Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

Volume 32, issue 4, 2022

While stability lasts: A stochastic model of noncustodial stablecoins pp. 943-981

Ariah Klages‐Mundt and Andreea Minca

A machine learning approach to portfolio pricing and risk management for high‐dimensional problems pp. 982-1019

Lucio Fernandez‐Arjona and Damir Filipović

Portfolio liquidation games with self‐exciting order flow pp. 1020-1065

Guanxing Fu, Ulrich Horst and Xiaonyu Xia

Super‐replication with transaction costs under model uncertainty for continuous processes pp. 1066-1085

Huy N. Chau, Masaaki Fukasawa and Miklós Rásonyi

Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics pp. 1086-1132

Masaaki Fukasawa, Tetsuya Takabatake and Rebecca Westphal

Asymptotic analysis of long‐term investment with two illiquid and correlated assets pp. 1133-1169

Xinfu Chen, Min Dai, Wei Jiang and Cong Qin

The American put with finite‐time maturity and stochastic interest rate pp. 1170-1213

Cheng Cai, Tiziano De Angelis and Jan Palczewski

Estimating volatility in the Merton model: The KMV estimate is not maximum likelihood pp. 1214-1230

Benjamin Christoffersen, David Lando and Søren Feodor Nielsen

Volume 32, issue 3, 2022

When does portfolio compression reduce systemic risk? pp. 727-778

Luitgard Anna Maria Veraart

A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets pp. 779-824

Arvind V. Shrivats, Dena Firoozi and Sebastian Jaimungal

Inter‐temporal mutual‐fund management pp. 825-877

Alain Bensoussan, Ka Chun Cheung, Yiqun Li and Sheung Chi Phillip Yam

An infinite‐dimensional affine stochastic volatility model pp. 878-906

Sonja Cox, Sven Karbach and Asma Khedher

Consistent time‐homogeneous modeling of SPX and VIX derivatives pp. 907-940

Andrew Papanicolaou

Volume 32, issue 2, 2022

Optimal fund menus pp. 455-516

Jakša Cvitanić and Julien Hugonnier

Equilibrium price in intraday electricity markets pp. 517-554

René Aid, Andrea Cosso and Huyên Pham

Optimal investment for retail investors pp. 555-594

Christoph Belak, Lukas Mich and Frank T. Seifried

Fairness principles for insurance contracts in the presence of default risk pp. 595-626

Delia Coculescu and Freddy Delbaen

Optimal dividend payout under stochastic discounting pp. 627-677

Elena Bandini, Tiziano De Angelis, Giorgio Ferrari and Fausto Gozzi

Affine term structure models: A time‐change approach with perfect fit to market curves pp. 678-724

Cheikh Mbaye and Frédéric Vrins

Volume 32, issue 1, 2022

Expected median of a shifted Brownian motion: Theory and calculations pp. 3-45

Vladimir V. Piterbarg

Calibration of local‐stochastic volatility models by optimal transport pp. 46-77

Ivan Guo, Grégoire Loeper and Shiyi Wang

A simple microstructural explanation of the concavity of price impact pp. 78-113

Sergey Nadtochiy

Robust asymptotic growth in stochastic portfolio theory under long‐only constraints pp. 114-171

David Itkin and Martin Larsson

Utility‐based pricing and hedging of contingent claims in Almgren‐Chriss model with temporary price impact pp. 172-225

Ibrahim Ekren and Sergey Nadtochiy

Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures pp. 226-272

Martin Herdegen and Nazem Khan

On buybacks, dilutions, dividends, and the pricing of stock‐based claims pp. 273-308

Alex Backwell, Thomas McWalter and Peter H. Ritchken

The Laplace transform of the integrated Volterra Wishart process pp. 309-348

Eduardo Abi Jaber

Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach pp. 349-404

Huyên Pham, Xiaoli Wei and Chao Zhou

Protecting pegged currency markets from speculative investors pp. 405-420

Eyal Neuman and Alexander Schied

Ordering and inequalities for mixtures on risk aggregation pp. 421-451

Yuyu Chen, Peng Liu, Yang Liu and Ruodu Wang