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%%% -*-BibTeX-*-
%%% ====================================================================
%%%  BibTeX-file{
%%%     author          = "Nelson H. F. Beebe",
%%%     version         = "1.28",
%%%     date            = "26 August 2024",
%%%     time            = "08:54:02 MDT",
%%%     filename        = "siamjfinancialmath.bib",
%%%     address         = "University of Utah
%%%                        Department of Mathematics, 110 LCB
%%%                        155 S 1400 E RM 233
%%%                        Salt Lake City, UT 84112-0090
%%%                        USA",
%%%     telephone       = "+1 801 581 5254",
%%%     FAX             = "+1 801 581 4148",
%%%     URL             = "https://www.math.utah.edu/~beebe",
%%%     checksum        = "59780 13554 49007 526303",
%%%     email           = "beebe at math.utah.edu, beebe at acm.org,
%%%                        beebe at computer.org (Internet)",
%%%     codetable       = "ISO/ASCII",
%%%     keywords        = "BibTeX; bibliography; SIAM Journal on Financial
%%%                        Mathematics; SIFIN",
%%%     license         = "public domain",
%%%     supported       = "yes",
%%%     docstring       = "This is a COMPLETE bibliography of publications
%%%                        in the SIAM Journal on Financial Mathematics (CODEN
%%%                        SJFMBJ, ISSN 1945-497X) which began publishing in
%%%                        2010 only in online electronic form.
%%%
%%%                        The journal has a World Wide Web site at
%%%
%%%                            http://epubs.siam.org/sifin
%%%                            http://epubs.siam.org/loi/sjfmbj
%%%                            http://www.siam.org/journals/sifin.php
%%%                            http://scitation.aip.org/journals/doc/SIAMDL-home/jrnls/top.jsp?key=SJFMBJ
%%%
%%%                        with editorial and publication information,
%%%                        and pointers to tables of contents of recent
%%%                        issues (2010--date) at
%%%
%%%                            http://siamdl.aip.org/dbt/dbt.jsp?KEY=SJFMBJ
%%%
%%%                        Bibliography entries below include World-Wide
%%%                        Web URLs to the publisher's Web site whenever
%%%                        possible.
%%%
%%%                        At version 1.28, the COMPLETE year coverage
%%%                        looked like this:
%%%
%%%                             2010 (  35)    2015 (  43)    2020 (  41)
%%%                             2011 (  39)    2016 (  33)    2021 (  56)
%%%                             2012 (  28)    2017 (  31)    2022 (  56)
%%%                             2013 (  33)    2018 (  42)    2023 (  47)
%%%                             2014 (  27)    2019 (  32)    2024 (  23)
%%%
%%%                             Article:        566
%%%
%%%                             Total entries:  566
%%%
%%%                        This bibliography has been derived primarily
%%%                        from information at the publisher Web site.
%%%
%%%                        Spelling has been verified with the UNIX
%%%                        spell and GNU ispell programs using the
%%%                        exception dictionary stored in the companion
%%%                        file with extension .sok.
%%%
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%%%                        as name:year:abbrev, where name is the
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%%%                        year is a 4-digit number, and abbrev is a
%%%                        3-letter condensation of important title
%%%                        words. Citation tags were automatically
%%%                        generated by software developed for the
%%%                        BibNet Project.
%%%
%%%                        In this bibliography, entries are sorted in
%%%                        publication order within each journal,
%%%                        using bibsort -byvolume.
%%%
%%%                        The checksum field above contains a CRC-16
%%%                        checksum as the first value, followed by the
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%%%                        characters.  This is produced by Robert
%%%                        Solovay's checksum utility.",
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%%% ====================================================================
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%%% ====================================================================
%%% Acknowledgement abbreviations:
@String{ack-nhfb = "Nelson H. F. Beebe,
                    University of Utah,
                    Department of Mathematics, 110 LCB,
                    155 S 1400 E RM 233,
                    Salt Lake City, UT 84112-0090, USA,
                    Tel: +1 801 581 5254,
                    FAX: +1 801 581 4148,
                    e-mail: \path|beebe@math.utah.edu|,
                            \path|beebe@acm.org|,
                            \path|beebe@computer.org| (Internet),
                    URL: \path|https://www.math.utah.edu/~beebe/|"}

%%% ====================================================================
%%% Journal abbreviations:
@String{j-SIAM-J-FINANCIAL-MATH = "SIAM Journal on Financial Mathematics"}

%%% ====================================================================
%%% Bibliography entries.
@Article{Carmona:2010:MEC,
  author =       "Ren{\'e} Carmona and Ronnie Sircar",
  title =        "Message From the {Editors-in-Chief}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "1--1",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Carr:2010:LVE,
  author =       "Peter Carr and Dilip B. Madan",
  title =        "Local Volatility Enhanced by a Jump to Default",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "2--15",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090750731",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "91B70 (60J75)",
  MRnumber =     "MR2592562",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Kardaras:2010:MEM,
  author =       "Constantinos Kardaras and Eckhard Platen",
  title =        "Minimizing the expected market time to reach a certain
                 wealth level",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "16--29",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/080741124",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "91G10 (60H30)",
  MRnumber =     "MR2592563",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Liang:2010:OCR,
  author =       "Jin Liang and Bei Hu and Lishang Jiang",
  title =        "Optimal convergence rate of the binomial tree scheme
                 for {American} options with jump diffusion and their
                 free boundaries",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "30--65",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090746239",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "65K15 (35R35 35R60 91G80)",
  MRnumber =     "MR2592564",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Hamel:2010:DSV,
  author =       "Andreas H. Hamel and Frank Heyde",
  title =        "Duality for Set-Valued Measures of Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "66--95",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/080743494",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "91B30 (26E25)",
  MRnumber =     "MR2592565",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Dai:2010:CTM,
  author =       "Min Dai and Zuo Quan Xu and Xun Yu Zhou",
  title =        "Continuous-time {Markowitz}'s model with transaction
                 costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "96--125",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/080742889",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "93E20 (49L20 91G10)",
  MRnumber =     "MR2592566",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 21, 2010",
}

@Article{Feng:2010:SMA,
  author =       "Jin Feng and Martin Forde and Jean-Pierre Fouque",
  title =        "Short-maturity asymptotics for a fast mean-reverting
                 {Heston} stochastic volatility model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "126--141",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090745465",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "91B70 (60F10 60H30)",
  MRnumber =     "MR2592567",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 03, 2010",
}

@Article{Hurd:2010:FTM,
  author =       "T. R. Hurd and Zhuowei Zhou",
  title =        "A {Fourier} transform method for spread option
                 pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "142--157",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090750421",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  MRclass =      "65T50 (35K91 91G20)",
  MRnumber =     "MR2592568",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 03, 2010",
}

@Article{Pennanen:2010:HCP,
  author =       "Teemu Pennanen and Irina Penner",
  title =        "Hedging of Claims with Physical Delivery under Convex
                 Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "158--178",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090754182",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 17, 2010",
}

@Article{Kohatsu-Higa:2010:WKB,
  author =       "A. Kohatsu-Higa and S. Ortiz-Latorre",
  title =        "Weak {Kyle}--Back Equilibrium Models for {Max} and
                 {ArgMax}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "179--211",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/080739768",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 17, 2010",
}

@Article{Goodman:2010:CFR,
  author =       "Victor Goodman and Kyounghee Kim",
  title =        "Common Forward Rate Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "212--229",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090750676",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 19, 2010",
}

@Article{Bardi:2010:CVM,
  author =       "Martino Bardi and Annalisa Cesaroni and Luigi Manca",
  title =        "Convergence by Viscosity Methods in Multiscale
                 Financial Models with Stochastic Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "230--265",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090748147",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 19, 2010",
}

@Article{Zariphopoulou:2010:MIR,
  author =       "Thaleia Zariphopoulou and Gordan {\v{Z}}itkovi{\'c}",
  title =        "Maturity-Independent Risk Measures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "266--288",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/080739732",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 24, 2010",
}

@Article{Benhamou:2010:TDH,
  author =       "E. Benhamou and E. Gobet and M. Miri",
  title =        "Time Dependent {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "289--325",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090753814",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "April 21, 2010",
}

@Article{Musiela:2010:PCU,
  author =       "M. Musiela and T. Zariphopoulou",
  title =        "Portfolio Choice under Space-Time Monotone Performance
                 Criteria",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "326--365",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 26, 2010",
}

@Article{BenTahar:2010:MPT,
  author =       "Imen {Ben Tahar} and H. Mete Soner and Nizar Touzi",
  title =        "{Merton} Problem with Taxes: Characterization,
                 Computation, and Approximation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "366--395",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 26, 2010",
}

@Article{Molchanov:2010:MEP,
  author =       "Ilya Molchanov and Michael Schmutz",
  title =        "Multivariate Extension of Put-Call Symmetry",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "396--426",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 26, 2010",
}

@Article{Robert:2010:MHE,
  author =       "Christian Y. Robert and Mathieu Rosenbaum",
  title =        "On the Microstructural Hedging Error",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "427--453",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "June 03, 2010",
}

@Article{Hepperger:2010:OPH,
  author =       "Peter Hepperger",
  title =        "Option Pricing in {Hilbert} Space-Valued
                 Jump-Diffusion Models Using Partial
                 Integro-Differential Equations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "454--489",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 01, 2010",
}

@Article{Alfonsi:2010:OTE,
  author =       "Aur{\'e}lien Alfonsi and Alexander Schied",
  title =        "Optimal Trade Execution and Absence of Price
                 Manipulations in Limit Order Book Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "490--522",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 01, 2010",
}

@Article{Filipovic:2010:TSM,
  author =       "Damir Filipovi{\'c} and Stefan Tappe and Josef
                 Teichmann",
  title =        "Term Structure Models Driven by {Wiener} Processes and
                 {Poisson} Measures: Existence and Positivity",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "523--554",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 01, 2010",
}

@Article{Cont:2010:DII,
  author =       "Rama Cont and Romain Deguest and Yu Hang Kan",
  title =        "Default Intensities Implied by {CDO} Spreads:
                 Inversion Formula and Model Calibration",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "555--585",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 08, 2010",
}

@Article{Avellaneda:2010:PDL,
  author =       "Marco Avellaneda and Stanley Zhang",
  title =        "Path-Dependence of Leveraged {ETF} Returns",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "586--603",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 08, 2010",
}

@Article{Rogers:2010:DVH,
  author =       "L. C. G. Rogers",
  title =        "Dual Valuation and Hedging of {Bermudan} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "604--608",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 15, 2010",
}

@Article{Gulisashvili:2010:AFE,
  author =       "Archil Gulisashvili",
  title =        "Asymptotic Formulas with Error Estimates for Call
                 Pricing Functions and the Implied Volatility at Extreme
                 Strikes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "609--641",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 17, 2010",
}

@Article{Errais:2010:APP,
  author =       "Eymen Errais and Kay Giesecke and Lisa R. Goldberg",
  title =        "Affine Point Processes and Portfolio Credit Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "642--665",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 16, 2010",
}

@Article{Bensoussan:2010:ROG,
  author =       "Alain Bensoussan and J. David Diltz and SingRu Hoe",
  title =        "Real Options Games in Complete and Incomplete Markets
                 with Several Decision Makers",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "666--728",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 29, 2010",
}

@Article{Hinz:2010:SCC,
  author =       "Juri Hinz and Max Fehr",
  title =        "Storage Costs in Commodity Option Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "729--751",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 12, 2010",
}

@Article{Putzig:2010:OAF,
  author =       "L. Putzig and D. Becherer and I. Horenko",
  title =        "Optimal Allocation of a Futures Portfolio Utilizing
                 Numerical Market Phase Detection",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "752--779",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 21, 2010",
}

@Article{Dai:2010:TFT,
  author =       "M. Dai and Q. Zhang and Q. J. Zhu",
  title =        "Trend Following Trading under a Regime Switching
                 Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "780--810",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 21, 2010",
}

@Article{Kratschmer:2010:ROS,
  author =       "Volker Kr{\"a}tschmer and John Schoenmakers",
  title =        "Representations for Optimal Stopping under Dynamic
                 Monetary Utility Functionals",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "811--832",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 21, 2010",
}

@Article{Corielli:2010:PAD,
  author =       "Francesco Corielli and Paolo Foschi and Andrea
                 Pascucci",
  title =        "Parametrix Approximation of Diffusion Transition
                 Densities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "833--867",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "November 11, 2010",
}

@Article{Giesecke:2010:EES,
  author =       "K. Giesecke and H. Kakavand and M. Mousavi and H.
                 Takada",
  title =        "Exact and Efficient Simulation of Correlated
                 Defaults",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "868--896",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090778055",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p868_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "November 30, 2010",
}

@Article{Kharroubi:2010:OPL,
  author =       "Idris Kharroubi and Huy{\^e}n Pham",
  title =        "Optimal Portfolio Liquidation with Execution Cost and
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "897--931",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09076372X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p897_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "December 07, 2010",
}

@Article{Park:2010:PSU,
  author =       "Sungwoo Park and Dianne P. O'Leary",
  title =        "Portfolio Selection Using {Tikhonov} Filtering to
                 Estimate the Covariance Matrix",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "1",
  number =       "1",
  pages =        "932--961",
  month =        "????",
  year =         "2010",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090749372",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v1/i1/p932_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "December 14, 2010",
}

@Article{Arai:2011:GDB,
  author =       "Takuji Arai",
  title =        "Good Deal Bounds Induced by Shortfall Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "1--21",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090769120",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 11, 2011",
}

@Article{Davis:2011:JDR,
  author =       "Mark Davis and S{\'e}bastien Lleo",
  title =        "Jump-Diffusion Risk-Sensitive Asset Management {I}:
                 Diffusion Factor Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "22--54",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090760180",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p22_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 13, 2011",
}

@Article{Broden:2011:CHO,
  author =       "Mats Brod{\'e}n and Magnus Wiktorsson",
  title =        "On the Convergence of Higher Order Hedging Schemes:
                 The Delta--Gamma Case",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "55--78",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090779905",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p55_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 20, 2011",
}

@Article{Levendorskii:2011:CPS,
  author =       "Sergei Levendorskii",
  title =        "Convergence of Price and Sensitivities in {Carr}'s
                 Randomization Approximation Globally and Near Barrier",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "79--111",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100788331",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p79_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 20, 2011",
}

@Article{Cont:2011:DHP,
  author =       "Rama Cont and Yu Hang Kan",
  title =        "Dynamic Hedging of Portfolio Credit Derivatives",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "112--140",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090750937",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p112_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 01, 2011",
}

@Article{Cox:2011:RHD,
  author =       "A. M. G. Cox and Jan Obloj",
  title =        "Robust Hedging of Double Touch Barrier Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "141--182",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090777487",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p141_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "February 03, 2011",
}

@Article{Predoiu:2011:OEG,
  author =       "Silviu Predoiu and Gennady Shaikhet and Steven
                 Shreve",
  title =        "Optimal Execution in a General One-Sided Limit-Order
                 Book",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "183--212",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/10078534X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p183_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 09, 2011",
}

@Article{Beiglbock:2011:MVO,
  author =       "Mathias Beiglb{\"o}ck and Peter Friz and Stephan
                 Sturm",
  title =        "Is the Minimum Value of an Option on Variance
                 Generated by Local Volatility?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "213--220",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100800166",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p213_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 09, 2011",
}

@Article{Fouque:2011:FMR,
  author =       "Jean-Pierre Fouque and Matthew J. Lorig",
  title =        "A Fast Mean-Reverting Correction to {Heston}'s
                 Stochastic Volatility Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "221--254",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090761458",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p221_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 09, 2011",
}

@Article{Grzelak:2011:HMS,
  author =       "Lech A. Grzelak and Cornelis W. Oosterlee",
  title =        "On the {Heston} Model with Stochastic Interest Rates",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "255--286",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090756119",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p255_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 15, 2011",
}

@Article{Cont:2011:RBO,
  author =       "Rama Cont and Nicolas Lantos and Olivier Pironneau",
  title =        "A Reduced Basis for Option Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "287--316",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/10079851X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p287_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "March 29, 2011",
}

@Article{Jena:2011:AOM,
  author =       "Rudra P. Jena and Peter Tankov",
  title =        "Arbitrage Opportunities in Misspecified Stochastic
                 Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "317--341",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100786678",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p317_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 24, 2011",
}

@Article{Abergel:2011:NLR,
  author =       "Fr{\'e}d{\'e}ric Abergel and Nicolas Millot",
  title =        "Nonquadratic Local Risk-Minimization for Hedging
                 Contingent Claims in Incomplete Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "342--356",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100803079",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p342_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 24, 2011",
}

@Article{Frittelli:2011:DRQ,
  author =       "Marco Frittelli and Marco Maggis",
  title =        "Dual Representation of Quasi-convex Conditional Maps",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "357--382",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09078033X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p357_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 24, 2011",
}

@Article{Fusai:2011:PDM,
  author =       "Gianluca Fusai and Daniele Marazzina and Marina
                 Marena",
  title =        "Pricing Discretely Monitored {Asian} Options by
                 Maturity Randomization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "383--403",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09076115X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p383_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "June 07, 2011",
}

@Article{Bouchard:2011:OCT,
  author =       "Bruno Bouchard and Ngoc-Minh Dang and Charles-Albert
                 Lehalle",
  title =        "Optimal Control of Trading Algorithms: a General
                 Impulse Control Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "404--438",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090777293",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p404_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "June 07, 2011",
}

@Article{Fang:2011:FBV,
  author =       "Fang Fang and Cornelis W. Oosterlee",
  title =        "A {Fourier}-Based Valuation Method for {Bermudan} and
                 Barrier Options under {Heston}'s Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "439--463",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100794158",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p439_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 19, 2011",
}

@Article{Jaimungal:2011:LBC,
  author =       "Sebastian Jaimungal and Vladimir Surkov",
  title =        "{L{\'e}vy}-Based Cross-Commodity Models and Derivative
                 Valuation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "464--487",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100791609",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p464_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "July 21, 2011",
}

