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Model-free portfolio theory: A rough path approach.
Allan AL, Cuchiero C, Liu C, Prömel DJ. Allan AL, et al. Math Financ. 2023 Jul;33(3):709-765. doi: 10.1111/mafi.12376. Epub 2023 Jan 24. Math Financ. 2023. PMID: 38505114 Free PMC article.
Robust risk aggregation with neural networks.
Eckstein S, Kupper M, Pohl M. Eckstein S, et al. Math Financ. 2020 Oct;30(4):1229-1272. doi: 10.1111/mafi.12280. Epub 2020 Jun 13. Math Financ. 2020. PMID: 33041536 Free PMC article.
Equilibrium investment with random risk aversion.
Desmettre S, Steffensen M. Desmettre S, et al. Math Financ. 2023 Jul;33(3):946-975. doi: 10.1111/mafi.12394. Epub 2023 May 3. Math Financ. 2023. PMID: 38505113 Free PMC article.
Option pricing in the moderate deviations regime.
Friz P, Gerhold S, Pinter A. Friz P, et al. Math Financ. 2018 Jul;28(3):962-988. doi: 10.1111/mafi.12156. Epub 2017 Aug 25. Math Financ. 2018. PMID: 30018466 Free PMC article.