stochastic Volatility Models . . . 491--511
           Sühan Altay and   
             Katia Colaneri and   
                     Zehra Eksi   Portfolio Optimization for a Large
                                  Investor Controlling Market Sentiment
                                  Under Partial Information  . . . . . . . 512--546
          Bahman Angoshtari and   
            Erhan Bayraktar and   
              Virginia R. Young   Optimal Dividend Distribution Under
                                  Drawdown and Ratcheting Constraints on
                                  Dividend Rates . . . . . . . . . . . . . 547--577
              Nils Detering and   
        Thilo Meyer-Brandis and   
    Konstantinos Panagiotou and   
                  Daniel Ritter   Managing Default Contagion in
                                  Inhomogeneous Financial Networks . . . . 578--614
             Michael Schatz and   
                Didier Sornette   A Nonuniformly Integrable Martingale
                                  Bubble with a Crash  . . . . . . . . . . 615--631
                 Kexin Chen and   
              Mei Choi Chiu and   
                  Hoi Ying Wong   Time-Consistent Mean-Variance
                                  Pairs-Trading Under Regime-Switching
                                  Cointegration  . . . . . . . . . . . . . 632--665

SIAM Journal on Financial Mathematics
Volume 10, Number 3, 2019

            Erhan Bayraktar and   
              Jingjie Zhang and   
                      Zhou Zhou   Time Consistent Stopping for the
                                  Mean-Standard Deviation Problem --- The
                                  Discrete Time Case . . . . . . . . . . . 667--697
           Sergey Nadtochiy and   
          Thaleia Zariphopoulou   Optimal Contract for a Fund Manager with
                                  Capital Injections and Endogenous
                                  Trading Constraints  . . . . . . . . . . 698--722
                 Peter Bank and   
               Moritz Voß   Optimal Investment with Transient Price
                                  Impact . . . . . . . . . . . . . . . . . 723--768
              Paolo Guasoni and   
                 Zsolt Nika and   
   Miklós Rásonyi   Trading Fractional Brownian Motion . . . 769--789
       Álvaro Cartea and   
                  Luhui Gan and   
            Sebastian Jaimungal   Hedge and Speculate: Replicating Option
                                  Payoffs with Limit and Market Orders . . 790--814
       Pieter M. van Staden and   
              Duy-Minh Dang and   
               Peter A. Forsyth   Mean-Quadratic Variation Portfolio
                                  Optimization: a Desirable Alternative to
                                  Time-Consistent Mean-Variance
                                  Optimization?  . . . . . . . . . . . . . 815--856
                 Ben Hambly and   
          Nikolaos Kolliopoulos   Erratum: Stochastic Evolution Equations
                                  for Large Portfolios of Stochastic
                                  Volatility Models  . . . . . . . . . . . 857--876

SIAM Journal on Financial Mathematics
Volume 10, Number 4, 2019

              Zachary Feinstein   Obligations with Physical Delivery in a
                                  Multilayered Financial Network . . . . . 877--906
          Laurence Carassus and   
          Jan Ob\lój and   
                Johannes Wiesel   The Robust Superreplication Problem: a
                                  Dynamic Approach . . . . . . . . . . . . 907--941
    Aurélien Alfonsi and   
                David Krief and   
                   Peter Tankov   Long-Time Large Deviations for the
                                  Multiasset Wishart Stochastic Volatility
                                  Model and Option Pricing . . . . . . . . 942--976
                 Kexin Chen and   
              Mei Choi Chiu and   
             Yong Hyun Shin and   
                  Hoi Ying Wong   Stochastic Volatility Asymptotics for
                                  Optimal Subsistence Consumption and
                                  Investment with Bankruptcy . . . . . . . 977--1005


SIAM Journal on Financial Mathematics
Volume 11, Number 1, 2020

         Sebastian Herrmann and   
       Johannes Muhle-Karbe and   
               Dapeng Shang and   
                      Chen Yang   Inventory Management for High-Frequency
                                  Trading with Imperfect Competition . . . 1--26
               Anna Aksamit and   
                 Zhaoxu Hou and   
              Jan Ob\lój   Robust Framework for Quantifying the
                                  Value of Information in Pricing and
                                  Hedging  . . . . . . . . . . . . . . . . 27--59
                Hamed Amini and   
          Damir Filipovi\'c and   
                  Andreea Minca   Systemic Risk in Networks with a Central
                                  Node . . . . . . . . . . . . . . . . . . 60--98
Stéphane Crépey and   
             Wissal Sabbagh and   
                     Shiqi Song   When Capital Is a Funding Source: The
                                  Anticipated Backward Stochastic
                                  Differential Equations of $X$-Value
                                  Adjustments  . . . . . . . . . . . . . . 99--130
             Micha\l Barski and   
                  Jerzy Zabczyk   On CIR Equations with General Factors    131--147
                Dorje Brody and   
              Lane Hughston and   
               Bernhard Meister   Theory of Cryptocurrency Interest Rates  148--168
               Tiantian Mao and   
                     Ruodu Wang   Risk Aversion in Regulatory Capital
                                  Principles . . . . . . . . . . . . . . . 169--200
             David Farahany and   
         Kenneth R. Jackson and   
            Sebastian Jaimungal   Mixing LSMC and PDE Methods to Price
                                  Bermudan Options . . . . . . . . . . . . 201--239
        Nicole Bäuerle and   
               Sascha Desmettre   Portfolio Optimization in Fractional and
                                  Rough Heston Models  . . . . . . . . . . 240--273
           Josselin Garnier and   
              Knut Sòlna   Optimal Hedging Under Fast-Varying
                                  Stochastic Volatility  . . . . . . . . . 274--325
           Beatrice Acciaio and   
                   Julien Guyon   Short Communication: Inversion of Convex
                                  Ordering: Local Volatility Does Not
                                  Maximize the Price of VIX Futures  . . . SC1--SC13