@Article{Ludkovski:2011:SSG,
  author =       "Michael Ludkovski",
  title =        "Stochastic Switching Games and Duopolistic Competition
                 in Emissions Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "488--511",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100784977",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p488_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 09, 2011",
}

@Article{Goodman:2011:ORT,
  author =       "Jonathan Goodman and Daniel N. Ostrov",
  title =        "An Option to Reduce Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "512--537",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100798053",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p512_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 09, 2011",
}

@Article{Jourdain:2011:REB,
  author =       "B. Jourdain and M. H. Vellekoop",
  title =        "Regularity of the Exercise Boundary for {American} Put
                 Options on Assets with Discrete Dividends",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "538--561",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100800889",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p538_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 16, 2011",
}

@Article{Bender:2011:PDP,
  author =       "Christian Bender",
  title =        "Primal and Dual Pricing of Multiple Exercise Options
                 in Continuous Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "562--586",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09077076X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p562_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 18, 2011",
}

@Article{DelMoral:2011:RSE,
  author =       "Pierre {Del Moral} and Peng Hu and Nadia Oudjane and
                 Bruno R{\'e}millard",
  title =        "On the Robustness of the {Snell} Envelope",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "587--626",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100798016",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p587_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "August 25, 2011",
}

@Article{Bush:2011:SEE,
  author =       "N. Bush and B. M. Hambly and H. Haworth and L. Jin and
                 C. Reisinger",
  title =        "Stochastic Evolution Equations in Portfolio Credit
                 Modelling",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "627--664",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100796777",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p627_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 15, 2011",
}

@Article{Fouque:2011:SDO,
  author =       "Jean-Pierre Fouque and Sebastian Jaimungal and Matthew
                 J. Lorig",
  title =        "Spectral Decomposition of Option Prices in Fast
                 Mean-Reverting Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "665--691",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100803614",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p665_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 15, 2011",
}

@Article{Huang:2011:SAE,
  author =       "Xinzheng Huang and Cornelis W. Oosterlee",
  title =        "Saddlepoint Approximations for Expectations and an
                 Application to {CDO} Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "692--714",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100784084",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p692_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 22, 2011",
}

@Article{Wu:2011:MRS,
  author =       "Zhijian Wu and Chunhui Yu and Xiaohua Zheng",
  title =        "Managing Risk with Short-Term Futures Contracts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "715--726",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100782437",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p715_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 22, 2011",
}

@Article{Bian:2011:SVF,
  author =       "Baojun Bian and Sheng Miao and Harry Zheng",
  title =        "Smooth Value Functions for a Class of Nonsmooth
                 Utility Maximization Problems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "727--747",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100793396",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p727_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 22, 2011",
}

@Article{Dmitrasinovic-Vidovic:2011:OPM,
  author =       "Gordana Dmitrasinovi{\'c}-Vidovi{\'c} and Antony
                 Ware",
  title =        "Optimal Portfolios of Mean-Reverting Instruments",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "748--767",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100787714",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p748_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "September 29, 2011",
}

@Article{Leung:2011:OTP,
  author =       "Tim Leung and Mike Ludkovski",
  title =        "Optimal Timing to Purchase Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "768--793",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100809386",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p768_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 11, 2011",
}

@Article{Carr:2011:SHU,
  author =       "Peter Carr and Sergey Nadtochiy",
  title =        "Static Hedging under Time-Homogeneous Diffusions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "794--838",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100818303",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p794_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 11, 2011",
}

@Article{Jarrow:2011:HDA,
  author =       "Robert Jarrow and Younes Kchia and Philip Protter",
  title =        "How to Detect an Asset Bubble",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "839--865",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/10079673X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p839_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 12, 2011",
}

@Article{Dia:2011:CCB,
  author =       "El Hadj Aly Dia and Damien Lamberton",
  title =        "Continuity Correction for Barrier Options in
                 Jump-Diffusion Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "866--900",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100817553",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p866_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 18, 2011",
}

@Article{Cheng:2011:CFA,
  author =       "Wen Cheng and Nick Costanzino and John Liechty and
                 Anna Mazzucato and Victor Nistor",
  title =        "Closed-Form Asymptotics and Numerical Approximations
                 of {$1$D} Parabolic Equations with Applications to
                 Option Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "901--934",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100796832",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p901_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 25, 2011",
}

@Article{Jordan:2011:AAD,
  author =       "Richard Jordan and Charles Tier",
  title =        "Asymptotic Approximations to Deterministic and
                 Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "935--964",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100791890",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p935_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "October 27, 2011",
}

@Article{Johnson:2011:BBA,
  author =       "Paul V. Johnson and Nicholas J. Sharp and Peter W.
                 Duck and David P. Newton",
  title =        "A Bridge between {American} and {European} Options:
                 The ``{Ameripean}'' Delayed-Exercise Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "965--988",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09077730X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p965_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "November 03, 2011",
}

@Article{Bernhart:2011:FDA,
  author =       "Marie Bernhart and Peter Tankov and Xavier Warin",
  title =        "A Finite-Dimensional Approximation for Pricing Moving
                 Average Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "989--1013",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100815566",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p989_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "November 15, 2011",
}

@Article{Faidi:2011:MRU,
  author =       "Wahid Faidi and Anis Matoussi and Mohamed Mnif",
  title =        "Maximization of Recursive Utilities: a Dynamic Maximum
                 Principle Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "1014--1041",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100814354",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1014_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "November 29, 2011",
}

@Article{Laruelle:2011:OSO,
  author =       "Sophie Laruelle and Charles-Albert Lehalle and Gilles
                 Pag{\`e}s",
  title =        "Optimal Split of Orders Across Liquidity Pools: a
                 Stochastic Algorithm Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "2",
  number =       "1",
  pages =        "1042--1076",
  month =        "????",
  year =         "2011",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090780596",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p1042_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "December 20, 2011",
}

@Article{Ekeland:2012:TCP,
  author =       "Ivar Ekeland and Oumar Mbodji and Traian A. Pirvu",
  title =        "Time-Consistent Portfolio Management",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "1--32",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100810034",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p1_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 03, 2012",
}

@Article{Figueroa-Lopez:2012:SMS,
  author =       "Jos{\'e} E. Figueroa-L{\'o}pez and Martin Forde",
  title =        "The Small-Maturity Smile for Exponential {L{\'e}vy}
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "33--65",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110820658",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p33_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 17, 2012",
}

@Article{Muhle-Karbe:2012:OPM,
  author =       "Johannes Muhle-Karbe and Oliver Pfaffel and Robert
                 Stelzer",
  title =        "Option Pricing in Multivariate Stochastic Volatility
                 Models of {OU} Type",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "66--94",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100803687",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p66_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 17, 2012",
}

@Article{Takahashi:2012:AEP,
  author =       "Akihiko Takahashi and Toshihiro Yamada",
  title =        "An Asymptotic Expansion with Push-Down of {Malliavin}
                 Weights",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "95--136",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100807624",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p95_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 24, 2012",
}

@Article{Glasserman:2012:QTA,
  author =       "Paul Glasserman and Sira Suchintabandid",
  title =        "Quadratic Transform Approximation for {CDO} Pricing in
                 Multifactor Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "137--162",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110827399",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p137_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 26, 2012",
}

@Article{Almgren:2012:OTS,
  author =       "Robert Almgren",
  title =        "Optimal Trading with Stochastic Liquidity and
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "163--181",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090763470",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p163_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 31, 2012",
}

@Article{Carr:2012:ECM,
  author =       "Peter Carr and Laurent Cousot",
  title =        "Explicit Constructions of Martingales Calibrated to
                 Given Implied Volatility Smiles",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "182--214",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100809933",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "http://epubs.siam.org/sifin/resource/1/sjfmbj/v3/i1/p182_s1",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 31, 2012",
}

@Article{Howison:2012:AAA,
  author =       "Sam Howison",
  title =        "Asymptotic Approximations for {Asian}, {European}, and
                 {American} Options with Discrete Averaging or Discrete
                 Dividend\slash Coupon Payments",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "215--241",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090771636",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Campi:2012:WIT,
  author =       "L. Campi and M. {Del Vigna}",
  title =        "Weak Insider Trading and Behavioral Finance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "242--279",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110824693",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Cheridito:2012:PCS,
  author =       "Patrick Cheridito and Ashkan Nikeghbali and Eckhard
                 Platen",
  title =        "Processes of Class Sigma, Last Passage Times, and
                 Drawdowns",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "280--303",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/09077878X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Bauerle:2012:RIP,
  author =       "Nicole B{\"a}uerle and Sebastian P. Urban and Luitgard
                 A. M. Veraart",
  title =        "The Relaxed Investor with Partial Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "304--327",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100813646",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Cheridito:2012:PHA,
  author =       "Patrick Cheridito and Alexander Wugalter",
  title =        "Pricing and Hedging in Affine Models with Possibility
                 of Default",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "328--350",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100816730",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Bayraktar:2012:VES,
  author =       "Erhan Bayraktar and Constantinos Kardaras and Hao
                 Xing",
  title =        "Valuation Equations for Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "351--373",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110842302",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Rodriguez:2012:EAD,
  author =       "J. Orozco Rodriguez and F. Santosa",
  title =        "Estimation of Asset Distributions from Option Prices:
                 Analysis and Regularization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "374--401",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100813245",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Filipovic:2012:ACR,
  author =       "Damir Filipovi{\'c} and Michael Kupper and Nicolas
                 Vogelpoth",
  title =        "Approaches to Conditional Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "402--432",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090773076",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Bichuch:2012:AAO,
  author =       "Maxim Bichuch",
  title =        "Asymptotic Analysis for Optimal Investment in Finite
                 Time with Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "433--458",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100808046",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Reisinger:2012:UPI,
  author =       "C. Reisinger and J. H. Witte",
  title =        "On the Use of Policy Iteration as an Easy Way of
                 Pricing {American} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "459--478",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110823328",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Abbas-Turki:2012:AOM,
  author =       "L. A. Abbas-Turki and B. Lapeyre",
  title =        "{American} Options by {Malliavin} Calculus and
                 Nonparametric Variance and Bias Reduction Methods",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "479--510",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/11083890X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Alfonsi:2012:OBR,
  author =       "Aur{\'e}lien Alfonsi and Alexander Schied and Alla
                 Slynko",
  title =        "Order Book Resilience, Price Manipulation, and the
                 Positive Portfolio Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "511--533",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110822098",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Crisan:2012:SBS,
  author =       "D. Crisan and K. Manolarakis",
  title =        "Solving Backward Stochastic Differential Equations
                 Using the Cubature Method: Application to Nonlinear
                 Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "534--571",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090765766",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Giles:2012:SFD,
  author =       "Michael B. Giles and Christoph Reisinger",
  title =        "Stochastic Finite Differences and Multilevel {Monte
                 Carlo} for a Class of {SPDEs} in Finance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "572--592",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110841916",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Beveridge:2012:ISD,
  author =       "Christopher Beveridge and Mark Joshi",
  title =        "Interpolation Schemes in the Displaced-Diffusion
                 {LIBOR} Market Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "593--604",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100788008",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Capponi:2012:VAC,
  author =       "Agostino Capponi and Jaksa Cvitani{\'c} and T{\"u}rkay
                 Yolcu",
  title =        "A Variational Approach to Contracting under Imperfect
                 Observations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "605--638",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110859075",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Bauer:2012:MFS,
  author =       "Daniel Bauer and Fred Espen Benth and R{\"u}diger
                 Kiesel",
  title =        "Modeling the Forward Surface of Mortality",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "639--666",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100818261",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Bensoussan:2012:TTP,
  author =       "Alain Bensoussan and ZhongFeng Yan and G. Yin",
  title =        "Threshold-Type Policies for Real Options Using
                 Regime-Switching Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "667--689",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110833300",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Forde:2012:STS,
  author =       "Martin Forde and Antoine Jacquier and Roger Lee",
  title =        "The Small-Time Smile and Term Structure of Implied
                 Volatility under the {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "690--708",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110830241",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Howison:2012:RNP,
  author =       "Sam Howison and Daniel Schwarz",
  title =        "Risk-Neutral Pricing of Financial Instruments in
                 Emission Markets: a Structural Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "709--739",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100815219",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:07:03 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Gueant:2012:OPL,
  author =       "Olivier Gu{\'e}ant and Charles-Albert Lehalle and
                 Joaquin Fernandez-Tapia",
  title =        "Optimal Portfolio Liquidation with Limit Orders",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "3",
  number =       "1",
  pages =        "740--764",
  month =        "????",
  year =         "2012",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110850475",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:07:03 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2012",
}

@Article{Cont:2013:PDM,
  author =       "Rama Cont and Adrien de Larrard",
  title =        "Price Dynamics in a {Markovian} Limit Order Market",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "1--25",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110856605",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Bichuch:2013:UMT,
  author =       "Maxim Bichuch and Steven Shreve",
  title =        "Utility Maximization Trading Two Futures with
                 Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "26--85",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110853649",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Schoenmakers:2013:ODM,
  author =       "John Schoenmakers and Jianing Zhang and Junbo Huang",
  title =        "Optimal Dual Martingales, Their Analysis, and
                 Application to New Algorithms for {Bermudan} Products",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "86--116",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110832513",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Mocha:2013:SCU,
  author =       "Markus Mocha and Nicholas Westray",
  title =        "The Stability of the Constrained Utility Maximization
                 Problem: a {BSDE} Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "117--150",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120862016",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Garnier:2013:LDM,
  author =       "Josselin Garnier and George Papanicolaou and Tzu-Wei
                 Yang",
  title =        "Large Deviations for a Mean Field Model of Systemic
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "151--184",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/12087387X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Carr:2013:WQN,
  author =       "Peter Carr and Travis Fisher and Johannes Ruf",
  title =        "Why Are Quadratic Normal Volatility Models
                 Analytically Tractable?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "185--202",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120871973",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Liu:2013:PSS,
  author =       "Ren Liu and Johannes Muhle-Karbe",
  title =        "Portfolio Selection with Small Transaction Costs and
                 Binding Portfolio Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "203--227",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120885036",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Biagini:2013:BGL,
  author =       "Sara Biagini and Mustafa {\c{C}}. Pinar",
  title =        "The Best Gain-Loss Ratio is a Poor Performance
                 Measure",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "228--242",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120866774",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Biagini:2013:RML,
  author =       "Francesca Biagini and Irene Schreiber",
  title =        "Risk-Minimization for Life Insurance Liabilities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "243--264",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110856836",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Pagliarani:2013:AEL,
  author =       "Stefano Pagliarani and Andrea Pascucci and Candia
                 Riga",
  title =        "Adjoint Expansions in Local {L{\'e}vy} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "265--296",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110858732",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Chevalier:2013:ODI,
  author =       "Etienne Chevalier and Vathana Ly Vath and Simone
                 Scotti",
  title =        "An Optimal Dividend and Investment Control Problem
                 under Debt Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "297--326",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120866816",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Achtsis:2013:CSB,
  author =       "Nico Achtsis and Ronald Cools and Dirk Nuyens",
  title =        "Conditional Sampling for Barrier Option Pricing under
                 the {LT} Method",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "327--352",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110855909",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Bernard:2013:PHC,
  author =       "Carole Bernard and Wenbo V. Li",
  title =        "Pricing and Hedging of {Cliquet} Options and Locally
                 Capped Contracts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "353--371",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/100818157",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Feng:2013:IAC,
  author =       "Liming Feng and Xiong Lin",
  title =        "Inverting Analytic Characteristic Functions and
                 Financial Applications",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "372--398",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110830319",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Zhang:2013:EPE,
  author =       "B. Zhang and C. W. Oosterlee",
  title =        "Efficient Pricing of {European}-Style {Asian} Options
                 under Exponential {L{\'e}vy} Processes Based on
                 {Fourier} Cosine Expansions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "399--426",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110853339",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Ware:2013:ASL,
  author =       "Antony Ware",
  title =        "Accurate Semi-{Lagrangian} Time Stepping for
                 Stochastic Optimal Control Problems with Application to
                 the Valuation of Natural Gas Storage",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "427--451",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110853546",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Sekine:2013:LTO,
  author =       "Jun Sekine",
  title =        "Long-Term Optimal Investment with a Generalized
                 Drawdown Constraint",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "452--473",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110830101",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Feng:2013:PBO,
  author =       "Liming Feng and Xiong Lin",
  title =        "Pricing {Bermudan} Options in {L{\'e}vy} Process
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "474--493",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120881063",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Nadtochiy:2013:ASS,
  author =       "Sergey Nadtochiy and Thaleia Zariphopoulou",
  title =        "An Approximation {Scheme} for Solution to the Optimal
                 Investment Problem in Incomplete Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "494--538",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120869080",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Howison:2013:ENP,
  author =       "S. D. Howison and C. Reisinger and J. H. Witte",
  title =        "The Effect of Nonsmooth Payoffs on the Penalty
                 Approximation of {American} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "539--574",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/12087743X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Dorsek:2013:ESC,
  author =       "Philipp D{\"o}rsek and Josef Teichmann",
  title =        "Efficient Simulation and Calibration of General {HJM}
                 Models by Splitting Schemes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "575--598",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110860173",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Dassios:2013:POP,
  author =       "Angelos Dassios and Jia Wei Lim",
  title =        "{Parisian} Option Pricing: a Recursive Solution for
                 the Density of the {Parisian} Stopping Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "599--615",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120875466",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Eberlein:2013:DTM,
  author =       "Ernst Eberlein and Zorana Grbac and Thorsten
                 Schmidt",
  title =        "Discrete Tenor Models for Credit Risky Portfolios
                 Driven by Time-Inhomogeneous {L{\'e}vy} Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "616--649",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110827132",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Monnier:2013:RND,
  author =       "Jean-Baptiste Monnier",
  title =        "Risk-Neutral Density Recovery via Spectral Analysis",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "650--667",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110840340",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Ankirchner:2013:HFP,
  author =       "Stefan Ankirchner and Peter Kratz and Thomas Kruse",
  title =        "Hedging Forward Positions: Basis Risk Versus Liquidity
                 Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "668--696",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130907045",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Nicole:2013:ECB,
  author =       "El Karoui Nicole and Mrad Mohamed",
  title =        "An Exact Connection between Two Solvable {SDEs} and a
                 Nonlinear Utility Stochastic {PDE}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "697--736",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/10081143X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{ElKaroui:2013:RRH,
  author =       "Noureddine {El Karoui}",
  title =        "On the Realized Risk of High-Dimensional {Markowitz}
                 Portfolios",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "737--783",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/090774926",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Fouque:2013:SMI,
  author =       "Jean-Pierre Fouque and Tomoyuki Ichiba",
  title =        "Stability in a Model of Interbank Lending",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "784--803",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110841096",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Jacquier:2013:SCL,
  author =       "Antoine Jacquier and Matthew Lorig",
  title =        "The Smile of Certain {L{\'e}vy}-Type Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "804--830",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/12090246X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Jacquier:2013:SMH,
  author =       "Antoine Jacquier and Patrick Roome",
  title =        "The Small-Maturity {Heston} Forward Smile",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "831--856",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/13091703X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Chen:2013:COS,
  author =       "Xinfu Chen and Min Dai",
  title =        "Characterization of Optimal Strategy for Multiasset
                 Investment and Consumption with Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "857--883",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120898991",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Monoyios:2013:MCM,
  author =       "Michael Monoyios",
  title =        "{Malliavin} Calculus Method for Asymptotic Expansion
                 of Dual Control Problems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "884--915",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120892441",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Papanicolaou:2013:DRD,
  author =       "Andrew Papanicolaou",
  title =        "Dimension Reduction in Discrete Time Portfolio
                 Optimization with Partial Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "4",
  number =       "1",
  pages =        "916--960",
  month =        "????",
  year =         "2013",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120897596",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2013",
}

