Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

The Riesz representation theorem and weak∗ compactness of semimartingales pp. 827-870: Matti Kiiski
Filtration shrinkage, the structure of deflators, and failure of market completeness pp. 871-901: Constantinos Kardaras and Johannes Ruf
Optimal insurance with background risk: An analysis of general dependence structures pp. 903-937: Yichun Chi and Wei Wei
Asset prices in segmented and integrated markets pp. 939-980: Paolo Guasoni and Kwok Chuen Wong
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem pp. 981-1011: Levon Avanesyan, Mykhaylo Shkolnikov and Ronnie Sircar
Extended weak convergence and utility maximisation with proportional transaction costs pp. 1013-1034: Erhan Bayraktar, Leonid Dolinskyi and Yan Dolinsky
The Leland–Toft optimal capital structure model under Poisson observations pp. 1035-1082: Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya and Kazutoshi Yamazaki
Optimal reduction of public debt under partial observation of the economic growth pp. 1083-1132: Giorgia Callegaro, Claudia Ceci and Giorgio Ferrari

Conditional Davis pricing pp. 565-599: Kasper Larsen, Halil Mete Soner and Gordan Žitković
Adapted Wasserstein distances and stability in mathematical finance pp. 601-632: Julio Backhoff-Veraguas, Daniel Bartl, Mathias Beiglböck and Manu Eder
Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations pp. 633-675: Emmanuel Gobet, Isaque Pimentel and Xavier Warin
A splitting strategy for the calibration of jump-diffusion models pp. 677-722: Vinicius V. L. Albani and Jorge P. Zubelli
Realised volatility and parametric estimation of Heston SDEs pp. 723-755: Robert Azencott, Peng Ren and Ilya Timofeyev
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models pp. 757-794: Ben Hambly and Nikolaos Kolliopoulos
Time reversal and last passage time of diffusions with applications to credit risk management pp. 795-825: Masahiko Egami and Rusudan Kevkhishvili

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

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