Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 18, issue 4, 2014

Optimal investment and contingent claim valuation in illiquid markets pp. 733-754

Teemu Pennanen

Pricing vulnerable claims in a Lévy-driven model pp. 755-789

Agostino Capponi, Stefano Pagliarani and Tiziano Vargiolu

Superreplication under model uncertainty in discrete time pp. 791-803

Marcel Nutz

FTAP in finite discrete time with transaction costs by utility maximization pp. 805-823

Jörn Sass and Martin Smaga

Asian options and meromorphic Lévy processes pp. 825-844

D. Hackmann and A. Kuznetsov

Bottleneck options pp. 845-872

Curdin Ott

Portfolio optimization under convex incentive schemes pp. 873-915

Maxim Bichuch and Stephan Sturm

Asymptotic arbitrage with small transaction costs pp. 917-939

Irene Klein, Emmanuel Lépinette and Lavinia Perez-Ostafe

Volume 18, issue 3, 2014

Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension pp. 487-514

Winslow Strong

On arbitrages arising with honest times pp. 515-543

Claudio Fontana, Monique Jeanblanc and Shiqi Song

A theory of Markovian time-inconsistent stochastic control in discrete time pp. 545-592

Tomas Bjork and Agatha Murgoci

Pseudo linear pricing rule for utility indifference valuation pp. 593-615

Vicky Henderson and Gechun Liang

Confidence sets in nonparametric calibration of exponential Lévy models pp. 617-649

Jakob Söhl

Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment pp. 651-694

Maxim Bichuch

An optimal execution problem with market impact pp. 695-732

Takashi Kato

Volume 18, issue 2, 2014

Comparative and qualitative robustness for law-invariant risk measures pp. 271-295

Volker Krätschmer, Alexander Schied and Henryk Zähle

Shifting martingale measures and the birth of a bubble as a submartingale pp. 297-326

Francesca Biagini, Hans Föllmer and Sorin Nedelcu

Robust hedging with proportional transaction costs pp. 327-347

Yan Dolinsky and H. Soner

Asymptotics of implied volatility to arbitrary order pp. 349-392

Kun Gao and Roger Lee

A note on the condition of no unbounded profit with bounded risk pp. 393-405

Koichiro Takaoka and Martin Schweizer

Optimal portfolios in commodity futures markets pp. 407-430

Fred Benth and Jukka Lempa

Bilateral credit valuation adjustment for large credit derivatives portfolios pp. 431-482

Lijun Bo and Agostino Capponi

A correction note to “Discrete time hedging errors for options with irregular payoffs” pp. 483-485

Emmanuel Gobet

Volume 18, issue 1, 2014

Transaction costs, trading volume, and the liquidity premium pp. 1-37

Stefan Gerhold, Paolo Guasoni, Johannes Muhle-Karbe and Walter Schachermayer

A mathematical treatment of bank monitoring incentives pp. 39-73

Henri Pagès and Dylan Possamaï

Abstract, classic, and explicit turnpikes pp. 75-114

Paolo Guasoni, Constantinos Kardaras, Scott Robertson and Hao Xing

On the hedging of options on exploding exchange rates pp. 115-144

Peter Carr, Travis Fisher and Johannes Ruf

Beyond cash-additive risk measures: when changing the numéraire fails pp. 145-173

Walter Farkas, Pablo Koch-Medina and Cosimo Munari

Efficient discretization of stochastic integrals pp. 175-208

Masaaki Fukasawa

Stochastic mortality models: an infinite-dimensional approach pp. 209-248

Stefan Tappe and Stefan Weber

Comonotone Pareto optimal allocations for law invariant robust utilities on L 1 pp. 249-269

Claudia Ravanelli and Gregor Svindland