

Finance and Stochastics
1996  2020
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2020, volume 24, issue 2
 The value of informational arbitrage pp. 277307
 Huy N. Chau, Andrea Cosso and Claudio Fontana
 Regime switching affine processes with applications to finance pp. 309333
 Misha Beek, Michel Mandjes, Peter Spreij and Erik Winands
 Partial liquidation under referencedependent preferences pp. 335357
 Vicky Henderson and Jonathan Muscat
 An incomplete equilibrium with a stochastic annuity pp. 359382
 Kim Weston and Gordan Žitković
 Consumption in incomplete markets pp. 383422
 Paolo Guasoni and Gu Wang
 Trading strategies generated pathwise by functions of market weights pp. 423463
 Ioannis Karatzas and Donghan Kim
 Term structure modelling for multiple curves with stochastic discontinuities pp. 465511
 Claudio Fontana, Zorana Grbac, Sandrine Gümbel and Thorsten Schmidt
 On fairness of systemic risk measures pp. 513564
 Francesca Biagini, JeanPierre Fouque, Marco Frittelli and Thilo MeyerBrandis
2020, volume 24, issue 1
 A Black–Scholes inequality: applications and generalisations pp. 138
 Michael R. Tehranchi
 Ruin probabilities for a Lévydriven generalised Ornstein–Uhlenbeck process pp. 3969
 Yuri Kabanov and Serguei Pergamenshchikov
 Optimal dividends with partial information and stopping of a degenerate reflecting diffusion pp. 71123
 Tiziano Angelis
 The value of a liability cash flow in discrete time subject to capital requirements pp. 125167
 Hampus Engsner, Kristoffer Lindensjö and Filip Lindskog
 Linear credit risk models pp. 169214
 Damien Ackerer and Damir Filipović
 Pathwise superhedging on prediction sets pp. 215248
 Daniel Bartl, Michael Kupper and Ariel Neufeld
 On the quasisure superhedging duality with frictions pp. 249275
 Erhan Bayraktar and Matteo Burzoni
2019, volume 23, issue 4
 Financial risk measures for a network of individual agents holding portfolios of lighttailed objects pp. 795826
 Claudia Klüppelberg and Miriam Isabel Seifert
 Extreme atthemoney skew in a local volatility model pp. 827859
 Paolo Pigato
 Finitehorizon optimal investment with transaction costs: construction of the optimal strategies pp. 861888
 Christoph Belak and Jörn Sass
 Multidimensional optimal trade execution under stochastic resilience pp. 889923
 Ulrich Horst and Xiaonyu Xia
 Risk sharing for capital requirements with multidimensional security markets pp. 925973
 FelixBenedikt Liebrich and Gregor Svindland
 Forward transition rates pp. 975999
 Kristian Buchardt, Christian Furrer and Mogens Steffensen
 An application of fractional differential equations to risk theory pp. 10011024
 Corina D. Constantinescu, Jorge M. Ramirez and Wei R. Zhu
 Dual utilities on risk aggregation under dependence uncertainty pp. 10251048
 Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
 Prospective strict noarbitrage and the fundamental theorem of asset pricing under transaction costs pp. 10491077
 Christoph Kühn and Alexander Molitor
2019, volume 23, issue 3
 Laws of large numbers for Hayashi–Yoshidatype functionals pp. 451500
 Ole Martin and Mathias Vetter
 Affine forward variance models pp. 501533
 Jim Gatheral and Martin KellerRessel
 An SPDE model for systemic risk with endogenous contagion pp. 535594
 Ben Hambly and Andreas Søjmark
 Sensitivity analysis of the utility maximisation problem with respect to model perturbations pp. 595640
 Oleksii Mostovyi and Mihai Sîrbu
 A multiasset investment and consumption problem with transaction costs pp. 641676
 David Hobson, Alex S. L. Tse and Yeqi Zhu
 Robust utility maximisation in markets with transaction costs pp. 677696
 Huy N. Chau and Miklós Rásonyi
 Duality for pathwise superhedging in continuous time pp. 697728
 Daniel Bartl, Michael Kupper, David J. Prömel and Ludovic Tangpi
 The selffinancing equation in limit order book markets pp. 729759
 René Carmona and Kevin Webster
 Distributional compatibility for change of measures pp. 761794
 Jie Shen, Yi Shen, Bin Wang and Ruodu Wang
2019, volume 23, issue 2
 Incorporating signals into optimal trading pp. 275311
 CharlesAlbert Lehalle and Eyal Neuman
 Consumption, investment and healthcare with aging pp. 313358
 Paolo Guasoni and YuJui Huang
 Robust bounds for the American put pp. 359395
 David Hobson and Dominykas Norgilas
 Some noarbitrage rules under shortsales constraints, and applications to converging asset prices pp. 397421
 Delia Coculescu and Monique Jeanblanc
 Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach pp. 423447
 Elisa Alòs and Kenichiro Shiraya
2019, volume 23, issue 1
 A twodimensional control problem arising from dynamic contracting theory pp. 128
 JeanPaul Décamps and Stéphane Villeneuve
 Utility maximisation in a factor model with constant and proportional transaction costs pp. 2996
 Christoph Belak and Sören Christensen
 On the free boundary of an annuity purchase pp. 97137
 Tiziano Angelis and Gabriele Stabile
 On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes pp. 139172
 Mario Hefter and Arnulf Jentzen
 A paradox in timeconsistency in the mean–variance problem? pp. 173207
 Alain Bensoussan, Kwok Chuen Wong and Sheung Chi Phillip Yam
 Minimax theorems for American options without timeconsistency pp. 209238
 Denis Belomestny, Tobias Hübner, Volker Krätschmer and Sascha Nolte
 An ergodic BSDE approach to forward entropic risk measures: representation and largematurity behavior pp. 239273
 Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou
2018, volume 22, issue 4
 Convex duality in optimal investment and contingent claim valuation in illiquid markets pp. 733771
 Teemu Pennanen and AriPekka Perkkiö
 Sensitivity analysis of longterm cash flows pp. 773825
 Hyungbin Park
 Second order approximations for limit order books pp. 827877
 Ulrich Horst and Dörte Kreher
 Dynamically consistent investment under model uncertainty: the robust forward criteria pp. 879918
 Sigrid Källblad, Jan Obłój and Thaleia Zariphopoulou
 Dynamic trading under integer constraints pp. 919957
 Stefan Gerhold and Paul Krühner
 Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations pp. 9591006
 Zdzisław Brzeźniak and Tayfun Kok
 Weak timederivatives and noarbitrage pricing pp. 10071036
 Massimo Marinacci and Federico Severino
2018, volume 22, issue 3
 Robust pricing–hedging dualities in continuous time pp. 511567
 Zhaoxu Hou and Jan Obłój
 Equilibrium returns with transaction costs pp. 569601
 Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes MuhleKarbe
 Nonimplementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty pp. 603620
 Patrick Beissner and Frank Riedel
 Longterm factorization in Heath–Jarrow–Morton models pp. 621641
 Likuan Qin and Vadim Linetsky
 Explosion in the quasiGaussian HJM model pp. 643666
 Dan Pirjol and Lingjiong Zhu
 The Jacobi stochastic volatility model pp. 667700
 Damien Ackerer, Damir Filipović and Sergio Pulido
 Chebyshev interpolation for parametric option pricing pp. 701731
 Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt and Maximilian Mair
2018, volume 22, issue 2
 The microstructural foundations of leverage effect and rough volatility pp. 241280
 Omar Euch, Masaaki Fukasawa and Mathieu Rosenbaum
 A riskneutral equilibrium leading to uncertain volatility pricing pp. 281295
 Johannes MuhleKarbe and Marcel Nutz
 An expansion in the model space in the context of utility maximization pp. 297326
 Kasper Larsen, Oleksii Mostovyi and Gordan Žitković
 Approximation of forward curve models in commodity markets with arbitragefree finitedimensional models pp. 327366
 Fred Espen Benth and Paul Krühner
 Risk measures based on behavioural economics theory pp. 367393
 Tiantian Mao and Jun Cai
 Fatou property, representations, and extensions of lawinvariant risk measures on general Orlicz spaces pp. 395415
 Niushan Gao, Denny Leung, Cosimo Munari and Foivos Xanthos
 Perfect hedging under endogenous permanent market impacts pp. 417442
 Masaaki Fukasawa and Mitja Stadje
 Stability of Radner equilibria with respect to small frictions pp. 443502
 Martin Herdegen and Johannes MuhleKarbe
 Correction to: Yield curve shapes and the asymptotic short rate distribution in affine onefactor models pp. 503510
 Martin KellerRessel
2018, volume 22, issue 1
 Dynamic programming approach to principal–agent problems pp. 137
 Jaksa Cvitanic, Dylan Possamaï and Nizar Touzi
 Optimal liquidation under stochastic liquidity pp. 3968
 Dirk Becherer, Todor Bilarev and Peter Frentrup
 Timeconsistent stopping under decreasing impatience pp. 6995
 YuJui Huang and Adrien NguyenHuu
 Financial equilibrium with asymmetric information and random horizon pp. 97126
 Umut Çetin
 Noarbitrage under a class of honest times pp. 127159
 Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
 Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs pp. 161180
 Christoph Czichowsky, Rémi Peyre, Walter Schachermayer and Junjian Yang
 Replicating portfolio approach to capital calculation pp. 181203
 Mathieu Cambou and Damir Filipović
 An enlargement of filtration formula with applications to multiple nonordered default times pp. 205240
 Monique Jeanblanc, Libo Li and Shiqi Song