SIAM Journal on Financial Mathematics
Volume 11, Number 2, 2020

Luis Carlos Garcia del Molino and   
        Iacopo Mastromatteo and   
          Michael Benzaquen and   
         Jean-Philippe Bouchaud   The Multivariate Kyle Model: More is
                                  Different  . . . . . . . . . . . . . . . 327--357
               Peter A. Forsyth   Multiperiod Mean Conditional Value at
                                  Risk Asset Allocation: Is It
                                  Advantageous to Be Time Consistent?  . . 358--384
                Junbeom Lee and   
              Stephan Sturm and   
                      Chao Zhou   A Risk-Sharing Framework of Bilateral
                                  Contracts  . . . . . . . . . . . . . . . 385--410
               Chonghu Guan and   
                     Xun Li and   
                    Wenxin Zhou   An Optimal Investment Problem with
                                  Nonsmooth and Nonconcave Utility over a
                                  Finite Time Horizon  . . . . . . . . . . 411--436
             Blanka Horvath and   
           Antoine Jacquier and   
                   Peter Tankov   Volatility Options in Rough Volatility
                                  Models . . . . . . . . . . . . . . . . . 437--469
              Jasdeep Kalsi and   
                Terry Lyons and   
           Imanol Perez Arribas   Optimal Execution with Rough Path
                                  Signatures . . . . . . . . . . . . . . . 470--493
           Sigrid Källblad   Black's Inverse Investment Problem and
                                  Forward Criteria with Consumption  . . . 494--525
           Paolo Bartesaghi and   
              Michele Benzi and   
        Gian Paolo Clemente and   
             Rosanna Grassi and   
                Ernesto Estrada   Risk-Dependent Centrality in Economic
                                  and Financial Networks . . . . . . . . . 526--565
            Christian Fries and   
             Lorenzo Torricelli   An Analytical Valuation Framework for
                                  Financial Assets with Trading
                                  Suspensions  . . . . . . . . . . . . . . 566--592
                Ka Ho Tsang and   
                  Hoi Ying Wong   Deep-Learning Solution to Portfolio
                                  Selection with Serially Dependent
                                  Returns  . . . . . . . . . . . . . . . . 593--619
        Jocelyne Bion-Nadal and   
                Giulia Di Nunno   Fully-Dynamic Risk-Indifference Pricing
                                  and No-Good-Deal Bounds  . . . . . . . . 620--658

SIAM Journal on Financial Mathematics
Volume 11, Number 3, 2020

        Jaime A. Londoño   Duesenberry Equilibrium and
                                  Heterogeneous Agents . . . . . . . . . . 659--689
       Álvaro Cartea and   
        Sebastian Jaimungal and   
                     Tianyi Jia   Trading Foreign Exchange Triplets  . . . 690--719
          Monique Jeanblanc and   
                        Libo Li   Characteristics and Constructions of
                                  Default Times  . . . . . . . . . . . . . 720--749
              Karel Janecek and   
                   Zheng Li and   
                 Mihai S\^\irbu   Optimal Investment with High-Watermark
                                  Fee in a Multidimensional Jump Diffusion
                                  Model  . . . . . . . . . . . . . . . . . 750--787
               Claudia Ceci and   
             Katia Colaneri and   
          Rüdiger Frey and   
               Verena Köck   Value Adjustments and Dynamic Hedging of
                                  Reinsurance Counterparty Risk  . . . . . 788--814
          Alessandro Calvia and   
        Emanuela Rosazza Gianin   Risk Measures and Progressive
                                  Enlargement of Filtration: a BSDE
                                  Approach . . . . . . . . . . . . . . . . 815--848
          Miryana Grigorova and   
        Marie-Claire Quenez and   
                  Agn\`es Sulem   European Options in a Nonlinear
                                  Incomplete Market Model with Default . . 849--880
               Johannes Ruf and   
                 Kangjianan Xie   The Impact of Proportional Transaction
                                  Costs on Systematically Generated
                                  Portfolios . . . . . . . . . . . . . . . 881--896
               Kathrin Glau and   
            Daniel Kressner and   
               Francesco Statti   Low-Rank Tensor Approximation for
                                  Chebyshev Interpolation in Parametric
                                  Option Pricing . . . . . . . . . . . . . 897--927
           Xi Kleisinger-Yu and   
             Vlatka Komaric and   
             Martin Larsson and   
                   Markus Regez   A Multifactor Polynomial Framework for
                                  Long-Term Electricity Forwards with
                                  Delivery Period  . . . . . . . . . . . . 928--957
               Yuri F. Saporito   Short Communication: Pricing
                                  Path-Dependent Derivatives under
                                  Multiscale Stochastic Volatility Models:
                                  a Malliavin Representation . . . . . . . SC-14--SC-25
              Matthew Dixon and   
                    Nick Polson   Short Communication: Deep Fundamental
                                  Factor Models  . . . . . . . . . . . . . SC-26--SC-37