@Article{Griessler:2014:COD,
  author =       "Claus Griessler and Martin Keller-Ressel",
  title =        "Convex Order of Discrete, Continuous, and Predictable
                 Quadratic Variation and Applications to Options on
                 Variance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "1--19",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120893690",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Bayraktar:2014:CSP,
  author =       "Erhan Bayraktar and Zhou Zhou",
  title =        "On Controller-Stopper Problems with Jumps and Their
                 Applications to Indifference Pricing of {American}
                 Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "20--49",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120903336",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Bressan:2014:DBS,
  author =       "Alberto Bressan and Giancarlo Facchi",
  title =        "Discrete Bidding Strategies for a Random Incoming
                 Order",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "50--70",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130917685",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Benth:2014:ALS,
  author =       "Fred Espen Benth and Heidar Eyjolfsson and Almut E. D.
                 Veraart",
  title =        "Approximating {L{\'e}vy} Semistationary Processes via
                 {Fourier} Methods in the Context of Power Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "71--98",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130905320",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Zheng:2014:MBA,
  author =       "Ban Zheng and Fran{\c{c}}ois Roueff and
                 Fr{\'e}d{\'e}ric Abergel",
  title =        "Modelling Bid and Ask Prices Using Constrained
                 {Hawkes} Processes: Ergodicity and Scaling Limit",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "99--136",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130912980",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Bank:2014:OOS,
  author =       "Peter Bank and Antje Fruth",
  title =        "Optimal Order Scheduling for Deterministic Liquidity
                 Patterns",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "137--152",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120897511",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Bensoussan:2014:TCP,
  author =       "A. Bensoussan and K. C. Wong and S. C. P. Yam and S.
                 P. Yung",
  title =        "Time-Consistent Portfolio Selection under
                 Short-Selling Prohibition: From Discrete to Continuous
                 Setting",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "153--190",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130914139",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Aid:2014:PNM,
  author =       "Ren{\'e} A{\"\i}d and Luciano Campi and Nicolas
                 Langren{\'e} and Huy{\^e}n Pham",
  title =        "A Probabilistic Numerical Method for Optimal Multiple
                 Switching Problems in High Dimension",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "191--231",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120897298",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Li:2014:DBS,
  author =       "Xiao Li and Michael D. Lipkin and Richard B. Sowers",
  title =        "Dynamics of Bankrupt {Stocks}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "232--257",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120872206",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Czichowsky:2014:TCS,
  author =       "Christoph Czichowsky and Johannes Muhle-Karbe and
                 Walter Schachermayer",
  title =        "Transaction Costs, Shadow Prices, and Duality in
                 Discrete Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "258--277",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130925864",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Horst:2014:WCS,
  author =       "Ulrich Horst and Felix Naujokat",
  title =        "When to Cross the Spread? {Trading} in Two-Sided Limit
                 Order Books",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "278--315",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110849341",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Haugh:2014:DPE,
  author =       "Martin Haugh and Chun Wang",
  title =        "Dynamic Portfolio Execution and Information
                 Relaxations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "316--359",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120896761",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Fouque:2014:AOP,
  author =       "Jean-Pierre Fouque and Bin Ren",
  title =        "Approximation for Option Prices under Uncertain
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "360--383",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130908385",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Frikha:2014:SRM,
  author =       "N. Frikha",
  title =        "Shortfall Risk Minimization in Discrete Time Financial
                 Market Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "384--414",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120903142",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Cartea:2014:BLS,
  author =       "{\'A}lvaro Cartea and Sebastian Jaimungal and Jason
                 Ricci",
  title =        "Buy Low, Sell High: a High Frequency Trading
                 Perspective",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "415--444",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130911196",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Gueant:2014:VEG,
  author =       "Olivier Gu{\'e}ant and Guillaume Royer",
  title =        "{VWAP} Execution and Guaranteed {VWAP}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "445--471",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130924676",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Strong:2014:GFG,
  author =       "Winslow Strong",
  title =        "Generalizations of Functionally Generated Portfolios
                 with Applications to Statistical Arbitrage",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "472--492",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130907458",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Gnoatto:2014:AMM,
  author =       "Alessandro Gnoatto and Martino Grasselli",
  title =        "An Affine Multicurrency Model with Stochastic
                 Volatility and Stochastic Interest Rates",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "493--531",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130922902",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Milstein:2014:CMS,
  author =       "G. N. Milstein and V. Spokoiny",
  title =        "Construction of Mean-Self-Financing Strategies for
                 {European} Options under Regime-Switching",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "532--556",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120896566",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Montes:2014:MCV,
  author =       "Juan Miguel Montes and Valentina Prezioso and Wolfgang
                 J. Runggaldier",
  title =        "{Monte Carlo} Variance Reduction by Conditioning for
                 Pricing with Underlying a Continuous-Time Finite State
                 {Markov} Process",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "557--580",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130923221",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Basei:2014:OES,
  author =       "Matteo Basei and Annalisa Cesaroni and Tiziano
                 Vargiolu",
  title =        "Optimal Exercise of Swing Contracts in Energy Markets:
                 an Integral Constrained Stochastic Optimal Control
                 Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "581--608",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130928893",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Arai:2014:CRM,
  author =       "Takuji Arai",
  title =        "Convex Risk Measures for {C{\`a}dl{\`a}g} Processes on
                 {Orlicz} Hearts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "609--625",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130908427",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Anthropelos:2014:FEP,
  author =       "Michail Anthropelos",
  title =        "Forward Exponential Performances: Pricing and Optimal
                 Risk Sharing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "626--655",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130910087",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Rheinlander:2014:QSD,
  author =       "Thorsten Rheinl{\"a}nder and Michael Schmutz",
  title =        "Quasi--Self-Dual Exponential {L{\'e}vy} Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "656--684",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110859555",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Benth:2014:PME,
  author =       "Fred Espen Benth and Salvador Ortiz-Latorre",
  title =        "A Pricing Measure to Explain the Risk Premium in Power
                 Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "685--728",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/13093604X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Aly:2014:OPS,
  author =       "S. M. Ould Aly",
  title =        "Option Pricing for Stochastic Volatility Models:
                 Vol-of-Vol Expansion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "729--752",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/110848682",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{Imkeller:2014:TS,
  author =       "Nora Imkeller and L. C. G. Rogers",
  title =        "Trading to Stops",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "5",
  number =       "1",
  pages =        "753--781",
  month =        "????",
  year =         "2014",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130911706",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Feb 12 08:29:38 MST 2015",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

@Article{ElKaroui:2015:DAM,
  author =       "Nicole {El Karoui} and Monique Jeanblanc and Ying
                 Jiao",
  title =        "Density Approach in Modeling Successive Defaults",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1--21",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130939791",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Altmayer:2015:MMC,
  author =       "Martin Altmayer and Andreas Neuenkirch",
  title =        "Multilevel {Monte Carlo} Quadrature of Discontinuous
                 Payoffs in the Generalized {Heston} Model Using
                 {Malliavin} Integration by Parts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "22--52",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130933629",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Liu:2015:PAV,
  author =       "Hsuan-Ku Liu",
  title =        "Properties of {American} Volatility Options in the
                 Mean-Reverting $ 3 / 2 $ Volatility Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "53--65",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130924573",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Chau:2015:MMO,
  author =       "Huy N. Chau and Peter Tankov",
  title =        "Market Models with Optimal Arbitrage",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "66--85",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140953666",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Spiliopoulos:2015:DCL,
  author =       "Konstantinos Spiliopoulos and Richard B. Sowers",
  title =        "Default Clustering in Large Pools: Large Deviations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "86--116",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130944060",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Azimzadeh:2015:EOB,
  author =       "P. Azimzadeh and P. A. Forsyth",
  title =        "The Existence of Optimal Bang-Bang Controls for {GMxB}
                 Contracts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "117--139",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140953885",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Kardaras:2015:VPE,
  author =       "Constantinos Kardaras",
  title =        "Valuation and Parities for Exchange Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "140--157",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120884973",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Gulisashvili:2015:AAS,
  author =       "Archil Gulisashvili and Josep Vives",
  title =        "Asymptotic Analysis of Stock Price Densities and
                 Implied Volatilities in Mixed Stochastic Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "158--188",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140962255",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Jarrow:2015:LSH,
  author =       "Robert Jarrow and Philip Protter",
  title =        "Liquidity Suppliers and High Frequency Trading",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "189--200",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140967702",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Dubois:2015:ODP,
  author =       "Mathieu S. Dubois and Luitgard A. M. Veraart",
  title =        "Optimal Diversification in the Presence of Parameter
                 Uncertainty for a Risk Averse Investor",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "201--241",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130942826",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Li:2015:AGM,
  author =       "Cheng Li and Hao Xing",
  title =        "Asymptotic {Glosten--Milgrom} Equilibrium",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "242--280",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130943121",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Guo:2015:OEM,
  author =       "Xin Guo and Mihail Zervos",
  title =        "Optimal Execution with Multiplicative Price Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "281--306",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120894622",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Jacquier:2015:AFI,
  author =       "Antoine Jacquier and Patrick Roome",
  title =        "Asymptotics of Forward Implied Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "307--351",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140960712",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Kolkiewicz:2015:SDH,
  author =       "Adam W. Kolkiewicz",
  title =        "On Suboptimality of Delta Hedging for {Asian}
                 Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "352--385",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130914760",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Bo:2015:SRI,
  author =       "Lijun Bo and Agostino Capponi",
  title =        "Systemic Risk in Interbanking Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "386--424",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130937664",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Bayraktar:2015:HAO,
  author =       "Erhan Bayraktar and Yu-Jui Huang and Zhou Zhou",
  title =        "On Hedging {American} Options under Model
                 Uncertainty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "425--447",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140961869",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Belomestny:2015:PBO,
  author =       "Denis Belomestny and Fabian Dickmann and Tigran
                 Nagapetyan",
  title =        "Pricing {Bermudan} Options via Multilevel
                 Approximation Methods",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "448--466",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130912426",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Abad:2015:PSM,
  author =       "Carlos Abad and Garud Iyengar",
  title =        "Portfolio Selection with Multiple Spectral Risk
                 Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "467--486",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140967635",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Leung:2015:EVJ,
  author =       "Tim Leung and Haohua Wan",
  title =        "{ESO} Valuation with Job Termination Risk and Jumps in
                 Stock Price",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "487--516",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130937949",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Rasonyi:2015:OIN,
  author =       "Mikl{\'o}s R{\'a}sonyi",
  title =        "Optimal Investment with Nonconcave Utilities in
                 Discrete-Time Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "517--529",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140985184",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Biagini:2015:FFB,
  author =       "Francesca Biagini and Sorin Nedelcu",
  title =        "The Formation of Financial Bubbles in Defaultable
                 Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "530--558",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140960608",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Ahn:2015:CPO,
  author =       "Andrew Ahn and Martin Haugh and Ashish Jain",
  title =        "Consistent Pricing of Options on Leveraged {ETFs}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "559--593",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/151003933",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Bielecki:2015:VHC,
  author =       "Tomasz R. Bielecki and Marek Rutkowski",
  title =        "Valuation and Hedging of Contracts with Funding Costs
                 and Collateralization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "594--655",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/130928819",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Fodra:2015:HFT,
  author =       "Pietro Fodra and Huy{\^e}n Pham",
  title =        "High Frequency Trading and Asymptotics for Small Risk
                 Aversion in a {Markov} Renewal Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "656--684",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140976005",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Burkovska:2015:RBM,
  author =       "O. Burkovska and B. Haasdonk and J. Salomon and B.
                 Wohlmuth",
  title =        "Reduced Basis Methods for Pricing Options with the
                 {Black--Scholes} and {Heston} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "685--712",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140981216",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Kirkby:2015:EOP,
  author =       "J. Lars Kirkby",
  title =        "Efficient Option Pricing by Frame Duality with the
                 {Fast Fourier Transform}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "713--747",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140989480",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Gramacy:2015:SDO,
  author =       "Robert B. Gramacy and Michael Ludkovski",
  title =        "Sequential Design for Optimal Stopping Problems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "748--775",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140980089",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Wang:2015:HSC,
  author =       "Ruodu Wang and Valeria Bignozzi and Andreas
                 Tsanakas",
  title =        "How Superadditive Can a Risk Measure Be?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "776--803",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140981046",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Jarrow:2015:IEU,
  author =       "Robert A. Jarrow and Martin Larsson",
  title =        "Informational Efficiency under Short Sale
                 Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "804--824",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140963522",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Benth:2015:DPE,
  author =       "Fred Espen Benth and Paul Kr{\"u}hner",
  title =        "Derivatives Pricing in Energy Markets: an
                 Infinite-Dimensional Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "825--869",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15100268X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Chan:2015:FMF,
  author =       "Patrick Chan and Ronnie Sircar and Michael V. Stein",
  title =        "A Feedback Model for the Financialization of Commodity
                 Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "870--899",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140995349",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Forzani:2015:LSC,
  author =       "Liliana Forzani and Carlos F. Tolmasky",
  title =        "On the Level-Slope-Curvature Effect in Yield Curves
                 and Eventual Total Positivity",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "900--918",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140998354",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Gobet:2015:AAB,
  author =       "Emmanuel Gobet and Stefano Pagliarani",
  title =        "Analytical Approximations of {BSDEs} with Nonsmooth
                 Driver",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "919--958",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/14100021X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Capponi:2015:DCA,
  author =       "Agostino Capponi and Christoph Frei",
  title =        "Dynamic Contracting: Accidents Lead to Nonlinear
                 Contracts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "959--983",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140986864",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Grbac:2015:ALM,
  author =       "Zorana Grbac and Antonis Papapantoleon and John
                 Schoenmakers and David Skovmand",
  title =        "Affine {LIBOR} Models with Multiple Curves: Theory,
                 Examples and Calibration",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "984--1025",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1011731",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Abergel:2015:LTB,
  author =       "Fr{\'e}d{\'e}ric Abergel and Aymen Jedidi",
  title =        "Long-Time Behavior of a {Hawkes} Process-Based Limit
                 Order Book",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1026--1043",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1011469",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Schoneborn:2015:OTE,
  author =       "Torsten Sch{\"o}neborn",
  title =        "Optimal Trade Execution for Time-Inconsistent
                 Mean-Variance Criteria and Risk Functions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1044--1067",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1007537",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Bielecki:2015:DCF,
  author =       "Tomasz R. Bielecki and Igor Cialenco and Tao Chen",
  title =        "Dynamic Conic Finance via Backward Stochastic
                 Difference Equations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1068--1122",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/141002013",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Bechler:2015:OED,
  author =       "Kyle Bechler and Michael Ludkovski",
  title =        "Optimal Execution with Dynamic Order Flow Imbalance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1123--1151",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140992254",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Trevinno-Aguilar:2015:DPS,
  author =       "Erick Trevin{\~n}o-Aguilar",
  title =        "Duality in a Problem of Static Partial Hedging under
                 Convex Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1152--1170",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140959614",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{DeMarco:2015:LVV,
  author =       "Stefano {De Marco} and Pierre Henry-Labord{\`e}re",
  title =        "Linking Vanillas and {VIX} Options: a Constrained
                 Martingale Optimal Transport Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1171--1194",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140960724",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Amini:2015:CIC,
  author =       "Hamed Amini and Andreea Minca and Agn{\`e}s Sulem",
  title =        "Control of Interbank Contagion Under Partial
                 Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1195--1219",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140981538",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Ho:2015:WEN,
  author =       "Michael Ho and Zheng Sun and Jack Xin",
  title =        "Weighted Elastic Net Penalized Mean-Variance Portfolio
                 Design and Computation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "6",
  number =       "1",
  pages =        "1220--1244",
  month =        "????",
  year =         "2015",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1007872",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Mon Feb 8 12:34:00 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/6/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2015",
}