On this page 2020, volume 24

Issue 2
Issue 1
 2019, volume 23

Issue 4
Issue 3 Issue 2 Issue 1
 2018, volume 22

Issue 4
Issue 3 Issue 2 Issue 1
Other years 2017, volume 21
2016, volume 20
2015, volume 19
2014, volume 18
2013, volume 17
2012, volume 16
2011, volume 15
2010, volume 14
2009, volume 13
2008, volume 12
2007, volume 11
2006, volume 10
2005, volume 9
2004, volume 8
2003, volume 7
2002, volume 6
2001, volume 5
2000, volume 4
1999, volume 3
1998, volume 2
1997, volume 2
1997, volume 1
1996, volume 1
Undated

On this page 2020, volume 24

Issue 2
Issue 1
 2019, volume 23

Issue 4
Issue 3 Issue 2 Issue 1
 2018, volume 22

Issue 4
Issue 3 Issue 2 Issue 1
Other years 2017, volume 21
2016, volume 20
2015, volume 19
2014, volume 18
2013, volume 17
2012, volume 16
2011, volume 15
2010, volume 14
2009, volume 13
2008, volume 12
2007, volume 11
2006, volume 10
2005, volume 9
2004, volume 8
2003, volume 7
2002, volume 6
2001, volume 5
2000, volume 4
1999, volume 3
1998, volume 2
1997, volume 2
1997, volume 1
1996, volume 1
Undated

