Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Volume 24, issue 4, 2020

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

Volume 24, issue 3, 2020

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

Volume 24, issue 2, 2020

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

Volume 24, issue 1, 2020

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

Volume 23, issue 4, 2019

Financial risk measures for a network of individual agents holding portfolios of light-tailed objects pp. 795-826

Claudia Klüppelberg and Miriam Isabel Seifert

Extreme at-the-money skew in a local volatility model pp. 827-859

Paolo Pigato

Finite-horizon optimal investment with transaction costs: construction of the optimal strategies pp. 861-888

Christoph Belak and Jörn Sass

Multi-dimensional optimal trade execution under stochastic resilience pp. 889-923

Ulrich Horst and Xiaonyu Xia

Risk sharing for capital requirements with multidimensional security markets pp. 925-973

Felix-Benedikt Liebrich and Gregor Svindland

Forward transition rates pp. 975-999

Kristian Buchardt, Christian Furrer and Mogens Steffensen

An application of fractional differential equations to risk theory pp. 1001-1024

Corina D. Constantinescu, Jorge M. Ramirez and Wei R. Zhu

Dual utilities on risk aggregation under dependence uncertainty pp. 1025-1048

Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou

Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs pp. 1049-1077

Christoph Kühn and Alexander Molitor

Volume 23, issue 3, 2019

Laws of large numbers for Hayashi–Yoshida-type functionals pp. 451-500

Ole Martin and Mathias Vetter

Affine forward variance models pp. 501-533

Jim Gatheral and Martin Keller-Ressel

An SPDE model for systemic risk with endogenous contagion pp. 535-594

Ben Hambly and Andreas Søjmark

Sensitivity analysis of the utility maximisation problem with respect to model perturbations pp. 595-640

Oleksii Mostovyi and Mihai Sîrbu

A multi-asset investment and consumption problem with transaction costs pp. 641-676

David Hobson, Alex S. L. Tse and Yeqi Zhu

Robust utility maximisation in markets with transaction costs pp. 677-696

Huy N. Chau and Miklós Rásonyi

Duality for pathwise superhedging in continuous time pp. 697-728

Daniel Bartl, Michael Kupper, David J. Prömel and Ludovic Tangpi

The self-financing equation in limit order book markets pp. 729-759

René Carmona and Kevin Webster

Distributional compatibility for change of measures pp. 761-794

Jie Shen, Yi Shen, Bin Wang and Ruodu Wang

Volume 23, issue 2, 2019

Incorporating signals into optimal trading pp. 275-311

Charles-Albert Lehalle and Eyal Neuman

Consumption, investment and healthcare with aging pp. 313-358

Paolo Guasoni and Yu-Jui Huang

Robust bounds for the American put pp. 359-395

David Hobson and Dominykas Norgilas

Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices pp. 397-421

Delia Coculescu and Monique Jeanblanc

Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach pp. 423-447

Elisa Alòs and Kenichiro Shiraya

Volume 23, issue 1, 2019

A two-dimensional control problem arising from dynamic contracting theory pp. 1-28

Jean-Paul Décamps and Stéphane Villeneuve

Utility maximisation in a factor model with constant and proportional transaction costs pp. 29-96

Christoph Belak and Sören Christensen

On the free boundary of an annuity purchase pp. 97-137

Tiziano Angelis and Gabriele Stabile

On arbitrarily slow convergence rates for strong numerical approximations of Cox–Ingersoll–Ross processes and squared Bessel processes pp. 139-172

Mario Hefter and Arnulf Jentzen

A paradox in time-consistency in the mean–variance problem? pp. 173-207

Alain Bensoussan, Kwok Chuen Wong and Sheung Chi Phillip Yam

Minimax theorems for American options without time-consistency pp. 209-238

Denis Belomestny, Tobias Hübner, Volker Krätschmer and Sascha Nolte

An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior pp. 239-273

Wing Fung Chong, Ying Hu, Gechun Liang and Thaleia Zariphopoulou