On refined volatility smile expansion in the Heston model P Friz, S Gerhold, A Gulisashvili, S Sturm Quant. Finance 11 (8), 1151-1164, 2011 | 81 | 2011 |
Arbitrage‐free XVA M Bichuch, A Capponi, S Sturm Math. Finance 28 (2), 582-620, 2018 | 69 | 2018 |
Precipitation sensitivity to local variations in tropical sea surface temperature J He, NC Johnson, GA Vecchi, B Kirtman, AT Wittenberg, S Sturm J. Climate 31 (22), 9225-9238, 2018 | 52 | 2018 |
Portfolio optimization under convex incentive schemes M Bichuch, S Sturm Finance Stoch. 18 (4), 873-915, 2014 | 40 | 2014 |
Sensitivity of the Eisenberg--Noe Clearing Vector to Individual Interbank Liabilities Z Feinstein, W Pang, B Rudloff, E Schaanning, S Sturm, M Wildman SIAM J. Financial Math. 9 (4), 1286-1325, 2018 | 39 | 2018 |
From Smile Asymptotics to Market Risk Measures R Sircar, S Sturm Math. Finance 25 (2), 400-425, 2015 | 17 | 2015 |
Arbitrage-Free Pricing of XVA--Part I: Framework and Explicit Examples M Bichuch, A Capponi, S Sturm SSRN Preprint, 2015 | 11 | 2015 |
Arbitrage-Free Pricing of XVA–Part II: PDE Representation and Numerical Analysis M Bichuch, A Capponi, S Sturm SSRN Preprint, 2015 | 10 | 2015 |
Robust XVA M Bichuch, A Capponi, S Sturm Mathematical Finance 30 (3), 738-781, 2020 | 7 | 2020 |
Calculation of the Greeks by Malliavin Calculus S Sturm University of Vienna, 2004 | 5 | 2004 |
Cost-efficiency in incomplete markets C Bernard, S Sturm arXiv preprint arXiv:2206.12511, 2022 | 4 | 2022 |
A sensitivity analysis of the long-term expected utility of optimal portfolios H Park, S Sturm arXiv preprint arXiv:1906.03690, 2019 | 4 | 2019 |
Is the minimum value of an option on variance generated by local volatility? M Beiglboeck, P Friz, S Sturm SIAM J. Financial Math. 2, 213-220, 2011 | 4 | 2011 |
A risk-sharing framework of bilateral contracts J Lee, S Sturm, C Zhou SIAM Journal on Financial Mathematics 11 (2), 385-410, 2020 | 3 | 2020 |
Small-Time Large Deviations for Sample Paths of Infinite-Dimensional Symmetric Dirichlet Processes S Sturm TU Berlin, 2010 | 1 | 2010 |
Risk-indifference Pricing of American-style Contingent Claims R Kumar, F Miller, H Nasralah, S Sturm arXiv preprint arXiv:2409.00095, 2024 | | 2024 |
Examples and Counterexamples of Cost-efficiency in Incomplete Markets C Bernard, S Sturm arXiv preprint arXiv:2407.08756, 2024 | | 2024 |
Intertemporal Cost-efficient Consumption M Elizalde, S Sturm arXiv preprint arXiv:2405.16336, 2024 | | 2024 |
Commitment Planning for Drawdown Vehicles in a Stochastic Setting J Adriazola, A Chen, P Kramer, K Sikorski, S Sturm, A Wey | | 2022 |
XVA Valuation under Market Illiquidity W Pang, S Sturm arXiv preprint arXiv:2011.03543, 2020 | | 2020 |