@Article{Cartea:2016:MUC,
  author =       "{\'A}lvaro Cartea and Sebastian Jaimungal and Zhen
                 Qin",
  title =        "Model Uncertainty in Commodity Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "1--33",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1027243",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Cai:2016:ODH,
  author =       "Jiatu Cai and Masaaki Fukasawa and Mathieu Rosenbaum
                 and Peter Tankov",
  title =        "Optimal Discretization of Hedging Strategies with
                 Directional Views",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "34--69",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/151004306",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Veraguas:2016:RUM,
  author =       "Julio D. Backhoff Veraguas and Joaqu{\'\i}n
                 Fontbona",
  title =        "Robust Utility Maximization without Model
                 Compactness",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "70--103",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140985718",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Lepinette:2016:RNA,
  author =       "Emmanuel Lepinette",
  title =        "Robust No Arbitrage of the Second Kind with a
                 Continuum of Assets and Proportional Transaction
                 Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "104--123",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/14099752X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Hou:2016:RMM,
  author =       "Danlin Hou and Zuo Quan Xu",
  title =        "A Robust {Markowitz} Mean-Variance Portfolio Selection
                 Model with an Intractable Claim",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "124--151",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1016357",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Zhang:2016:CNP,
  author =       "Geliang Zhang and Hugh Christensen and Guolong Li and
                 Simon Godsill",
  title =        "A Correction Note for Price Dynamics in a {Markovian}
                 Limit Order Market",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "152--158",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1057437",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Henry-Labordere:2016:DAS,
  author =       "Pierre Henry-Labord{\`e}re and Christian Litterer and
                 Zhenjie Ren",
  title =        "A Dual Algorithm for Stochastic Control Problems:
                 Applications to Uncertain Volatility Models and {CVA}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "159--182",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1019945",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Bayraktar:2016:PTL,
  author =       "Erhan Bayraktar and S. David Promislow and Virginia R.
                 Young",
  title =        "Purchasing Term Life Insurance to Reach a Bequest Goal
                 while Consuming",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "183--214",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1017855",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Bouchard:2016:BDR,
  author =       "Bruno Bouchard and G{\'e}raldine Bouveret and
                 Jean-Fran{\c{c}}ois Chassagneux",
  title =        "A Backward Dual Representation for the Quantile
                 Hedging of {Bermudan} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "215--235",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1029461",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Bouselmi:2016:CPA,
  author =       "Aych Bouselmi and Damien Lamberton",
  title =        "The Critical Price of the {American} Put Near Maturity
                 in the Jump Diffusion Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "236--272",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140965910",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Lorig:2016:VSD,
  author =       "Matthew Lorig and Oriol Lozano-Carbass{\'e} and Rafael
                 Mendoza-Arriaga",
  title =        "Variance Swaps on Defaultable Assets and Market
                 Implied Time-Changes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "273--307",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140955380",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Laachir:2016:BCM,
  author =       "Ismail Laachir and Francesco Russo",
  title =        "{BSDEs}, {C{\`a}dl{\`a}g} Martingale Problems, and
                 Orthogonalization under Basis Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "308--356",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140996239",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Ekstrom:2016:OLA,
  author =       "Erik Ekstr{\"o}m and Juozas Vaicenavicius",
  title =        "Optimal Liquidation of an Asset under Drift
                 Uncertainty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "357--381",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1033265",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Granelli:2016:MVR,
  author =       "Andrea Granelli and Almut E. D. Veraart",
  title =        "Modeling the Variance Risk Premium of Equity Indices:
                 The Role of Dependence and Contagion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "382--417",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1011822",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Lorig:2016:POU,
  author =       "Matthew Lorig and Ronnie Sircar",
  title =        "Portfolio Optimization under Local-Stochastic
                 Volatility: Coefficient {Taylor} Series Approximations
                 and Implied {Sharpe} Ratio",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "418--447",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1027073",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Forde:2016:STA,
  author =       "Martin Forde and Hongzhong Zhang",
  title =        "Small-Time Asymptotics for Basket Options --- the
                 Bivariate {SABR} Model and the Hyperbolic Heat Kernel
                 on {$ \mathbb {H}^3 $}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "448--476",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1029795",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Backhoff:2016:CAP,
  author =       "Julio Backhoff and Ulrich Horst",
  title =        "Conditional Analysis and a Principal-Agent Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "477--507",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/14100066X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Bouchard:2016:HUE,
  author =       "Bruno Bouchard and Ludovic Moreau and H. Mete Soner",
  title =        "Hedging Under an Expected Loss Constraint with Small
                 Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "508--551",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1006787",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Jones:2016:OMP,
  author =       "Chris Jones and Xinfu Chen",
  title =        "Optimal Mortgage Prepayment Under the
                 {Cox--Ingersoll--Ross} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "552--566",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1066555",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Kramkov:2016:SAE,
  author =       "Dmitry Kramkov and Sergio Pulido",
  title =        "Stability and Analytic Expansions of Local Solutions
                 of Systems of Quadratic {BSDEs} with Applications to a
                 Price Impact Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "567--587",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1035859",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Shkolnikov:2016:AAF,
  author =       "Mykhaylo Shkolnikov and Ronnie Sircar and Thaleia
                 Zariphopoulou",
  title =        "Asymptotic Analysis of Forward Performance Processes
                 in Incomplete Markets and Their Ill-Posed {HJB}
                 Equations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "588--618",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1016059",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Guo:2016:GAF,
  author =       "Gaoyue Guo and Antoine Jacquier and Claude Martini and
                 Leo Neufcourt",
  title =        "Generalized Arbitrage-Free {SVI} Volatility Surfaces",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "619--641",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/120900320",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Garreau:2016:SJT,
  author =       "Pierre Garreau and Alec Kercheval",
  title =        "A Structural Jump Threshold Framework for Credit
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "642--673",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140993892",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Hobson:2016:OCS,
  author =       "David Hobson and Yeqi Zhu",
  title =        "Optimal Consumption and Sale Strategies for a Risk
                 Averse Agent",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "674--719",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140982738",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Caravenna:2016:GSA,
  author =       "Francesco Caravenna and Jacopo Corbetta",
  title =        "General Smile Asymptotics with Bounded Maturity",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "720--759",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1031102",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Cartea:2016:CFE,
  author =       "{\'A}lvaro Cartea and Sebastian Jaimungal",
  title =        "A Closed-Form Execution Strategy to Target Volume
                 Weighted Average Price",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "760--785",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1058406",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Pun:2016:RDM,
  author =       "Chi Seng Pun and Hoi Ying Wong",
  title =        "Resolution of Degeneracy in {Merton}'s Portfolio
                 Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "786--811",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1065021",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Burzoni:2016:AHM,
  author =       "Matteo Burzoni",
  title =        "Arbitrage and Hedging in Model-Independent Markets
                 with Frictions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "812--844",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1053013",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Kirkby:2016:ETM,
  author =       "J. Lars Kirkby",
  title =        "An Efficient Transform Method for {Asian} Option
                 Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "845--892",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1057127",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Tehranchi:2016:UBB,
  author =       "Michael R. Tehranchi",
  title =        "Uniform Bounds for {Black--Scholes} Implied
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "893--916",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/14095248X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Baltean-Lugojan:2016:RNC,
  author =       "Radu Baltean-Lugojan and Panos Parpas",
  title =        "Robust Numerical Calibration for Implied Volatility
                 Expansion Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "917--946",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1035215",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Pirjol:2016:SMA,
  author =       "Dan Pirjol and Lingjiong Zhu",
  title =        "Short Maturity {Asian} Options in Local Volatility
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "947--992",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1047568",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Chassagneux:2016:EES,
  author =       "Jean-Fran{\c{c}}ois Chassagneux and Antoine Jacquier
                 and Ivo Mihaylov",
  title =        "An Explicit {Euler} Scheme with Strong Rate of
                 Convergence for Financial {SDEs} with Non-{Lipschitz}
                 Coefficients",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "7",
  number =       "1",
  pages =        "993--1021",
  month =        "????",
  year =         "2016",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1017788",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Thu Dec 22 07:24:40 MST 2016",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/7/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2016",
}

@Article{Huang:2017:WCP,
  author =       "Yao Tung Huang and Qingshuo Song and Harry Zheng",
  title =        "Weak Convergence of Path-Dependent {SDEs} in Basket
                 Credit Default Swap Pricing with Contagion Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "1--27",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1052329",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Nicolato:2017:IJD,
  author =       "E. Nicolato and C. Pisani and D. Sloth",
  title =        "The Impact of Jump Distributions on the Implied
                 Volatility of Variance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "28--53",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1059072",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Pierre:2017:NAC,
  author =       "Erwan Pierre and St{\'e}phane Villeneuve and Xavier
                 Warin",
  title =        "Numerical Approximation of a Cash-Constrained Firm
                 Value with Investment Opportunities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "54--81",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1068323",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Armstrong:2017:STA,
  author =       "John Armstrong and Martin Forde and Matthew Lorig and
                 Hongzhong Zhang",
  title =        "Small-Time Asymptotics under Local-Stochastic
                 Volatility with a Jump-to-Default: Curvature and the
                 Heat Kernel Expansion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "82--113",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/140971397",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Forde:2017:ARS,
  author =       "Martin Forde and Hongzhong Zhang",
  title =        "Asymptotics for Rough Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "114--145",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1009330",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Campolieti:2017:SDM,
  author =       "Giuseppe Campolieti and Roman N. Makarov",
  title =        "Solvable Diffusion Models with Linear and
                 Mean-Reverting Nonlinear Drifts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "146--170",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1033502",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Carmona:2017:SIV,
  author =       "Rene Carmona and Yi Ma and Sergey Nadtochiy",
  title =        "Simulation of Implied Volatility Surfaces via Tangent
                 {L{\'e}vy} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "171--213",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1015510",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{He:2017:RDU,
  author =       "Xue Dong He and Roy Kouwenberg and Xun Yu Zhou",
  title =        "Rank-Dependent Utility and Risk Taking in Complete
                 Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "214--239",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1072516",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Swishchuk:2017:SMM,
  author =       "Anatoliy Swishchuk and Nelson Vadori",
  title =        "A Semi-{Markovian} Modeling of Limit Order Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "240--273",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1015406",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Armenti:2017:CCV,
  author =       "Yannick Armenti and St{\'e}phane Cr{\'e}pey",
  title =        "Central Clearing Valuation Adjustment",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "274--313",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1028170",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Horst:2017:WLL,
  author =       "Ulrich Horst and D{\"o}rte Kreher",
  title =        "A Weak Law of Large Numbers for a Limit Order Book
                 Model with Fully State Dependent Order Dynamics",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "314--343",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1024226",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Liang:2017:RHF,
  author =       "Gechun Liang and Thaleia Zariphopoulou",
  title =        "Representation of Homothetic Forward Performance
                 Processes in Stochastic Factor Models via Ergodic and
                 Infinite Horizon {BSDE}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "344--372",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1048847",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Alos:2017:CSS,
  author =       "Elisa Al{\`o}s and Jorge A. Le{\'o}n",
  title =        "On the Curvature of the Smile in Stochastic Volatility
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "373--399",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1086315",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Robertson:2017:LTO,
  author =       "Scott Robertson and Hao Xing",
  title =        "Long-Term Optimal Investment in Matrix Valued Factor
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "400--434",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1030625",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Bielagk:2017:EPU,
  author =       "Jana Bielagk and Arnaud Lionnet and Gon{\c{c}}alo {Dos
                 Reis}",
  title =        "Equilibrium Pricing Under Relative Performance
                 Concerns",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "435--482",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1082536",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Mania:2017:RPD,
  author =       "Michael Mania and Revaz Tevzadze",
  title =        "On Regularity of Primal and Dual Dynamic Value
                 Functions Related to Investment Problems and Their
                 Representations as Backward Stochastic {PDE}
                 Solutions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "483--503",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1060558",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Richter:2017:DTT,
  author =       "Anja Richter and Josef Teichmann",
  title =        "Discrete Time Term Structure Theory and Consistent
                 Recalibration Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "504--531",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1007434",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Dumitrescu:2017:GOI,
  author =       "Roxana Dumitrescu and Marie-Claire Quenez and
                 Agn{\`e}s Sulem",
  title =        "Game Options in an Imperfect Market with Default",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "532--559",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1109102",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Garnier:2017:CBS,
  author =       "Josselin Garnier and Knut S{\o}lna",
  title =        "Correction to {Black--Scholes} Formula Due to
                 Fractional Stochastic Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "560--588",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/15M1036749",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Schied:2017:HFL,
  author =       "Alexander Schied and Elias Strehle and Tao Zhang",
  title =        "High-Frequency Limit of {Nash} Equilibria in a Market
                 Impact Game with Transient Price Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "589--634",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M107030X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Cartea:2017:ATM,
  author =       "{\'A}lvaro Cartea and Ryan Donnelly and Sebastian
                 Jaimungal",
  title =        "Algorithmic Trading with Model Uncertainty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "635--671",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M106282X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Feinstein:2017:MSR,
  author =       "Zachary Feinstein and Birgit Rudloff and Stefan
                 Weber",
  title =        "Measures of Systemic Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "672--708",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1066087",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{DeMarco:2017:SIV,
  author =       "S. {De Marco} and C. Hillairet and A. Jacquier",
  title =        "Shapes of Implied Volatility with Positive Mass at
                 Zero",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "709--737",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/14098065X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Cheridito:2017:DFR,
  author =       "Patrick Cheridito and Michael Kupper and Ludovic
                 Tangpi",
  title =        "Duality Formulas for Robust Pricing and Hedging in
                 Discrete Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "738--765",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1064088",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Gass:2017:MPF,
  author =       "Maximilian Ga{\ss} and Kathrin Glau and Maximilian
                 Mair",
  title =        "Magic Points in Finance: Empirical Integration for
                 Parametric Option Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "766--803",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1101301",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Huang:2017:OIG,
  author =       "Yao Tung Huang and Pingping Zeng and Yue Kuen Kwok",
  title =        "Optimal Initiation of Guaranteed Lifelong Withdrawal
                 Benefit with Dynamic Withdrawals",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "804--840",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1089575",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Bressan:2017:SMO,
  author =       "Alberto Bressan and Antonio Marigonda and Khai T.
                 Nguyen and Michele Palladino",
  title =        "A Stochastic Model of Optimal Debt Management and
                 Bankruptcy",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "841--873",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1095019",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Huang:2017:EDM,
  author =       "Weibing Huang and Mathieu Rosenbaum",
  title =        "Ergodicity and Diffusivity of {Markovian} Order Book
                 Models: a General Framework",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "874--900",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1064337",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Shinozaki:2017:CTO,
  author =       "Yuji Shinozaki",
  title =        "Construction of a Third-Order {$K$}-Scheme and Its
                 Application to Financial Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "901--932",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1067986",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Sirignano:2017:SGD,
  author =       "Justin Sirignano and Konstantinos Spiliopoulos",
  title =        "Stochastic Gradient Descent in Continuous Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "933--961",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1126825",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Hambly:2017:SEE,
  author =       "Ben Hambly and Nikolaos Kolliopoulos",
  title =        "Stochastic Evolution Equations for Large Portfolios of
                 Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "8",
  number =       "1",
  pages =        "962--1014",
  month =        "????",
  year =         "2017",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M111715X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Fri Jan 12 06:24:13 MST 2018",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/8/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  note =         "See erratum \cite{Hambly:2019:ESE}.",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2017",
}

