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Finance and Stochastics

1996 - 2019

Current editor(s): M. Schweizer

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Volume 23, issue 1, 2019

A two-dimensional control problem arising from dynamic contracting theory pp. 1-28 Downloads
Jean-Paul Décamps and Stéphane Villeneuve
Utility maximisation in a factor model with constant and proportional transaction costs pp. 29-96 Downloads
Christoph Belak and Sören Christensen
On the free boundary of an annuity purchase pp. 97-137 Downloads
Tiziano Angelis and Gabriele Stabile
On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes pp. 139-172 Downloads
Mario Hefter and Arnulf Jentzen
A paradox in time-consistency in the mean–variance problem? pp. 173-207 Downloads
Alain Bensoussan, Kwok Chuen Wong and Sheung Chi Phillip Yam
Minimax theorems for American options without time-consistency pp. 209-238 Downloads
Denis Belomestny, Tobias Hübner, Volker Krätschmer and Sascha Nolte
An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior pp. 239-273 Downloads
Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou

Volume 22, issue 4, 2018

Convex duality in optimal investment and contingent claim valuation in illiquid markets pp. 733-771 Downloads
Teemu Pennanen and Ari-Pekka Perkkiö
Sensitivity analysis of long-term cash flows pp. 773-825 Downloads
Hyungbin Park
Second order approximations for limit order books pp. 827-877 Downloads
Ulrich Horst and Dörte Kreher
Dynamically consistent investment under model uncertainty: the robust forward criteria pp. 879-918 Downloads
Sigrid Källblad, Jan Obłój and Thaleia Zariphopoulou
Dynamic trading under integer constraints pp. 919-957 Downloads
Stefan Gerhold and Paul Krühner
Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations pp. 959-1006 Downloads
Zdzisław Brzeźniak and Tayfun Kok
Weak time-derivatives and no-arbitrage pricing pp. 1007-1036 Downloads
Massimo Marinacci and Federico Severino

Volume 22, issue 3, 2018

Robust pricing–hedging dualities in continuous time pp. 511-567 Downloads
Zhaoxu Hou and Jan Obłój
Equilibrium returns with transaction costs pp. 569-601 Downloads
Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe
Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty pp. 603-620 Downloads
Patrick Beissner and Frank Riedel
Long-term factorization in Heath–Jarrow–Morton models pp. 621-641 Downloads
Likuan Qin and Vadim Linetsky
Explosion in the quasi-Gaussian HJM model pp. 643-666 Downloads
Dan Pirjol and Lingjiong Zhu
The Jacobi stochastic volatility model pp. 667-700 Downloads
Damien Ackerer, Damir Filipović and Sergio Pulido
Chebyshev interpolation for parametric option pricing pp. 701-731 Downloads
Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt and Maximilian Mair

Volume 22, issue 2, 2018

The microstructural foundations of leverage effect and rough volatility pp. 241-280 Downloads
Omar Euch, Masaaki Fukasawa and Mathieu Rosenbaum
A risk-neutral equilibrium leading to uncertain volatility pricing pp. 281-295 Downloads
Johannes Muhle-Karbe and Marcel Nutz
An expansion in the model space in the context of utility maximization pp. 297-326 Downloads
Kasper Larsen, Oleksii Mostovyi and Gordan Žitković
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models pp. 327-366 Downloads
Fred Espen Benth and Paul Krühner
Risk measures based on behavioural economics theory pp. 367-393 Downloads
Tiantian Mao and Jun Cai
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces pp. 395-415 Downloads
Niushan Gao, Denny Leung, Cosimo Munari and Foivos Xanthos
Perfect hedging under endogenous permanent market impacts pp. 417-442 Downloads
Masaaki Fukasawa and Mitja Stadje
Stability of Radner equilibria with respect to small frictions pp. 443-502 Downloads
Martin Herdegen and Johannes Muhle-Karbe
Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models pp. 503-510 Downloads
Martin Keller-Ressel

Volume 22, issue 1, 2018

Dynamic programming approach to principal–agent problems pp. 1-37 Downloads
Jaksa Cvitanic, Dylan Possamaï and Nizar Touzi
Optimal liquidation under stochastic liquidity pp. 39-68 Downloads
Dirk Becherer, Todor Bilarev and Peter Frentrup
Time-consistent stopping under decreasing impatience pp. 69-95 Downloads
Yu-Jui Huang and Adrien Nguyen-Huu
Financial equilibrium with asymmetric information and random horizon pp. 97-126 Downloads
Umut Çetin
No-arbitrage under a class of honest times pp. 127-159 Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs pp. 161-180 Downloads
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer and Junjian Yang
Replicating portfolio approach to capital calculation pp. 181-203 Downloads
Mathieu Cambou and Damir Filipović
An enlargement of filtration formula with applications to multiple non-ordered default times pp. 205-240 Downloads
Monique Jeanblanc, Libo Li and Shiqi Song

