Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 22, issue 4, 2018

Convex duality in optimal investment and contingent claim valuation in illiquid markets pp. 733-771

Teemu Pennanen and Ari-Pekka Perkkiö

Sensitivity analysis of long-term cash flows pp. 773-825

Hyungbin Park

Second order approximations for limit order books pp. 827-877

Ulrich Horst and Dörte Kreher

Dynamically consistent investment under model uncertainty: the robust forward criteria pp. 879-918

Sigrid Källblad, Jan Obłój and Thaleia Zariphopoulou

Dynamic trading under integer constraints pp. 919-957

Stefan Gerhold and Paul Krühner

Stochastic evolution equations in Banach spaces and applications to the Heath–Jarrow–Morton–Musiela equations pp. 959-1006

Zdzisław Brzeźniak and Tayfun Kok

Weak time-derivatives and no-arbitrage pricing pp. 1007-1036

Massimo Marinacci and Federico Severino

Volume 22, issue 3, 2018

Robust pricing–hedging dualities in continuous time pp. 511-567

Zhaoxu Hou and Jan Obłój

Equilibrium returns with transaction costs pp. 569-601

Bruno Bouchard, Masaaki Fukasawa, Martin Herdegen and Johannes Muhle-Karbe

Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty pp. 603-620

Patrick Beissner and Frank Riedel

Long-term factorization in Heath–Jarrow–Morton models pp. 621-641

Likuan Qin and Vadim Linetsky

Explosion in the quasi-Gaussian HJM model pp. 643-666

Dan Pirjol and Lingjiong Zhu

The Jacobi stochastic volatility model pp. 667-700

Damien Ackerer, Damir Filipović and Sergio Pulido

Chebyshev interpolation for parametric option pricing pp. 701-731

Maximilian Gaß, Kathrin Glau, Mirco Mahlstedt and Maximilian Mair

Volume 22, issue 2, 2018

The microstructural foundations of leverage effect and rough volatility pp. 241-280

Omar Euch, Masaaki Fukasawa and Mathieu Rosenbaum

A risk-neutral equilibrium leading to uncertain volatility pricing pp. 281-295

Johannes Muhle-Karbe and Marcel Nutz

An expansion in the model space in the context of utility maximization pp. 297-326

Kasper Larsen, Oleksii Mostovyi and Gordan Žitković

Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models pp. 327-366

Fred Espen Benth and Paul Krühner

Risk measures based on behavioural economics theory pp. 367-393

Tiantian Mao and Jun Cai

Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces pp. 395-415

Niushan Gao, Denny Leung, Cosimo Munari and Foivos Xanthos

Perfect hedging under endogenous permanent market impacts pp. 417-442

Masaaki Fukasawa and Mitja Stadje

Stability of Radner equilibria with respect to small frictions pp. 443-502

Martin Herdegen and Johannes Muhle-Karbe

Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models pp. 503-510

Martin Keller-Ressel

Volume 22, issue 1, 2018

Dynamic programming approach to principal–agent problems pp. 1-37

Jaksa Cvitanic, Dylan Possamaï and Nizar Touzi

Optimal liquidation under stochastic liquidity pp. 39-68

Dirk Becherer, Todor Bilarev and Peter Frentrup

Time-consistent stopping under decreasing impatience pp. 69-95

Yu-Jui Huang and Adrien Nguyen-Huu

Financial equilibrium with asymmetric information and random horizon pp. 97-126

Umut Çetin

No-arbitrage under a class of honest times pp. 127-159

Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs pp. 161-180

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer and Junjian Yang

Replicating portfolio approach to capital calculation pp. 181-203

Mathieu Cambou and Damir Filipović

An enlargement of filtration formula with applications to multiple non-ordered default times pp. 205-240

Monique Jeanblanc, Libo Li and Shiqi Song