@Article{Levendorskii:2018:PAA,
  author =       "Sergei Levendorskii",
  title =        "Pricing Arithmetic {Asian} Options Under {L{\'e}vy}
                 Models by Backward Induction in the Dual Space",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "1--27",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1108133",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Chong:2018:CFS,
  author =       "Carsten Chong and Claudia Kl{\"u}ppelberg",
  title =        "Contagion in Financial Systems: a {Bayesian} Network
                 Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "28--53",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1116659",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Kwak:2018:CPT,
  author =       "Minsuk Kwak and Traian A. Pirvu",
  title =        "Cumulative Prospect Theory with Generalized Hyperbolic
                 Skewed $t$ Distribution",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "54--89",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1093550",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Armenti:2018:MSR,
  author =       "Yannick Armenti and St{\'e}phane Cr{\'e}pey and Samuel
                 Drapeau and Antonis Papapantoleon",
  title =        "Multivariate Shortfall Risk Allocation and Systemic
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "90--126",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1087357",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Cozma:2018:CES,
  author =       "Andrei Cozma and Matthieu Mariapragassam and Christoph
                 Reisinger",
  title =        "Convergence of an {Euler} Scheme for a Hybrid
                 Stochastic-Local Volatility Model with Stochastic Rates
                 in Foreign Exchange Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "127--170",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1114569",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Jacquier:2018:IVS,
  author =       "Antoine Jacquier and Martin Keller-Ressel",
  title =        "Implied Volatility in Strict Local Martingale Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "171--189",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1069651",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Li:2018:WCR,
  author =       "Lujun Li and Hui Shao and Ruodu Wang and Jingping
                 Yang",
  title =        "Worst-Case Range Value-at-Risk with Partial
                 Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "190--218",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1126138",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Detemple:2018:AOD,
  author =       "Jerome Detemple and Yerkin Kitapbayev",
  title =        "{American} Options with Discontinuous Two-Level Caps",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "219--250",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1110791",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Borovykh:2018:ECV,
  author =       "Anastasia Borovykh and Andrea Pascucci and Cornelis W.
                 Oosterlee",
  title =        "Efficient Computation of Various Valuation Adjustments
                 Under Local {L{\'e}vy} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "251--273",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1099005",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Chen:2018:ODS,
  author =       "Shumin Chen and Zhongfei Li and Yan Zeng",
  title =        "Optimal Dividend Strategy for a General Diffusion
                 Process with Time-Inconsistent Preferences and Ruin
                 Penalty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "274--314",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1088983",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Tan:2018:OTP,
  author =       "Zongjun Tan and Peter Tankov",
  title =        "Optimal Trading Policies for Wind Energy Producer",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "315--346",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1093069",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Figueroa-Lopez:2018:STE,
  author =       "Jos{\'e} E. Figueroa-L{\'o}pez and Ruoting Gong and
                 Matthew Lorig",
  title =        "Short-Time Expansions for Call Options on Leveraged
                 {ETFs} Under Exponential {L{\'e}vy} Models with Local
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "347--380",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1111292",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Beissner:2018:DGE,
  author =       "Patrick Beissner and Laurent Denis",
  title =        "Duality and General Equilibrium Theory Under
                 {Knightian} Uncertainty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "1",
  pages =        "381--400",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1120877",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:39:58 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Papanicolaou:2018:ESC,
  author =       "A. Papanicolaou",
  title =        "Extreme-Strike Comparisons and Structural Bounds for
                 {SPX} and {VIX} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "401--434",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/141001615",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Agarwal:2018:PBU,
  author =       "Ankush Agarwal and Ronnie Sircar",
  title =        "Portfolio Benchmarking Under Drawdown Constraint and
                 Stochastic {Sharpe} Ratio",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "435--464",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1100861",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Bonnans:2018:VAO,
  author =       "J. Fr{\'e}d{\'e}ric Bonnans and Axel Kr{\"o}ner",
  title =        "Variational Analysis for Options with Stochastic
                 Volatility and Multiple Factors",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "465--492",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1130836",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Lelong:2018:DPA,
  author =       "J{\'e}r{\^o}me Lelong",
  title =        "Dual Pricing of {American} Options by {Wiener} Chaos
                 Expansion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "493--519",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1102161",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Cui:2018:GVF,
  author =       "Zhenyu Cui and J. Lars Kirkby and Duy Nguyen",
  title =        "A General Valuation Framework for {SABR} and
                 Stochastic Local Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "520--563",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1106572",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Fouque:2018:OPU,
  author =       "Jean-Pierre Fouque and Ruimeng Hu",
  title =        "Optimal Portfolio under Fast Mean-Reverting Fractional
                 Stochastic Environment",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "564--601",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1134068",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Bayraktar:2018:RTA,
  author =       "Erhan Bayraktar and Yan Dolinsky and Jia Guo",
  title =        "Recombining Tree Approximations for Optimal Stopping
                 for Diffusions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "602--633",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1118865",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Chazal:2018:OPO,
  author =       "M. Chazal and R. Loeffen and P. Patie",
  title =        "Option Pricing in a One-Dimensional Affine Term
                 Structure Model via Spectral Representations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "634--664",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1098267",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Belomestny:2018:RBC,
  author =       "Denis Belomestny and Stefan H{\"a}fner and Mikhail
                 Urusov",
  title =        "Regression-Based Complexity Reduction of the Nested
                 {Monte Carlo} Methods",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "665--689",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M114577X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Dentcheva:2018:TCR,
  author =       "Darinka Dentcheva and Andrzej Ruszczy{\'n}ski",
  title =        "Time-Coherent Risk Measures for Continuous-Time
                 {Markov} Chains",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "690--715",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1063794",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Horvath:2018:DFF,
  author =       "Blanka Horvath and Oleg Reichmann",
  title =        "{Dirichlet} Forms and Finite Element Methods for the
                 {SABR} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "716--754",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1066117",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Kumar:2018:AAO,
  author =       "Rohini Kumar and Hussein Nasralah",
  title =        "Asymptotic Approximation of Optimal Portfolio for
                 Small Time Horizons",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "755--774",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1111371",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Mastrolia:2018:PAP,
  author =       "Thibaut Mastrolia and Zhenjie Ren",
  title =        "Principal-Agent Problem with Common Agency Without
                 Communication",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "775--799",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1133609",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Biagini:2018:LIA,
  author =       "Francesca Biagini and Andrea Mazzon and Thilo
                 Meyer-Brandis",
  title =        "Liquidity Induced Asset Bubbles via Flows of {ELMMs}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "800--834",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1107097",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{DeMarco:2018:LVC,
  author =       "Stefano {De Marco} and Peter K. Friz",
  title =        "Local Volatility, Conditioned Diffusions, and
                 {Varadhan}'s Formula",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "2",
  pages =        "835--874",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1092313",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:01 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Jacquier:2018:OLL,
  author =       "Antoine Jacquier and Hao Liu",
  title =        "Optimal Liquidation in a Level-{I} Limit Order Book
                 for Large-Tick {Stocks}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "875--906",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1117860",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Filipovic:2018:EST,
  author =       "Damir Filipovi{\'c} and Sander Willems",
  title =        "Exact Smooth Term-Structure Estimation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "907--929",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1080276",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Gass:2018:FGS,
  author =       "Maximilian Ga{\ss} and Kathrin Glau",
  title =        "A Flexible {Galerkin} Scheme for Option Pricing in
                 {L{\'e}vy} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "930--965",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1070438",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Pages:2018:PAA,
  author =       "Gilles Pag{\`e}s and Olivier Pironneau and Guillaume
                 Sall",
  title =        "The Parareal Algorithm for {American} Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "966--993",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1138832",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Armstrong:2018:MC,
  author =       "John Armstrong",
  title =        "The {Markowitz} Category",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "994--1016",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1155727",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Guennoun:2018:ABF,
  author =       "Hamza Guennoun and Antoine Jacquier and Patrick Roome
                 and Fangwei Shi",
  title =        "Asymptotic Behavior of the Fractional {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "1017--1045",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1142892",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Landriault:2018:ESM,
  author =       "David Landriault and Bin Li and Danping Li and
                 Virginia R. Young",
  title =        "Equilibrium Strategies for the Mean-Variance
                 Investment Problem over a Random Horizon",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "1046--1073",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1153479",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Schied:2018:MFP,
  author =       "Alexander Schied and Leo Speiser and Iryna
                 Voloshchenko",
  title =        "Model-Free Portfolio Theory and Its Functional Master
                 Formula",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "1074--1101",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/16M1079828",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Gulisashvili:2018:LDP,
  author =       "Archil Gulisashvili",
  title =        "Large Deviation Principle for {Volterra} Type
                 Fractional Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "3",
  pages =        "1102--1136",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M116344X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:03 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Risk:2018:SDS,
  author =       "Jimmy Risk and Michael Ludkovski",
  title =        "Sequential Design and Spatial Modeling for Portfolio
                 Tail Risk Measurement",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "4",
  pages =        "1137--1174",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1158380",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:05 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Fouque:2018:UVM,
  author =       "Jean-Pierre Fouque and Ning Ning",
  title =        "Uncertain Volatility Models with Stochastic Bounds",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "4",
  pages =        "1175--1207",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1116908",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:05 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Hayashi:2018:WBM,
  author =       "Takaki Hayashi and Yuta Koike",
  title =        "Wavelet-Based Methods for High-Frequency Lead-Lag
                 Analysis",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "4",
  pages =        "1208--1248",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1166079",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:05 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Marchenko:2018:TCT,
  author =       "Ganna Marchenko and Patrick Gagliardini and Illia
                 Horenko",
  title =        "Towards a Computationally Tractable Maximum Entropy
                 Principle for Nonstationary Financial Time Series",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "4",
  pages =        "1249--1285",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1142600",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:05 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Feinstein:2018:SEN,
  author =       "Zachary Feinstein and Weijie Pang and Birgit Rudloff
                 and Eric Schaanning and Stephan Sturm and Mackenzie
                 Wildman",
  title =        "Sensitivity of the {Eisenberg--Noe} Clearing Vector to
                 Individual Interbank Liabilities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "9",
  number =       "4",
  pages =        "1286--1325",
  month =        "????",
  year =         "2018",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1171060",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:05 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/9/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2018",
}

@Article{Jia:2019:DPO,
  author =       "Longjie Jia and Martijn Pistorius and Harry Zheng",
  title =        "Dynamic Portfolio Optimization with Looping Contagion
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "1--36",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1154424",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Kusnetsov:2019:ICF,
  author =       "Michael Kusnetsov and Luitgard Anna Maria Veraart",
  title =        "Interbank Clearing in Financial Networks with Multiple
                 Maturities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "37--67",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1180542",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Bichuch:2019:OFS,
  author =       "Maxim Bichuch and Zachary Feinstein",
  title =        "Optimization of Fire Sales and Borrowing in Systemic
                 Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "68--88",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1195425",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Jacquier:2019:RHM,
  author =       "Antoine Jacquier and Fangwei Shi",
  title =        "The Randomized {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "89--129",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1166420",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Qin:2019:BGP,
  author =       "Cong Qin and Xinfu Chen",
  title =        "On Balanced Growth Path Solutions of a Knowledge
                 Diffusion and Growth Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "130--155",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1213531",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Bensoussan:2019:MVA,
  author =       "Alain Bensoussan and SingRu Celine Hoe and Zhongfeng
                 Yan",
  title =        "A Mean-Variance Approach to Capital Investment
                 Optimization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "156--180",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1176439",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Cozma:2019:CHL,
  author =       "Andrei Cozma and Matthieu Mariapragassam and Christoph
                 Reisinger",
  title =        "Calibration of a Hybrid Local-Stochastic Volatility
                 Stochastic Rates Model with a Control Variate Particle
                 Method",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "181--213",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1114570",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Zeng:2019:MMC,
  author =       "Ailing Zeng and Jungong Xue",
  title =        "Multilevel {Monte Carlo} Method for Path-Dependent
                 Barrier Interest Rate Derivatives",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "214--242",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1149171",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Bian:2019:UMU,
  author =       "Baojun Bian and Xinfu Chen and Zuo Quan Xu",
  title =        "Utility Maximization Under Trading Constraints with
                 Discontinuous Utility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "243--260",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1174659",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Lamberton:2019:VFA,
  author =       "Damien Lamberton and Giulia Terenzi",
  title =        "Variational Formulation of {American} Option Prices in
                 the {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "1",
  pages =        "261--308",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1158872",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:07 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{AbiJaber:2019:MAR,
  author =       "Eduardo {Abi Jaber} and Omar {El Euch}",
  title =        "Multifactor Approximation of Rough Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "309--349",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1170236",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Horst:2019:SLL,
  author =       "Ulrich Horst and Wei Xu",
  title =        "A Scaling Limit for Limit Order Books Driven by
                 {Hawkes} Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "350--393",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1148682",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Li:2019:ESA,
  author =       "Bin Li and Peng Luo and Dewen Xiong",
  title =        "Equilibrium Strategies for Alpha-Maxmin Expected
                 Utility Maximization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "394--429",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1178542",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Biagini:2019:FAB,
  author =       "Francesca Biagini and Andrea Mazzon and Thilo
                 Meyer-Brandis",
  title =        "Financial Asset Bubbles in Banking Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "430--465",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1193189",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Guasoni:2019:SCI,
  author =       "Paolo Guasoni and Antonella Tolomeo and Gu Wang",
  title =        "Should Commodity Investors Follow Commodities'
                 Prices?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "466--490",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1198284",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{ElEuch:2019:STM,
  author =       "Omar {El Euch} and Masaaki Fukasawa and Jim Gatheral
                 and Mathieu Rosenbaum",
  title =        "Short-Term At-the-Money Asymptotics under Stochastic
                 Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "491--511",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1167565",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Altay:2019:POL,
  author =       "S{\"u}han Altay and Katia Colaneri and Zehra Eksi",
  title =        "Portfolio Optimization for a Large Investor
                 Controlling Market Sentiment Under Partial
                 Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "512--546",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1134317",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Angoshtari:2019:ODD,
  author =       "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
                 Young",
  title =        "Optimal Dividend Distribution Under Drawdown and
                 Ratcheting Constraints on Dividend Rates",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "547--577",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M119567X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Detering:2019:MDC,
  author =       "Nils Detering and Thilo Meyer-Brandis and Konstantinos
                 Panagiotou and Daniel Ritter",
  title =        "Managing Default Contagion in Inhomogeneous Financial
                 Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "578--614",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1156046",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Schatz:2019:NIM,
  author =       "Michael Schatz and Didier Sornette",
  title =        "A Nonuniformly Integrable Martingale Bubble with a
                 Crash",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "615--631",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1215190",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Chen:2019:TCM,
  author =       "Kexin Chen and Mei Choi Chiu and Hoi Ying Wong",
  title =        "Time-Consistent Mean-Variance Pairs-Trading Under
                 Regime-Switching Cointegration",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "2",
  pages =        "632--665",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1209611",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:09 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Bayraktar:2019:TCS,
  author =       "Erhan Bayraktar and Jingjie Zhang and Zhou Zhou",
  title =        "Time Consistent Stopping for the Mean-Standard
                 Deviation Problem --- The Discrete Time Case",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "667--697",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1216432",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Nadtochiy:2019:OCF,
  author =       "Sergey Nadtochiy and Thaleia Zariphopoulou",
  title =        "Optimal Contract for a Fund Manager with Capital
                 Injections and Endogenous Trading Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "698--722",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1172867",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Bank:2019:OIT,
  author =       "Peter Bank and Moritz Vo{\ss}",
  title =        "Optimal Investment with Transient Price Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "723--768",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1182267",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Guasoni:2019:TFB,
  author =       "Paolo Guasoni and Zsolt Nika and Mikl{\'o}s
                 R{\'a}sonyi",
  title =        "Trading Fractional {Brownian} Motion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "769--789",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M113592X",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Cartea:2019:HSR,
  author =       "{\'A}lvaro Cartea and Luhui Gan and Sebastian
                 Jaimungal",
  title =        "Hedge and Speculate: Replicating Option Payoffs with
                 Limit and Market Orders",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "790--814",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1192706",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{vanStaden:2019:MQV,
  author =       "Pieter M. van Staden and Duy-Minh Dang and Peter A.
                 Forsyth",
  title =        "Mean-Quadratic Variation Portfolio Optimization: a
                 Desirable Alternative to Time-Consistent Mean-Variance
                 Optimization?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "815--856",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1222570",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Hambly:2019:ESE,
  author =       "Ben Hambly and Nikolaos Kolliopoulos",
  title =        "Erratum: {Stochastic Evolution Equations for Large
                 Portfolios of Stochastic Volatility Models}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "3",
  pages =        "857--876",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1260980",
  ISSN =         "1945-497X",
  ISSN-L =       "1945-497X",
  bibdate =      "Wed Oct 9 18:40:12 MDT 2019",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  note =         "See \cite{Hambly:2017:SEE}.",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Feinstein:2019:OPD,
  author =       "Zachary Feinstein",
  title =        "Obligations with Physical Delivery in a Multilayered
                 Financial Network",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "4",
  pages =        "877--906",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1194729",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:09 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Carassus:2019:RSP,
  author =       "Laurence Carassus and Jan Ob{\l}{\'o}j and Johannes
                 Wiesel",
  title =        "The Robust Superreplication Problem: a Dynamic
                 Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "4",
  pages =        "907--941",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1235934",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:09 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Alfonsi:2019:LTL,
  author =       "Aur{\'e}lien Alfonsi and David Krief and Peter
                 Tankov",
  title =        "Long-Time Large Deviations for the Multiasset
                 {Wishart} Stochastic Volatility Model and Option
                 Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "4",
  pages =        "942--976",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1197588",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:09 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Chen:2019:SVA,
  author =       "Kexin Chen and Mei Choi Chiu and Yong Hyun Shin and
                 Hoi Ying Wong",
  title =        "Stochastic Volatility Asymptotics for Optimal
                 Subsistence Consumption and Investment with
                 Bankruptcy",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "10",
  number =       "4",
  pages =        "977--1005",
  month =        "????",
  year =         "2019",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M124681X",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:09 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/10/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2019",
}

