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 Cesa2017-06-05T00:00:00ZBackward-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 Wu2016-12-01T00:00:00ZCredit, 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 Hu2017-03-01T00:00:00ZMean-field stochastic linear quadratic optimal control problems: closed-loop solvabilityhttps://probability-risk.springeropen.com/articles/10.1186/s41546-016-0002-3An optimal control problem is studied for a linear mean-field stochastic differential equation with a quadratic cost functional. The coefficients and the weighting matrices in the cost functional are all assum...ResearchTue, 16 Aug 2016 00:00:00 GMThttps://probability-risk.springeropen.com/articles/10.1186/s41546-016-0002-3Xun Li, Jingrui Sun and Jiongmin Yong2016-08-16T00:00:00Z