Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 20, issue 4, 2016

Editorial: 20th anniversary of Finance and Stochastics pp. 807-808

Martin Schweizer and Dieter Sondermann

Liquidity management with decreasing returns to scale and secured credit line pp. 809-854

Erwan Pierre, Stéphane Villeneuve and Xavier Warin

A BSDE approach to fair bilateral pricing under endogenous collateralization pp. 855-900

Tianyang Nie and Marek Rutkowski

Counterparty risk and funding: immersion and beyond pp. 901-930

Stéphane Crépey and Shiqi Song

Polynomial diffusions and applications in finance pp. 931-972

Damir Filipović and Martin Larsson

Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps pp. 973-1020

José E. Figueroa-López and Sveinn Ólafsson

A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates pp. 1021-1059

Kathrin Glau

Another look at the integral of exponential Brownian motion and the pricing of Asian options pp. 1061-1096

Andrew Lyasoff

No arbitrage of the first kind and local martingale numéraires pp. 1097-1108

Yuri Kabanov, Constantinos Kardaras and Shiqi Song

Volume 20, issue 3, 2016

Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration pp. 543-588

Jean-Pierre Fouque, Matthew Lorig and Ronnie Sircar

Additive subordination and its applications in finance pp. 589-634

Jing Li, Lingfei Li and Rafael Mendoza-Arriaga

An explicit martingale version of the one-dimensional Brenier theorem pp. 635-668

Pierre Henry-Labordère and Nizar Touzi

Consumption-investment problem with transaction costs for Lévy-driven price processes pp. 705-740

Dimitri Vallière, Yuri Kabanov and Emmanuel Lépinette

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing pp. 773-804

Angelos Dassios and You You Zhang

Retraction Note to: The distribution of the maximum of a variance gamma process and path-dependent option pricing pp. 805-805

Roman V. Ivanov

Volume 20, issue 2, 2016

A general HJM framework for multiple yield curve modelling pp. 267-320

Christa Cuchiero, Claudio Fontana and Alessandro Gnoatto

Adapting extreme value statistics to financial time series: dealing with bias and serial dependence pp. 321-354

Laurens Haan, Cécile Mercadier and Chen Zhou

Asymptotic replication with modified volatility under small transaction costs pp. 381-431

Jiatu Cai and Masaaki Fukasawa

Optimal portfolio liquidation in target zone models and catalytic superprocesses pp. 495-509

Eyal Neuman and Alexander Schied

Stability of utility maximization in nonequivalent markets pp. 511-541

Kim Weston

Volume 20, issue 1, 2016

Universal arbitrage aggregator in discrete-time markets under uncertainty pp. 1-50

Matteo Burzoni, Marco Frittelli and Marco Maggis

Universal arbitrage aggregator in discrete-time markets under uncertainty pp. 1-50

Matteo Burzoni, Marco Frittelli and Marco Maggis

Model-independent superhedging under portfolio constraints pp. 51-81

Arash Fahim and Yu-Jui Huang

Model-independent superhedging under portfolio constraints pp. 51-81

Arash Fahim and Yu-Jui Huang

Consistent price systems under model uncertainty pp. 83-98

Bruno Bouchard and Marcel Nutz

Consistent price systems under model uncertainty pp. 83-98

Bruno Bouchard and Marcel Nutz

Facelifting in utility maximization pp. 99-121

Kasper Larsen, Halil Soner and Gordan Žitković

Weakly time consistent concave valuations and their dual representations pp. 123-151

Berend Roorda and Johannes Schumacher

Weakly time consistent concave valuations and their dual representations pp. 123-151

Berend Roorda and Johannes Schumacher

Superreplication when trading at market indifference prices pp. 153-182

Peter Bank and Selim Gökay

Dynamic optimal execution in a mixed-market-impact Hawkes price model pp. 183-218

Aurélien Alfonsi and Pierre Blanc

Dynamic optimal execution in a mixed-market-impact Hawkes price model pp. 183-218

Aurélien Alfonsi and Pierre Blanc

Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility pp. 219-265

José E. Figueroa-López and Sveinn Ólafsson

Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility pp. 219-265

José Figueroa-López and Sveinn Ólafsson