Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

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

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

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

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

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

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