Mathematical Finance

1991 - 2026

Current editor(s): Jerome Detemple

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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

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