Most Accessed Articles: Probability, Uncertainty and Quantitative Riskhttps://probability-risk.springeropen.comMost Accessed Articles: Probability, Uncertainty and Quantitative RiskA brief history of quantitative financehttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0018-3In this introductory paper to the issue, I will travel through the history of how quantitative finance has developed and reached its current status, what problems it is called to address, and how they differ f...CommentaryMon, 05 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0018-3Mauro Cesa2017-06-05T00:00:00ZCredit, funding, margin, and capital valuation adjustments for bilateral portfolioshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crépey2017), whereby so-called contra-liabilities and cost of capital are charged b...ResearchMon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0019-2Claudio Albanese, Simone Caenazzo and Stéphane Crépey2017-06-26T00:00:00ZStochastic global maximum principle for optimization with recursive utilitieshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0014-7In this paper, we study the recursive stochastic optimal control problems. The control domain does not need to be convex, and the generator of the backward stochastic differential equation can contain z. We obtai...ResearchWed, 01 Mar 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0014-7Mingshang Hu2017-03-01T00:00:00ZThe joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networkshttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a p...ResearchMon, 26 Jun 2017 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-017-0020-9Stefan Weber and Kerstin Weske2017-06-26T00:00:00ZBackward-forward linear-quadratic mean-field games with major and minor agentshttps://probability-risk.springeropen.com/articles/10.1186/s41546-016-0009-9This paper studies the backward-forward linear-quadratic-Gaussian (LQG) games with major and minor agents (players). The state of major agent follows a linear backward stochastic differential equation (BSDE) and ...ResearchThu, 01 Dec 2016 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-016-0009-9Jianhui Huang, Shujun Wang and Zhen Wu2016-12-01T00:00:00Z