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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 ().

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Volume 29, issue 3, 2025

CV@R-penalised portfolio optimisation with biased stochastic mirror descent pp. 609-664 Downloads
Manon Costa, Sébastien Gadat and Lorick Huang
Portfolio optimisation via strategy-specific eigenvector shrinkage pp. 665-706 Downloads
Lisa R. Goldberg, Hubeyb Gurdogan and Alec Kercheval
Measuring risk contagion in financial networks with CoVaR pp. 707-755 Downloads
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 Downloads
Tomoyuki Ichiba, Guodong Pang and Murad S. Taqqu
Equilibrium with heterogeneous information flows pp. 791-846 Downloads
Scott Robertson
The law of one price in quadratic hedging and mean–variance portfolio selection pp. 847-884 Downloads
Aleš Černý and Christoph Czichowsky
Proper solutions for Epstein–Zin stochastic differential utility pp. 885-932 Downloads
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 Downloads
Christa Cuchiero, Francesca Primavera and Sara Svaluto-Ferro
Optimal bubble riding: a mean field game with varying entry times pp. 343-398 Downloads
Ludovic Tangpi and Shichun Wang
Risk-constrained portfolio choice under rank-dependent utility pp. 399-442 Downloads
Mario Ghossoub and Michael Boyuan Zhu
Efficient evaluation of expectations of functions of a Lévy process and its extremum pp. 443-468 Downloads
Svetlana Boyarchenko and Sergei Levendorskiĭ
A framework of state-dependent utility optimisation with general benchmarks pp. 469-518 Downloads
Zongxia Liang, Yang Liu and Litian Zhang
Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity pp. 519-551 Downloads
Laurence Carassus and Johannes Wiesel
Fast and slow optimal trading with exogenous information pp. 553-607 Downloads
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 Downloads
Benjamin Jourdain and Gilles Pagès
Polynomial approximation of discounted moments pp. 63-95 Downloads
Chenyu Zhao, Misha Beek, Peter Spreij and Makhtar Ba
Importance sampling for option pricing with feedforward neural networks pp. 97-141 Downloads
Aleksandar Arandjelović, Thorsten Rheinländer and Pavel V. Shevchenko
Gaussian agency problems with memory and linear contracts pp. 143-176 Downloads
Eduardo Abi Jaber and Stéphane Villeneuve
Pricing of contingent claims in large markets pp. 177-217 Downloads
Oleksii Mostovyi and Pietro Siorpaes
Quasi-sure essential supremum and applications to finance pp. 219-260 Downloads
Laurence Carassus
Lower semicontinuity of monotone functionals in the mixed topology on C b $C_{b}$ pp. 261-287 Downloads
Max Nendel

Volume 28, issue 4, 2024

Improved robust price bounds for multi-asset derivatives under market-implied dependence information pp. 911-964 Downloads
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld and Julian Sester
Cost-efficient payoffs under model ambiguity pp. 965-997 Downloads
Carole Bernard, Gero Junike, Thibaut Lux and Steven Vanduffel
Risk sharing under heterogeneous beliefs without convexity pp. 999-1033 Downloads
Felix-Benedikt Liebrich
A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets pp. 1035-1076 Downloads
Fred Espen Benth and Carlo Sgarra
Stationary covariance regime for affine stochastic covariance models in Hilbert spaces pp. 1077-1116 Downloads
Martin Friesen and Sven Karbach
Robustness of Hilbert space-valued stochastic volatility models pp. 1117-1146 Downloads
Fred Espen Benth and Heidar Eyjolfsson
A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean–Vlasov models pp. 1147-1178 Downloads
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 Downloads
Alexander Gairat and Vadim Shcherbakov
On the Guyon–Lekeufack volatility model pp. 1203-1223 Downloads
Marcel Nutz and Andrés Riveros Valdevenito

Volume 28, issue 3, 2024

Functional central limit theorems for rough volatility pp. 615-661 Downloads
Blanka Horvath, Antoine Jacquier, Aitor Muguruza and Andreas Søjmark
Speeding up the Euler scheme for killed diffusions pp. 663-707 Downloads
Umut Çetin and Julien Hok
Duality in optimal consumption–investment problems with alternative data pp. 709-758 Downloads
Kexin Chen and Hoi Ying Wong
Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies pp. 759-812 Downloads
Ulrich Horst and Evgueni Kivman
Reducing Obizhaeva–Wang-type trade execution problems to LQ stochastic control problems pp. 813-863 Downloads
Julia Ackermann, Thomas Kruse and Mikhail Urusov
Deep neural network expressivity for optimal stopping problems pp. 865-910 Downloads
Lukas Gonon

Volume 28, issue 2, 2024

Hedging with physical or cash settlement under transient multiplicative price impact pp. 285-328 Downloads
Dirk Becherer and Todor Bilarev
Existence of an equilibrium with limited participation pp. 329-361 Downloads
Kim Weston
A framework for measures of risk under uncertainty pp. 363-390 Downloads
Tolulope Fadina, Yang Liu and Ruodu Wang
Optimal consumption and investment with welfare constraints pp. 391-451 Downloads
Junkee Jeon and Minsuk Kwak
Optimal reinsurance via BSDEs in a partially observable model with jump clusters pp. 453-495 Downloads
Matteo Brachetta, Giorgia Callegaro, Claudia Ceci and Carlo Sgarra
Optimal investment in a large population of competitive and heterogeneous agents pp. 497-551 Downloads
Ludovic Tangpi and Xuchen Zhou
Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model pp. 553-613 Downloads
Oleksii Mostovyi and Mihai Sîrbu

Volume 28, issue 1, 2024

Arbitrage problems with reflected geometric Brownian motion pp. 1-26 Downloads
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 Downloads
Julien Guyon
Pricing options on flow forwards by neural networks in a Hilbert space pp. 81-121 Downloads
Fred Espen Benth, Nils Detering and Luca Galimberti
Optimal investment and consumption for financial markets with jumps under transaction costs pp. 123-159 Downloads
Sergei Egorov and Serguei Pergamenchtchikov
Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting pp. 161-214 Downloads
Yike Wang, Jingzhen Liu and Tak Kuen Siu
A càdlàg rough path foundation for robust finance pp. 215-257 Downloads
Andrew L. Allan, Chong Liu and David J. Prömel
Faking Brownian motion with continuous Markov martingales pp. 259-284 Downloads
Mathias Beiglböck, George Lowther, Gudmund Pammer and Walter Schachermayer
Page updated 2025-07-07