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Finance and Stochastics

1996 - 2017

Current editor(s): M. Schweizer

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Volume 21, issue 1, 2017

Hedging with small uncertainty aversion pp. 1-64 Downloads
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
Continuous-time perpetuities and time reversal of diffusions pp. 65-110 Downloads
Constantinos Kardaras and Scott Robertson
Arbitrage-free pricing of multi-person game claims in discrete time pp. 111-155 Downloads
Ivan Guo and Marek Rutkowski
Watermark options pp. 157-186 Downloads
Neofytos Rodosthenous and Mihail Zervos
Optimal consumption and investment with Epstein–Zin recursive utility pp. 187-226 Downloads
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Consumption–investment optimization with Epstein–Zin utility in incomplete markets pp. 227-262 Downloads
Hao Xing
Market completion with derivative securities pp. 263-284 Downloads
Daniel C. Schwarz
Model uncertainty and the pricing of American options pp. 285-329 Downloads
David Hobson and Anthony Neuberger

Volume 20, issue 4, 2016

Editorial: 20th anniversary of Finance and Stochastics pp. 807-808 Downloads
Martin Schweizer and Dieter Sondermann
Liquidity management with decreasing returns to scale and secured credit line pp. 809-854 Downloads
Erwan Pierre, Stéphane Villeneuve and Xavier Warin
A BSDE approach to fair bilateral pricing under endogenous collateralization pp. 855-900 Downloads
Tianyang Nie and Marek Rutkowski
Counterparty risk and funding: immersion and beyond pp. 901-930 Downloads
Stéphane Crépey and Shiqi Song
Polynomial diffusions and applications in finance pp. 931-972 Downloads
Damir Filipović and Martin Larsson
Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps pp. 973-1020 Downloads
José E. Figueroa-López and Sveinn Ólafsson
A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates pp. 1021-1059 Downloads
Kathrin Glau
Another look at the integral of exponential Brownian motion and the pricing of Asian options pp. 1061-1096 Downloads
Andrew Lyasoff
No arbitrage of the first kind and local martingale numéraires pp. 1097-1108 Downloads
Yuri Kabanov, Constantinos Kardaras and Shiqi Song

Volume 20, issue 3, 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration pp. 543-588 Downloads
Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar
Additive subordination and its applications in finance pp. 589-634 Downloads
Jing Li, Lingfei Li and Rafael Mendoza-Arriaga
An explicit martingale version of the one-dimensional Brenier theorem pp. 635-668 Downloads
Pierre Henry-Labordère and Nizar Touzi
Robust pricing and hedging under trading restrictions and the emergence of local martingale models pp. 669-704 Downloads
Alexander M. G. Cox, Zhaoxu Hou and Jan Obłój
Consumption-investment problem with transaction costs for Lévy-driven price processes pp. 705-740 Downloads
Dimitri Vallière, Yuri Kabanov and Emmanuel Lépinette
Almost-sure hedging with permanent price impact pp. 741-771 Downloads
Bruno Bouchard, Grégoire Loeper and Yiyi Zou
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing pp. 773-804 Downloads
Angelos Dassios and You You Zhang
Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing pp. 805-805 Downloads
Roman V. Ivanov

Volume 20, issue 2, 2016

A general HJM framework for multiple yield curve modelling pp. 267-320 Downloads
Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto
Adapting extreme value statistics to financial time series: dealing with bias and serial dependence pp. 321-354 Downloads
Laurens Haan, Cécile Mercadier and Chen Zhou
In the insurance business risky investments are dangerous: the case of negative risk sums pp. 355-379 Downloads
Yuri Kabanov and Serguei Pergamenshchikov
Asymptotic replication with modified volatility under small transaction costs pp. 381-431 Downloads
Jiatu Cai and Masaaki Fukasawa
Risk measures with the CxLS property pp. 433-453 Downloads
Freddy Delbaen, Fabio Bellini, Valeria Bignozzi and Johanna F. Ziegel
Adaptive basket liquidation pp. 455-493 Downloads
Torsten Schöneborn
Optimal portfolio liquidation in target zone models and catalytic superprocesses pp. 495-509 Downloads
Eyal Neuman and Alexander Schied
Stability of utility maximization in nonequivalent markets pp. 511-541 Downloads
Kim Weston