@Article{Herrmann:2020:IMH,
  author =       "Sebastian Herrmann and Johannes Muhle-Karbe and Dapeng
                 Shang and Chen Yang",
  title =        "Inventory Management for High-Frequency Trading with
                 Imperfect Competition",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "1--26",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1207776",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Aksamit:2020:RFQ,
  author =       "Anna Aksamit and Zhaoxu Hou and Jan Ob{\l}{\'o}j",
  title =        "Robust Framework for Quantifying the Value of
                 Information in Pricing and Hedging",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "27--59",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1177597",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Amini:2020:SRN,
  author =       "Hamed Amini and Damir Filipovi{\'c} and Andreea
                 Minca",
  title =        "Systemic Risk in Networks with a Central Node",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "60--98",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1184667",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Crepey:2020:WCF,
  author =       "St{\'e}phane Cr{\'e}pey and Wissal Sabbagh and Shiqi
                 Song",
  title =        "When Capital Is a Funding Source: The Anticipated
                 Backward Stochastic Differential Equations of
                 {$X$}-Value Adjustments",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "99--130",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1242781",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Barski:2020:CEG,
  author =       "Micha{\l} Barski and Jerzy Zabczyk",
  title =        "On {CIR} Equations with General Factors",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "131--147",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1292771",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Brody:2020:TCI,
  author =       "Dorje Brody and Lane Hughston and Bernhard Meister",
  title =        "Theory of Cryptocurrency Interest Rates",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "148--168",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1263042",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/bitcoin.bib;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Mao:2020:RAR,
  author =       "Tiantian Mao and Ruodu Wang",
  title =        "Risk Aversion in Regulatory Capital Principles",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "169--200",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M121842X",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Farahany:2020:MLP,
  author =       "David Farahany and Kenneth R. Jackson and Sebastian
                 Jaimungal",
  title =        "Mixing {LSMC} and {PDE} Methods to Price {Bermudan}
                 Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "201--239",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1249035",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Bauerle:2020:POF,
  author =       "Nicole B{\"a}uerle and Sascha Desmettre",
  title =        "Portfolio Optimization in Fractional and Rough
                 {Heston} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "240--273",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1217243",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Garnier:2020:OHU,
  author =       "Josselin Garnier and Knut S{\o}lna",
  title =        "Optimal Hedging Under Fast-Varying Stochastic
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "274--325",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1221655",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Acciaio:2020:SCI,
  author =       "Beatrice Acciaio and Julien Guyon",
  title =        "Short Communication: {Inversion} of Convex Ordering:
                 Local Volatility Does Not Maximize the Price of {VIX}
                 Futures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "1",
  pages =        "SC1--SC13",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M129303X",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 28 10:38:11 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{GarciadelMolino:2020:MKM,
  author =       "Luis Carlos {Garcia del Molino} and Iacopo
                 Mastromatteo and Michael Benzaquen and Jean-Philippe
                 Bouchaud",
  title =        "The Multivariate {Kyle} Model: More is Different",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "327--357",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1231997",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Forsyth:2020:MMC,
  author =       "Peter A. Forsyth",
  title =        "Multiperiod Mean Conditional Value at Risk Asset
                 Allocation: Is It Advantageous to Be Time Consistent?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "358--384",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M124650X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Lee:2020:RSF,
  author =       "Junbeom Lee and Stephan Sturm and Chao Zhou",
  title =        "A Risk-Sharing Framework of Bilateral Contracts",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "385--410",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1246365",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Guan:2020:OIP,
  author =       "Chonghu Guan and Xun Li and Wenxin Zhou",
  title =        "An Optimal Investment Problem with Nonsmooth and
                 Nonconcave Utility over a Finite Time Horizon",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "411--436",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1273086",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Horvath:2020:VOR,
  author =       "Blanka Horvath and Antoine Jacquier and Peter
                 Tankov",
  title =        "Volatility Options in Rough Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "437--469",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1169242",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Kalsi:2020:OER,
  author =       "Jasdeep Kalsi and Terry Lyons and Imanol Perez
                 Arribas",
  title =        "Optimal Execution with Rough Path Signatures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "470--493",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1259778",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Kallblad:2020:BII,
  author =       "Sigrid K{\"a}llblad",
  title =        "{Black}'s Inverse Investment Problem and Forward
                 Criteria with Consumption",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "494--525",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/17M1143812",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Bartesaghi:2020:RDC,
  author =       "Paolo Bartesaghi and Michele Benzi and Gian Paolo
                 Clemente and Rosanna Grassi and Ernesto Estrada",
  title =        "Risk-Dependent Centrality in Economic and Financial
                 Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "526--565",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1302041",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Fries:2020:AVF,
  author =       "Christian Fries and Lorenzo Torricelli",
  title =        "An Analytical Valuation Framework for Financial Assets
                 with Trading Suspensions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "566--592",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1229821",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Tsang:2020:DLS,
  author =       "Ka Ho Tsang and Hoi Ying Wong",
  title =        "Deep-Learning Solution to Portfolio Selection with
                 Serially Dependent Returns",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "593--619",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1274924",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Bion-Nadal:2020:FDR,
  author =       "Jocelyne Bion-Nadal and Giulia {Di Nunno}",
  title =        "Fully-Dynamic Risk-Indifference Pricing and
                 No-Good-Deal Bounds",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "2",
  pages =        "620--658",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M120436X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Jul 23 15:47:39 MDT 2020",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Londono:2020:DEH,
  author =       "Jaime A. Londo{\~n}o",
  title =        "{Duesenberry} Equilibrium and Heterogeneous Agents",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "659--689",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1236174",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Cartea:2020:TFE,
  author =       "{\'A}lvaro Cartea and Sebastian Jaimungal and Tianyi
                 Jia",
  title =        "Trading Foreign Exchange Triplets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "690--719",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1172089",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Jeanblanc:2020:CCD,
  author =       "Monique Jeanblanc and Libo Li",
  title =        "Characteristics and Constructions of Default Times",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "720--749",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1274912",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Janecek:2020:OIH,
  author =       "Karel Janecek and Zheng Li and Mihai S{\^\i}rbu",
  title =        "Optimal Investment with High-Watermark Fee in a
                 Multidimensional Jump Diffusion Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "750--787",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1205066",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Ceci:2020:VAD,
  author =       "Claudia Ceci and Katia Colaneri and R{\"u}diger Frey
                 and Verena K{\"o}ck",
  title =        "Value Adjustments and Dynamic Hedging of Reinsurance
                 Counterparty Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "788--814",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1283045",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Calvia:2020:RMP,
  author =       "Alessandro Calvia and Emanuela Rosazza Gianin",
  title =        "Risk Measures and Progressive Enlargement of
                 Filtration: a {BSDE} Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "815--848",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1259134",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Grigorova:2020:EON,
  author =       "Miryana Grigorova and Marie-Claire Quenez and
                 Agn{\`e}s Sulem",
  title =        "{European} Options in a Nonlinear Incomplete Market
                 Model with Default",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "849--880",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1318018",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Ruf:2020:IPT,
  author =       "Johannes Ruf and Kangjianan Xie",
  title =        "The Impact of Proportional Transaction Costs on
                 Systematically Generated Portfolios",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "881--896",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1282313",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Glau:2020:LRT,
  author =       "Kathrin Glau and Daniel Kressner and Francesco
                 Statti",
  title =        "Low-Rank Tensor Approximation for {Chebyshev}
                 Interpolation in Parametric Option Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "897--927",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1244172",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Kleisinger-Yu:2020:MPF,
  author =       "Xi Kleisinger-Yu and Vlatka Komaric and Martin Larsson
                 and Markus Regez",
  title =        "A Multifactor Polynomial Framework for Long-Term
                 Electricity Forwards with Delivery Period",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "928--957",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1283264",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Saporito:2020:SCP,
  author =       "Yuri F. Saporito",
  title =        "Short Communication: Pricing Path-Dependent
                 Derivatives under Multiscale Stochastic Volatility
                 Models: a {Malliavin} Representation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "SC-14--SC-25",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1347334",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Dixon:2020:SCD,
  author =       "Matthew Dixon and Nick Polson",
  title =        "Short Communication: Deep Fundamental Factor Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "3",
  pages =        "SC-26--SC-37",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1330518",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:35 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Jarrow:2020:IET,
  author =       "Robert Jarrow and Martin Larsson",
  title =        "Informational Efficiency with Trading Constraints: a
                 Characterization",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "959--973",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1318948",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Dam:2020:RMI,
  author =       "Henrik T. Dam and Andrea Macrina and David Skovmand
                 and David Sloth",
  title =        "Rational Models for Inflation-Linked Derivatives",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "974--1006",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1235764",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Henderson:2020:ESO,
  author =       "Vicky Henderson and Kamil Klad{\'\i}vko and Michael
                 Monoyios and Christoph Reisinger",
  title =        "Executive Stock Option Exercise with Full and Partial
                 Information on a Drift Change Point",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "1007--1062",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1222909",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Dastgerdi:2020:SPF,
  author =       "Maryam Vahid Dastgerdi and Ali Foroush Bastani",
  title =        "Solving Parametric Fractional Differential Equations
                 Arising from the Rough {Heston} Model Using
                 Quasi-Linearization and Spectral Collocation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "1063--1097",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1269324",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Bourgey:2020:MLC,
  author =       "Florian Bourgey and Emmanuel Gobet and Cl{\'e}ment
                 Rey",
  title =        "Metamodel of a Large Credit Risk Portfolio in the
                 {Gaussian} Copula Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "1098--1136",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1292084",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Jacquier:2020:ADO,
  author =       "Antoine Jacquier and Lorenzo Torricelli",
  title =        "Anomalous Diffusions in Option Prices: Connecting
                 Trade Duration and the Volatility Term Structure",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "1137--1167",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1289832",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Begin:2020:EJD,
  author =       "Jean-Fran{\c{c}}ois B{\'e}gin and Diego Amaya and
                 Genevi{\`e}ve Gauthier and Marie-{\`E}ve Malette",
  title =        "On the Estimation of Jump-Diffusion Models Using
                 Intraday Data: a Filtering-Based Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "11",
  number =       "4",
  pages =        "1168--1208",
  month =        "????",
  year =         "2020",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1266915",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 12 12:09:37 MST 2021",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/11/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2020",
}

@Article{Redmann:2021:LDA,
  author =       "Martin Redmann and Christian Bayer and Pawan Goyal",
  title =        "Low-Dimensional Approximations of High-Dimensional
                 Asset Price Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "1--28",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1325666",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cohen:2021:ODP,
  author =       "Asaf Cohen and Virginia R. Young",
  title =        "Optimal Dividend Problem: Asymptotic Analysis",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "29--46",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1354738",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Zhou:2021:UMW,
  author =       "Zhou Zhou",
  title =        "Utility Maximization When Shorting {American}
                 Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "47--78",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1320584",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Ning:2021:WPS,
  author =       "Ning Ning and Jing Wu",
  title =        "Well-Posedness and Stability Analysis of Two Classes
                 of Generalized Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "79--109",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1336199",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Benezet:2021:NSQ,
  author =       "Cyril B{\'e}n{\'e}zet and Jean-Fran{\c{c}}ois
                 Chassagneux and Christoph Reisinger",
  title =        "A Numerical Scheme for the Quantile Hedging Problem",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "110--157",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1267477",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Eckstein:2021:RPH,
  author =       "Stephan Eckstein and Gaoyue Guo and Tongseok Lim and
                 Jan Ob{\l}{\'o}j",
  title =        "Robust Pricing and Hedging of Options on Multiple
                 Assets and Its Numerics",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "158--188",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1286256",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{ElKaroui:2021:RDU,
  author =       "Nicole {El Karoui} and Mohamed Mrad",
  title =        "Recover Dynamic Utility from Observable Process:
                 Application to the Economic Equilibrium",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "189--225",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/18M1235843",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cipriano:2021:OPH,
  author =       "Fernanda Cipriano and Nuno F. M. Martins and Diogo
                 Pereira",
  title =        "Optimal Portfolio for the $ \alpha $-Hypergeometric
                 Stochastic Volatility Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "226--253",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1299165",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cartea:2021:SPL,
  author =       "{\'A}lvaro Cartea and Leandro S{\'a}nchez-Betancourt",
  title =        "The Shadow Price of Latency: Improving Intraday Fill
                 Ratios in Foreign Exchange Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "254--294",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1258888",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cotton:2021:IRA,
  author =       "Peter Cotton",
  title =        "Inferring Relative Ability from Winning Probability in
                 Multientrant Contests",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "295--317",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1276261",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bellini:2021:LIF,
  author =       "Fabio Bellini and Pablo Koch-Medina and Cosimo Munari
                 and Gregor Svindland",
  title =        "Law-Invariant Functionals on General Spaces of Random
                 Variables",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "318--341",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1341258",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Lototsky:2021:KCS,
  author =       "Sergey Lototsky and Austin Pollok",
  title =        "{Kelly} Criterion: From a Simple Random Walk to
                 {L{\'e}vy} Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "342--368",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1330488",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Jaber:2021:MPS,
  author =       "Eduardo Abi Jaber and Enzo Miller and Huy{\^e}n Pham",
  title =        "{Markowitz} Portfolio Selection for Multivariate
                 Affine and Quadratic {Volterra} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "369--409",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1347449",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Pun:2021:SLA,
  author =       "Chi Seng Pun",
  title =        "A Sparse Learning Approach to
                 Relative-Volatility-Managed Portfolio Selection",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "410--445",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1291674",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Baldacci:2021:OMT,
  author =       "Bastien Baldacci and Dylan Possama{\"\i} and Mathieu
                 Rosenbaum",
  title =        "Optimal Make-Take Fees in a Multi Market-Maker
                 Environment",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "446--486",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1277412",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Malham:2021:SED,
  author =       "Simon J. A. Malham and Jiaqi Shen and Anke Wiese",
  title =        "Series Expansions and Direct Inversion for the
                 {Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "1",
  pages =        "487--549",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M126791X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:44 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{DeMarco:2021:HMR,
  author =       "Stefano {De Marco}",
  title =        "On the Harmonic Mean Representation of the Implied
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "551--565",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1352120",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{vanStaden:2021:DTW,
  author =       "Pieter M. van Staden and Duy-Minh Dang and Peter A.
                 Forsyth",
  title =        "On the Distribution of Terminal Wealth under Dynamic
                 Mean-Variance Optimal Investment Strategies",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "566--603",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1338241",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Ishii:2021:EUV,
  author =       "Hitoshi Ishii and Alexandre Roch",
  title =        "Existence and Uniqueness of Viscosity Solutions of an
                 Integro-differential Equation Arising in Option
                 Pricing",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "604--640",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1341441",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Mostovyi:2021:SIU,
  author =       "Oleksii Mostovyi",
  title =        "Stability of the Indirect Utility Process",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "641--671",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1260359",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Carr:2021:PVS,
  author =       "Peter Carr and Roger Lee and Matthew Lorig",
  title =        "Pricing Variance Swaps on Time-Changed {Markov}
                 Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "672--689",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1344597",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Alos:2021:DBV,
  author =       "Elisa Al{\`o}s and Frido Rolloos and Kenichiro
                 Shiraya",
  title =        "On the Difference Between the Volatility Swap Strike
                 and the Zero Vanna Implied Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "690--723",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M134722X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Fox:2021:BPG,
  author =       "Jamie Fox and Giray {\"O}kten",
  title =        "{Brownian} Path Generation and Polynomial Chaos",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "724--743",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1343154",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cont:2021:SPD,
  author =       "Rama Cont and Marvin S. M{\"u}ller",
  title =        "A Stochastic Partial Differential Equation Model for
                 Limit Order Book Dynamics",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "744--787",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1254489",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Ackermann:2021:OTE,
  author =       "Julia Ackermann and Thomas Kruse and Mikhail Urusov",
  title =        "Optimal Trade Execution in an Order Book Model with
                 Stochastic Liquidity Parameters",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "788--822",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M135409X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Cai:2021:OHP,
  author =       "Cheng Cai and Tiziano {De Angelis} and Jan
                 Palczewski",
  title =        "Optimal Hedging of a Perpetual {American} Put with a
                 Single Trade",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "823--866",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1325265",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{ElAmrani:2021:SCD,
  author =       "Mehdi {El Amrani} and Antoine Jacquier and Claude
                 Martini",
  title =        "Short Communication: Dynamics of Symmetric {SSVI}
                 Smiles and Implied Volatility Bubbles",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "SC1--SC15",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M136089X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Guasoni:2021:SCA,
  author =       "Paolo Guasoni and Yu-Jui Huang and Saeed Khalili",
  title =        "Short Communication: {American} Student Loans:
                 Repayment and Valuation",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "SC16--SC30",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1392267",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bank:2021:SCN,
  author =       "Peter Bank and Yan Dolinsky",
  title =        "Short Communication: a Note on Utility Indifference
                 Pricing with Delayed Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "SC31--SC43",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1379630",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bolker:2021:SCS,
  author =       "Benjamin M. Bolker and Matheus R. Grasselli and Emma
                 Holmes",
  title =        "Short Communication: Sensitivity Analysis of an
                 Integrated Climate-Economic Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "2",
  pages =        "SC44--SC57",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1404120",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:46 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Li:2021:GTA,
  author =       "Juan Li and Wenqiang Li and Gechun Liang",
  title =        "A Game Theoretical Approach to Homothetic Robust
                 Forward Investment Performance Processes in Stochastic
                 Factor Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "867--897",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1334280",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Lessy:2021:MML,
  author =       "Djaffar Lessy and Nahla Dhib and Francine Diener and
                 Marc Diener",
  title =        "{May} Microcredit Lead to Inclusion?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "898--911",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1342811",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Saporito:2021:PDD,
  author =       "Yuri F. Saporito and Zhaoyu Zhang",
  title =        "Path-Dependent Deep {Galerkin} Method: a Neural
                 Network Approach to Solve Path-Dependent Partial
                 Differential Equations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "912--940",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1329597",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Chen:2021:FBP,
  author =       "Xinfu Chen and Jin Liang",
  title =        "A Free Boundary Problem for Corporate Bond Pricing and
                 Credit Rating Under Different Upgrade and Downgrade
                 Thresholds",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "941--966",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1343592",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Gnoatto:2021:CCV,
  author =       "Alessandro Gnoatto and Nicole Seiffert",
  title =        "Cross Currency Valuation and Hedging in the Multiple
                 Curve Framework",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "967--1012",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1324375",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Biagini:2021:UAX,
  author =       "Francesca Biagini and Alessandro Gnoatto and
                 Immacolata Oliva",
  title =        "A Unified Approach to {xVA} with {CSA} Discounting and
                 Initial Margin",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1013--1053",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1332153",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Wang:2021:EUM,
  author =       "Xiangyu Wang and Jianming Xia",
  title =        "Expected Utility Maximization with Stochastic
                 Dominance Constraints in Complete Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1054--1111",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1338447",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Lopez:2021:EPJ,
  author =       "Dante Mata L{\'o}pez and Jos{\'e} Luis P{\'e}rez and
                 Kazutoshi Yamazaki",
  title =        "Effects of Positive Jumps of Assets on Endogenous
                 Bankruptcy and Optimal Capital Structure: Continuous-
                 and Periodic-Observation Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1112--1149",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1362127",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Jusselin:2021:OMM,
  author =       "Paul Jusselin",
  title =        "Optimal Market Making with Persistent Order Flow",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1150--1200",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1376054",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bayer:2021:ROS,
  author =       "Christian Bayer and Denis Belomestny and Paul Hager
                 and Paolo Pigato and John Schoenmakers",
  title =        "Randomized Optimal Stopping Algorithms and Their
                 Convergence Analysis",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1201--1225",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1373876",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Chen:2021:MLA,
  author =       "Tao Chen and Michael Ludkovski",
  title =        "A Machine Learning Approach to Adaptive Robust Utility
                 Maximization and Hedging",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1226--1256",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1336023",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bayer:2021:LMR,
  author =       "Christian Bayer and Fabian A. Harang and Paolo
                 Pigato",
  title =        "Log-Modulated Rough Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1257--1284",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M135902X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Elliott:2021:FRD,
  author =       "Robert J. Elliott and Dilip B. Madan and King Wang",
  title =        "Filtering Response Directions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "1285--1306",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1339830",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Chataigner:2021:SCB,
  author =       "Marc Chataigner and Areski Cousin and St{\'e}phane
                 Cr{\'e}pey and Matthew Dixon and Djibril Gueye",
  title =        "Short Communication: Beyond Surrogate Modeling:
                 Learning the Local Volatility via Shape Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "SC58--SC69",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1381538",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Burzoni:2021:SCR,
  author =       "Matteo Burzoni and Marco Frittelli and Federico
                 Zorzi",
  title =        "Short Communication: Robust Market-Adjusted Systemic
                 Risk Measures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "3",
  pages =        "SC70--SC82",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1401723",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:48 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Neufeld:2021:MFP,
  author =       "Ariel Neufeld and Julian Sester",
  title =        "Model-Free Price Bounds Under Dynamic Option Trading",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1307--1339",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1390013",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Fuh:2021:CRP,
  author =       "Cheng-Der Fuh and Chu-Lan Michael Kao",
  title =        "Credit Risk Propagation in Structural-Form Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1340--1373",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M135340X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Benth:2021:CPP,
  author =       "Fred Espen Benth and Silvia Lavagnini",
  title =        "Correlators of Polynomial Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1374--1415",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M141556X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Mercuri:2021:FMA,
  author =       "Lorenzo Mercuri and Andrea Perchiazzo and Edit Rroji",
  title =        "Finite Mixture Approximation of {$ {\rm CARMA}(p, q)
                 $} Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1416--1458",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1363248",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Doldi:2021:CSR,
  author =       "Alessandro Doldi and Marco Frittelli",
  title =        "Conditional Systemic Risk Measures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1459--1507",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1370616",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Acharya:2021:ROP,
  author =       "Subas Acharya and Alain Bensoussan and Dmitrii
                 Rachinskii and Alejandro Rivera",
  title =        "Real Options Problem with Nonsmooth Obstacle",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1508--1552",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1386815",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Han:2021:TIR,
  author =       "Bingyan Han and Hoi Ying Wong",
  title =        "Time-Inconsistency with Rough Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1553--1595",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M136654X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Lin:2021:AOP,
  author =       "Minglian Lin and Indranil SenGupta",
  title =        "Analysis of Optimal Portfolio on Finite and Small-Time
                 Horizons for a Stochastic Volatility Market Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "1596--1624",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1412281",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Feinstein:2021:SCD,
  author =       "Zachary Feinstein and Andreas S{\o}jmark",
  title =        "Short Communication: Dynamic Default Contagion in
                 Heterogeneous Interbank Systems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "SC83--SC97",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1376765",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Fontanela:2021:SCQ,
  author =       "Filipe Fontanela and Antoine Jacquier and Mugad
                 Oumgari",
  title =        "Short Communication: a Quantum Algorithm for Linear
                 {PDEs} Arising in Finance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "SC98--SC114",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1397878",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Bayraktar:2021:SCN,
  author =       "Erhan Bayraktar and Christoph Czichowsky and Leonid
                 Dolinskyi and Yan Dolinsky",
  title =        "Short Communication: a Note on Utility Maximization
                 with Proportional Transaction Costs and Stability of
                 Optimal Portfolios",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "12",
  number =       "4",
  pages =        "SC115--SC125",
  month =        "????",
  year =         "2021",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1431382",
  ISSN =         "1945-497X",
  bibdate =      "Wed Jan 19 08:40:50 MST 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/12/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2021",
}

