Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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Volume 35, issue 2, 2025

Do investors gain by selling the tails of return distributions? pp. 297-336

Gurdip Bakshi, John Crosby and Xiaohui Gao

Golden parachutes under the threat of accidents pp. 337-421

Dylan Possamaï and Chiara Rossato

Tackling nonlinear price impact with linear strategies pp. 422-440

Xavier Brokmann, David Itkin, Johannes Muhle‐Karbe and Peter Schmidt

Neural optimal stopping boundary pp. 441-469

Andres Max Reppen, Halil Mete Soner and Valentin Tissot‐Daguette

Joint SPX & VIX calibration with Gaussian polynomial volatility models: Deep pricing with quantization hints pp. 470-519

Eduardo Abi Jaber, Camille Illand and Shaun (Xiaoyuan) Li

Measure‐valued processes for energy markets pp. 520-566

Christa Cuchiero, Luca Di Persio, Francesco Guida and Sara Svaluto‐Ferro

The fundamental theorem of asset pricing with and without transaction costs pp. 567-609

Christoph Kühn

Volume 35, issue 1, 2025

Long‐term risk with stochastic interest rates pp. 3-39

Federico Severino

Corporate debt value under transition scenario uncertainty pp. 40-73

Theo Le Guenedal and Peter Tankov

Detecting asset price bubbles using deep learning pp. 74-110

Francesca Biagini, Lukas Gonon, Andrea Mazzon and Thilo Meyer‐Brandis

Dynamic equilibrium with insider information and general uninformed agent utility pp. 111-160

Jerome Detemple and Scott Robertson

Joint calibration to SPX and VIX options with signature‐based models pp. 161-213

Christa Cuchiero, Guido Gazzani, Janka Möller and Sara Svaluto‐Ferro

Systemic risk in markets with multiple central counterparties pp. 214-262

Luitgard Anna Maria Veraart and Iñaki Aldasoro

Designing stablecoins pp. 263-294

Yizhou Cao, Min Dai, Steven Kou, Lewei Li and Chen Yang

Volume 34, issue 3, 2024

Insurance–finance arbitrage pp. 739-773

Philippe Artzner, Karl‐Theodor Eisele and Thorsten Schmidt

Robust distortion risk measures pp. 774-818

Carole Bernard, Silvana M. Pesenti and Steven Vanduffel

Risk concentration and the mean‐expected shortfall criterion pp. 819-846

Xia Han, Bin Wang, Ruodu Wang and Qinyu Wu

Arbitrage theory in a market of stochastic dimension pp. 847-895

Erhan Bayraktar, Donghan Kim and Abhishek Tilva

Risk Budgeting portfolios: Existence and computation pp. 896-924

Adil Rengim Cetingoz, Jean‐David Fermanian and Olivier Guéant

Reference dependence and endogenous anchors pp. 925-976

Paolo Guasoni and Andrea Meireles‐Rodrigues

Quantifying dimensional change in stochastic portfolio theory pp. 977-1021

Erhan Bayraktar, Donghan Kim and Abhishek Tilva

Time‐inconsistent contract theory pp. 1022-1085

Camilo Hernández and Dylan Possamaï

Volume 33, issue 4, 2023

Trading under the proof‐of‐stake protocol – A continuous‐time control approach pp. 979-1004