SIAM Journal on Financial Mathematics
Volume 11, Number 4, 2020

              Robert Jarrow and   
                 Martin Larsson   Informational Efficiency with Trading
                                  Constraints: a Characterization  . . . . 959--973
              Henrik T. Dam and   
             Andrea Macrina and   
             David Skovmand and   
                    David Sloth   Rational Models for Inflation-Linked
                                  Derivatives  . . . . . . . . . . . . . . 974--1006
            Vicky Henderson and   
      Kamil Kladívko and   
           Michael Monoyios and   
            Christoph Reisinger   Executive Stock Option Exercise with
                                  Full and Partial Information on a Drift
                                  Change Point . . . . . . . . . . . . . . 1007--1062
     Maryam Vahid Dastgerdi and   
            Ali Foroush Bastani   Solving Parametric Fractional
                                  Differential Equations Arising from the
                                  Rough Heston Model Using
                                  Quasi-Linearization and Spectral
                                  Collocation  . . . . . . . . . . . . . . 1063--1097
            Florian Bourgey and   
             Emmanuel Gobet and   
             Clément Rey   Metamodel of a Large Credit Risk
                                  Portfolio in the Gaussian Copula Model   1098--1136
           Antoine Jacquier and   
             Lorenzo Torricelli   Anomalous Diffusions in Option Prices:
                                  Connecting Trade Duration and the
                                  Volatility Term Structure  . . . . . . . 1137--1167
Jean-François Bégin and   
                Diego Amaya and   
       Genevi\`eve Gauthier and   
            Marie-\`Eve Malette   On the Estimation of Jump-Diffusion
                                  Models Using Intraday Data: a
                                  Filtering-Based Approach . . . . . . . . 1168--1208


SIAM Journal on Financial Mathematics
Volume 12, Number 1, 2021

             Martin Redmann and   
            Christian Bayer and   
                    Pawan Goyal   Low-Dimensional Approximations of
                                  High-Dimensional Asset Price Models  . . 1--28
                 Asaf Cohen and   
              Virginia R. Young   Optimal Dividend Problem: Asymptotic
                                  Analysis . . . . . . . . . . . . . . . . 29--46
                      Zhou Zhou   Utility Maximization When Shorting
                                  American Options . . . . . . . . . . . . 47--78
                  Ning Ning and   
                        Jing Wu   Well-Posedness and Stability Analysis of
                                  Two Classes of Generalized Stochastic
                                  Volatility Models  . . . . . . . . . . . 79--109
Cyril Bénézet and   
Jean-François Chassagneux and   
            Christoph Reisinger   A Numerical Scheme for the Quantile
                                  Hedging Problem  . . . . . . . . . . . . 110--157
           Stephan Eckstein and   
                 Gaoyue Guo and   
               Tongseok Lim and   
              Jan Ob\lój   Robust Pricing and Hedging of Options on
                                  Multiple Assets and Its Numerics . . . . 158--188
           Nicole El Karoui and   
                   Mohamed Mrad   Recover Dynamic Utility from Observable
                                  Process: Application to the Economic
                                  Equilibrium  . . . . . . . . . . . . . . 189--225
          Fernanda Cipriano and   
         Nuno F. M. Martins and   
                  Diogo Pereira   Optimal Portfolio for the $ \alpha
                                  $-Hypergeometric Stochastic Volatility
                                  Model  . . . . . . . . . . . . . . . . . 226--253
       Álvaro Cartea and   
Leandro Sánchez-Betancourt   The Shadow Price of Latency: Improving
                                  Intraday Fill Ratios in Foreign Exchange
                                  Markets  . . . . . . . . . . . . . . . . 254--294
                   Peter Cotton   Inferring Relative Ability from Winning
                                  Probability in Multientrant Contests . . 295--317
              Fabio Bellini and   
          Pablo Koch-Medina and   
              Cosimo Munari and   
               Gregor Svindland   Law-Invariant Functionals on General
                                  Spaces of Random Variables . . . . . . . 318--341
            Sergey Lototsky and   
                  Austin Pollok   Kelly Criterion: From a Simple Random
                                  Walk to Lévy Processes  . . . . . . . . . 342--368
          Eduardo Abi Jaber and   
                Enzo Miller and   
               Huyên Pham   Markowitz Portfolio Selection for
                                  Multivariate Affine and Quadratic
                                  Volterra Models  . . . . . . . . . . . . 369--409
                   Chi Seng Pun   A Sparse Learning Approach to
                                  Relative-Volatility-Managed Portfolio
                                  Selection  . . . . . . . . . . . . . . . 410--445
           Bastien Baldacci and   
          Dylan Possama\"\i and   
              Mathieu Rosenbaum   Optimal Make-Take Fees in a Multi
                                  Market-Maker Environment . . . . . . . . 446--486
         Simon J. A. Malham and   
                 Jiaqi Shen and   
                     Anke Wiese   Series Expansions and Direct Inversion
                                  for the Heston Model . . . . . . . . . . 487--549

