Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Risk-minimizing hedging strategies for insurance payment processes pp. 419-446: Thomas Møller
Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution pp. 447-467: Kristin Reikvam, Fred Espen Benth and Kenneth Hvistendahl Karlsen
Equity portfolios generated by functions of ranked market weights pp. 469-486: Robert Fernholz
Existence and structure of stochastic equilibria with intertemporal substitution pp. 487-509: Frank Riedel and Peter Bank
Stochastic flows and the forward measure pp. 511-525: Robert J. Elliott and John van der Hoek
Optimal risk control for a large corporation in the presence of returns on investments pp. 527-547: Bjarne Højgaard and Michael Taksar
Black and Scholes pricing and markets with transaction costs: An example pp. 549-555: Haim Reisman
Minimax and minimal distance martingale measures and their relationship to portfolio optimization pp. 557-581: Thomas Goll and Ludger Rüschendorf

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach pp. 275-303: Kristin Reikvam, Fred Espen Benth and Kenneth Hvistendahl Karlsen
Arbitrage and investment opportunities pp. 305-325: Elyès Jouini
The numeraire portfolio for unbounded semimartingales pp. 327-341: Dirk Becherer
Fractional Brownian motion, random walks and binary market models pp. 343-355: Tommi Sottinen
Discrete time hedging errors for options with irregular payoffs pp. 357-367: Emmanuel Temam and Emmanuel Gobet
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models pp. 369-387: Damiano Brigo and Fabio Mercurio
A general characterization of one factor affine term structure models pp. 389-412: Damir Filipovic
A note on calculating the optimal risky portfolio pp. 413-417: Reha H. Tütüncü

The relaxed investor and parameter uncertainty pp. 131-154: L.C.G. Rogers
Analytical value-at-risk with jumps and credit risk pp. 155-180: Jun Pan and Darrell Duffie
Coherent risk measures and good-deal bounds pp. 181-200: Stefan Jaschke and Uwe Küchler
Applications of Malliavin calculus to Monte-Carlo methods in finance. II pp. 201-236: Eric Fournié, Jean-Michel Lasry, Pierre-Louis Lions and Jérôme Lebuchoux
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model pp. 237-257: Carl Chiarella and Oh Kang Kwon
Utility maximization in incomplete markets with random endowment pp. 259-272: Hui Wang (**),, Jaksa Cvitanic and Walter Schachermayer (*),

Editorial pp. 1-2: A.N. Shiryaev, S.E. Shreve and D. Sondermann
Bachelier and his times: A conversation with Bernard Bru pp. 3-32: Murad S. Taqqu
Optimal investment in derivative securities pp. 33-59: Dilip B. Madan, Xing Jin and Peter Carr
A solution approach to valuation with unhedgeable risks pp. 61-82: Thaleia Zariphopoulou
Semimartingale representation of fractional Riesz-Bessel motion pp. 83-101: V.V. Anh and C.N. Nguyen
Apparent scaling pp. 103-113: Ole Barndorff-Nielsen and Karsten Prause
A class of risk neutral densities with heavy tails pp. 115-128: Niels VÖver Hartvig, Jens Ledet Jensen and Jan Pedersen

Bond pricing in a hidden Markov model of the short rate pp. 371-389: Camilla LandÊn
Markov-functional interest rate models pp. 391-408: Joanne Kennedy, Phil Hunt and Antoon Pelsser
A simple regime switching term structure model pp. 409-429: Asbjørn T. Hansen and Rolf Poulsen
Implied savings accounts are unique pp. 431-442: Martin Schweizer, Christophe Stricker and Frank DÃberlein
Game options pp. 443-463: Yuri Kifer
White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance pp. 465-496: Jan Ubøe, Bernt Øksendal, Knut Aase and Nicolas Privault

Options on a traded account: Vacation calls, vacation puts and passport options pp. 255-274: Steven E. Shreve and Jan Vecer
Introduction to a theory of value coherent with the no-arbitrage principle pp. 275-297: Marco Frittelli
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation pp. 299-324: Bjarne Højgaard, Søren Asmussen and Michael Taksar
Robustness of the Black-Scholes approach in the case of options on several assets pp. 325-341: Tiziano Vargiolu and Silvia Romagnoli
Modelling of stock price changes: A real analysis approach pp. 343-369: Rimas Norvaisa

Efficient hedging: Cost versus shortfall risk pp. 117-146: Hans FÃllmer and Peter Leukert
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices pp. 147-159: Damiano Brigo and Fabio Mercurio
Superreplication in stochastic volatility models and optimal stopping pp. 161-187: RØdiger Frey
Discrete time option pricing with flexible volatility estimation pp. 189-207: Christian Hafner and Wolfgang Härdle
Incompleteness of markets driven by a mixed diffusion pp. 209-222: N. Bellamy and M. Jeanblanc
Irreversible investment problems pp. 223-250: Anders Ûksendal

Risk sensitive asset management with transaction costs pp. 1-33: Stanley R. Pliska and Tomasz R. Bielecki
Arbitrage-free discretization of lognormal forward Libor and swap rate models pp. 35-68: Xiaoliang Zhao and Paul Glasserman
Local time, coupling and the passport option pp. 69-80: Vicky Henderson and David Hobson
Convergence of discrete time option pricing models under stochastic interest rates pp. 81-93: Olivier Scaillet, Jean-Luc Prigent and J.-P. Lesne
Pricing double barrier options using Laplace transforms pp. 95-104: Antoon Pelsser
Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser pp. 105-107: C.H. Hui, P.H. Yuen and C.F. Lo
A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary pp. 109-111: O. Renault, Olivier Scaillet and B. Leblanc