Finance and Stochastics

1996 - 2025

Current editor(s): M. Schweizer

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Pricing options on realized variance pp. 453-475: Peter Carr, Hélyette Geman, Dilip Madan and Marc Yor
Local martingales, bubbles and option prices pp. 477-492: Alexander Cox and David Hobson
Utility maximization in incomplete markets for unbounded processes pp. 493-517: Sara Biagini and Marco Frittelli
Anomalous PDEs in Markov chains: Domains of validity and numerical solutions pp. 519-537: Ragnar Norberg
Conditional and dynamic convex risk measures pp. 539-561: Kai Detlefsen and Giacomo Scandolo
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps pp. 563-575: Fred Benth and Thilo Meyer-Brandis
A note on the large homogeneous portfolio approximation with the Student-t copula pp. 577-584: Lutz Schloegl and Dominic O’Kane
Optimal investment with derivative securities pp. 585-595: Aytaç Ílhan, Mattias Jonsson and Ronnie Sircar
Robust representation of convex risk measures by probability measures pp. 597-608: Volker Krätschmer

Integro-differential equations for option prices in exponential Lévy models pp. 299-325: Rama Cont and Ekaterina Voltchkova
The Lévy LIBOR model pp. 327-348: Ernst Eberlein and Fehmi Özkan
Representation formulas for Malliavin derivatives of diffusion processes pp. 349-367: Jerome Detemple, René Garcia and Marcel Rindisbacher
Coherent and convex monetary risk measures for unbounded càdlàg processes pp. 369-387: Patrick Cheridito, Freddy Delbaen and Michael Kupper
A note on invariant measures for HJM models pp. 389-398: Michael Tehranchi
An entropy approach to the Stein and Stein model with correlation pp. 399-413: Thorsten Rheinländer
Pricing contingent claims with credit risk: Asymptotic expansion approach pp. 415-427: Yoshifumi Muroi
Bond market completeness and attainable contingent claims pp. 429-452: Erik Taflin

Robust utility maximization for complete and incomplete market models pp. 151-176: Anne Gundel
Satisfying convex risk limits by trading pp. 177-195: Kasper Larsen, Traian Pirvu, Steven Shreve and Reha Tütüncü
A note on Wick products and the fractional Black-Scholes model pp. 197-209: Tomas Bjork and Henrik Hult
A simple model for credit migration and spread curves pp. 211-231: Li Chen and Damir Filipović
On the pricing of forward starting options in Heston’s model on stochastic volatility pp. 233-250: Susanne Kruse and Ulrich Nögel
The Russian option: Finite horizon pp. 251-267: Goran Peskir
Inf-convolution of risk measures and optimal risk transfer pp. 269-298: Pauline Barrieu and Nicole El Karoui

Diversity and relative arbitrage in equity markets pp. 1-27: Robert Fernholz, Ioannis Karatzas and Constantinos Kardaras
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model pp. 29-42: Damiano Brigo and Aurélien Alfonsi
A chaotic approach to interest rate modelling pp. 43-65: Lane Hughston and Avraam Rafailidis
Lévy term structure models: No-arbitrage and completeness pp. 67-88: Ernst Eberlein, Jean Jacod and Sebastian Raible
Valuation of American options in the presence of event risk pp. 89-107: Alex Szimayer
Completion of a Lévy market by power-jump assets pp. 109-127: José Manuel Corcuera, David Nualart and Wim Schoutens
An extension of mean-variance hedging to the discontinuous case pp. 129-139: Takuji Arai
On option pricing in binomial market with transaction costs pp. 141-149: Alexander Melnikov and Yury Petrachenko

Maturity cycles in implied volatility pp. 451-477: Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar and Knut Solna
Stochastic orders in dynamic reinsurance markets pp. 479-499: Thomas Møller
An approximation pricing algorithm in an incomplete market: A differential geometric approach pp. 501-523: Yuan Gao, Kian Lim and Kah Ng
On the law of one price pp. 525-530: Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov and Christophe Stricker
Vector-valued coherent risk measures pp. 531-552: Elyès Jouini, Moncef Meddeb and Nizar Touzi
Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain pp. 553-577: Jörn Sass and Ulrich Haussmann
Wealth-path dependent utility maximization in incomplete markets pp. 579-603: Bruno Bouchard and Huyên Pham

Liquidity risk and arbitrage pricing theory pp. 311-341: Umut Çetin, Robert Jarrow and Philip Protter
Valuation of credit default swaps and swaptions pp. 343-371: Farshid Jamshidian
Lookback options and diffusion hitting times: A spectral expansion approach pp. 373-398: Vadim Linetsky
A valuation algorithm for indifference prices in incomplete markets pp. 399-414: Marek Musiela and Thaleia Zariphopoulou
The financial value of a weak information on a financial market pp. 415-435: Fabrice Baudoin and Laurent Nguyen-Ngoc
Additional utility of insiders with imperfect dynamical information pp. 437-450: José Corcuera, Peter Imkeller, Arturo Kohatsu-Higa and David Nualart

Computations of Greeks in a market with jumps via the Malliavin calculus pp. 161-179: Youssef El-Khatib and Nicolas Privault
Asymptotic analysis for optimal investment and consumption with transaction costs pp. 181-206: Karel Janeček and Steven Shreve
A geometric approach to portfolio optimization in models with transaction costs pp. 207-227: Yuri Kabanov and Claudia Klüppelberg
An example of indifference prices under exponential preferences pp. 229-239: Marek Musiela and Thaleia Zariphopoulou
Multi-agent investment in incomplete markets pp. 241-259: Jianming Xia
Pricing derivatives of American and game type in incomplete markets pp. 261-284: Jan Kallsen and Christoph Kühn
Asymmetric information and imperfect competition in a continuous time multivariate security model pp. 285-309: Guillaume Lasserre

Editorial pp. 1-2: Freddy Delbaen, Paul Embrechts, Hans Föllmer, Yuri Kabanov and Steven Shreve
Large portfolio losses pp. 3-16: Amir Dembo, Jean-Dominique Deuschel and Darrell Duffie
Optimal portfolios when stock prices follow an exponential Lévy process pp. 17-44: Susanne Emmer and Claudia Klüppelberg
On the Malliavin approach to Monte Carlo approximation of conditional expectations pp. 45-71: Bruno Bouchard, Ivar Ekeland and Nizar Touzi
Some calculations for Israeli options pp. 73-86: Andreas Kyprianou
On the use of measure-valued strategies in bond markets pp. 87-109: Marzia De Donno and Maurizio Pratelli
A link between complete models with stochastic volatility and ARCH models pp. 111-131: Thierry Jeantheau
Convergence of utility functions and convergence of optimal strategies pp. 133-144: Elyès Jouini and Clotilde Napp
Hazard rate for credit risk and hedging defaultable contingent claims pp. 145-159: Christophette Blanchet-Scalliet and Monique Jeanblanc