Wenpin Tang and David D. Yao

Crypto quanto and inverse options pp. 1005-1043

Carol Alexander, Ding Chen and Arben Imeraj

Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book pp. 1044-1081

Petter N. Kolm, Jeremy Turiel and Nicholas Westray

Closed‐loop Nash competition for liquidity pp. 1082-1118

Alessandro Micheli, Johannes Muhle‐Karbe and Eyal Neuman

Local volatility under rough volatility pp. 1119-1145

Florian Bourgey, Stefano De Marco, Peter K. Friz and Paolo Pigato

The log‐moment formula for implied volatility pp. 1146-1165

Vimal Raval and Antoine Jacquier

Learning equilibrium mean‐variance strategy pp. 1166-1212

Min Dai, Yuchao Dong and Yanwei Jia

Mean–variance hedging of contingent claims with random maturity pp. 1213-1247

Kamil Kladívko and Mihail Zervos

Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions pp. 1248-1286

Gechun Liang, Moris S. Strub and Yuwei Wang

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs pp. 1287-1313

Marcin Pitera and Łukasz Stettner

Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence pp. 1314-1369

Wenhao Zhu, Lujun Li, Jingping Yang, Jiehua Xie and Liulei Sun

Epstein‐Zin utility maximization on a random horizon pp. 1370-1411

Joshua Aurand and Yu‐Jui Huang

Volume 33, issue 3, 2023

Recent advances in reinforcement learning in finance pp. 437-503

Ben Hambly, Renyuan Xu and Huining Yang

A Leland model for delta hedging in central risk books pp. 504-547

Johannes Muhle‐Karbe, Zexin Wang and Kevin Webster

Trading with the crowd pp. 548-617

Eyal Neuman and Moritz Voß

Markov decision processes under model uncertainty pp. 618-665

Ariel Neufeld, Julian Sester and Mario Šikić

Credit risk pricing in a consumption‐based equilibrium framework with incomplete accounting information pp. 666-708

Junchi Ma, Mobolaji Ogunsolu, Jinniao Qiu and Ayşe Deniz Sezer

Model‐free portfolio theory: A rough path approach pp. 709-765

Andrew L. Allan, Christa Cuchiero, Chong Liu and David J. Prömel

Noncausal affine processes with applications to derivative pricing pp. 766-796

Christian Gouriéroux and Yang Lu

Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes pp. 797-841

Erhan Bayraktar, Zhenhua Wang and Zhou Zhou

Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps pp. 842-890

Pingping Zeng, Ziqing Xu, Pingping Jiang and Yue Kuen Kwok

Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions pp. 891-945

Zongxia Liang and Fengyi Yuan

Equilibrium investment with random risk aversion pp. 946-975

Sascha Desmettre and Mogens Steffensen

Volume 33, issue 2, 2023

Reverse stress testing: Scenario design for macroprudential stress tests pp. 209-256

Michel Baes and Eric Schaanning

A model‐free approach to continuous‐time finance pp. 257-273

Henry Chiu and Rama Cont

Pathwise CVA regressions with oversimulated defaults pp. 274-307

Lokman A. Abbas‐Turki, Stéphane Crépey and Bouazza Saadeddine

Pro‐cyclicality beyond business cycle pp. 308-341

Marcel Bräutigam, Michel Dacorogna and Marie Kratz

Optimal investment with correlated stochastic volatility factors pp. 342-369

Maxim Bichuch and Jean‐Pierre Fouque

Optimal measure preserving derivatives revisited pp. 370-388

Brendan Beare

Preference robust distortion risk measure and its application pp. 389-434

Wei Wang and Huifu Xu

Volume 33, issue 1, 2023

In memoriam: Marco Avellaneda (1955–2022) pp. 3-15

Rama Cont

Marco Avellaneda: Mathematician and trader pp. 16-18

Jim Gatheral

Reconstructing volatility: Pricing of index options under rough volatility pp. 19-40

Peter K. Friz and Thomas Wagenhofer

Algorithmic market making in dealer markets with hedging and market impact pp. 41-79

Alexander Barzykin, Philippe Bergault and Olivier Guéant

Optimal dynamic regulation of carbon emissions market pp. 80-115

René Aïd and Sara Biagini

Deep empirical risk minimization in finance: Looking into the future pp. 116-145

Anders Max Reppen and Halil Mete Soner

Neural network approximation for superhedging prices pp. 146-184

Francesca Biagini, Lukas Gonon and Thomas Reitsam

Limits of semistatic trading strategies pp. 185-205

Marcel Nutz, Johannes Wiesel and Long Zhao