Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

From Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

Volume 16, issue 4, 2012

Continuous-time trading and the emergence of probability pp. 561-609

Vladimir Vovk

Model-independent hedging strategies for variance swaps pp. 611-649

David Hobson and Martin Klimmek

Market viability via absence of arbitrage of the first kind pp. 651-667

Constantinos Kardaras

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles pp. 669-709

Beatrice Acciaio, Hans Föllmer and Irina Penner

Polynomial processes and their applications to mathematical finance pp. 711-740

Christa Cuchiero, Martin Keller-Ressel and Josef Teichmann

The fundamental theorem of asset pricing under transaction costs pp. 741-777

Paolo Guasoni, Emmanuel Lépinette and Miklós Rásonyi

Horizon dependence of utility optimizers in incomplete models pp. 779-801

Kasper Larsen and Hang Yu

Volume 16, issue 3, 2012

Small transaction costs, absence of arbitrage and consistent price systems pp. 357-368

Julien Grépat and Yuri Kabanov

Long-term optimal portfolios with floor pp. 369-401

Jun Sekine

A decomposition formula for option prices in the Heston model and applications to option pricing approximation pp. 403-422

Elisa Alòs

An optimal stopping problem with a reward constraint pp. 423-448

Jerome Detemple, Weidong Tian and Jie Xiong

Optimal dividend distribution under Markov regime switching pp. 449-476

Zhengjun Jiang and Martijn Pistorius

Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints pp. 477-511

Lihua Bai, Martin Hunting and Jostein Paulsen

Default times, no-arbitrage conditions and changes of probability measures pp. 513-535

Delia Coculescu, Monique Jeanblanc and Ashkan Nikeghbali

Forward rate models with linear volatilities pp. 537-560

Michał Barski and Jerzy Zabczyk

Volume 16, issue 2, 2012

An example of a stochastic equilibrium with incomplete markets pp. 177-206

Gordan Žitković

Irreversible investment in oligopoly pp. 207-224

Jan-Henrik Steg

Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models pp. 225-247

Aleksandar Mijatović and Mikhail Urusov

Singular risk-neutral valuation equations pp. 249-274

Cristina Costantini, Marco Papi and Fernanda D’Ippoliti

Strict local martingale deflators and valuing American call-type options pp. 275-291

Erhan Bayraktar, Constantinos Kardaras and Hao Xing

Maximum entropy distributions inferred from option portfolios on an asset pp. 293-318

Cassio Neri and Lorenz Schneider

A pure martingale dual for multiple stopping pp. 319-334

John Schoenmakers

Variance swaps on time-changed Lévy processes pp. 335-355

Peter Carr, Roger Lee and Liuren Wu

Volume 16, issue 1, 2012

Pricing growth-rate risk pp. 1-15

Lars Hansen and Jose Scheinkman

Cross hedging with stochastic correlation pp. 17-43

Stefan Ankirchner and Gregor Heyne

Financial inverse problem and reconstruction of infinitely divisible distributions with Gaussian component pp. 45-62

S. Kaji and S. Kotani

Tangent Lévy market models pp. 63-104

René Carmona and Sergey Nadtochiy

Pricing and hedging of credit derivatives via the innovations approach to nonlinear filtering pp. 105-133

Rüdiger Frey and Thorsten Schmidt

Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs pp. 135-154

Emmanuel Denis and Yuri Kabanov

Worst case portfolio vectors and diversification effects pp. 155-175

Ludger Rüschendorf