Mathematical Finance

1991 - 2025

Current editor(s): Jerome Detemple

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Volume 30, issue 4, 2020

Network valuation in financial systems pp. 1181-1204

Paolo Barucca, Marco Bardoscia, Fabio Caccioli, Marco D'Errico, Gabriele Visentin, Guido Caldarelli and Stefano Battiston

Convergence of optimal expected utility for a sequence of discrete‐time markets pp. 1205-1228

David Kreps and Walter Schachermayer

Robust risk aggregation with neural networks pp. 1229-1272

Stephan Eckstein, Michael Kupper and Mathias Pohl

Continuous‐time mean–variance portfolio selection: A reinforcement learning framework pp. 1273-1308

Haoran Wang and Xun Yu Zhou

No‐arbitrage implies power‐law market impact and rough volatility pp. 1309-1336

Paul Jusselin and Mathieu Rosenbaum

Risk functionals with convex level sets pp. 1337-1367

Ruodu Wang and Yunran Wei

Self‐similarity in long‐horizon returns pp. 1368-1391

Dilip B. Madan and Wim Schoutens

Asset pricing with heterogeneous beliefs and illiquidity pp. 1392-1421

Johannes Muhle‐Karbe, Marcel Nutz and Xiaowei Tan

When to sell an asset amid anxiety about drawdowns pp. 1422-1460

Neofytos Rodosthenous and Hongzhong Zhang

A term structure model for dividends and interest rates pp. 1461-1496

Damir Filipović and Sander Willems

Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds pp. 1497-1526

Angelos Dassios, Jia Wei Lim and Yan Qu

A martingale representation theorem and valuation of defaultable securities pp. 1527-1564

Tahir Choulli, Catherine Daveloose and Michèle Vanmaele

Effective risk aversion in thin risk‐sharing markets pp. 1565-1590

Michail Anthropelos, Constantinos Kardaras and Georgios Vichos

Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm pp. 1591-1616

Denis Belomestny, Maxim Kaledin and John Schoenmakers

Volume 30, issue 3, 2020

Distress and default contagion in financial networks pp. 705-737

Luitgard Anna Maria Veraart

Robust XVA pp. 738-781

Maxim Bichuch, Agostino Capponi and Stephan Sturm

A regularity structure for rough volatility pp. 782-832

Christian Bayer, Peter K. Friz, Paul Gassiat, Jorg Martin and Benjamin Stemper

Hedging nontradable risks with transaction costs and price impact pp. 833-868

Álvaro Cartea, Ryan Donnelly and Sebastian Jaimungal

Shortfall aversion pp. 869-920

Paolo Guasoni, Gur Huberman and Dan Ren

Static and semistatic hedging as contrarian or conformist bets pp. 921-960

Svetlana Boyarchenko and Sergei Levendorskiĭ

Dividend policy and capital structure of a defaultable firm pp. 961-994

Alex S. L. Tse

Mean‐field games with differing beliefs for algorithmic trading pp. 995-1034

Philippe Casgrain and Sebastian Jaimungal

Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets pp. 1035-1072

Zongxia Liang and Ming Ma

Dynamically consistent alpha‐maxmin expected utility pp. 1073-1102

Patrick Beissner, Qian Lin and Frank Riedel

Optimal equilibria for time‐inconsistent stopping problems in continuous time pp. 1103-1134

Yu‐Jui Huang and Zhou Zhou

Lifetime investment and consumption with recursive preferences and small transaction costs pp. 1135-1167

Yaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried

Semimartingale theory of monotone mean–variance portfolio allocation pp. 1168-1178

Aleš Černý

Volume 30, issue 2, 2020

Nonlinear price impact and portfolio choice pp. 341-376

Paolo Guasoni and Marko Hans Weber

Consistency of option prices under bid–ask spreads pp. 377-402

Stefan Gerhold and Ismail Cetin Gülüm

Semistatic and sparse variance‐optimal hedging pp. 403-425

Paolo Di Tella, Martin Haubold and Martin Keller‐Ressel

Pathwise moderate deviations for option pricing pp. 426-463

Antoine Jacquier and Konstantinos Spiliopoulos

Pricing collateralized derivatives with an arbitrary numeraire pp. 464-500

Joanne Kennedy

Existence of a calibrated regime switching local volatility model pp. 501-546

Benjamin Jourdain and Alexandre Zhou

A direct solution method for pricing options in regime‐switching models pp. 547-576

Masahiko Egami and Rusudan Kevkhishvili

Optimal investment and pricing in the presence of defaults pp. 577-620

Tetsuya Ishikawa and Scott Robertson

Optimal consumption and investment with liquid and illiquid assets pp. 621-663

Jin Hyuk Choi

Firm capital dynamics in centrally cleared markets pp. 664-701

Agostino Capponi, Allen Cheng and Sriram Rajan

Volume 30, issue 1, 2020

Inference for large financial systems pp. 3-46

Kay Giesecke, Gustavo Schwenkler and Justin A. Sirignano

Option pricing with orthogonal polynomial expansions pp. 47-84

Damien Ackerer and Damir Filipović

Convex duality and Orlicz spaces in expected utility maximization pp. 85-127

Sara Biagini and Aleš Černý

Existence, uniqueness, and stability of optimal payoffs of eligible assets pp. 128-166

Michel Baes, Pablo Koch‐Medina and Cosimo Munari

Multiple curve Lévy forward price model allowing for negative interest rates pp. 167-195

