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Finance and Stochastics

1996 - 2020

Current editor(s): M. Schweizer

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2020, volume 24, issue 2

The value of informational arbitrage pp. 277-307 Downloads
Huy N. Chau, Andrea Cosso and Claudio Fontana
Regime switching affine processes with applications to finance pp. 309-333 Downloads
Misha Beek, Michel Mandjes, Peter Spreij and Erik Winands
Partial liquidation under reference-dependent preferences pp. 335-357 Downloads
Vicky Henderson and Jonathan Muscat
An incomplete equilibrium with a stochastic annuity pp. 359-382 Downloads
Kim Weston and Gordan Žitković
Consumption in incomplete markets pp. 383-422 Downloads
Paolo Guasoni and Gu Wang
Trading strategies generated pathwise by functions of market weights pp. 423-463 Downloads
Ioannis Karatzas and Donghan Kim
Term structure modelling for multiple curves with stochastic discontinuities pp. 465-511 Downloads
Claudio Fontana, Zorana Grbac, Sandrine Gümbel and Thorsten Schmidt
On fairness of systemic risk measures pp. 513-564 Downloads
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli and Thilo Meyer-Brandis

2020, volume 24, issue 1

A Black–Scholes inequality: applications and generalisations pp. 1-38 Downloads
Michael R. Tehranchi
Ruin probabilities for a Lévy-driven generalised Ornstein–Uhlenbeck process pp. 39-69 Downloads
Yuri Kabanov and Serguei Pergamenshchikov
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion pp. 71-123 Downloads
Tiziano Angelis
The value of a liability cash flow in discrete time subject to capital requirements pp. 125-167 Downloads
Hampus Engsner, Kristoffer Lindensjö and Filip Lindskog
Linear credit risk models pp. 169-214 Downloads
Damien Ackerer and Damir Filipović
Pathwise superhedging on prediction sets pp. 215-248 Downloads
Daniel Bartl, Michael Kupper and Ariel Neufeld
On the quasi-sure superhedging duality with frictions pp. 249-275 Downloads
Erhan Bayraktar and Matteo Burzoni

2019, volume 23, issue 4

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects pp. 795-826 Downloads
Claudia Klüppelberg and Miriam Isabel Seifert
Extreme at-the-money skew in a local volatility model pp. 827-859 Downloads
Paolo Pigato
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies pp. 861-888 Downloads
Christoph Belak and Jörn Sass
Multi-dimensional optimal trade execution under stochastic resilience pp. 889-923 Downloads
Ulrich Horst and Xiaonyu Xia
Risk sharing for capital requirements with multidimensional security markets pp. 925-973 Downloads
Felix-Benedikt Liebrich and Gregor Svindland
Forward transition rates pp. 975-999 Downloads
Kristian Buchardt, Christian Furrer and Mogens Steffensen
An application of fractional differential equations to risk theory pp. 1001-1024 Downloads
Corina D. Constantinescu, Jorge M. Ramirez and Wei R. Zhu
Dual utilities on risk aggregation under dependence uncertainty pp. 1025-1048 Downloads
Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs pp. 1049-1077 Downloads
Christoph Kühn and Alexander Molitor

2019, volume 23, issue 3

Laws of large numbers for Hayashi–Yoshida-type functionals pp. 451-500 Downloads
Ole Martin and Mathias Vetter
Affine forward variance models pp. 501-533 Downloads
Jim Gatheral and Martin Keller-Ressel
An SPDE model for systemic risk with endogenous contagion pp. 535-594 Downloads
Ben Hambly and Andreas Søjmark
Sensitivity analysis of the utility maximisation problem with respect to model perturbations pp. 595-640 Downloads
Oleksii Mostovyi and Mihai Sîrbu
A multi-asset investment and consumption problem with transaction costs pp. 641-676 Downloads
David Hobson, Alex S. L. Tse and Yeqi Zhu
Robust utility maximisation in markets with transaction costs pp. 677-696 Downloads
Huy N. Chau and Miklós Rásonyi
Duality for pathwise superhedging in continuous time pp. 697-728 Downloads
Daniel Bartl, Michael Kupper, David J. Prömel and Ludovic Tangpi
The self-financing equation in limit order book markets pp. 729-759 Downloads
René Carmona and Kevin Webster
Distributional compatibility for change of measures pp. 761-794 Downloads
Jie Shen, Yi Shen, Bin Wang and Ruodu Wang

2019, volume 23, issue 2

Incorporating signals into optimal trading pp. 275-311 Downloads
Charles-Albert Lehalle and Eyal Neuman
Consumption, investment and healthcare with aging pp. 313-358 Downloads
Paolo Guasoni and Yu-Jui Huang
Robust bounds for the American put pp. 359-395 Downloads
David Hobson and Dominykas Norgilas
Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices pp. 397-421 Downloads
Delia Coculescu and Monique Jeanblanc
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach pp. 423-447 Downloads
Elisa Alòs and Kenichiro Shiraya

2019, volume 23, issue 1

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

2018, volume 22, issue 4

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

2018, volume 22, issue 3

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

2018, volume 22, issue 2

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

2018, volume 22, issue 1

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
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