Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

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

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

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

On irreversible investment pp. 607-633: Frank Riedel and Xia Su
Asymptotic analysis for stochastic volatility: martingale expansion pp. 635-654: Masaaki Fukasawa
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates pp. 655-683: Denis Belomestny
On the calibration of local jump-diffusion asset price models pp. 685-724: S. Kindermann and P. Mayer
Optimal investment with counterparty risk: a default-density model approach pp. 725-753: Ying Jiao and Huyên Pham
The large-maturity smile for the Heston model pp. 755-780: Martin Forde and Antoine Jacquier
A note on essential smoothness in the Heston model pp. 781-784: Martin Forde, Antoine Jacquier and Aleksandar Mijatović
Proving regularity of the minimal probability of ruin via a game of stopping and control pp. 785-818: Erhan Bayraktar and Virginia Young

Liquidity risk, price impacts and the replication problem pp. 399-419: Alexandre Roch
A stochastic control problem with delay arising in a pension fund model pp. 421-459: Salvatore Federico
Multivariate utility maximization with proportional transaction costs pp. 461-499: Luciano Campi and Mark Owen
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization pp. 501-512: Nicholas Westray and Harry Zheng
Pricing equity default swaps under the jump-to-default extended CEV model pp. 513-540: Rafael Mendoza-Arriaga and Vadim Linetsky
Hedging of a credit default swaption in the CIR default intensity model pp. 541-572: Tomasz Bielecki, Monique Jeanblanc and Marek Rutkowski
Robust pricing and hedging of double no-touch options pp. 573-605: Alexander Cox and Jan Obłój

Option pricing with quadratic volatility: a revisit pp. 191-219: Leif Andersen
Asset price bubbles from heterogeneous beliefs about mean reversion rates pp. 221-241: Xi Chen and Robert Kohn
Ruin probabilities under general investments and heavy-tailed claims pp. 243-265: Henrik Hult and Filip Lindskog
Gamma expansion of the Heston stochastic volatility model pp. 267-296: Paul Glasserman and Kyoung-Kuk Kim
Pension funds with a minimum guarantee: a stochastic control approach pp. 297-342: Marina Di Giacinto, Salvatore Federico and Fausto Gozzi
On a class of law invariant convex risk measures pp. 343-363: Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Michael Kupper and Joachim Näf
The efficient hedging problem for American options pp. 365-397: Sabrina Mulinacci

Dual pricing of multi-exercise options under volume constraints pp. 1-26: Christian Bender
Co-monotonicity of optimal investments and the design of structured financial products pp. 27-55: Marc Rieger
Arbitrage and deflators in illiquid markets pp. 57-83: Teemu Pennanen
Optimal consumption policies in illiquid markets pp. 85-115: Alessandra Cretarola, Fausto Gozzi, Huyên Pham and Peter Tankov
Minimal q-entropy martingale measures for exponential time-changed Lévy processes pp. 117-140: Stefan Kassberger and Thomas Liebmann
Unbiased and efficient Greeks of financial options pp. 141-181: Yuh-Dauh Lyuu and Huei-Wen Teng
A note on the existence of the power investor’s optimizer pp. 183-190: Kasper Larsen