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Finance and Stochastics

1996 - 2017

Current editor(s): M. Schweizer

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Volume 21, issue 3, 2017

Bounds for VIX futures given S&P 500 smiles pp. 593-630 Downloads
Julien Guyon, Romain Menegaux and Marcel Nutz
Risk bounds for factor models pp. 631-659 Downloads
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang
The exact Taylor formula of the implied volatility pp. 661-718 Downloads
Stefano Pagliarani and Andrea Pascucci
The role of measurability in game-theoretic probability pp. 719-739 Downloads
Vladimir Vovk
The space of outcomes of semi-static trading strategies need not be closed pp. 741-751 Downloads
Beatrice Acciaio, Martin Larsson and Walter Schachermayer
Trading strategies generated by Lyapunov functions pp. 753-787 Downloads
Ioannis Karatzas and Johannes Ruf
Alpha-CIR model with branching processes in sovereign interest rate modeling pp. 789-813 Downloads
Ying Jiao, Chunhua Ma and Simone Scotti
Equilibrium in risk-sharing games pp. 815-865 Downloads
Michail Anthropelos and Constantinos Kardaras
Erratum to: Utility maximization in incomplete markets with random endowment pp. 867-872 Downloads
Jaksa Cvitanić, Walter Schachermayer and Hui Wang

Volume 21, issue 2, 2017

On time-inconsistent stochastic control in continuous time pp. 331-360 Downloads
Tomas Björk, Mariana Khapko and Agatha Murgoci
Hedging under multiple risk constraints pp. 361-396 Downloads
Ying Jiao, Olivier Klopfenstein and Peter Tankov
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals pp. 397-425 Downloads
Sigrid Källblad
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations pp. 427-469 Downloads
Zhi Liu
Change of numeraire in the two-marginals martingale transport problem pp. 471-486 Downloads
Luciano Campi, Ismail Laachir and Claude Martini
The scaling limit of superreplication prices with small transaction costs in the multivariate case pp. 487-508 Downloads
Peter Bank, Yan Dolinsky and Ari-Pekka Perkkiö
Computing deltas without derivatives pp. 509-549 Downloads
D. Baños, T. Meyer-Brandis, F. Proske and S. Duedahl
Local risk-minimization for Barndorff-Nielsen and Shephard models pp. 551-592 Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki

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
Page updated 2017-07-22