@Article{Guo:2022:JMC,
  author =       "Ivan Guo and Gr{\'e}goire Loeper and Jan Ob{\l}{\'o}j
                 and Shiyi Wang",
  title =        "Joint Modeling and Calibration of {SPX} and {VIX} by
                 Optimal Transport",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "1--31",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1375905",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1375905",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Alos:2022:SPV,
  author =       "Elisa Al{\`o}s and David Garc{\'\i}a-Lorite and Aitor
                 Muguruza Gonzalez",
  title =        "On Smile Properties of Volatility Derivatives:
                 Understanding the {VIX} Skew",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "32--69",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1269981",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/19M1269981",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Detering:2022:SFS,
  author =       "Nils Detering and Thilo Meyer-Brandis and Konstantinos
                 Panagiotou and Daniel Ritter",
  title =        "Suffocating Fire Sales",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "70--108",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1379800",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1379800",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Fouque:2022:SSA,
  author =       "Jean-Pierre Fouque and Ruimeng Hu and Ronnie Sircar",
  title =        "Sub- and Supersolution Approach to Accuracy Analysis
                 of Portfolio Optimization Asymptotics in Multiscale
                 Stochastic Factor Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "109--128",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1428625",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1428625",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Nutz:2022:RDR,
  author =       "Marcel Nutz and Yuchong Zhang",
  title =        "Reward Design in Risk-Taking Contests",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "129--146",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1397386",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1397386",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Li:2022:HON,
  author =       "Yunzhang Li",
  title =        "A High-Order Numerical Method for {BSPDEs} with
                 Applications to Mathematical Finance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "147--178",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1383252",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1383252",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayer:2022:POU,
  author =       "Christian Bayer and Jinniao Qiu and Yao Yao",
  title =        "Pricing Options under Rough Volatility with Backward
                 {SPDEs}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "179--212",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1357639",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1357639",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Jaimungal:2022:RRA,
  author =       "Sebastian Jaimungal and Silvana M. Pesenti and Ye
                 Sheng Wang and Hariom Tatsat",
  title =        "Robust Risk-Aware Reinforcement Learning",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "213--226",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M144640X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M144640X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Martini:2022:NAS,
  author =       "Claude Martini and Arianna Mingone",
  title =        "No Arbitrage {SVI}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "227--261",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1351060",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1351060",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Cartea:2022:OCB,
  author =       "{\'A}lvaro Cartea and Maria Flora and Tiziano Vargiolu
                 and Georgi Slavov",
  title =        "Optimal Cross-Border Electricity Trading",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "262--294",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1398537",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1398537",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Vigna:2022:TOP,
  author =       "Elena Vigna",
  title =        "Tail Optimality and Preferences Consistency for
                 Intertemporal Optimization Problems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "295--320",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1435422",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1435422",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Angoshtari:2022:OIC,
  author =       "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
                 Young",
  title =        "Optimal Investment and Consumption under a
                 Habit-Formation Constraint",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "321--352",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1397891",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1397891",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bergault:2022:MAO,
  author =       "Philippe Bergault and Fay{\c{c}}al Drissi and Olivier
                 Gu{\'e}ant",
  title =        "Multi-asset Optimal Execution and Statistical
                 Arbitrage Strategies under {Ornstein--Uhlenbeck}
                 Dynamics",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "353--390",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1407756",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1407756",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Yamada:2022:SCG,
  author =       "Toshihiro Yamada",
  title =        "Short Communication: A {Gaussian} {Kusuoka}
                 Approximation without Solving Random {ODEs}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "SC1--SC11",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1433915",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1433915",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Dolinsky:2022:SCU,
  author =       "Yan Dolinsky and Shir Moshe",
  title =        "Short Communication: Utility Indifference Pricing with
                 High Risk Aversion and Small Linear Price Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "SC12--SC25",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1456431",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1456431",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bellini:2022:SCA,
  author =       "Fabio Bellini and Ilaria Peri",
  title =        "Short Communication: An Axiomatization of {$ \Lambda
                 $}-Quantiles",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "1",
  pages =        "SC26--SC38",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1444278",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:26 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1444278",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Shen:2022:MVP,
  author =       "Yang Shen and Bin Zou",
  title =        "Mean-Variance Portfolio Selection in Contagious
                 Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "391--425",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1320560",
  ISSN =         "1945-497X",
  bibdate =      "Thu Apr 14 08:28:28 MDT 2022",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1320560",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Chevalier:2022:AOV,
  author =       "Etienne Chevalier and Sergio Pulido and Elizabeth
                 Z{\'u}{\~n}iga",
  title =        "{American} Options in the {Volterra Heston} Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "426--458",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M140674X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M140674X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Fujii:2022:SCM,
  author =       "Masaaki Fujii and Akihiko Takahashi",
  title =        "Strong Convergence to the Mean Field Limit of a Finite
                 Agent Equilibrium",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "459--490",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1441055",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1441055",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Vellekoop:2022:ESA,
  author =       "Michel Vellekoop and Marcellino Gaudenzi",
  title =        "Exact Solutions and Approximations for Optimal
                 Investment Strategies and Indifference Prices",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "491--520",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1393303",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1393303",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Goldberg:2022:DB,
  author =       "Lisa R. Goldberg and Alex Papanicolaou and Alex
                 Shkolnik",
  title =        "The Dispersion Bias",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "521--550",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M144058X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M144058X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Neuman:2022:OSA,
  author =       "Eyal Neuman and Moritz Vo{\ss}",
  title =        "Optimal Signal-Adaptive Trading with Temporary and
                 Transient Price Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "551--575",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1375486",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1375486",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Campbell:2022:FPO,
  author =       "Steven Campbell and Ting-Kam Leonard Wong",
  title =        "Functional Portfolio Optimization in Stochastic
                 Portfolio Theory",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "576--618",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1417715",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1417715",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Wang:2022:PFS,
  author =       "Gu Wang",
  title =        "Performance Fees with Stochastic Benchmark",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "619--652",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1401826",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1401826",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Carassus:2022:ERS,
  author =       "Laurence Carassus and Jan Ob{\l}{\'o}j and Johannes
                 Wiesel",
  title =        "Erratum: The Robust Superreplication Problem: a
                 Dynamic Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "653--655",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1447040",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1447040",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Elizalde:2022:SCC,
  author =       "Mauricio Elizalde and Carlos Escudero",
  title =        "Short Communication: Chances for the Honest in Honest
                 versus Insider Trading",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "SC39--SC52",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1439547",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1439547",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Blanchard:2022:SCS,
  author =       "Romain Blanchard and Laurence Carassus",
  title =        "Short Communication: Super-Replication Prices with
                 Multiple Priors in Discrete Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "SC53--SC65",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1470013",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1470013",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayer:2022:SCW,
  author =       "Christian Bayer and Masaaki Fukasawa and Shonosuke
                 Nakahara",
  title =        "Short Communication: On the Weak Convergence Rate in
                 the Discretization of Rough Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "SC66--SC73",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1482871",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1482871",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Tissot-Daguette:2022:SCP,
  author =       "Valentin Tissot-Daguette",
  title =        "Short Communication: Projection of Functionals and
                 Fast Pricing of Exotic Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "2",
  pages =        "SC74--SC86",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1451439",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:35 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1451439",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Albrecher:2022:ORD,
  author =       "Hansj{\"o}rg Albrecher and Pablo Azcue and Nora
                 Muler",
  title =        "Optimal Ratcheting of Dividends in a {Brownian} Risk
                 Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "657--701",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1387171",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1387171",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Avellaneda:2022:PEU,
  author =       "Marco Avellaneda and Brian Healy and Andrew
                 Papanicolaou and George Papanicolaou",
  title =        "Principal Eigenportfolios for {U.S.} Equities",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "702--744",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1383501",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1383501",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Veraguas:2022:SCO,
  author =       "Julio Backhoff Veraguas and A. Max Reppen and Ludovic
                 Tangpi",
  title =        "Stochastic Control of Optimized Certainty
                 Equivalents",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "745--772",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1407732",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1407732",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Gapeev:2022:PAS,
  author =       "Pavel V. Gapeev and Libo Li",
  title =        "Perpetual {American} Standard and Lookback Options
                 with Event Risk and Asymmetric Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "773--801",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1396848",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1396848",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Park:2022:RCI,
  author =       "Kyunghyun Park and Hoi Ying Wong",
  title =        "Robust Consumption-Investment with Return Ambiguity: a
                 Dual Approach with Volatility Ambiguity",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "802--843",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1440189",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1440189",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{dosReis:2022:FUM,
  author =       "Gon{\c{c}}alo dos Reis and Vadim Platonov",
  title =        "Forward Utility and Market Adjustments in Relative
                 Investment-Consumption Games of Many Players",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "844--876",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M138421X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M138421X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Coculescu:2022:ITF,
  author =       "Delia Coculescu and Aditi Dandapani",
  title =        "Insiders and Their Free Lunches: The Role of Short
                 Positions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "877--902",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1375826",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1375826",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Meng:2022:ODR,
  author =       "Hui Meng and Pengyu Wei and Wanlu Zhang and Sheng Chao
                 Zhuang",
  title =        "Optimal Dynamic Reinsurance Under Heterogeneous
                 Beliefs and {CARA} Utility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "903--943",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1411093",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1411093",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Fouque:2022:OTS,
  author =       "Jean-Pierre Fouque and Sebastian Jaimungal and Yuri F.
                 Saporito",
  title =        "Optimal Trading with Signals and Stochastic Price
                 Impact",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "944--968",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1394473",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1394473",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Belak:2022:OIT,
  author =       "Christoph Belak and An Chen and Carla Mereu and Robert
                 Stelzer",
  title =        "Optimal Investment with Time-Varying Stochastic
                 Endowments",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "969--1003",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1453402",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1453402",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Biagini:2022:RPC,
  author =       "Sara Biagini and Fausto Gozzi and Margherita
                 Zanella",
  title =        "Robust Portfolio Choice with Sticky Wages",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1004--1039",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1429722",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1429722",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Avanesyan:2022:PMF,
  author =       "Levon Avanesyan and Ronnie Sircar",
  title =        "Power Mixture Forward Performance Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1040--1062",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1385500",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1385500",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Kong:2022:RUP,
  author =       "Linghui Kong and Cong Qin and Xingye Yue",
  title =        "Realization Utility with Path-Dependent Reference
                 Points",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1063--1111",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1411457",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1411457",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Gurdogan:2022:MAP,
  author =       "Hubeyb Gurdogan and Alec Kercheval",
  title =        "Multiple Anchor Point Shrinkage for the Sample
                 Covariance Matrix",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1112--1143",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1446411",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1446411",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Zhang:2022:AMC,
  author =       "Gongqiu Zhang and Lingfei Li",
  title =        "Analysis of {Markov} Chain Approximation for Diffusion
                 Models with Nonsmooth Coefficients",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1144--1190",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1440098",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1440098",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Shreve:2022:EC,
  author =       "Steven Shreve and Jing Wang",
  title =        "Escrow and Clawback",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1191--1229",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1455619",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1455619",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Liebrich:2022:MUR,
  author =       "Felix-Benedikt Liebrich and Marco Maggis and Gregor
                 Svindland",
  title =        "Model Uncertainty: a Reverse Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "1230--1269",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1425463",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1425463",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Wang:2022:SCM,
  author =       "Xiangyu Wang and Jianming Xia and Zuo Quan Xu and Zhou
                 Yang",
  title =        "Short Communication: Minimal Quantile Functions
                 Subject to Stochastic Dominance Constraints",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "3",
  pages =        "SC87--SC98",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1488557",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:38 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1488557",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Anthropelos:2022:CFM,
  author =       "Michail Anthropelos and Tianran Geng and Thaleia
                 Zariphopoulou",
  title =        "Competition in Fund Management and Forward Relative
                 Performance Criteria",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1271--1301",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1376169",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1376169",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bank:2022:MOI,
  author =       "Peter Bank and Laura K{\"o}rber",
  title =        "{Merton}'s Optimal Investment Problem with Jump
                 Signals",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1302--1325",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1450161",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1450161",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Choi:2022:ENT,
  author =       "Jin Hyuk Choi and Kim Weston",
  title =        "Endogenous Noise Trackers in a Radner Equilibrium",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1326--1343",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1483384",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1483384",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Liebrich:2022:SVR,
  author =       "Felix-Benedikt Liebrich and Max Nendel",
  title =        "Separability Versus Robustness of {Orlicz} Spaces:
                 Financial and Economic Perspectives",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1344--1378",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1418794",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1418794",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Cartea:2022:DES,
  author =       "{\'A}lvaro Cartea and Imanol P{\'e}rez Arribas and
                 Leandro S{\'a}nchez-Betancourt",
  title =        "Double-Execution Strategies Using Path Signatures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1379--1417",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1456467",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1456467",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Guyon:2022:VFB,
  author =       "Julien Guyon",
  title =        "The {VIX} Future in {Bergomi} Models: Fast
                 Approximation Formulas and Joint Calibration with {S\&P
                 500} Skew",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "1418--1485",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1437408",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1437408",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Shen:2022:SCC,
  author =       "Yang Shen and Bin Zou",
  title =        "Short Communication: Cone-Constrained Monotone
                 Mean-Variance Portfolio Selection under Diffusion
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "SC99--SC112",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1487527",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1487527",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Feinstein:2022:SCC,
  author =       "Zachary Feinstein",
  title =        "Short Communication: Clearing Prices under Margin
                 Calls and the Short Squeeze",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "SC113--SC122",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M147877X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M147877X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayraktar:2022:SCS,
  author =       "Erhan Bayraktar and Zhenhua Wang and Zhou Zhou",
  title =        "Short Communication: Stability of Time-Inconsistent
                 Stopping for One-Dimensional Diffusions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "13",
  number =       "4",
  pages =        "SC123--SC135",
  month =        "????",
  year =         "2022",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1510005",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:40 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/13/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1510005",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Kreher:2023:JDA,
  author =       "D{\"o}rte Kreher and Cassandra Milbradt",
  title =        "Jump Diffusion Approximation for the Price Dynamics of
                 a Fully State Dependent Limit Order Book Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "1--51",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1380922",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1380922",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Aichinger:2023:UMM,
  author =       "Florian Aichinger and Sascha Desmettre",
  title =        "Utility Maximization in Multivariate {Volterra}
                 Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "52--98",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1464543",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1464543",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Sabino:2023:NTS,
  author =       "Piergiacomo Sabino",
  title =        "Normal Tempered Stable Processes and the Pricing of
                 Energy Derivatives",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "99--126",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1425207",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1425207",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Marisu:2023:BEO,
  author =       "Godeliva Petrina Marisu and Chi Seng Pun",
  title =        "{Bayesian} Estimation and Optimization for Learning
                 Sequential Regularized Portfolios",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "127--157",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1427176",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1427176",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Feinstein:2023:CCO,
  author =       "Zachary Feinstein and Thomas R. Hurd",
  title =        "Contingent Convertible Obligations and Financial
                 Stability",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "158--187",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1498954",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1498954",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Gomes:2023:RSM,
  author =       "Diogo Gomes and Julian Gutierrez and Ricardo
                 Ribeiro",
  title =        "A Random-Supply Mean Field Game Price Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "188--222",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1443923",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1443923",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Richard:2023:DTS,
  author =       "Alexandre Richard and Xiaolu Tan and Fan Yang",
  title =        "On the Discrete-Time Simulation of the Rough {Heston}
                 Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "223--249",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1443807",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1443807",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Tian:2023:PPT,
  author =       "Dejian Tian",
  title =        "Pricing Principle via {Tsallis} Relative Entropy in
                 Incomplete Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "250--278",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1471614",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1471614",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Azcue:2023:ORM,
