Finance and Stochastics
1996 - 2025
Current editor(s): M. Schweizer From Springer Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing (). Access Statistics for this journal.
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Volume 29, issue 3, 2025
- CV@R-penalised portfolio optimisation with biased stochastic mirror descent pp. 609-664

- Manon Costa, Sébastien Gadat and Lorick Huang
- Portfolio optimisation via strategy-specific eigenvector shrinkage pp. 665-706

- Lisa R. Goldberg, Hubeyb Gurdogan and Alec Kercheval
- Measuring risk contagion in financial networks with CoVaR pp. 707-755

- Bikramjit Das and Vicky Fasen-Hartmann
- Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing pp. 757-789

- Tomoyuki Ichiba, Guodong Pang and Murad S. Taqqu
- Equilibrium with heterogeneous information flows pp. 791-846

- Scott Robertson
- The law of one price in quadratic hedging and mean–variance portfolio selection pp. 847-884

- Aleš Černý and Christoph Czichowsky
- Proper solutions for Epstein–Zin stochastic differential utility pp. 885-932

- Martin Herdegen, David Hobson and Joseph Jerome
Volume 29, issue 2, 2025
- Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models pp. 289-342

- Christa Cuchiero, Francesca Primavera and Sara Svaluto-Ferro
- Optimal bubble riding: a mean field game with varying entry times pp. 343-398

- Ludovic Tangpi and Shichun Wang
- Risk-constrained portfolio choice under rank-dependent utility pp. 399-442

- Mario Ghossoub and Michael Boyuan Zhu
- Efficient evaluation of expectations of functions of a Lévy process and its extremum pp. 443-468

- Svetlana Boyarchenko and Sergei Levendorskiĭ
- A framework of state-dependent utility optimisation with general benchmarks pp. 469-518

- Zongxia Liang, Yang Liu and Litian Zhang
- Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity pp. 519-551

- Laurence Carassus and Johannes Wiesel
- Fast and slow optimal trading with exogenous information pp. 553-607

- Rama Cont, Alessandro Micheli and Eyal Neuman
Volume 29, issue 1, 2025
- Convex ordering for stochastic Volterra equations and their Euler schemes pp. 1-62

- Benjamin Jourdain and Gilles Pagès
- Polynomial approximation of discounted moments pp. 63-95

- Chenyu Zhao, Misha Beek, Peter Spreij and Makhtar Ba
- Importance sampling for option pricing with feedforward neural networks pp. 97-141

- Aleksandar Arandjelović, Thorsten Rheinländer and Pavel V. Shevchenko
- Gaussian agency problems with memory and linear contracts pp. 143-176

- Eduardo Abi Jaber and Stéphane Villeneuve
- Pricing of contingent claims in large markets pp. 177-217

- Oleksii Mostovyi and Pietro Siorpaes
- Quasi-sure essential supremum and applications to finance pp. 219-260

- Laurence Carassus
- Lower semicontinuity of monotone functionals in the mixed topology on C b $C_{b}$ pp. 261-287

- Max Nendel
Volume 28, issue 4, 2024
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information pp. 911-964

- Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld and Julian Sester
- Cost-efficient payoffs under model ambiguity pp. 965-997

- Carole Bernard, Gero Junike, Thibaut Lux and Steven Vanduffel
- Risk sharing under heterogeneous beliefs without convexity pp. 999-1033

- Felix-Benedikt Liebrich
- A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets pp. 1035-1076

- Fred Espen Benth and Carlo Sgarra
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces pp. 1077-1116

- Martin Friesen and Sven Karbach
- Robustness of Hilbert space-valued stochastic volatility models pp. 1117-1146

- Fred Espen Benth and Heidar Eyjolfsson
- A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models pp. 1147-1178

- Christian Bayer, Denis Belomestny, Oleg Butkovsky and John Schoenmakers
- Extreme ATM skew in a local volatility model with discontinuity: joint density approach pp. 1179-1202

- Alexander Gairat and Vadim Shcherbakov
- On the Guyon–Lekeufack volatility model pp. 1203-1223

- Marcel Nutz and Andrés Riveros Valdevenito
Volume 28, issue 3, 2024
- Functional central limit theorems for rough volatility pp. 615-661

- Blanka Horvath, Antoine Jacquier, Aitor Muguruza and Andreas Søjmark
- Speeding up the Euler scheme for killed diffusions pp. 663-707

- Umut Çetin and Julien Hok
- Duality in optimal consumption–investment problems with alternative data pp. 709-758

- Kexin Chen and Hoi Ying Wong
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies pp. 759-812

- Ulrich Horst and Evgueni Kivman
- Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems pp. 813-863

- Julia Ackermann, Thomas Kruse and Mikhail Urusov
- Deep neural network expressivity for optimal stopping problems pp. 865-910

- Lukas Gonon
Volume 28, issue 2, 2024
- Hedging with physical or cash settlement under transient multiplicative price impact pp. 285-328

- Dirk Becherer and Todor Bilarev
- Existence of an equilibrium with limited participation pp. 329-361

- Kim Weston
- A framework for measures of risk under uncertainty pp. 363-390

- Tolulope Fadina, Yang Liu and Ruodu Wang
- Optimal consumption and investment with welfare constraints pp. 391-451

- Junkee Jeon and Minsuk Kwak
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters pp. 453-495

- Matteo Brachetta, Giorgia Callegaro, Claudia Ceci and Carlo Sgarra
- Optimal investment in a large population of competitive and heterogeneous agents pp. 497-551

- Ludovic Tangpi and Xuchen Zhou
- Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model pp. 553-613

- Oleksii Mostovyi and Mihai Sîrbu
Volume 28, issue 1, 2024
- Arbitrage problems with reflected geometric Brownian motion pp. 1-26

- Dean Buckner, Kevin Dowd and Hardy Hulley
- Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle pp. 27-79

- Julien Guyon
- Pricing options on flow forwards by neural networks in a Hilbert space pp. 81-121

- Fred Espen Benth, Nils Detering and Luca Galimberti
- Optimal investment and consumption for financial markets with jumps under transaction costs pp. 123-159

- Sergei Egorov and Serguei Pergamenchtchikov
- Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting pp. 161-214

- Yike Wang, Jingzhen Liu and Tak Kuen Siu
- A càdlàg rough path foundation for robust finance pp. 215-257

- Andrew L. Allan, Chong Liu and David J. Prömel
- Faking Brownian motion with continuous Markov martingales pp. 259-284

- Mathias Beiglböck, George Lowther, Gudmund Pammer and Walter Schachermayer
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