Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Volume 17, issue 4, 2013

Mean-variance hedging with oil futures pp. 641-683

Liao Wang and Johannes Wissel

Variation and share-weighted variation swaps on time-changed Lévy processes pp. 685-716

Peter Carr and Roger Lee

Multilevel dual approach for pricing American style derivatives pp. 717-742

Denis Belomestny, John Schoenmakers and Fabian Dickmann

Drift dependence of optimal trade execution strategies under transient price impact pp. 743-770

Christopher Lorenz and Alexander Schied

Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model pp. 771-800

Vladimir Cherny and Jan Obłój

On the existence of shadow prices pp. 801-818

Giuseppe Benedetti, Luciano Campi, Jan Kallsen and Johannes Muhle-Karbe

On the game interpretation of a shadow price process in utility maximization problems under transaction costs pp. 819-838

Dmitry Rokhlin

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing pp. 839-870

Tim Leung, Qingshuo Song and Jie Yang

Volume 17, issue 3, 2013

Duality and convergence for binomial markets with friction pp. 447-475

Yan Dolinsky and Halil Soner

Model-independent bounds for option prices—a mass transport approach pp. 477-501

Mathias Beiglböck, Pierre Henry-Labordère and Friedrich Penkner

Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing pp. 503-534

Daniel Zanger

Robust utility maximization for a diffusion market model with misspecified coefficients pp. 535-563

Revaz Tevzadze, Teimuraz Toronjadze and Tamaz Uzunashvili

Equilibrium model with default and dynamic insider information pp. 565-585

Luciano Campi, Umut Çetin and Albina Danilova

Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞ pp. 587-613

Jocelyne Bion-Nadal and Giulia Nunno

A reading guide for last passage times with financial applications in view pp. 615-640

Ashkan Nikeghbali and Eckhard Platen

Volume 17, issue 2, 2013

Time-consistent mean-variance portfolio selection in discrete and continuous time pp. 227-271

Christoph Czichowsky

Market selection with learning and catching up with the Joneses pp. 273-304

Roman Muraviev

Discretely sampled variance and volatility swaps versus their continuous approximations pp. 305-324

Robert Jarrow, Younes Kchia, Martin Larsson and Philip Protter

The dual optimizer for the growth-optimal portfolio under transaction costs pp. 325-354

S. Gerhold, J. Muhle-Karbe and W. Schachermayer

Exercise boundary of the American put near maturity in an exponential Lévy model pp. 355-394

Damien Lamberton and Mohammed Mikou

Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities pp. 395-417

Ruodu Wang, Liang Peng and Jingping Yang

Optimal consumption and investment for markets with random coefficients pp. 419-446

Belkacem Berdjane and Sergey Pergamenshchikov

Volume 17, issue 1, 2013

Bubbles and crashes in a Black–Scholes model with delay pp. 1-30

John Appleby, Markus Riedle and Catherine Swords

Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation pp. 31-72

Bruno Bouchard and Ngoc-Minh Dang

Optimal dividend policies with transaction costs for a class of jump-diffusion processes pp. 73-106

Martin Hunting and Jostein Paulsen

Asymptotic and exact pricing of options on variance pp. 107-133

Martin Keller-Ressel and Johannes Muhle-Karbe

The optimal-drift model: an accelerated binomial scheme pp. 135-160

Ralf Korn and Stefanie Müller

Consumption-portfolio optimization with recursive utility in incomplete markets pp. 161-196

Holger Kraft, Frank Seifried and Mogens Steffensen

Optimal hedging of demographic risk in life insurance pp. 197-222

Ragnar Norberg

Correction note for ‘The large-maturity smile for the Heston model’ pp. 223-224

Carole Bernard, Zhenyu Cui, Martin Forde, Antoine Jacquier, Don McLeish and Aleksandar Mijatović

Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates pp. 225-226

Xi Chen and Robert Kohn