  author =       "Pablo Azcue and Xiaoqing Liang and Nora Muler and
                 Virginia R. Young",
  title =        "Optimal Reinsurance to Minimize the Probability of
                 Drawdown under the Mean-Variance Premium Principle:
                 Asymptotic Analysis",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "279--313",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1461666",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1461666",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Fontana:2023:SCC,
  author =       "Claudio Fontana",
  title =        "Short Communication: Caplet Pricing in Affine Models
                 for Alternative Risk-Free Rates",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "SC1--SC16",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1513691",
  ISSN =         "1945-497X",
  bibdate =      "Thu Mar 23 08:48:43 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1513691",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Angeris:2023:SCP,
  author =       "Guillermo Angeris and Tarun Chitra and Alex Evans and
                 Matthew Lorig",
  title =        "Short Communication: {A} Primer on Perpetuals",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "1",
  pages =        "SC17--SC30",
  month =        mar,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1520931",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:55:10 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/1;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Jacquier:2023:DCD,
  author =       "Antoine Jacquier and Mugad Oumgari",
  title =        "Deep Curve-Dependent {PDEs} for Affine Rough
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "353--382",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/19M1267805",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/19M1267805",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayer:2023:PHD,
  author =       "Christian Bayer and Martin Eigel and Leon Sallandt and
                 Philipp Trunschke",
  title =        "Pricing High-Dimensional {Bermudan} Options with
                 Hierarchical Tensor Formats",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "383--406",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1402170",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1402170",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Staden:2023:BBD,
  author =       "Pieter M. {Van Staden} and Peter A. Forsyth and Yuying
                 Li",
  title =        "Beating a Benchmark: Dynamic Programming May Not Be
                 the Right Numerical Approach",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "407--451",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1530070",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1530070",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Ogetbil:2023:EDF,
  author =       "Orcan {\"O}getbil and Bernhard Hientzsch",
  title =        "Extensions of Dupire Formula: Stochastic Interest
                 Rates and Stochastic Local Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "452--474",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1390906",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1390906",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Gassiat:2023:WER,
  author =       "Paul Gassiat",
  title =        "Weak Error Rates of Numerical Schemes for Rough
                 Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "475--496",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1485760",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1485760",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Chakraborty:2023:ODU,
  author =       "Prakash Chakraborty and Asaf Cohen and Virginia R.
                 Young",
  title =        "Optimal Dividends Under Model Uncertainty",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "497--524",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1447453",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1447453",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Qi:2023:GCM,
  author =       "Hou-Duo Qi",
  title =        "Geometric Characterization of Maximum Diversification
                 Return Portfolio via {Rao}'s Quadratic Entropy",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "525--556",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1492313",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1492313",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Angoshtari:2023:OCU,
  author =       "Bahman Angoshtari and Erhan Bayraktar and Virginia R.
                 Young",
  title =        "Optimal Consumption Under a Habit-Formation
                 Constraint: The Deterministic Case",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "557--597",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1471560",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1471560",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Lillo:2023:ABL,
  author =       "Fabrizio Lillo and Giulia Livieri and Stefano Marmi
                 and Anton Solomko and Sandro Vaienti",
  title =        "Analysis of Bank Leverage via Dynamical Systems and
                 Deep Neural Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "598--643",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1412517",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1412517",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Fadina:2023:OAR,
  author =       "Tolulope Fadina and Peng Liu and Ruodu Wang",
  title =        "One Axiom to Rule Them All: a Minimalist
                 Axiomatization of Quantiles",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "644--662",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1531567",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1531567",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bosserhoff:2023:RDH,
  author =       "Frank Bosserhoff and Mitja Stadje",
  title =        "Robustness of Delta Hedging in a Jump-Diffusion
                 Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "663--703",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M149435X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M149435X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bartl:2023:SMO,
  author =       "Daniel Bartl and Johannes Wiesel",
  title =        "Sensitivity of Multiperiod Optimization Problems with
                 Respect to the Adapted {Wasserstein} Distance",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "2",
  pages =        "704--720",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1537746",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:53:59 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/2;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1537746",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Yang:2023:RCP,
  author =       "Zhou Yang and Jing Zhang and Chao Zhou",
  title =        "Robust Control Problems of {BSDEs} Coupled with Value
                 Functions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "721--750",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1511977",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1511977",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Carmona:2023:OEQ,
  author =       "Rene Carmona and Laura Leal",
  title =        "Optimal Execution with Quadratic Variation
                 Inventories",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "751--776",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1416564",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1416564",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Landriault:2023:OSE,
  author =       "David Landriault and Bin Li and Jos{\'e} M. Pedraza",
  title =        "Optimal Stopping for Exponential {L{\'e}vy} Models
                 with Weighted Discounting",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "777--811",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1513538",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1513538",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Zhitlukhin:2023:CGS,
  author =       "Mikhail Zhitlukhin",
  title =        "Capital Growth and Survival Strategies in a Market
                 with Endogenous Prices",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "812--837",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1394370",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1394370",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Hu:2023:CMM,
  author =       "Ying Hu and Xiaomin Shi and Zuo Quan Xu",
  title =        "Constrained Monotone Mean-Variance Problem with Random
                 Coefficients",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "838--854",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M154418X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M154418X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Alvarez:2023:OBC,
  author =       "Guillermo Alonso Alvarez and Sergey Nadtochiy and
                 Kevin Webster",
  title =        "Optimal Brokerage Contracts in Almgren-Chriss Model
                 with Multiple Clients",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "855--878",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1490156",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1490156",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Duc:2023:HRP,
  author =       "Luu H. Duc and J{\"u}rgen Jost",
  title =        "How Rough Path Lifts Affect Expected Return and
                 Volatility: a Rough Model under Transaction Cost",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "879--909",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/20M1358670",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/20M1358670",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Cuchiero:2023:SBM,
  author =       "Christa Cuchiero and Guido Gazzani and Sara
                 Svaluto-Ferro",
  title =        "Signature-Based Models: Theory and Calibration",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "910--957",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1512338",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1512338",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Dolinsky:2023:SCE,
  author =       "Yan Dolinsky and Or Zuk",
  title =        "Short Communication: {Exponential} Utility
                 Maximization in a Discrete Time {Gaussian} Framework",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "3",
  pages =        "SC31--SC41",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M1576074",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:01 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M1576074",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Feng:2023:CMS,
  author =       "Qi Feng and Jianfeng Zhang",
  title =        "Cubature Method for Stochastic {Volterra} Integral
                 Equations",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "959--1003",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M146889X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:04 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M146889X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Ning:2023:AFI,
  author =       "Brian (Xin) Ning and Sebastian Jaimungal and Xiaorong
                 Zhang and Maxime Bergeron",
  title =        "Arbitrage-Free Implied Volatility Surface Generation
                 with Variational Autoencoders",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1004--1027",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21M1443546",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:04 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/21M1443546",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayraktar:2023:NNA,
  author =       "Erhan Bayraktar and Asaf Cohen and April Nellis",
  title =        "A Neural Network Approach to High-Dimensional Optimal
                 Switching Problems with Jumps in Energy Markets",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1028--1061",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1527246",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:04 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1527246",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bernis:2023:IRT,
  author =       "Guillaume Bernis and Matthieu Garcin and Simone Scotti
                 and Carlo Sgarra",
  title =        "Interest Rates Term Structure Models Driven by
                 {Hawkes} Processes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1062--1079",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1502604",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:04 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1502604",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Baldacci:2023:MFG,
  author =       "Bastien Baldacci and Philippe Bergault and Dylan
                 Possama{\"\i}",
  title =        "A Mean-Field Game of Market-Making against Strategic
                 Traders",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1080--1112",
  month =        oct,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1486492",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Ech-Chafiq:2023:PBO,
  author =       "Zineb El Filali Ech-Chafiq and Pierre Henry
                 Labord{\`e}re and J{\'e}r{\^o}me Lelong",
  title =        "Pricing {Bermudan} Options Using Regression
                 Trees\slash Random Forests",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1113--1139",
  month =        oct,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21m1460648",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Peng:2023:RGR,
  author =       "Jing Peng and Pengyu Wei and Zuo Quan Xu",
  title =        "Relative Growth Rate Optimization Under Behavioral
                 Criterion",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1140--1174",
  month =        oct,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1496943",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Pesenti:2023:POW,
  author =       "Silvana M. Pesenti and Sebastian Jaimungal",
  title =        "Portfolio Optimization within a {Wasserstein} Ball",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1175--1214",
  month =        nov,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1496803",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Baldacci:2023:BAS,
  author =       "Bastien Baldacci and Philippe Bergault and Joffrey
                 Derchu and Mathieu Rosenbaum",
  title =        "On Bid and Ask Side-Specific Tick Sizes",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1215--1248",
  month =        nov,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21m146065x",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Coache:2023:CED,
  author =       "Anthony Coache and Sebastian Jaimungal and {\'A}lvaro
                 Cartea",
  title =        "Conditionally Elicitable Dynamic Risk Measures for
                 Deep Reinforcement Learning",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1249--1289",
  month =        nov,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1527209",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Gao:2023:CBD,
  author =       "Chengfan Gao and Siping Gao and Ruimeng Hu and Zimu
                 Zhu",
  title =        "Convergence of the Backward Deep {BSDE} Method with
                 Applications to Optimal Stopping Problems",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1290--1303",
  month =        dec,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1539952",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Biagini:2023:LBM,
  author =       "Francesca Biagini and Andrea Mazzon and Thilo
                 Meyer-Brandis and Katharina Oberpriller",
  title =        "Liquidity Based Modeling of Asset Price Bubbles via
                 Random Matching",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "1304--1342",
  month =        dec,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1531580",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Zhang:2023:SCS,
  author =       "Jianfeng Zhang",
  title =        "Short Communication: {Is} a Sophisticated Agent Always
                 a Wise One?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "SC42--SC48",
  month =        "????",
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M1569137",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 17 13:54:04 MDT 2023",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/14/4;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M1569137",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Maggis:2023:SCB,
  author =       "Marco Maggis",
  title =        "Short Communication: {The} Birth of (a Robust)
                 Arbitrage Theory in {de Finetti}'s Early
                 Contributions",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "SC49--SC59",
  month =        nov,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1604096",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayraktar:2023:SCE,
  author =       "Erhan Bayraktar and Bingyan Han",
  title =        "Short Communication: {Existence} of {Markov}
                 Equilibrium Control in Discrete Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "14",
  number =       "4",
  pages =        "SC60--SC71",
  month =        dec,
  year =         "2023",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1594121",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Protter:2024:OBQ,
  author =       "Philip E. Protter and Qianfan Wu and Shihao Yang",
  title =        "Order Book Queue {Hawkes Markovian} Modeling",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "1--25",
  month =        jan,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1470815",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Donnelly:2024:ECT,
  author =       "Ryan Donnelly and Sebastian Jaimungal",
  title =        "Exploratory Control with {Tsallis} Entropy for Latent
                 Factor Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "26--53",
  month =        feb,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m153505x",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Xia:2024:OIR,
  author =       "Jianming Xia",
  title =        "Optimal Investment with Risk Controlled by Weighted
                 Entropic Risk Measures",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "54--92",
  month =        feb,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m152894x",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bose:2024:MKB,
  author =       "Shreya Bose and Ibrahim Ekren",
  title =        "Multidimensional {Kyle--Back} Model with a Risk Averse
                 Informed Trader",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "93--120",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21m1457059",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Li:2024:OCL,
  author =       "Xun Li and Xiang Yu and Qinyi Zhang",
  title =        "Optimal Consumption with Loss Aversion and Reference
                 to Past Spending Maximum",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "121--160",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m149212x",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Choi:2024:MAT,
  author =       "Jin Hyuk Choi and Jetlir Duraj and Kim Weston",
  title =        "A Multi-agent Targeted Trading Equilibrium with
                 Transaction Costs",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "161--193",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1542982",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Bayraktar:2024:DSA,
  author =       "Erhan Bayraktar and Qi Feng and Zhaoyu Zhang",
  title =        "Deep Signature Algorithm for Multidimensional
                 Path-Dependent Options",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "194--214",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1571563",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Brigo:2024:MCS,
  author =       "Damiano Brigo and Federico Graceffa and Alexander
                 Kalinin",
  title =        "Mild to Classical Solutions for {XVA} Equations under
                 Stochastic Volatility",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "215--254",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1506882",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Wu:2024:GOC,
  author =       "Qinyu Wu and Tiantian Mao and Taizhong Hu",
  title =        "Generalized Optimized Certainty Equivalent with
                 Applications in the Rank-Dependent Utility Model",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "255--294",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/21m1448276",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Munari:2024:RPS,
  author =       "Cosimo Munari and Justin Pl{\"u}ckebaum and Stefan
                 Weber",
  title =        "Robust Portfolio Selection under Recovery Average
                 Value at Risk",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "295--314",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1555491",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Doldi:2024:SCS,
  author =       "Alessandro Doldi and Marco Frittelli and Emanuela
                 Rosazza Gianin",
  title =        "Short Communication: {Are} Shortfall Systemic Risk
                 Measures One Dimensional?",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "SC1--SC14",
  month =        jan,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1580413",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Cao:2024:SCO,
  author =       "Jingyi Cao and Dongchen Li and Virginia R. Young and
                 Bin Zou",
  title =        "Short Communication: {Optimal} Insurance to Maximize
                 Exponential Utility When Premium Is Computed by a
                 Convex Functional",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "1",
  pages =        "SC15--SC27",
  month =        mar,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1601237",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Kitapbayev:2024:MCU,
  author =       "Yerkin Kitapbayev and Scott Robertson",
  title =        "Mortgage Contracts and Underwater Default",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "2",
  pages =        "315--359",
  month =        apr,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1498590",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Deng:2024:RWC,
  author =       "Chao Deng and Xizhi Su and Chao Zhou",
  title =        "Relative Wealth Concerns with Partial Information and
                 Heterogeneous Priors",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "2",
  pages =        "360--398",
  month =        apr,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1508625",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{DiNunno:2024:FDR,
  author =       "Giulia {Di Nunno} and Emanuela Rosazza Gianin",
  title =        "Fully Dynamic Risk Measures: Horizon Risk,
                 Time-Consistency, and Relations with {BSDEs} and
                 {BSVIEs}",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "2",
  pages =        "399--435",
  month =        may,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23m1546804",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Neufeld:2024:DDD,
  author =       "Ariel Neufeld and Julian Sester and Daiying Yin",
  title =        "Detecting Data-Driven Robust Statistical Arbitrage
                 Strategies with Deep Neural Networks",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "2",
  pages =        "436--472",
  month =        may,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22m1487928",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Pitera:2024:SCU,
  author =       "Marcin Pitera and Mikl{\'o}s R{\'a}sonyi",
  title =        "Short Communication: {Utility}-Based Acceptability
                 Indices",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "2",
  pages =        "SC28--SC40",
  month =        may,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/24m1632486",
  ISSN =         "1945-497X",
  bibdate =      "Fri May 31 06:26:55 2024",
  bibsource =    "https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Chau:2024:RFT,
  author =       "Huy N. Chau",
  title =        "On Robust Fundamental Theorems of Asset Pricing in
                 Discrete Time",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "571--600",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M156032X",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M156032X",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Motte:2024:PHR,
  author =       "Edouard Motte and Donatien Hainaut",
  title =        "Partial Hedging in Rough Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "601--652",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M1583090",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M1583090",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Chavez-Casillas:2024:AOM,
  author =       "Jonathan Ch{\'a}vez-Casillas and Jos{\'e} E.
                 Figueroa-L{\'o}pez and Chuyi Yu and Yi Zhang",
  title =        "Adaptive Optimal Market Making Strategies with
                 Inventory Liquidation Cost",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "653--699",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M1571058",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M1571058",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Kaakai:2024:ESS,
  author =       "Sarah Kaaka{\"\i} and Anis Matoussi and Achraf
                 Tamtalini",
  title =        "Estimation of Systemic Shortfall Risk Measure Using
                 Stochastic Algorithms",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "700--733",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/22M1539344",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/22M1539344",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Biagini:2024:ARD,
  author =       "Francesca Biagini and Lukas Gonon and Niklas Walter",
  title =        "Approximation Rates for Deep Calibration of (Rough)
                 Stochastic Volatility Models",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "734--784",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/23M1606769",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/23M1606769",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

@Article{Jaimungal:2024:SCP,
  author =       "Sebastian Jaimungal and Xiaofei Shi",
  title =        "Short Communication: The Price of Information",
  journal =      j-SIAM-J-FINANCIAL-MATH,
  volume =       "15",
  number =       "3",
  pages =        "SC54--SC67",
  month =        sep,
  year =         "2024",
  CODEN =        "SJFMBJ",
  DOI =          "https://doi.org/10.1137/24M1644791",
  ISSN =         "1945-497X",
  bibdate =      "Mon Aug 26 08:50:20 MDT 2024",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/15/3;
                 https://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  URL =          "https://epubs.siam.org/doi/10.1137/24M1644791",
  acknowledgement = ack-nhfb,
  ajournal =     "SIAM J. Financial Math.",
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
}

%%% [30-May-2024] TO DO: Check for duplicate DOI because of lettercase changes
%%% [30-May-2024] TO DO: Check for incomplete volume contents in last entry because of rolling-release publication
%%% [17-Oct-2023] TO DO: Run get-doi-pages.sh to recover page ranges!