Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 21, issue 4, 2017

Model uncertainty, recalibration, and the emergence of delta–vega hedging pp. 873-930

Sebastian Herrmann and Johannes Muhle-Karbe

Hybrid scheme for Brownian semistationary processes pp. 931-965

Mikkel Bennedsen, Asger Lunde and Mikko S. Pakkanen

A direct solution method for pricing options involving the maximum process pp. 967-993

Masahiko Egami and Tadao Oryu

Multilevel Monte Carlo for exponential Lévy models pp. 995-1026

Michael B. Giles and Yuan Xia

Endogenous current coupons pp. 1027-1071

Zhe Cheng and Scott Robertson

On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation pp. 1073-1102

D. Madan, M. Pistorius and M. Stadje

No-arbitrage up to random horizon for quasi-left-continuous models pp. 1103-1139

Anna Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc

Pathwise superreplication via Vovk’s outer measure pp. 1141-1166

Mathias Beiglböck, Alexander M. G. Cox, Martin Huesmann, Nicolas Perkowski and David J. Prömel

Volume 21, issue 3, 2017

Bounds for VIX futures given S&P 500 smiles pp. 593-630

Julien Guyon, Romain Menegaux and Marcel Nutz

Risk bounds for factor models pp. 631-659

Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang

The exact Taylor formula of the implied volatility pp. 661-718

Stefano Pagliarani and Andrea Pascucci

The role of measurability in game-theoretic probability pp. 719-739

Vladimir Vovk

The space of outcomes of semi-static trading strategies need not be closed pp. 741-751

Beatrice Acciaio, Martin Larsson and Walter Schachermayer

Trading strategies generated by Lyapunov functions pp. 753-787

Ioannis Karatzas and Johannes Ruf

Alpha-CIR model with branching processes in sovereign interest rate modeling pp. 789-813

Ying Jiao, Chunhua Ma and Simone Scotti

Equilibrium in risk-sharing games pp. 815-865

Michail Anthropelos and Constantinos Kardaras

Erratum to: Utility maximization in incomplete markets with random endowment pp. 867-872

Jaksa Cvitanic, Walter Schachermayer and Hui Wang

Volume 21, issue 2, 2017

On time-inconsistent stochastic control in continuous time pp. 331-360

Tomas Bjork, Mariana Khapko and Agatha Murgoci

Hedging under multiple risk constraints pp. 361-396

Ying Jiao, Olivier Klopfenstein and Peter Tankov

Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals pp. 397-425

Sigrid Källblad

Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations pp. 427-469

Zhi Liu

Change of numeraire in the two-marginals martingale transport problem pp. 471-486

Luciano Campi, Ismail Laachir and Claude Martini

The scaling limit of superreplication prices with small transaction costs in the multivariate case pp. 487-508

Peter Bank, Yan Dolinsky and Ari-Pekka Perkkiö

Computing deltas without derivatives pp. 509-549

D. Baños, T. Meyer-Brandis, F. Proske and S. Duedahl

Local risk-minimization for Barndorff-Nielsen and Shephard models pp. 551-592

Takuji Arai, Yuto Imai and Ryoichi Suzuki

Volume 21, issue 1, 2017

Hedging with small uncertainty aversion pp. 1-64

Sebastian Herrmann, Johannes Muhle-Karbe and Frank Thomas Seifried

Continuous-time perpetuities and time reversal of diffusions pp. 65-110

Constantinos Kardaras and Scott Robertson

Arbitrage-free pricing of multi-person game claims in discrete time pp. 111-155

Ivan Guo and Marek Rutkowski

Watermark options pp. 157-186

Neofytos Rodosthenous and Mihail Zervos

Optimal consumption and investment with Epstein–Zin recursive utility pp. 187-226

Holger Kraft, Thomas Seiferling and Frank Thomas Seifried

Consumption–investment optimization with Epstein–Zin utility in incomplete markets pp. 227-262

Hao Xing

Market completion with derivative securities pp. 263-284

Daniel C. Schwarz

Model uncertainty and the pricing of American options pp. 285-329

David Hobson and Anthony Neuberger