Finance and Stochastics

1996 - 2026

Current editor(s): M. Schweizer

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The support and resistance line method: an analysis via optimal stopping pp. 657-704: Vicky Henderson, Saul Jacka, Ruiqi Liu and Jun Maeda
Lifetime portfolio and consumption choice with defined contribution plans pp. 705-764: Min Dai, Shuaijie Qian, Ling Qin and Jing Xu
An economic interpretation and mathematical analysis of Epstein–Zin stochastic differential utility for an infinite horizon when θ pp. 765-819: Yuki Shigeta
Criteria for the absence of arbitrage in one-dimensional general diffusion markets pp. 821-871: David Criens and Mikhail Urusov
Portfolios generated by contingent claim functions, with applications to option pricing pp. 873-901: Ricardo T. Fernholz and Robert Fernholz
Star-shaped and dynamic return risk measures via BSDEs pp. 903-950: Roger J. A. Laeven, Emanuela Rosazza Gianin and Marco Zullino
Nash equilibrium between brokers and traders pp. 951-982: Álvaro Cartea, Sebastian Jaimungal and Leandro Sánchez-Betancourt

Obituary: Dieter Sondermann (1937–2026) pp. 327-328: M. Schweizer
Understanding the worst-kept secret of high-frequency trading pp. 329-396: Sergio Pulido, Mathieu Rosenbaum and Emmanouil Sfendourakis
Calibration of local volatility models with stochastic interest rates using optimal transport pp. 397-439: Benjamin Joseph, Grégoire Loeper and Jan Obłój
Monotonic mean–deviation risk measures pp. 441-483: Xia Han, Ruodu Wang and Qinyu Wu
Bipolar theorems for sets of nonnegative random variables pp. 485-526: Johannes Langner and Gregor Svindland
Coherent risk measures and uniform integrability pp. 527-552: Muqiao Huang and Ruodu Wang
Vulnerable European and American options in a hazard-process model pp. 553-596: Libo Li, Ruyi Liu and Marek Rutkowski
Reinforcement learning for continuous-time optimal execution: actor–critic algorithm and error analysis pp. 597-655: Boyu Wang, Xuefeng Gao and Lingfei Li

Collective arbitrage and the value of cooperation pp. 1-57: Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli and Thilo Meyer-Brandis
A problem of finite-horizon optimal switching and stochastic control for utility maximisation pp. 59-118: Zhou Yang and Junkee Jeon
Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal pp. 119-158: Guillermo A. Alvarez and Sergey Nadtochiy
Ruin problems with investments on a finite interval: PIDEs and their viscosity solutions pp. 159-177: Viktor Antipov and Yuri Kabanov
Time-inconsistent mean-field stopping problems: a regularised equilibrium approach pp. 179-236: Xiang Yu and Fengyi Yuan
Approximations of semi-Markov processes and insurance policy valuation pp. 237-276: Martin Bladt, Andreea Minca and Oscar Peralta
Sandwiched Volterra volatility model: Markovian approximations and hedging pp. 277-325: Giulia Di Nunno and Anton Yurchenko-Tytarenko

Gamma hedging and rough paths pp. 933-979: John Armstrong and Andrei Ionescu
Primal and dual optimal stopping with signatures pp. 981-1014: Christian Bayer, Luca Pelizzari and John Schoenmakers
A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation pp. 1015-1074: Stéphane Crépey, Noufel Frikha and Azar Louzi
Profit and loss decomposition in continuous time and approximations pp. 1075-1107: Gero Junike, Hauke Stier and Marcus Christiansen
Volatility modelling in a Markov-switching environment: two Ornstein–Uhlenbeck-related approaches pp. 1109-1138: Anita Behme
Graphon mean-field backward stochastic differential equations with jumps and associated dynamic risk measures pp. 1139-1194: Hamed Amini, Zhongyuan Cao and Agnès Sulem
Kyle’s model with stochastic liquidity pp. 1195-1231: Ibrahim Ekren, Brad Mostowski and Gordan Žitković
A general moment formula pp. 1233-1252: Vladimir Lucic

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