SIAM Journal on Financial Mathematics
Volume 12, Number 2, 2021

               Stefano De Marco   On the Harmonic Mean Representation of
                                  the Implied Volatility . . . . . . . . . 551--565
       Pieter M. van Staden and   
              Duy-Minh Dang and   
               Peter A. Forsyth   On the Distribution of Terminal Wealth
                                  under Dynamic Mean-Variance Optimal
                                  Investment Strategies  . . . . . . . . . 566--603
              Hitoshi Ishii and   
                 Alexandre Roch   Existence and Uniqueness of Viscosity
                                  Solutions of an Integro-differential
                                  Equation Arising in Option Pricing . . . 604--640
               Oleksii Mostovyi   Stability of the Indirect Utility
                                  Process  . . . . . . . . . . . . . . . . 641--671
                 Peter Carr and   
                  Roger Lee and   
                  Matthew Lorig   Pricing Variance Swaps on Time-Changed
                                  Markov Processes . . . . . . . . . . . . 672--689
               Elisa Al\`os and   
              Frido Rolloos and   
              Kenichiro Shiraya   On the Difference Between the Volatility
                                  Swap Strike and the Zero Vanna Implied
                                  Volatility . . . . . . . . . . . . . . . 690--723
                  Jamie Fox and   
               Giray Ökten   Brownian Path Generation and Polynomial
                                  Chaos  . . . . . . . . . . . . . . . . . 724--743
                  Rama Cont and   
          Marvin S. Müller   A Stochastic Partial Differential
                                  Equation Model for Limit Order Book
                                  Dynamics . . . . . . . . . . . . . . . . 744--787
            Julia Ackermann and   
               Thomas Kruse and   
                 Mikhail Urusov   Optimal Trade Execution in an Order Book
                                  Model with Stochastic Liquidity
                                  Parameters . . . . . . . . . . . . . . . 788--822
                  Cheng Cai and   
         Tiziano De Angelis and   
                 Jan Palczewski   Optimal Hedging of a Perpetual American
                                  Put with a Single Trade  . . . . . . . . 823--866
            Mehdi El Amrani and   
           Antoine Jacquier and   
                 Claude Martini   Short Communication: Dynamics of
                                  Symmetric SSVI Smiles and Implied
                                  Volatility Bubbles . . . . . . . . . . . SC1--SC15
              Paolo Guasoni and   
               Yu-Jui Huang and   
                  Saeed Khalili   Short Communication: American Student
                                  Loans: Repayment and Valuation . . . . . SC16--SC30
                 Peter Bank and   
                   Yan Dolinsky   Short Communication: a Note on Utility
                                  Indifference Pricing with Delayed
                                  Information  . . . . . . . . . . . . . . SC31--SC43
         Benjamin M. Bolker and   
       Matheus R. Grasselli and   
                    Emma Holmes   Short Communication: Sensitivity
                                  Analysis of an Integrated
                                  Climate-Economic Model . . . . . . . . . SC44--SC57

SIAM Journal on Financial Mathematics
Volume 12, Number 3, 2021

                    Juan Li and   
                Wenqiang Li and   
                   Gechun Liang   A Game Theoretical Approach to
                                  Homothetic Robust Forward Investment
                                  Performance Processes in Stochastic
                                  Factor Models  . . . . . . . . . . . . . 867--897
              Djaffar Lessy and   
                 Nahla Dhib and   
            Francine Diener and   
                    Marc Diener   May Microcredit Lead to Inclusion? . . . 898--911
           Yuri F. Saporito and   
                   Zhaoyu Zhang   Path-Dependent Deep Galerkin Method: a
                                  Neural Network Approach to Solve
                                  Path-Dependent Partial Differential
                                  Equations  . . . . . . . . . . . . . . . 912--940
                 Xinfu Chen and   
                      Jin Liang   A Free Boundary Problem for Corporate
                                  Bond Pricing and Credit Rating Under
                                  Different Upgrade and Downgrade
                                  Thresholds . . . . . . . . . . . . . . . 941--966
         Alessandro Gnoatto and   
                Nicole Seiffert   Cross Currency Valuation and Hedging in
                                  the Multiple Curve Framework . . . . . . 967--1012
          Francesca Biagini and   
         Alessandro Gnoatto and   
               Immacolata Oliva   A Unified Approach to xVA with CSA
                                  Discounting and Initial Margin . . . . . 1013--1053
               Xiangyu Wang and   
                   Jianming Xia   Expected Utility Maximization with
                                  Stochastic Dominance Constraints in
                                  Complete Markets . . . . . . . . . . . . 1054--1111
    Dante Mata López and   
José Luis Pérez and   
             Kazutoshi Yamazaki   Effects of Positive Jumps of Assets on
                                  Endogenous Bankruptcy and Optimal
                                  Capital Structure: Continuous- and
                                  Periodic-Observation Models  . . . . . . 1112--1149
                  Paul Jusselin   Optimal Market Making with Persistent
                                  Order Flow . . . . . . . . . . . . . . . 1150--1200
            Christian Bayer and   
           Denis Belomestny and   
                 Paul Hager and   
               Paolo Pigato and   
              John Schoenmakers   Randomized Optimal Stopping Algorithms
                                  and Their Convergence Analysis . . . . . 1201--1225
                   Tao Chen and   
              Michael Ludkovski   A Machine Learning Approach to Adaptive
                                  Robust Utility Maximization and Hedging  1226--1256
            Christian Bayer and   
           Fabian A. Harang and   
                   Paolo Pigato   Log-Modulated Rough Stochastic
                                  Volatility Models  . . . . . . . . . . . 1257--1284
          Robert J. Elliott and   
             Dilip B. Madan and   
                      King Wang   Filtering Response Directions  . . . . . 1285--1306
            Marc Chataigner and   
              Areski Cousin and   
Stéphane Crépey and   
              Matthew Dixon and   
                  Djibril Gueye   Short Communication: Beyond Surrogate
                                  Modeling: Learning the Local Volatility
                                  via Shape Constraints  . . . . . . . . . SC58--SC69
             Matteo Burzoni and   
            Marco Frittelli and   
                 Federico Zorzi   Short Communication: Robust
                                  Market-Adjusted Systemic Risk Measures   SC70--SC82