Ernst Eberlein, Christoph Gerhart and Zorana Grbac

Double continuation regions for American and Swing options with negative discount rate in Lévy models pp. 196-227

Marzia De Donno, Zbigniew Palmowski and Joanna Tumilewicz

Optimal dividend policies with random profitability pp. 228-259

A. Max Reppen, Jean Rochet and H. Mete Soner

Robust martingale selection problem and its connections to the no‐arbitrage theory pp. 260-286

Matteo Burzoni and Mario Šikić

Computational aspects of robust optimized certainty equivalents and option pricing pp. 287-309

Daniel Bartl, Samuel Drapeau and Ludovic Tangpi

General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion pp. 310-340

Yu‐Jui Huang, Adrien Nguyen‐Huu and Xun Yu Zhou

Volume 29, issue 4, 2019

Mean field and n‐agent games for optimal investment under relative performance criteria pp. 1003-1038

Daniel Lacker and Thaleia Zariphopoulou

Periodic strategies in optimal execution with multiplicative price impact pp. 1039-1065

Daniel Hernández‐Hernández, Harold A. Moreno‐Franco and José‐Luis Pérez

Portfolio choice with small temporary and transient price impact pp. 1066-1115

Ibrahim Ekren and Johannes Muhle‐Karbe

A variation of the Azéma martingale and drawdown options pp. 1116-1130

Angelos Dassios and Jia Wei Lim

An efficient approach to quantile capital allocation and sensitivity analysis pp. 1131-1156

Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu

A rational asset pricing model for premiums and discounts on closed‐end funds: The bubble theory pp. 1157-1170

Robert Jarrow and Philip Protter

Volume 29, issue 3, 2019

Optimal portfolio under fractional stochastic environment pp. 697-734

Jean‐Pierre Fouque and Ruimeng Hu

Trading algorithms with learning in latent alpha models pp. 735-772

Philippe Casgrain and Sebastian Jaimungal

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio pp. 773-803

Christa Cuchiero, Walter Schachermayer and Ting‐Kam Leonard Wong

On the relation between linearity‐generating processes and linear‐rational models pp. 804-826

Damir Filipović, Martin Larsson and Anders B. Trolle

Unspanned stochastic volatility in the multifactor CIR model pp. 827-836

Damir Filipović, Martin Larsson and Francesco Statti

Superreplication with proportional transaction cost under model uncertainty pp. 837-860

Bruno Bouchard, Shuoqing Deng and Xiaolu Tan

The robust pricing–hedging duality for American options in discrete time financial markets pp. 861-897

Anna Aksamit, Shuoqing Deng, Jan Obłój and Xiaolu Tan

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting pp. 898-927

Hanqing Jin, Jianming Xia and Xun Yu Zhou

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework pp. 928-966

Andrea Barletta, Elisa Nicolato and Stefano Pagliarani

Value‐at‐Risk bounds with two‐sided dependence information pp. 967-1000

Thibaut Lux and Ludger Rüschendorf

Volume 29, issue 2, 2019

Realization utility with adaptive reference points pp. 409-447

Xuedong He and Linan Yang

Who should sell stocks? pp. 448-482

Paolo Guasoni, Ren Liu and Johannes Muhle‐Karbe

Optimal consumption and investment under transaction costs pp. 483-506

David Hobson, Alex S. L. Tse and Yeqi Zhu

Optimal trade execution in order books with stochastic liquidity pp. 507-541

Antje Fruth, Torsten Schöneborn and Mikhail Urusov

Trading co‐integrated assets with price impact pp. 542-567

Álvaro Cartea, Luhui Gan and Sebastian Jaimungal

Affine multiple yield curve models pp. 568-611

Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto

Static hedging and pricing of exotic options with payoff frames pp. 612-658

Justin Lars Kirkby and Shijie Deng

Optimal insurance under rank‐dependent utility and incentive compatibility pp. 659-692

Zuo Quan Xu, Xun Yu Zhou and Sheng Chao Zhuang

Volume 29, issue 1, 2019

The characteristic function of rough Heston models pp. 3-38

Omar El Euch and Mathieu Rosenbaum

Option pricing under fast‐varying long‐memory stochastic volatility pp. 39-83

Josselin Garnier and Knut Sølna

Corporate security prices in structural credit risk models with incomplete information pp. 84-116

Rüdiger Frey, Lars Rösler and Dan Lu

Financial models with defaultable numéraires pp. 117-136

Travis Fisher, Sergio Pulido and Johannes Ruf

Credit portfolio selection with decaying contagion intensities pp. 137-173

Lijun Bo, Agostino Capponi and Peng‐Chu Chen

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix pp. 174-207

Amine Ismail and Huyên Pham

Backward SDEs for control with partial information pp. 208-248

Andrew Papanicolaou

The limits of leverage pp. 249-284

Paolo Guasoni and Eberhard Mayerhofer

Strict local martingales and optimal investment in a Black–Scholes model with a bubble pp. 285-328

Martin Herdegen and Sebastian Herrmann

A unified approach to systemic risk measures via acceptance sets pp. 329-367

Francesca Biagini, Jean‐Pierre Fouque, Marco Frittelli and Thilo Meyer‐Brandis

Distribution‐constrained optimal stopping pp. 368-406

Erhan Bayraktar and Christopher W. Miller