Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Editorial: Special Issue in memory of Tomas Björk pp. 863-865: Martin Schweizer
In memoriam: Tomas Björk (1947–2021) pp. 867-885: Raquel Gaspar and Mariana Khapko
Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments pp. 887-902: Yuri Kabanov and Platon Promyslov
A stochastic control perspective on term structure models with roll-over risk pp. 903-932: Claudio Fontana, Simone Pavarana and Wolfgang J. Runggaldier
Discount models pp. 933-946: Damir Filipović
Present-biased lobbyists in linear–quadratic stochastic differential games pp. 947-984: Ali Lazrak, Hanxiao Wang and Jiongmin Yong
Robust utility maximisation with intractable claims pp. 985-1015: Yunhong Li, Zuo Quan Xu and Xun Yu Zhou
Asset pricing with dynamically inconsistent agents pp. 1017-1046: Mariana Khapko
Thank you, Tomas! pp. 1047-1048: Andrea Gombani

Rogue traders pp. 539-603: Huayuan Dong, Paolo Guasoni and Eberhard Mayerhofer
Continuous-time incentives in hierarchies pp. 605-661: Emma Hubert
Contagious McKean–Vlasov systems with heterogeneous impact and exposure pp. 663-711: Zachary Feinstein and Andreas Søjmark
Optimal execution with multiplicative price impact and incomplete information on the return pp. 713-768: Felix Dammann and Giorgio Ferrari
A general approach for Parisian stopping times under Markov processes pp. 769-829: Gongqiu Zhang and Lingfei Li
Fundamental theorem of asset pricing with acceptable risk in markets with frictions pp. 831-862: Maria Arduca and Cosimo Munari

Entropy martingale optimal transport and nonlinear pricing–hedging duality pp. 255-304: Alessandro Doldi and Marco Frittelli
Price impact in Nash equilibria pp. 305-340: Xiao Chen, Jin Hyuk Choi, Kasper Larsen and Duane J. Seppi
Optimal dividends under a drawdown constraint and a curious square-root rule pp. 341-400: Hansjörg Albrecher, Pablo Azcue and Nora Muler
Market-to-book ratio in stochastic portfolio theory pp. 401-434: Donghan Kim
Optional projection under equivalent local martingale measures pp. 435-465: Francesca Biagini, Andrea Mazzon and Ari-Pekka Perkkiö
Optimal insurance under maxmin expected utility pp. 467-501: Corina Birghila, Tim J. Boonen and Mario Ghossoub
A continuous-time model of self-protection pp. 503-537: Sarah Bensalem, Nicolás Hernández-Santibáñez and Nabil Kazi-Tani

Optimal execution with stochastic delay pp. 1-47: Álvaro Cartea and Leandro Sánchez-Betancourt
Speculative trading, prospect theory and transaction costs pp. 49-96: Alex S. L. Tse and Harry Zheng
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models pp. 97-126: Nicolas Marie
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. I: Foundations pp. 127-158: Martin Herdegen, David Hobson and Joseph Jerome
The infinite-horizon investment–consumption problem for Epstein–Zin stochastic differential utility. II: Existence, uniqueness and verification for ϑ ∈ ( 0, 1 ) $\vartheta \in (0,1)$ pp. 159-188: Martin Herdegen, David Hobson and Joseph Jerome
Mean field portfolio games pp. 189-231: Guanxing Fu and Chao Zhou
Martingale Schrödinger bridges and optimal semistatic portfolios pp. 233-254: Marcel Nutz, Johannes Wiesel and Long Zhao

Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation pp. 671-732: Jorge González Cázares and Aleksandar Mijatović
The characteristic function of Gaussian stochastic volatility models: an analytic expression pp. 733-769: Eduardo Abi Jaber
Jacobi stochastic volatility factor for the LIBOR market model pp. 771-823: Pierre-Edouard Arrouy, Alexandre Boumezoued, Bernard Lapeyre and Sophian Mehalla
A concept of copula robustness and its applications in quantitative risk management pp. 825-875: Henryk Zähle
On ruin probabilities with investments in a risky asset with a regime-switching price pp. 877-897: Yuri Kabanov and Sergey Pergamenshchikov
Bubbles in discrete-time models pp. 899-925: Martin Herdegen and Dörte Kreher
Semimartingale price systems in models with transaction costs beyond efficient friction pp. 927-982: Christoph Kühn and Alexander Molitor

On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance pp. 383-416: Søren Asmussen
A least-squares Monte Carlo approach to the estimation of enterprise risk pp. 417-459: Hongjun Ha and Daniel Bauer
Solving optimal stopping problems under model uncertainty via empirical dual optimisation pp. 461-503: Denis Belomestny, Tobias Hübner and Volker Krätschmer
Set-valued dynamic risk measures for processes and for vectors pp. 505-533: Yanhong Chen and Zachary Feinstein
Log-optimal and numéraire portfolios for market models stopped at a random time pp. 535-585: Tahir Choulli and Sina Yansori
A continuous-time asset market game with short-lived assets pp. 587-630: Mikhail Zhitlukhin
A class of short-term models for the oil industry that accounts for speculative oil storage pp. 631-669: Yves Achdou, Charles Bertucci, Jean-Michel Lasry, Pierre-Louis Lions, Antoine Rostand and José A. Scheinkman

Machine learning with kernels for portfolio valuation and risk management pp. 131-172: Lotfi Boudabsa and Damir Filipović
An analytical study of participating policies with minimum rate guarantee and surrender option pp. 173-216: Maria B. Chiarolla, Tiziano Angelis and Gabriele Stabile
Optimal consumption with reference to past spending maximum pp. 217-266: Shuoqing Deng, Xun Li, Huyên Pham and Xiang Yu
Dynamic mean–variance problem with frictions pp. 267-300: Alain Bensoussan, Guiyuan Ma, Chi Chung Siu and Sheung Chi Phillip Yam
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria pp. 301-334: Yu-Jui Huang and Zhou Zhou
A scaling limit for utility indifference prices in the discretised Bachelier model pp. 335-358: Asaf Cohen and Yan Dolinsky
Scaled insurance cash flows: representation and computation via change of measure techniques pp. 359-382: Christian Furrer

Editorial: 25th anniversary of Finance and Stochastics pp. 1-3: Martin Schweizer
An Italian perspective on the development of financial mathematics from 1992 to 2008 pp. 5-31: Wolfgang J. Runggaldier
My journey through finance and stochastics pp. 33-58: Marek Musiela
From Bachelier to Dupire via optimal transport pp. 59-84: Mathias Beiglböck, Gudmund Pammer and Walter Schachermayer
The influence of economic research on financial mathematics: Evidence from the last 25 years pp. 85-101: René Carmona
Reinforcement learning and stochastic optimisation pp. 103-129: Sebastian Jaimungal