Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 27, issue 4, 2023

Editorial: Special Issue in memory of Tomas Björk pp. 863-865

Martin Schweizer

In memoriam: Tomas Björk (1947–2021) pp. 867-885

Raquel Gaspar and Mariana Khapko

Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments pp. 887-902

Yuri Kabanov and Platon Promyslov

A stochastic control perspective on term structure models with roll-over risk pp. 903-932

Claudio Fontana, Simone Pavarana and Wolfgang J. Runggaldier

Discount models pp. 933-946

Damir Filipović

Present-biased lobbyists in linear–quadratic stochastic differential games pp. 947-984

Ali Lazrak, Hanxiao Wang and Jiongmin Yong

Robust utility maximisation with intractable claims pp. 985-1015

Yunhong Li, Zuo Quan Xu and Xun Yu Zhou

Asset pricing with dynamically inconsistent agents pp. 1017-1046

Mariana Khapko

Thank you, Tomas! pp. 1047-1048

Andrea Gombani

Volume 27, issue 3, 2023

Rogue traders pp. 539-603

Huayuan Dong, Paolo Guasoni and Eberhard Mayerhofer

Continuous-time incentives in hierarchies pp. 605-661

Emma Hubert

Contagious McKean–Vlasov systems with heterogeneous impact and exposure pp. 663-711

Zachary Feinstein and Andreas Søjmark

Optimal execution with multiplicative price impact and incomplete information on the return pp. 713-768

Felix Dammann and Giorgio Ferrari

A general approach for Parisian stopping times under Markov processes pp. 769-829

Gongqiu Zhang and Lingfei Li

Fundamental theorem of asset pricing with acceptable risk in markets with frictions pp. 831-862

Maria Arduca and Cosimo Munari

Volume 27, issue 2, 2023

Entropy martingale optimal transport and nonlinear pricing–hedging duality pp. 255-304

Alessandro Doldi and Marco Frittelli

Price impact in Nash equilibria pp. 305-340

Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi

Optimal dividends under a drawdown constraint and a curious square-root rule pp. 341-400

Hansjörg Albrecher, Pablo Azcue and Nora Muler

Market-to-book ratio in stochastic portfolio theory pp. 401-434

Donghan Kim

Optional projection under equivalent local martingale measures pp. 435-465

Francesca Biagini, Andrea Mazzon and Ari-Pekka Perkkiö

Optimal insurance under maxmin expected utility pp. 467-501

Corina Birghila, Tim J. Boonen and Mario Ghossoub

A continuous-time model of self-protection pp. 503-537

Sarah Bensalem, Nicolás Hernández-Santibáñez and Nabil Kazi-Tani

Volume 27, issue 1, 2023

Optimal execution with stochastic delay pp. 1-47

Álvaro Cartea and Leandro Sánchez-Betancourt

Speculative trading, prospect theory and transaction costs pp. 49-96

Alex S. L. Tse and Harry Zheng

Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models pp. 97-126

Nicolas Marie

The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations pp. 127-158

Martin Herdegen, David Hobson and Joseph Jerome

The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ ( 0, 1 ) $\vartheta \in (0,1)$ pp. 159-188

Martin Herdegen, David Hobson and Joseph Jerome

Mean field portfolio games pp. 189-231

Guanxing Fu and Chao Zhou

Martingale Schrödinger bridges and optimal semistatic portfolios pp. 233-254

Marcel Nutz, Johannes Wiesel and Long Zhao