Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models pp. 615-657: Lukas Gonon and Christoph Schwab
Complete and competitive financial markets in a complex world pp. 659-688: Gianluca Cassese
Additive logistic processes in option pricing pp. 689-724: Peter Carr and Lorenzo Torricelli
Scenario-based risk evaluation pp. 725-756: Ruodu Wang and Johanna F. Ziegel
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models pp. 757-810: Julia Ackermann, Thomas Kruse and Mikhail Urusov

A unified framework for robust modelling of financial markets in discrete time pp. 427-468: Jan Obłój and Johannes Wiesel
Duality theory for robust utility maximisation pp. 469-503: Daniel Bartl, Michael Kupper and Ariel Neufeld
A quasi-sure optional decomposition and super-hedging result on the Skorokhod space pp. 505-528: Bruno Bouchard and Xiaolu Tan
Robust state-dependent mean–variance portfolio selection: a closed-loop approach pp. 529-561: Bingyan Han, Chi Seng Pun and Hoi Ying Wong
Time-dynamic evaluations under non-monotone information generated by marked point processes pp. 563-596: Marcus C. Christiansen
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions pp. 597-614: Freddy Delbaen

Markov decision processes with quasi-hyperbolic discounting pp. 189-229: Anna Jaśkiewicz and Andrzej Nowak
Equilibrium asset pricing with transaction costs pp. 231-275: Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï
High-frequency trading with fractional Brownian motion pp. 277-310: Paolo Guasoni, Yuliya Mishura and Miklós Rásonyi
Concavity, stochastic utility, and risk aversion pp. 311-330: Robert Jarrow and Siguang Li
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes pp. 331-358: Moris S. Strub and Xun Yu Zhou
Change of drift in one-dimensional diffusions pp. 359-381: Sascha Desmettre, Gunther Leobacher and L. C. G. Rogers
Infinite-dimensional polynomial processes pp. 383-426: Christa Cuchiero and Sara Svaluto-Ferro

Editorial pp. 1-3: Andreas H. Hamel and Martin Schweizer
Nonlinear expectations of random sets pp. 5-41: Ilya Molchanov and Anja Mühlemann
Set-valued risk measures as backward stochastic difference inclusions and equations pp. 43-76: Çağın Ararat and Zachary Feinstein
Multi-utility representations of incomplete preferences induced by set-valued risk measures pp. 77-99: Cosimo Munari
Risk arbitrage and hedging to acceptability under transaction costs pp. 101-132: Emmanuel Lépinette and Ilya Molchanov
Elicitability and identifiability of set-valued measures of systemic risk pp. 133-165: Tobias Fissler, Jana Hlavinová and Birgit Rudloff
On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs pp. 167-187: Julien Grépat and Yuri Kabanov