SIAM Journal on Financial Mathematics
Volume 12, Number 4, 2021

              Ariel Neufeld and   
                  Julian Sester   Model-Free Price Bounds Under Dynamic
                                  Option Trading . . . . . . . . . . . . . 1307--1339
              Cheng-Der Fuh and   
            Chu-Lan Michael Kao   Credit Risk Propagation in
                                  Structural-Form Models . . . . . . . . . 1340--1373
           Fred Espen Benth and   
               Silvia Lavagnini   Correlators of Polynomial Processes  . . 1374--1415
            Lorenzo Mercuri and   
          Andrea Perchiazzo and   
                     Edit Rroji   Finite Mixture Approximation of $ {\rm
                                  CARMA}(p, q) $ Models  . . . . . . . . . 1416--1458
           Alessandro Doldi and   
                Marco Frittelli   Conditional Systemic Risk Measures . . . 1459--1507
              Subas Acharya and   
           Alain Bensoussan and   
         Dmitrii Rachinskii and   
               Alejandro Rivera   Real Options Problem with Nonsmooth
                                  Obstacle . . . . . . . . . . . . . . . . 1508--1552
                Bingyan Han and   
                  Hoi Ying Wong   Time-Inconsistency with Rough Volatility 1553--1595
               Minglian Lin and   
              Indranil SenGupta   Analysis of Optimal Portfolio on Finite
                                  and Small-Time Horizons for a Stochastic
                                  Volatility Market Model  . . . . . . . . 1596--1624
          Zachary Feinstein and   
         Andreas Sòjmark   Short Communication: Dynamic Default
                                  Contagion in Heterogeneous Interbank
                                  Systems  . . . . . . . . . . . . . . . . SC83--SC97
           Filipe Fontanela and   
           Antoine Jacquier and   
                  Mugad Oumgari   Short Communication: a Quantum Algorithm
                                  for Linear PDEs Arising in Finance . . . SC98--SC114
            Erhan Bayraktar and   
       Christoph Czichowsky and   
           Leonid Dolinskyi and   
                   Yan Dolinsky   Short Communication: a Note on Utility
                                  Maximization with Proportional
                                  Transaction Costs and Stability of
                                  Optimal Portfolios . . . . . . . . . . . SC115--SC125


SIAM Journal on Financial Mathematics
Volume 13, Number 1, 2022

                   Ivan Guo and   
     Grégoire Loeper and   
          Jan Ob\lój and   
                     Shiyi Wang   Joint Modeling and Calibration of SPX
                                  and VIX by Optimal Transport . . . . . . 1--31
               Elisa Al\`os and   
 David García-Lorite and   
        Aitor Muguruza Gonzalez   On Smile Properties of Volatility
                                  Derivatives: Understanding the VIX Skew  32--69
              Nils Detering and   
        Thilo Meyer-Brandis and   
    Konstantinos Panagiotou and   
                  Daniel Ritter   Suffocating Fire Sales . . . . . . . . . 70--108
         Jean-Pierre Fouque and   
                 Ruimeng Hu and   
                  Ronnie Sircar   Sub- and Supersolution Approach to
                                  Accuracy Analysis of Portfolio
                                  Optimization Asymptotics in Multiscale
                                  Stochastic Factor Markets  . . . . . . . 109--128
                Marcel Nutz and   
                  Yuchong Zhang   Reward Design in Risk-Taking Contests    129--146
                    Yunzhang Li   A High-Order Numerical Method for BSPDEs
                                  with Applications to Mathematical
                                  Finance  . . . . . . . . . . . . . . . . 147--178
            Christian Bayer and   
                Jinniao Qiu and   
                        Yao Yao   Pricing Options under Rough Volatility
                                  with Backward SPDEs  . . . . . . . . . . 179--212
        Sebastian Jaimungal and   
         Silvana M. Pesenti and   
              Ye Sheng Wang and   
                  Hariom Tatsat   Robust Risk-Aware Reinforcement Learning 213--226
             Claude Martini and   
                Arianna Mingone   No Arbitrage SVI . . . . . . . . . . . . 227--261
       Álvaro Cartea and   
                Maria Flora and   
           Tiziano Vargiolu and   
                  Georgi Slavov   Optimal Cross-Border Electricity Trading 262--294
                    Elena Vigna   Tail Optimality and Preferences
                                  Consistency for Intertemporal
                                  Optimization Problems  . . . . . . . . . 295--320
          Bahman Angoshtari and   
            Erhan Bayraktar and   
              Virginia R. Young   Optimal Investment and Consumption under
                                  a Habit-Formation Constraint . . . . . . 321--352
          Philippe Bergault and   
       Fayçal Drissi and   
          Olivier Guéant   Multi-asset Optimal Execution and
                                  Statistical Arbitrage Strategies under
                                  Ornstein--Uhlenbeck Dynamics . . . . . . 353--390
               Toshihiro Yamada   Short Communication: A Gaussian Kusuoka
                                  Approximation without Solving Random
                                  ODEs . . . . . . . . . . . . . . . . . . SC1--SC11
               Yan Dolinsky and   
                     Shir Moshe   Short Communication: Utility
                                  Indifference Pricing with High Risk
                                  Aversion and Small Linear Price Impact   SC12--SC25
              Fabio Bellini and   
                    Ilaria Peri   Short Communication: An Axiomatization
                                  of $ \Lambda $-Quantiles . . . . . . . . SC26--SC38

