Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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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 A. 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

Volume 31, issue 4, 2021

In memoriam: Mark H. A. Davis and his contributions to mathematical finance pp. 1099-1110

Jan Obłój and Thaleia Zariphopoulou

Open markets pp. 1111-1161

Ioannis Karatzas and Donghan Kim

Risk‐sensitive benchmarked asset management with expert forecasts pp. 1162-1189

Mark H.A. Davis and Sebastien Lleo

Bayes risk, elicitability, and the Expected Shortfall pp. 1190-1217

Paul Embrechts, Tiantian Mao, Qiuqi Wang and Ruodu Wang

An elementary approach to the Merton problem pp. 1218-1239

Martin Herdegen, David Hobson and Joseph Jerome

Perturbation analysis of sub/super hedging problems pp. 1240-1274

Sergey Badikov, Mark H.A. Davis and Antoine Jacquier

Duality for optimal consumption with randomly terminating income pp. 1275-1314

Ashley Davey, Michael Monoyios and Harry Zheng

Convergence of optimal expected utility for a sequence of binomial models pp. 1315-1331

Friedrich Hubalek and Walter Schachermayer

Young, timid, and risk takers pp. 1332-1356

Paolo Guasoni, Lóránt Nagy and Miklós Rásonyi

Interbank lending with benchmark rates: Pareto optima for a class of singular control games pp. 1357-1393

Rama Cont, Xin Guo and Renyuan Xu

Robust replication of volatility and hybrid derivatives on jump diffusions pp. 1394-1422

Peter Carr, Roger Lee and Matthew Lorig

Weak transport for non‐convex costs and model‐independence in a fixed‐income market pp. 1423-1453

Beatrice Acciaio, Mathias Beiglböck and Gudmund Pammer

Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets pp. 1454-1493

Jan Obłój and Johannes Wiesel

Option pricing models without probability: a rough paths approach pp. 1494-1521

John Armstrong, Claudio Bellani, Damiano Brigo and Thomas Cass

Volume 31, issue 3, 2021

Liquidity in competitive dealer markets pp. 827-856

Peter Bank, Ibrahim Ekren and Johannes Muhle‐Karbe

Risk‐neutral pricing techniques and examples pp. 857-884

Robert Jarrow, Pierre Patie, Anna Srapionyan and Yixuan Zhao

Relative arbitrage: Sharp time horizons and motion by curvature pp. 885-906

Martin Larsson and Johannes Ruf

Simulating risk measures via asymptotic expansions for relative errors pp. 907-942

Wei Jiang and Steven Kou

The Alpha‐Heston stochastic volatility model pp. 943-978

Ying Jiao, Chunhua Ma, Simone Scotti and Chao Zhou

Optimal stopping under model ambiguity: A time‐consistent equilibrium approach pp. 979-1012

Yu‐Jui Huang and Xiang Yu

Penalty method for portfolio selection with capital gains tax pp. 1013-1055

Baojun Bian, Xinfu Chen, Min Dai and Shuaijie Qian

Consistent investment of sophisticated rank‐dependent utility agents in continuous time pp. 1056-1095

Ying Hu, Hanqing Jin and Xun Yu Zhou

Volume 31, issue 2, 2021

Generalized statistical arbitrage concepts and related gain strategies pp. 563-594

Christian Rein, Ludger Rüschendorf and Thorsten Schmidt

Asset pricing with general transaction costs: Theory and numerics pp. 595-648

Lukas Gonon, Johannes Muhle‐Karbe and Xiaofei Shi

Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion pp. 649-682

Lv Chen, David Landriault, Bin Li and Danping Li

Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion pp. 683-721

Xue Dong He, Moris S. Strub and Thaleia Zariphopoulou

Double continuation regions for American options under Poisson exercise opportunities pp. 722-771

Zbigniew Palmowski, José Luis Pérez and Kazutoshi Yamazaki

Intra‐Horizon expected shortfall and risk structure in models with jumps pp. 772-823

Walter Farkas, Ludovic Mathys and Nikola Vasiljević

Volume 31, issue 1, 2021

Optimal investment, derivative demand, and arbitrage under price impact pp. 3-35

Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos

Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case pp. 36-108

Erhan Bayraktar, Thomas Cayé and Ibrahim Ekren

Optimal make–take fees for market making regulation pp. 109-148

Omar El Euch, Thibaut Mastrolia, Mathieu Rosenbaum and Nizar Touzi

On utility maximization under model uncertainty in discrete‐time markets pp. 149-175

Miklós Rásonyi and Andrea Meireles‐Rodrigues

Model risk in credit risk pp. 176-202

Roberto Fontana, Elisa Luciano and Patrizia Semeraro

Small‐time, large‐time, and H→0 asymptotics for the Rough Heston model pp. 203-241

Martin Forde, Stefan Gerhold and Benjamin Smith

Binary funding impacts in derivative valuation pp. 242-278

Junbeom Lee and Chao Zhou

Size matters for OTC market makers: General results and dimensionality reduction techniques pp. 279-322

Philippe Bergault and Olivier Guéant

The asymptotic expansion of the regular discretization error of Itô integrals pp. 323-365

Elisa Alòs and Masaaki Fukasawa

Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework pp. 366-398

Romain Blanchard and Laurence Carassus

Mean–field moral hazard for optimal energy demand response management pp. 399-473

Romuald Élie, Emma Hubert, Thibaut Mastrolia and Dylan Possamaï

Markov chains under nonlinear expectation pp. 474-507

Max Nendel

Equilibrium concepts for time‐inconsistent stopping problems in continuous time pp. 508-530

Erhan Bayraktar, Jingjie Zhang and Zhou Zhou

Sharing the value‐at‐risk under distributional ambiguity pp. 531-559

Zhi Chen and Weijun Xie