%%% -*-BibTeX-*-
%%% ====================================================================
%%%  BibTeX-file{
%%%     author          = "Nelson H. F. Beebe",
%%%     version         = "1.13",
%%%     date            = "13 September 2014",
%%%     time            = "10:33:27 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             = "http://www.math.utah.edu/~beebe",
%%%     checksum        = "61786 3595 12821 140718",
%%%     email           = "beebe at math.utah.edu, beebe at acm.org,
%%%                        beebe at computer.org (Internet)",
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%%%     keywords        = "BibTeX; bibliography; SIAM Journal on Financial
%%%                        Mathematics; SIFIN",
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%%%     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 1.13, the COMPLETE year coverage
%%%                        looked like this:
%%%
%%%                             2010 (  35)    2012 (  28)    2014 (  21)
%%%                             2011 (  39)    2013 (  33)
%%%
%%%                             Article:        156
%%%
%%%                             Total entries:  156
%%%
%%%                        This bibliography has been derived primarily
%%%                        from information at the publisher Web site.
%%%
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%%%
%%%                        In this bibliography, entries are sorted in
%%%                        publication order within each journal,
%%%                        using bibsort -byvolume.
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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|http://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",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090750731",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/080741124",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090746239",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/080743494",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/080742889",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090745465",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090750421",
  ISSN =         "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;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090754182",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/080739768",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090750676",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090748147",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/080739732",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090753814",
  ISSN =         "1945-497X",
  bibdate =      "Wed May 19 19:11:57 MDT 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-325;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "May 26, 2010",
}

@Article{Tahar: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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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",
  bibdate =      "Mon Nov 29 10:09:51 MST 2010",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/1-867;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090778055",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/09076372X",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090749372",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:07 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/1/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090769120",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090760180",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090779905",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100788331",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090750937",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090777487",
  ISSN =         "1945-497X",
  bibdate =      "Fri Mar 4 09:25:10 MST 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/10078534X",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100800166",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090761458",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090756119",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/10079851X",
  ISSN =         "1945-497X",
  bibdate =      "Thu May 12 18:48:33 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100786678",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100803079",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/09078033X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/09076115X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090777293",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100794158",
  ISSN =         "1945-497X",
  bibdate =      "Tue Jul 19 12:47:27 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100791609",
  ISSN =         "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100784977",
  ISSN =         "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100798053",
  ISSN =         "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100800889",
  ISSN =         "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/09077076X",
  ISSN =         "1945-497X",
  bibdate =      "Wed Aug 24 15:12:56 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100798016",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100796777",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100803614",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100784084",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100782437",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100793396",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100787714",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100809386",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100818303",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/10079673X",
  ISSN =         "1945-497X",
  bibdate =      "Sat Oct 15 13:11:31 MDT 2011",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100817553",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100796832",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100791890",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/09077730X",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100815566",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100814354",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090780596",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:36 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/2/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100810034",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/110820658",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100803687",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100807624",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/110827399",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090763470",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/100809933",
  ISSN =         "1945-497X",
  bibdate =      "Thu Feb 9 07:37:42 MST 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/;
                 http://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,
  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 =          "http://dx.doi.org/10.1137/090771636",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110824693",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/09077878X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100813646",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100816730",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110842302",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100813245",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090773076",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100808046",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110823328",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/11083890X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110822098",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090765766",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110841916",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100788008",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110859075",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100818261",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110833300",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110830241",
  ISSN =         "1945-497X",
  bibdate =      "Tue Oct 30 12:03:22 MDT 2012",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100815219",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:07:03 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110850475",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:07:03 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/3/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110856605",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110853649",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110832513",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120862016",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/12087387X",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120871973",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120885036",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120866774",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110856836",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110858732",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120866816",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110855909",
  ISSN =         "1945-497X",
  bibdate =      "Mon Apr 1 18:09:13 MDT 2013",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/100818157",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110830319",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110853339",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110853546",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110830101",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120881063",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120869080",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/12087743X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110860173",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120875466",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110827132",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110840340",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130907045",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/10081143X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/090774926",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110841096",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/12090246X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/13091703X",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120898991",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120892441",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120897596",
  ISSN =         "1945-497X",
  bibdate =      "Tue Feb 11 08:01:22 MST 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/4/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120893690",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120903336",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130917685",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130905320",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130912980",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120897511",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130914139",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120897298",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120872206",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130925864",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/110849341",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120896761",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130908385",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120903142",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130911196",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130924676",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130907458",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130922902",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/120896566",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130923221",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  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 =          "http://dx.doi.org/10.1137/130928893",
  ISSN =         "1945-497X",
  bibdate =      "Sat Sep 13 10:28:48 MDT 2014",
  bibsource =    "http://epubs.siam.org/sam-bin/dbq/toclist/SIFIN/5/1;
                 http://www.math.utah.edu/pub/tex/bib/siamjfinancialmath.bib",
  acknowledgement = ack-nhfb,
  fjournal =     "SIAM Journal on Financial Mathematics",
  journal-URL =  "http://epubs.siam.org/sifin",
  onlinedate =   "January 2014",
}

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