SIAM Journal on Financial Mathematics
Volume 13, Number 2, 2022

                  Yang Shen and   
                        Bin Zou   Mean-Variance Portfolio Selection in
                                  Contagious Markets . . . . . . . . . . . 391--425
          Etienne Chevalier and   
              Sergio Pulido and   
 Elizabeth Zúñiga   American Options in the Volterra Heston
                                  Model  . . . . . . . . . . . . . . . . . 426--458
              Masaaki Fujii and   
              Akihiko Takahashi   Strong Convergence to the Mean Field
                                  Limit of a Finite Agent Equilibrium  . . 459--490
           Michel Vellekoop and   
            Marcellino Gaudenzi   Exact Solutions and Approximations for
                                  Optimal Investment Strategies and
                                  Indifference Prices  . . . . . . . . . . 491--520
           Lisa R. Goldberg and   
          Alex Papanicolaou and   
                  Alex Shkolnik   The Dispersion Bias  . . . . . . . . . . 521--550
                Eyal Neuman and   
               Moritz Voß   Optimal Signal-Adaptive Trading with
                                  Temporary and Transient Price Impact . . 551--575
            Steven Campbell and   
          Ting-Kam Leonard Wong   Functional Portfolio Optimization in
                                  Stochastic Portfolio Theory  . . . . . . 576--618
                        Gu Wang   Performance Fees with Stochastic
                                  Benchmark  . . . . . . . . . . . . . . . 619--652
          Laurence Carassus and   
          Jan Ob\lój and   
                Johannes Wiesel   Erratum: The Robust Superreplication
                                  Problem: a Dynamic Approach  . . . . . . 653--655
          Mauricio Elizalde and   
                Carlos Escudero   Short Communication: Chances for the
                                  Honest in Honest versus Insider Trading  SC39--SC52
           Romain Blanchard and   
              Laurence Carassus   Short Communication: Super-Replication
                                  Prices with Multiple Priors in Discrete
                                  Time . . . . . . . . . . . . . . . . . . SC53--SC65
            Christian Bayer and   
           Masaaki Fukasawa and   
             Shonosuke Nakahara   Short Communication: On the Weak
                                  Convergence Rate in the Discretization
                                  of Rough Volatility Models . . . . . . . SC66--SC73
       Valentin Tissot-Daguette   Short Communication: Projection of
                                  Functionals and Fast Pricing of Exotic
                                  Options  . . . . . . . . . . . . . . . . SC74--SC86

SIAM Journal on Financial Mathematics
Volume 13, Number 3, 2022

    Hansjörg Albrecher and   
                Pablo Azcue and   
                     Nora Muler   Optimal Ratcheting of Dividends in a
                                  Brownian Risk Model  . . . . . . . . . . 657--701
           Marco Avellaneda and   
                Brian Healy and   
        Andrew Papanicolaou and   
            George Papanicolaou   Principal Eigenportfolios for U.S.
                                  Equities . . . . . . . . . . . . . . . . 702--744
    Julio Backhoff Veraguas and   
              A. Max Reppen and   
                 Ludovic Tangpi   Stochastic Control of Optimized
                                  Certainty Equivalents  . . . . . . . . . 745--772
            Pavel V. Gapeev and   
                        Libo Li   Perpetual American Standard and Lookback
                                  Options with Event Risk and Asymmetric
                                  Information  . . . . . . . . . . . . . . 773--801
             Kyunghyun Park and   
                  Hoi Ying Wong   Robust Consumption-Investment with
                                  Return Ambiguity: a Dual Approach with
                                  Volatility Ambiguity . . . . . . . . . . 802--843
    Gonçalo dos Reis and   
                 Vadim Platonov   Forward Utility and Market Adjustments
                                  in Relative Investment-Consumption Games
                                  of Many Players  . . . . . . . . . . . . 844--876
            Delia Coculescu and   
                Aditi Dandapani   Insiders and Their Free Lunches: The
                                  Role of Short Positions  . . . . . . . . 877--902
                   Hui Meng and   
                 Pengyu Wei and   
                Wanlu Zhang and   
              Sheng Chao Zhuang   Optimal Dynamic Reinsurance Under
                                  Heterogeneous Beliefs and CARA Utility   903--943
         Jean-Pierre Fouque and   
        Sebastian Jaimungal and   
               Yuri F. Saporito   Optimal Trading with Signals and
                                  Stochastic Price Impact  . . . . . . . . 944--968
            Christoph Belak and   
                    An Chen and   
                Carla Mereu and   
                 Robert Stelzer   Optimal Investment with Time-Varying
                                  Stochastic Endowments  . . . . . . . . . 969--1003
               Sara Biagini and   
               Fausto Gozzi and   
             Margherita Zanella   Robust Portfolio Choice with Sticky
                                  Wages  . . . . . . . . . . . . . . . . . 1004--1039
            Levon Avanesyan and   
                  Ronnie Sircar   Power Mixture Forward Performance
                                  Processes  . . . . . . . . . . . . . . . 1040--1062
               Linghui Kong and   
                   Cong Qin and   
                     Xingye Yue   Realization Utility with Path-Dependent
                                  Reference Points . . . . . . . . . . . . 1063--1111
            Hubeyb Gurdogan and   
                 Alec Kercheval   Multiple Anchor Point Shrinkage for the
                                  Sample Covariance Matrix . . . . . . . . 1112--1143
              Gongqiu Zhang and   
                     Lingfei Li   Analysis of Markov Chain Approximation
                                  for Diffusion Models with Nonsmooth
                                  Coefficients . . . . . . . . . . . . . . 1144--1190
              Steven Shreve and   
                      Jing Wang   Escrow and Clawback  . . . . . . . . . . 1191--1229
    Felix-Benedikt Liebrich and   
               Marco Maggis and   
               Gregor Svindland   Model Uncertainty: a Reverse Approach    1230--1269
               Xiangyu Wang and   
               Jianming Xia and   
                Zuo Quan Xu and   
                      Zhou Yang   Short Communication: Minimal Quantile
                                  Functions Subject to Stochastic
                                  Dominance Constraints  . . . . . . . . . SC87--SC98