Volume 21, issue 4, 2017

Model uncertainty, recalibration, and the emergence of delta–vega hedging pp. 873-930 Downloads
Sebastian Herrmann and Johannes Muhle-Karbe
Hybrid scheme for Brownian semistationary processes pp. 931-965 Downloads
Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen
A direct solution method for pricing options involving the maximum process pp. 967-993 Downloads
Masahiko Egami and Tadao Oryu
Multilevel Monte Carlo for exponential Lévy models pp. 995-1026 Downloads
Michael B. Giles and Yuan Xia
Endogenous current coupons pp. 1027-1071 Downloads
Zhe Cheng and Scott Robertson
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation pp. 1073-1102 Downloads
D. Madan, M. Pistorius and M. Stadje
No-arbitrage up to random horizon for quasi-left-continuous models pp. 1103-1139 Downloads
Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Pathwise superreplication via Vovk’s outer measure pp. 1141-1166 Downloads
Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski and David J. Prömel

Volume 21, issue 3, 2017

Bounds for VIX futures given S&P 500 smiles pp. 593-630 Downloads
Julien Guyon, Romain Menegaux and Marcel Nutz
Risk bounds for factor models pp. 631-659 Downloads
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang
The exact Taylor formula of the implied volatility pp. 661-718 Downloads
Stefano Pagliarani and Andrea Pascucci
The role of measurability in game-theoretic probability pp. 719-739 Downloads
Vladimir Vovk
The space of outcomes of semi-static trading strategies need not be closed pp. 741-751 Downloads
Beatrice Acciaio, Martin Larsson and Walter Schachermayer
Trading strategies generated by Lyapunov functions pp. 753-787 Downloads
Ioannis Karatzas and Johannes Ruf
Alpha-CIR model with branching processes in sovereign interest rate modeling pp. 789-813 Downloads
Ying Jiao, Chunhua Ma and Simone Scotti
Equilibrium in risk-sharing games pp. 815-865 Downloads
Michail Anthropelos and Constantinos Kardaras
Erratum to: Utility maximization in incomplete markets with random endowment pp. 867-872 Downloads
Jaksa Cvitanic, Walter Schachermayer and Hui Wang

Volume 21, issue 2, 2017

On time-inconsistent stochastic control in continuous time pp. 331-360 Downloads
Tomas Björk, Mariana Khapko and Agatha Murgoci
Hedging under multiple risk constraints pp. 361-396 Downloads
Ying Jiao, Olivier Klopfenstein and Peter Tankov
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals pp. 397-425 Downloads
Sigrid Källblad
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations pp. 427-469 Downloads
Zhi Liu
Change of numeraire in the two-marginals martingale transport problem pp. 471-486 Downloads
Luciano Campi, Ismail Laachir and Claude Martini
The scaling limit of superreplication prices with small transaction costs in the multivariate case pp. 487-508 Downloads
Peter Bank, Yan Dolinsky and Ari-Pekka Perkkiö
Computing deltas without derivatives pp. 509-549 Downloads
D. Baños, T. Meyer-Brandis, F. Proske and S. Duedahl
Local risk-minimization for Barndorff-Nielsen and Shephard models pp. 551-592 Downloads
Takuji Arai, Yuto Imai and Ryoichi Suzuki

Volume 21, issue 1, 2017

Hedging with small uncertainty aversion pp. 1-64 Downloads
Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried
Continuous-time perpetuities and time reversal of diffusions pp. 65-110 Downloads
Constantinos Kardaras and Scott Robertson
Arbitrage-free pricing of multi-person game claims in discrete time pp. 111-155 Downloads
Ivan Guo and Marek Rutkowski
Watermark options pp. 157-186 Downloads
Neofytos Rodosthenous and Mihail Zervos
Optimal consumption and investment with Epstein–Zin recursive utility pp. 187-226 Downloads
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Consumption–investment optimization with Epstein–Zin utility in incomplete markets pp. 227-262 Downloads
Hao Xing
Market completion with derivative securities pp. 263-284 Downloads
Daniel C. Schwarz
Model uncertainty and the pricing of American options pp. 285-329 Downloads
David Hobson and Anthony Neuberger
Page updated 2019-02-17