Volume 20, issue 1, 2016

Universal arbitrage aggregator in discrete-time markets under uncertainty pp. 1-50 Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
Universal arbitrage aggregator in discrete-time markets under uncertainty pp. 1-50 Downloads
Matteo Burzoni, Marco Frittelli and Marco Maggis
Model-independent superhedging under portfolio constraints pp. 51-81 Downloads
Arash Fahim and Yu-Jui Huang
Model-independent superhedging under portfolio constraints pp. 51-81 Downloads
Arash Fahim and Yu-Jui Huang
Consistent price systems under model uncertainty pp. 83-98 Downloads
Bruno Bouchard and Marcel Nutz
Consistent price systems under model uncertainty pp. 83-98 Downloads
Bruno Bouchard and Marcel Nutz
Facelifting in utility maximization pp. 99-121 Downloads
Kasper Larsen, Halil Mete Soner and Gordan Žitković
Facelifting in utility maximization pp. 99-121 Downloads
Kasper Larsen, Halil Soner and Gordan Žitković
Weakly time consistent concave valuations and their dual representations pp. 123-151 Downloads
Berend Roorda and Johannes Schumacher
Weakly time consistent concave valuations and their dual representations pp. 123-151 Downloads
Berend Roorda and Johannes Schumacher
Superreplication when trading at market indifference prices pp. 153-182 Downloads
Peter Bank and Selim Gökay
Superreplication when trading at market indifference prices pp. 153-182 Downloads
Peter Bank and Selim Gökay
Dynamic optimal execution in a mixed-market-impact Hawkes price model pp. 183-218 Downloads
Aurélien Alfonsi and Pierre Blanc
Dynamic optimal execution in a mixed-market-impact Hawkes price model pp. 183-218 Downloads
Aurélien Alfonsi and Pierre Blanc
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility pp. 219-265 Downloads
José E. Figueroa-López and Sveinn Ólafsson
Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility pp. 219-265 Downloads
José Figueroa-López and Sveinn Ólafsson

Volume 19, issue 4, 2015

The existence of dominating local martingale measures pp. 685-717 Downloads
Peter Imkeller and Nicolas Perkowski
How non-arbitrage, viability and numéraire portfolio are related pp. 719-741 Downloads
Tahir Choulli, Jun Deng and Junfeng Ma
A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing pp. 743-761 Downloads
Christa Cuchiero and Josef Teichmann
Aggregation-robustness and model uncertainty of regulatory risk measures pp. 763-790 Downloads
Paul Embrechts, Bin Wang and Ruodu Wang
An optimal consumption problem in finite time with a constraint on the ruin probability pp. 791-847 Downloads
Peter Grandits
Pricing and hedging Asian-style options on energy pp. 849-889 Downloads
Fred Benth and Nils Detering
Dynamic credit investment in partially observed markets pp. 891-939 Downloads
Agostino Capponi, José Figueroa-López and Andrea Pascucci
Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach pp. 941-977 Downloads
Lingfei Li and Vadim Linetsky
The distribution of the maximum of a variance gamma process and path-dependent option pricing pp. 979-993 Downloads
Roman Ivanov

Volume 19, issue 3, 2015

Hedge and mutual funds’ fees and the separation of private investments pp. 473-507 Downloads
Paolo Guasoni and Gu Wang
Static hedging under maturity mismatch pp. 509-539 Downloads
Philipp Mayer, Natalie Packham and Wolfgang Schmidt
Approximate hedging for nonlinear transaction costs on the volume of traded assets pp. 541-581 Downloads
Romuald Elie and Emmanuel Lépinette
On a Heath–Jarrow–Morton approach for stock options pp. 583-615 Downloads
Jan Kallsen and Paul Krühner
Forward equations for option prices in semimartingale models pp. 617-651 Downloads
Amel Bentata and Rama Cont
Taylor approximation of incomplete Radner equilibrium models pp. 653-679 Downloads
Jin Choi and Kasper Larsen
Addendum to: Multilevel dual approach for pricing American style derivatives pp. 681-684 Downloads
Denis Belomestny, Mark Joshi and John Schoenmakers

Volume 19, issue 2, 2015

Fragility of arbitrage and bubbles in local martingale diffusion models pp. 215-231 Downloads
Paolo Guasoni and Miklós Rásonyi
When do creditors with heterogeneous beliefs agree to run? pp. 233-259 Downloads
Andrey Krishenik, Andreea Minca and Johannes Wissel
Spot volatility estimation using delta sequences pp. 261-293 Downloads
Cecilia Mancini, Vanessa Mattiussi and Roberto Renò
On the forward rate concept in multi-state life insurance pp. 295-327 Downloads
Marcus Christiansen and Andreas Niemeyer
When terminal facelift enforces delta constraints pp. 329-362 Downloads
Jean-François Chassagneux, Romuald Elie and Idris Kharroubi
Asymptotics for fixed transaction costs pp. 363-414 Downloads
Albert Altarovici, Johannes Muhle-Karbe and Halil Soner
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation pp. 415-448 Downloads
Salvatore Federico, Paul Gassiat and Fausto Gozzi
A model for a large investor trading at market indifference prices. I: Single-period case pp. 449-472 Downloads
Peter Bank and Dmitry Kramkov

Volume 19, issue 1, 2015

Existence of an endogenously complete equilibrium driven by a diffusion pp. 1-22 Downloads
Dmitry Kramkov
Risk measures for processes and BSDEs pp. 23-66 Downloads
Irina Penner and Anthony Réveillac
Multi-portfolio time consistency for set-valued convex and coherent risk measures pp. 67-107 Downloads
Zachary Feinstein and Birgit Rudloff
Portfolio optimization with insider’s initial information and counterparty risk pp. 109-134 Downloads
Caroline Hillairet and Ying Jiao
Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption pp. 135-159 Downloads
Oleksii Mostovyi
Optimal investment and price dependence in a semi-static market pp. 161-187 Downloads
Pietro Siorpaes
Robust price bounds for the forward starting straddle pp. 189-214 Downloads
David Hobson and Martin Klimmek
Page updated 2017-03-22