SIAM Journal on Financial Mathematics
Volume 13, Number 4, 2022

        Michail Anthropelos and   
               Tianran Geng and   
          Thaleia Zariphopoulou   Competition in Fund Management and
                                  Forward Relative Performance Criteria    1271--1301
                 Peter Bank and   
              Laura Körber   Merton's Optimal Investment Problem with
                                  Jump Signals . . . . . . . . . . . . . . 1302--1325
              Jin Hyuk Choi and   
                     Kim Weston   Endogenous Noise Trackers in a Radner
                                  Equilibrium  . . . . . . . . . . . . . . 1326--1343
    Felix-Benedikt Liebrich and   
                     Max Nendel   Separability Versus Robustness of Orlicz
                                  Spaces: Financial and Economic
                                  Perspectives . . . . . . . . . . . . . . 1344--1378
       Álvaro Cartea and   
Imanol Pérez Arribas and   
Leandro Sánchez-Betancourt   Double-Execution Strategies Using Path
                                  Signatures . . . . . . . . . . . . . . . 1379--1417
                   Julien Guyon   The VIX Future in Bergomi Models: Fast
                                  Approximation Formulas and Joint
                                  Calibration with S&P 500 Skew . . . . . . 1418--1485
                  Yang Shen and   
                        Bin Zou   Short Communication: Cone-Constrained
                                  Monotone Mean-Variance Portfolio
                                  Selection under Diffusion Models . . . . SC99--SC112
              Zachary Feinstein   Short Communication: Clearing Prices
                                  under Margin Calls and the Short Squeeze SC113--SC122
            Erhan Bayraktar and   
               Zhenhua Wang and   
                      Zhou Zhou   Short Communication: Stability of
                                  Time-Inconsistent Stopping for
                                  One-Dimensional Diffusions . . . . . . . SC123--SC135


SIAM Journal on Financial Mathematics
Volume 14, Number 1, 2023

          Dörte Kreher and   
             Cassandra Milbradt   Jump Diffusion Approximation for the
                                  Price Dynamics of a Fully State
                                  Dependent Limit Order Book Model . . . . 1--51
          Florian Aichinger and   
               Sascha Desmettre   Utility Maximization in Multivariate
                                  Volterra Models  . . . . . . . . . . . . 52--98
             Piergiacomo Sabino   Normal Tempered Stable Processes and the
                                  Pricing of Energy Derivatives  . . . . . 99--126
    Godeliva Petrina Marisu and   
                   Chi Seng Pun   Bayesian Estimation and Optimization for
                                  Learning Sequential Regularized
                                  Portfolios . . . . . . . . . . . . . . . 127--157
          Zachary Feinstein and   
                 Thomas R. Hurd   Contingent Convertible Obligations and
                                  Financial Stability  . . . . . . . . . . 158--187
                Diogo Gomes and   
           Julian Gutierrez and   
                Ricardo Ribeiro   A Random-Supply Mean Field Game Price
                                  Model  . . . . . . . . . . . . . . . . . 188--222
          Alexandre Richard and   
                 Xiaolu Tan and   
                       Fan Yang   On the Discrete-Time Simulation of the
                                  Rough Heston Model . . . . . . . . . . . 223--249
                    Dejian Tian   Pricing Principle via Tsallis Relative
                                  Entropy in Incomplete Markets  . . . . . 250--278
                Pablo Azcue and   
             Xiaoqing Liang and   
                 Nora Muler and   
              Virginia R. Young   Optimal Reinsurance to Minimize the
                                  Probability of Drawdown under the
                                  Mean-Variance Premium Principle:
                                  Asymptotic Analysis  . . . . . . . . . . 279--313
                Claudio Fontana   Short Communication: Caplet Pricing in
                                  Affine Models for Alternative Risk-Free
                                  Rates  . . . . . . . . . . . . . . . . . SC1--SC16
          Guillermo Angeris and   
               Tarun Chitra and   
                 Alex Evans and   
                  Matthew Lorig   Short Communication: A Primer on
                                  Perpetuals . . . . . . . . . . . . . . . SC17--SC30

