Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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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

Pricing credit derivatives under incomplete information: a nonlinear-filtering approach pp. 495-526: Rüdiger Frey and Wolfgang Runggaldier
On Kolmogorov equations for anisotropic multivariate Lévy processes pp. 527-567: N. Reich, C. Schwab and C. Winter
A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation pp. 569-591: Peter Grandits and Grigory Temnov
On optimal portfolio diversification with respect to extreme risks pp. 593-623: Georg Mainik and Ludger Rüschendorf
Mean square error for the Leland–Lott hedging strategy: convex pay-offs pp. 625-667: Emmanuel Denis and Yuri Kabanov

Option hedging for small investors under liquidity costs pp. 317-341: Umut Çetin, H. Soner and Nizar Touzi
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? pp. 343-374: Peter Diesinger, Holger Kraft and Frank Seifried
On measuring nonlinear risk with scarce observations pp. 375-395: Alexander Cherny, Raphael Douady and Stanislav Molchanov
Asymptotic distribution of law-invariant risk functionals pp. 397-418: Georg Pflug and Nancy Wozabal
Exponential utility maximization under partial information pp. 419-448: Michael Mania and Marina Santacroce
Representation of the penalty term of dynamic concave utilities pp. 449-472: Freddy Delbaen, Shige Peng and Emanuela Rosazza Gianin
Perturbed Brownian motion and its application to Parisian option pricing pp. 473-494: Angelos Dassios and Shanle Wu

From implied to spot volatilities pp. 157-177: Valdo Durrleman
Hedging variance options on continuous semimartingales pp. 179-207: Peter Carr and Roger Lee
Central limit theorem for the realized volatility based on tick time sampling pp. 209-233: Masaaki Fukasawa
Can the implied volatility surface move by parallel shifts? pp. 235-248: L. Rogers and M. Tehranchi
Zero-intelligence realized variance estimation pp. 249-283: Jim Gatheral and Roel Oomen
Risk-neutral compatibility with option prices pp. 285-315: Jean Jacod and Philip Protter

A high-low-based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns pp. 1-12: Stefan Klößner
Local time and the pricing of time-dependent barrier options pp. 13-48: Aleksandar Mijatović
Nonparametric estimation for a stochastic volatility model pp. 49-80: F. Comte, V. Genon-Catalot and Y. Rozenholc
A generalization of Panjer’s recursion and numerically stable risk aggregation pp. 81-128: Stefan Gerhold, Uwe Schmock and Richard Warnung
Comparison results for stochastic volatility models via coupling pp. 129-152: David Hobson
Valuation of default-sensitive claims under imperfect information (Publisher’s Erratum) pp. 153-155: Delia Coculescu, Hélyette Geman and Monique Jeanblanc