Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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Nonconcave Stochastic Optimal Control in Finite Discrete Time Under Model Uncertainty pp. 271-308: Ariel Neufeld and Julian Sester
Partial Information in a Mean‐Variance Portfolio Selection Game pp. 309-329: Yu‐Jui Huang and Li‐Hsien Sun
Risk Sharing, Measuring Variability, and Distortion Riskmetrics pp. 330-351: Jean‐Gabriel Lauzier, Liyuan Lin and Ruodu Wang
Macroscopic Market Making Games pp. 352-373: Ivan Guo and Shijia Jin
Agents' Behavior and Interest Rate Model Optimization in DeFi Lending pp. 374-396: Charles Bertucci, Louis Bertucci, Mathis Gontier Delaunay, Olivier Guéant and Matthieu Lesbre
Order Routing and Market Quality: Who Benefits From Internalization? pp. 397-421: Umut Çeti̇n and Albina Danilova
An Extended Merton Problem With Relaxed Benchmark Tracking pp. 422-448: Lijun Bo, Yijie Huang and Xiang Yu

Robust Λ$\Lambda$‐Quantiles and Extremal Distributions pp. 3-19: Xia Han and Peng Liu
Distributionally Robust Risk Evaluation With a Causality Constraint and Structural Information pp. 20-47: Bingyan Han
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering pp. 48-66: Christian Gouriéroux and Yang Lu
Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions pp. 67-98: Tae Ung Gang and Jin Hyuk Choi
Efficiency in Pure‐Exchange Economies With Risk‐Averse Monetary Utilities pp. 99-117: Mario Ghossoub and Michael B. Zhu
Upper Comonotonicity and Risk Aggregation Under Dependence Uncertainty pp. 118-139: Corrado De Vecchi, Max Nendel and Jan Streicher
Term Structure Shapes and Their Consistent Dynamics in the Svensson Family pp. 140-155: Martin Keller‐Ressel and Felix Sachse
Statistical Learning of Value‐at‐Risk and Expected Shortfall pp. 156-179: David Barrera, Stéphane Crépey, Emmanuel Gobet, Hoang Dong Nguyen and Bouazza Saadeddine
Pricing and Hedging of SOFR Derivatives pp. 180-202: Matthew Bickersteth, Yining Ding and Marek Rutkowski
Dynamically Consistent Analysis of Realized Covariations in Term Structure Models pp. 203-236: Dennis Schroers
A Cross‐Border Market Model with Limited Transmission Capacities pp. 237-264: Dörte Kreher and Cassandra Milbradt

Systemic Robustness: A Mean‐Field Particle System Approach pp. 727-744: Erhan Bayraktar, Gaoyue Guo, Wenpin Tang and Yuming Paul Zhang
A Pure Dual Approach for Hedging Bermudan Options pp. 745-759: Aurélien Alfonsi, Ahmed Kebaier and Jérôme Lelong
Statistical Error Bounds for Weighted Mean and Median With Application to Robust Aggregation of Cryptocurrency Data pp. 760-778: Michaël Allouche, Mnacho Echenim, Emmanuel Gobet and Anne‐Claire Maurice
Optimal Contracts for Delegated Order Execution pp. 779-795: Martin Larsson, Johannes Muhle‐Karbe and Benjamin Weber
Volatility Models in Practice: Rough, Path‐Dependent, or Markovian? pp. 796-817: Eduardo Abi Jaber and Shaun (Xiaoyuan) Li
Hedging of Fixing Exposure pp. 818-840: Johannes Muhle‐Karbe, Roel Oomen and Benjamin Weber
Optimal Liquidation With Signals: The General Propagator Case pp. 841-866: Eduardo Abi Jaber and Eyal Neuman

On Time‐Inconsistency in Mean‐Field Games pp. 613-635: Erhan Bayraktar and Zhenhua Wang
Quantitative Fundamental Theorem of Asset Pricing pp. 636-660: Beatrice Acciaio, Julio Backhoff‐Veraguas and Gudmund Pammer
Rough PDEs for Local Stochastic Volatility Models pp. 661-681: Peter Bank, Christian Bayer, Peter K. Friz and Luca Pelizzari
Spanning Multi‐Asset Payoffs With ReLUs pp. 682-707: Sébastien Bossu, Stéphane Crépey and Hoang‐Dung Nguyen
Polar Coordinates for the 3/2 Stochastic Volatility Model pp. 708-723: Paul Nekoranik

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

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

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