SIAM Journal on Financial Mathematics
Volume 14, Number 2, 2023

           Antoine Jacquier and   
                  Mugad Oumgari   Deep Curve-Dependent PDEs for Affine
                                  Rough Volatility . . . . . . . . . . . . 353--382
            Christian Bayer and   
               Martin Eigel and   
              Leon Sallandt and   
              Philipp Trunschke   Pricing High-Dimensional Bermudan
                                  Options with Hierarchical Tensor Formats 383--406
       Pieter M. Van Staden and   
           Peter A. Forsyth and   
                      Yuying Li   Beating a Benchmark: Dynamic Programming
                                  May Not Be the Right Numerical Approach  407--451
         Orcan Ögetbil and   
             Bernhard Hientzsch   Extensions of Dupire Formula: Stochastic
                                  Interest Rates and Stochastic Local
                                  Volatility . . . . . . . . . . . . . . . 452--474
                   Paul Gassiat   Weak Error Rates of Numerical Schemes
                                  for Rough Volatility . . . . . . . . . . 475--496
        Prakash Chakraborty and   
                 Asaf Cohen and   
              Virginia R. Young   Optimal Dividends Under Model
                                  Uncertainty  . . . . . . . . . . . . . . 497--524
                     Hou-Duo Qi   Geometric Characterization of Maximum
                                  Diversification Return Portfolio via
                                  Rao's Quadratic Entropy  . . . . . . . . 525--556
          Bahman Angoshtari and   
            Erhan Bayraktar and   
              Virginia R. Young   Optimal Consumption Under a
                                  Habit-Formation Constraint: The
                                  Deterministic Case . . . . . . . . . . . 557--597
             Fabrizio Lillo and   
             Giulia Livieri and   
              Stefano Marmi and   
              Anton Solomko and   
                 Sandro Vaienti   Analysis of Bank Leverage via Dynamical
                                  Systems and Deep Neural Networks . . . . 598--643
            Tolulope Fadina and   
                   Peng Liu and   
                     Ruodu Wang   One Axiom to Rule Them All: a Minimalist
                                  Axiomatization of Quantiles  . . . . . . 644--662
           Frank Bosserhoff and   
                   Mitja Stadje   Robustness of Delta Hedging in a
                                  Jump-Diffusion Model . . . . . . . . . . 663--703
               Daniel Bartl and   
                Johannes Wiesel   Sensitivity of Multiperiod Optimization
                                  Problems with Respect to the Adapted
                                  Wasserstein Distance . . . . . . . . . . 704--720

SIAM Journal on Financial Mathematics
Volume 14, Number 3, 2023

                  Zhou Yang and   
                 Jing Zhang and   
                      Chao Zhou   Robust Control Problems of BSDEs Coupled
                                  with Value Functions . . . . . . . . . . 721--750
               Rene Carmona and   
                     Laura Leal   Optimal Execution with Quadratic
                                  Variation Inventories  . . . . . . . . . 751--776
           David Landriault and   
                     Bin Li and   
         José M. Pedraza   Optimal Stopping for Exponential Lévy
                                  Models with Weighted Discounting . . . . 777--811
             Mikhail Zhitlukhin   Capital Growth and Survival Strategies
                                  in a Market with Endogenous Prices . . . 812--837
                    Ying Hu and   
                Xiaomin Shi and   
                    Zuo Quan Xu   Constrained Monotone Mean-Variance
                                  Problem with Random Coefficients . . . . 838--854
   Guillermo Alonso Alvarez and   
           Sergey Nadtochiy and   
                  Kevin Webster   Optimal Brokerage Contracts in
                                  Almgren-Chriss Model with Multiple
                                  Clients  . . . . . . . . . . . . . . . . 855--878
                 Luu H. Duc and   
               Jürgen Jost   How Rough Path Lifts Affect Expected
                                  Return and Volatility: a Rough Model
                                  under Transaction Cost . . . . . . . . . 879--909
           Christa Cuchiero and   
              Guido Gazzani and   
             Sara Svaluto-Ferro   Signature-Based Models: Theory and
                                  Calibration  . . . . . . . . . . . . . . 910--957
               Yan Dolinsky and   
                         Or Zuk   Short Communication: Exponential Utility
                                  Maximization in a Discrete Time Gaussian
                                  Framework  . . . . . . . . . . . . . . . SC31--SC41

SIAM Journal on Financial Mathematics
Volume 14, Number 4, 2023

                    Qi Feng and   
                 Jianfeng Zhang   Cubature Method for Stochastic Volterra
                                  Integral Equations . . . . . . . . . . . 959--1003
           Brian (Xin) Ning and   
        Sebastian Jaimungal and   
             Xiaorong Zhang and   
                Maxime Bergeron   Arbitrage-Free Implied Volatility
                                  Surface Generation with Variational
                                  Autoencoders . . . . . . . . . . . . . . 1004--1027
            Erhan Bayraktar and   
                 Asaf Cohen and   
                   April Nellis   A Neural Network Approach to
                                  High-Dimensional Optimal Switching
                                  Problems with Jumps in Energy Markets    1028--1061
           Guillaume Bernis and   
            Matthieu Garcin and   
              Simone Scotti and   
                   Carlo Sgarra   Interest Rates Term Structure Models
                                  Driven by Hawkes Processes . . . . . . . 1062--1079
                 Jianfeng Zhang   Short Communication: Is a Sophisticated
                                  Agent Always a Wise One? . . . . . . . . SC42--SC48