Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 19, issue 4, 2015

The existence of dominating local martingale measures pp. 685-717

Peter Imkeller and Nicolas Perkowski

How non-arbitrage, viability and numéraire portfolio are related pp. 719-741

Tahir Choulli, Jun Deng and Junfeng Ma

A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing pp. 743-761

Christa Cuchiero and Josef Teichmann

Aggregation-robustness and model uncertainty of regulatory risk measures pp. 763-790

Paul Embrechts, Bin Wang and Ruodu Wang

An optimal consumption problem in finite time with a constraint on the ruin probability pp. 791-847

Peter Grandits

Pricing and hedging Asian-style options on energy pp. 849-889

Fred Benth and Nils Detering

Dynamic credit investment in partially observed markets pp. 891-939

Agostino Capponi, José Figueroa-López and Andrea Pascucci

Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach pp. 941-977

Lingfei Li and Vadim Linetsky

The distribution of the maximum of a variance gamma process and path-dependent option pricing pp. 979-993

Roman Ivanov

Volume 19, issue 3, 2015

Hedge and mutual funds’ fees and the separation of private investments pp. 473-507

Paolo Guasoni and Gu Wang

Static hedging under maturity mismatch pp. 509-539

Philipp Mayer, Natalie Packham and Wolfgang Schmidt

Approximate hedging for nonlinear transaction costs on the volume of traded assets pp. 541-581

Romuald Elie and Emmanuel Lépinette

On a Heath–Jarrow–Morton approach for stock options pp. 583-615

Jan Kallsen and Paul Krühner

Forward equations for option prices in semimartingale models pp. 617-651

Amel Bentata and Rama Cont

Taylor approximation of incomplete Radner equilibrium models pp. 653-679

Jin Choi and Kasper Larsen

Addendum to: Multilevel dual approach for pricing American style derivatives pp. 681-684

Denis Belomestny, Mark Joshi and John Schoenmakers

Volume 19, issue 2, 2015

Fragility of arbitrage and bubbles in local martingale diffusion models pp. 215-231

Paolo Guasoni and Miklós Rásonyi

When do creditors with heterogeneous beliefs agree to run? pp. 233-259

Andrey Krishenik, Andreea Minca and Johannes Wissel

Spot volatility estimation using delta sequences pp. 261-293

Cecilia Mancini, Vanessa Mattiussi and Roberto Renò

On the forward rate concept in multi-state life insurance pp. 295-327

Marcus Christiansen and Andreas Niemeyer

When terminal facelift enforces delta constraints pp. 329-362

Jean-François Chassagneux, Romuald Elie and Idris Kharroubi

Asymptotics for fixed transaction costs pp. 363-414

Albert Altarovici, Johannes Muhle-Karbe and Halil Soner

Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation pp. 415-448

Salvatore Federico, Paul Gassiat and Fausto Gozzi

A model for a large investor trading at market indifference prices. I: Single-period case pp. 449-472

Peter Bank and Dmitry Kramkov

Volume 19, issue 1, 2015

Existence of an endogenously complete equilibrium driven by a diffusion pp. 1-22

Dmitry Kramkov

Risk measures for processes and BSDEs pp. 23-66

Irina Penner and Anthony Réveillac

Multi-portfolio time consistency for set-valued convex and coherent risk measures pp. 67-107

Zachary Feinstein and Birgit Rudloff

Portfolio optimization with insider’s initial information and counterparty risk pp. 109-134

Caroline Hillairet and Ying Jiao

Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption pp. 135-159

Oleksii Mostovyi

Optimal investment and price dependence in a semi-static market pp. 161-187

Pietro Siorpaes

Robust price bounds for the forward starting straddle pp. 189-214

David Hobson and Martin Klimmek