Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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The numéraire portfolio in semimartingale financial models pp. 447-493: Ioannis Karatzas and Constantinos Kardaras
Efficient estimation of drift parameters in stochastic volatility models pp. 495-519: Arnaud Gloter
Stochastic flow approach to Dupire’s formula pp. 521-535: B. Jourdain
Pricing and hedging European options with discrete-time coherent risk pp. 537-569: Alexander Cherny
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility pp. 571-589: Elisa Alòs, Jorge León and Josep Vives
Insider trading in an equilibrium model with default: a passage from reduced-form to structural modelling pp. 591-602: Luciano Campi and Umut Çetin

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain pp. 299-322: Jeffrey Collamore and Andrea Höing
An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model pp. 323-355: Yu-Ting Chen, Cheng Few Lee and Yuan-Chung Sheu
Optimal exercise of executive stock options pp. 357-372: L. Rogers and Jose Scheinkman
Multivariate risks and depth-trimmed regions pp. 373-397: Ignacio Cascos and Ilya Molchanov
Minimal Hellinger martingale measures of order q pp. 399-427: Tahir Choulli, Christophe Stricker and Jia Li
Exponential moments for HJM models with jumps pp. 429-445: Jacek Jakubowski and Jerzy Zabczyk

Additive and multiplicative duals for American option pricing pp. 153-179: Nan Chen and Paul Glasserman
Negative Libor rates in the swap market model pp. 181-193: Mark Davis and Vicente Mataix-Pastor
Information reduction via level crossings in a credit risk model pp. 195-212: Robert Jarrow, Philip Protter and A. Sezer
Correspondence between lifetime minimum wealth and utility of consumption pp. 213-236: Erhan Bayraktar and Virginia Young
No-arbitrage criteria for financial markets with transaction costs and incomplete information pp. 237-251: Dimitri De Vallière, Yuri Kabanov and Christophe Stricker
The supermartingale property of the optimal wealth process for general semimartingales pp. 253-266: Sara Biagini and Marco Frittelli
Optimal risk sharing with non-monotone monetary functionals pp. 267-289: Beatrice Acciaio
Dilatation monotone risk measures are law invariant pp. 291-298: Alexander Cherny and Pavel Grigoriev

Editorial pp. 1-2: Martin Schweizer
Optimal dividend policy and growth option pp. 3-27: Jean-Paul Décamps and Stephane Villeneuve
Moment explosions in stochastic volatility models pp. 29-50: Leif Andersen and Vladimir Piterbarg
A model of optimal portfolio selection under liquidity risk and price impact pp. 51-90: Vathana Ly Vath, Mohamed Mnif and Huyên Pham
Smooth convergence in the binomial model pp. 91-105: Lo-Bin Chang and Ken Palmer
Optimal investments for risk- and ambiguity-averse preferences: a duality approach pp. 107-129: Alexander Schied
Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels pp. 131-152: A. Kyprianou and B. Surya

Spectral calibration of exponential Lévy models pp. 449-474: Denis Belomestny and Markus Reiss
American Parisian options pp. 475-506: Marc Chesney and Laurent Gauthier
Generic market models pp. 507-528: Raoul Pietersz and Marcel Regenmortel
Asymptotic behaviour of mean-quantile efficient portfolios pp. 529-551: Gordana Dmitrašinović-Vidović and Antony Ware
Optimal portfolio choice in the bond market pp. 553-573: Nathanael Ringer and Michael Tehranchi
A counter-example to an option pricing formula under transaction costs pp. 575-578: Alet Roux and Tomasz Zastawniak
A super-replication theorem in Kabanov’s model of transaction costs pp. 579-596: Luciano Campi and Walter Schachermayer

A jump to default extended CEV model: an application of Bessel processes pp. 303-330: Peter Carr and Vadim Linetsky
Consistency among trading desks pp. 331-340: David Heath and Hyejin Ku
Bounds for Functions of Dependent Risks pp. 341-352: Paul Embrechts and Giovanni Puccetti
A generalization of the Hull and White formula with applications to option pricing approximation pp. 353-365: Elisa Alòs
Weighted V@R and its Properties pp. 367-393: A. Cherny
A risk-sensitive stochastic control approach to an optimal investment problem with partial information pp. 395-426: Hiroaki Hata and Yasunari Iida
Coherent and convex monetary risk measures for unbounded càdlàg processes pp. 427-448: Patrick Cheridito, Freddy Delbaen and Michael Kupper

Asymmetric Information in Fads Models pp. 159-177: Paolo Guasoni
Asymmetric Information in Fads Models pp. 159-177: Paolo Guasoni
Consistent Variance Curve Models pp. 178-203: Hans Buehler
Consistent Variance Curve Models pp. 178-203: Hans Buehler
Optimal Early Retirement Near the Expiration of a Pension Plan pp. 204-221: E. Chevalier
Optimal Early Retirement Near the Expiration of a Pension Plan pp. 204-221: E. Chevalier
Comparison of Option Prices in Semimartingale Models pp. 222-249: Jan Bergenthum and Ludger Rüschendorf
Comparison of Option Prices in Semimartingale Models pp. 222-249: Jan Bergenthum and Ludger Rüschendorf
Option Pricing for Pure Jump Processes with Markov Switching Compensators pp. 250-275: Robert J. Elliott and Carlton-James U. Osakwe
Option Pricing for Pure Jump Processes with Markov Switching Compensators pp. 250-275: Robert Elliott and Carlton-James Osakwe
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure pp. 276-297: Bruno Bouchard
No-arbitrage in Discrete-time Markets with Proportional Transaction Costs and General Information structure pp. 276-297: Bruno Bouchard
Call Completeness Implies Completeness in the n-period Model of a Financial Market pp. 298-301: Lothar Rogge
Call Completeness Implies Completeness in the n-period Model of a Financial Market pp. 298-301: Lothar Rogge

An exact analytical solution for discrete barrier options pp. 1-26: Gianluca Fusai, I. Abrahams and Carlo Sgarra
Iterative construction of the optimal Bermudan stopping time pp. 27-49: Anastasia Kolodko and John Schoenmakers
Generalized deviations in risk analysis pp. 51-74: R. Rockafellar, Stan Uryasev and Michael Zabarankin
Utility maximization and risk minimization in life and pension insurance pp. 75-97: Peter Nielsen
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints pp. 99-119: Gordan Žitković
Optimal portfolio of low liquid assets with a log-utility function pp. 121-145: Koichi Matsumoto
Utility maximization under increasing risk aversion in one-period models pp. 147-158: Patrick Cheridito and Christopher Summer